ARCH models as diffusion approximations

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

Convergence of Probability Measures

1999 • 14,297 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

Convergence of Probability Measures

1969 • 7,189 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

Option pricing: A simplified approach

1979 • 6,128 citations

Spectral Analysis and Time Series

1983 • 5,140 citations

Markov Processes: Characterization and Convergence.

1987 • 4,826 citations

Expected stock returns and volatility

1987 • 4,291 citations

Irreversibility, Uncertainty, and Cyclical Investment

1983 • 3,492 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

Stochastic Differential Equations: Theory and Applications.

1976 • 2,496 citations

Fractional differencing

1981 • 2,334 citations

An Intertemporal General Equilibrium Model of Asset Prices

1985 • 2,096 citations

Multidimensional Diffusion Processes

1997 • 2,053 citations

Modelling the persistence of conditional variances

1986 • 2,029 citations

Distributions in Statistics: Continuous Multivariate Distributions.

1973 • 1,622 citations

MULTI-DIMENSIONAL DIFFUSION PROCESSES

1980 • 1,316 citations

Stationarity and Persistence in the GARCH(1,1) Model

1990 • 1,139 citations

Studies of stock market volatility changes

1976 • 846 citations

Simulated Moments Estimation of Markov Models of Asset Prices

1993 • 680 citations

Approximation and Weak Convergence Methods for Random Processes, With Applications to Stochastic Systems Theory.

1985 • 574 citations

The Variability of the Market Factor of the New York Stock Exchange

1973 • 481 citations

Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data

1988 • 368 citations

Why Don't the Prices of Stocks and Bonds Move Together?

1989 • 244 citations

Discretization and simulation of stochastic differential equations

1985 • 204 citations

Stock prices under time-varying dividend risk

1988 • 150 citations

Commet

1986 • 131 citations

Comment

1986 • 89 citations

The time series behavior of stock market volatility and returns

1988 • 62 citations

The complete poems of Carl Sandburg

1970 • 51 citations

The People, Yes

1936 • 33 citations