Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia

Estimating the Dimension of a Model

1978 • 43,634 citations

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

1993 • 8,018 citations

Multivariate Simultaneous Generalized ARCH

1995 • 4,490 citations

Efficient tests for normality, homoscedasticity and serial independence of regression residuals

1980 • 3,749 citations

Measuring and Testing the Impact of News on Volatility

1993 • 3,716 citations

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

1992 • 3,405 citations

A Capital Asset Pricing Model with Time-Varying Covariances

1988 • 3,189 citations

A test for independence based on the correlation dimension

1996 • 2,996 citations

Estimating betas from nonsynchronous data

1977 • 2,887 citations

The Determination of the Order of an Autoregression

1979 • 2,841 citations

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

1993 • 2,215 citations

Correlations in Price Changes and Volatility across International Stock Markets

1990 • 1,910 citations

Transmission of Volatility between Stock Markets

1990 • 1,508 citations

International Transmission of Stock Market Movements

1989 • 1,471 citations

Testing for Linear and Nonlinear Granger Causality in the Stock Price‐Volume Relation

1994 • 1,334 citations

Information and Volatility: The No‐Arbitrage Martingale Approach to Timing and Resolution Irrelevancy

1989 • 996 citations

Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility

1994 • 907 citations

Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

1990 • 811 citations

Measuring and Testing the Impact of News on Volatility

1993 • 756 citations

Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator

1994 • 656 citations

Stock Market Structure and Volatility

1990 • 580 citations

Asymptotic Theory for ARCH Models: Estimation and Testing

1986 • 539 citations

A causality-in-variance test and its application to financial market prices

1996 • 529 citations

A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada

1995 • 507 citations

Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation

1994 • 369 citations

Price and volatility spillovers in Scandinavian stock markets

1997 • 309 citations

Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy

1989 • 287 citations

Predicting stock index volatility: can market volume help?

1998 • 221 citations

Testing for non-linearity in daily sterling exchange rates

1996 • 197 citations

A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada

1995 • 176 citations

Beyond Belief: Randomness, Prediction and Explanation in Science

1990 • 110 citations

Australian Stock Market Volatility: 1875–1987*

1993 • 64 citations

A Nonparametric Test For Independence Of A Multivariate Time Series

1989 • 62 citations

Internationalisation and the Macroeconomy

1994 • 57 citations

Market efficiency around the clock some supporting evidence using foreign-based derivatives

1995 • 52 citations

Untitled

1999 • 45 citations

A Nonparametric Test for Independence of a Multivariate Time Series

2001 • 45 citations

Volatility Spillovers Across the Tasman

1996 • 41 citations

Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns

1991 • 31 citations

The relationship between daily U.S. and Japanese equity prices: Evidence from spot versus futures markets

1994 • 29 citations

Predicting stock index volatility: can market volume help?

1998 • 25 citations

International evidence for the predictability of bond and stock returns

1992 • 24 citations

Untitled

1999 • 10 citations