Intra-Day and Inter-Market Volatility in Foreign Exchange Rates

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

Testing for a unit root in time series regression

1988 • 17,004 citations

Statistical analysis of cointegration vectors

1988 • 16,501 citations

Continuous Auctions and Insider Trading

1985 • 9,651 citations

The Behavior of Stock-Market Prices

1965 • 8,575 citations

On a measure of lack of fit in time series models

1978 • 5,638 citations

The variation of certain speculative prices

1997 • 4,766 citations

Maximum Likelihood Estimation of Misspecified Models

1983 • 3,727 citations

Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

1992 • 3,405 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

Time Series Regression with a Unit Root

1987 • 2,905 citations

A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return

1987 • 2,601 citations

Modelling the persistence of conditional variances

1986 • 2,029 citations

Correlations in Price Changes and Volatility across International Stock Markets

1990 • 1,910 citations

Stock return variances

1986 • 1,878 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,759 citations

Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects

1990 • 1,080 citations

An econometric analysis of nonsynchronous trading

1990 • 828 citations

The Message in Daily Exchange Rates

2002 • 828 citations

The dynamics of exchange rate volatility: A multivariate latent factor ARCH model

1989 • 778 citations

Stock Returns and Volatility

1990 • 760 citations

The Dependence between Hourly Prices and Trading Volume

1988 • 700 citations

Common Stochastic Trends in a System of Exchange Rates

1989 • 595 citations

An Investigation of Transactions Data for NYSE Stocks

1985 • 580 citations

Asymptotic Theory for ARCH Models: Estimation and Testing

1986 • 539 citations

Conditional variance and the risk premium in the foreign exchange market

1985 • 512 citations

Semiparametric ARCH Models

1991 • 487 citations

Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications

1989 • 461 citations

The statistical properties of daily foreign exchange rates: 1974–1983

1988 • 452 citations

The econometric analysis of models with risk terms

1988 • 374 citations

On Unit Roots and the Empirical Modeling of Exchange Rates

1982 • 344 citations

A Unified Approach to Robust, Regression-Based Specification Tests

1990 • 321 citations

Endogenous Market Thinness and Stock Price Volatility

1989 • 311 citations

An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964–1989

1990 • 249 citations

Risk, uncertainty, and exchange rates

1989 • 238 citations

On Fitting A Recalcitrant Series: The Pound/Dollar Exchange Rate, 1974- 83

1988 • 177 citations

Measuring Business Cycle Time

1987 • 134 citations

Testing the martingale hypothesis in deutsche mark futures with models specifying the form of heteroscedasticity

1988 • 117 citations

Tests of the martingale hypothesis for foreign currency futures with time-varying volatility

1987 • 115 citations

The behavior of intra-daily exchange rates

1985 • 103 citations

Specification testing and quasi-maximum- likelihood estimation

1991 • 93 citations

News and the Foreign Exchange Market

1991 • 79 citations

Are National Stock Markets Linked?

1988 • 79 citations

Robust tests for unit roots in the foreign exchange market

1986 • 56 citations

Flexible exchange rates

1989 • 31 citations

Evidence of risk Premia in Foreign Currency Futures Markets

1989 • 16 citations

Basic handbook of foreign exchange : A guide to foreign exchange dealing

1988 • 11 citations

On the relationship between the New York closing spot U.S.$⧸$A exchange rate and the Reserve Bank of Australia's official rate

1984 • 6 citations