Stock returns and volatility in emerging financial markets

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

1988 • 3,715 citations

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

1992 • 3,405 citations

Capital Market Equilibrium with Restricted Borrowing

1972 • 3,158 citations

Estimating betas from nonsynchronous data

1977 • 2,887 citations

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

1987 • 2,601 citations

Time‐Varying World Market Integration

1995 • 2,163 citations

Modelling the persistence of conditional variances

1986 • 2,029 citations

Emerging equity market volatility

1997 • 1,707 citations

Modeling and pricing long memory in stock market volatility

1996 • 1,249 citations

International Asset Pricing and Portfolio Diversification with Time‐Varying Risk

1997 • 745 citations

Time-Varying World Market Integration

1995 • 598 citations

How big is the premium for currency risk?1We thank Geert Bekaert, Tim Bollerslev, Peter Bossaerts, Mark Carhart, John Cochrane, Magnus Dahlquist, Wayne Ferson, Linda Goldberg, Campbell Harvey, Pierre Hillion, Robert Hodrick (the referee), Olivier Ledoit, John Matsusaka, Hans Mikkelsen, Angel Serrat and Ivo Welch, as well as workshop participants at INSEAD, University of California at Los Angeles, University of Southern California, University of Rochester, Southern Methodist University, …

1998 • 512 citations

International Asset Pricing and Portfolio Diversification with Time-Varying Risk

1997 • 260 citations

Large Scale Conditional Covariance Matrix Modeling, Estimation and Testing

2001 • 253 citations

How Big Is the Premium for Currency Risk?

1999 • 159 citations

Handbook of Modern Finance

1984 • 136 citations

Portfolio investment flows to emerging markets

1993 • 51 citations

International Cross-Listing and Order Flow Migration: Evidence from an Emerging Market

1996 • 49 citations

Conditional Heteroskedasticity and Global Stock Return Distributions

1994 • 39 citations

Investing in Emerging Markets

2003 • 24 citations

Modeling the Time Varying Comovement of Asset Returns

1998 • 16 citations

Bayesian Inference in Econometrics

1999 • 9 citations