Nonlinear Dynamic Structures

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

Macroeconomics and Reality

1980 • 12,249 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

Continuous Auctions and Insider Trading

1985 • 9,651 citations

Noise Trader Risk in Financial Markets

1990 • 6,029 citations

Expected stock returns and volatility

1987 • 4,291 citations

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

1988 • 3,715 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

The Relation Between Price Changes and Trading Volume: A Survey

1987 • 2,469 citations

The stochastic behavior of common stock variances Value, leverage and interest rate effects

1982 • 2,405 citations

The Price Variability-Volume Relationship on Speculative Markets

1983 • 1,501 citations

Stock Prices and Volume

1992 • 1,388 citations

Stochastic Trends and Economic Fluctuations

1991 • 1,332 citations

Nonlinear Statistical Models.

1989 • 1,147 citations

Market Statistics and Technical Analysis: The Role of Volume

1994 • 1,063 citations

Stock Volatility and the Crash of ’87

1990 • 1,003 citations

NONPARAMETRIC ESTIMATORS FOR TIME SERIES

1983 • 574 citations

Semiparametric ARCH Models

1991 • 487 citations

The dynamic effects of aggregate demand and supply disturbance

1988 • 472 citations

Vector Autoregressions and Reality

2002 • 439 citations

Are Business Cycles All Alike

1984 • 336 citations

King Charles I

1981 • 320 citations

Common Persistence in Conditional Variances

1993 • 314 citations

On the asymptotic normality of Fourier flexible form estimates

1991 • 156 citations

The General Equivalence of Granger and Sims Causality

1982 • 134 citations

Margin Requirements, Volatility, and the Transitory Component of Stock Prices

2016 • 116 citations

[Vector Autoregressions and Reality]: Reply

1987 • 81 citations

A Nonparametric Approach to Nonlinear Time Series Analysis: Estimation and Simulation

1993 • 79 citations

Testing Financial Market Equilibrium under Asymmetric Information

1992 • 54 citations

Asymptotic normality and consistency of semi-nonparametric regression estimators using an upwards F test truncation rule

1991 • 40 citations