Nonlinear Dynamics and Stock Returns

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 citations

The Jackknife, the Bootstrap and Other Resampling Plans

1982 • 7,816 citations

The equity premium: A puzzle

1985 • 5,686 citations

Measuring the strangeness of strange attractors

1983 • 5,440 citations

Asset Prices in an Exchange Economy

1978 • 5,134 citations

Ergodic theory of chaos and strange attractors

1985 • 4,768 citations

Characterization of Strange Attractors

1983 • 4,655 citations

Stock returns and the weekend effect

1980 • 1,965 citations

Capital market seasonality: The case of stock returns

1976 • 1,226 citations

Threshold Autoregression, Limit Cycles and Cyclical Data

1980 • 1,177 citations

Characterization of Strange Attractor

1987 • 843 citations

A monthly effect in stock returns

2011 • 503 citations

An Introduction to Bilinear Time Series Models

1980 • 484 citations

Distinguishing random and deterministic systems: Abridged version

1986 • 397 citations

SPECTRAL ANALYSIS OF NEW YORK STOCK MARKET PRICES

1963 • 391 citations

Nonlinear dynamics and turbulence

1983 • 376 citations

On the numerical determination of the dimension of an attractor

1985 • 366 citations

Borrowing Constraints and Aggregate Economic Activity

1986 • 290 citations

The statistical properties of dimension calculations using small data sets

1990 • 133 citations

Autocorrelations of a certain chaos

1980 • 109 citations

Economic Complexity: Chaos, Sunspots, Bubbles and Nonlinearity.

1992 • 100 citations

Noisy Ikeda attractor

1982 • 14 citations