A Capital Asset Pricing Model with Time-Varying Covariances

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

1964 • 15,720 citations

THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors…

1975 • 7,346 citations

The arbitrage theory of capital asset pricing

1976 • 7,056 citations

Expected stock returns and volatility

1987 • 4,291 citations

A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory

1977 • 3,099 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

1987 • 2,510 citations

Stock returns and the term structure

1987 • 2,322 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

Wald, likelihood ratio, and Lagrange multiplier tests in econometrics

1984 • 547 citations

Some Empirical Tests of the Theory of Arbitrage Pricing

1983 • 369 citations

Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models

1983 • 294 citations

Capital Markets: Theory and Evidence

2003 • 292 citations

Size and stock returns, and other empirical regularities

1983 • 260 citations

Maximum Likelihood Estimation for Dependent Observations

1976 • 255 citations

Tests of Asset Pricing with Time‐Varying Expected Risk Premiums and Market Betas

1987 • 194 citations

Portfolio Crowding-Out, Empirically Estimated

1985 • 70 citations

The behavior of treasury securities monthly, 1942–1984

1985 • 37 citations

Asymptotic properties of econometric estimators

1986 • 29 citations

Why Are Real Interest Rates So High

1983 • 16 citations

THE EFFECT OF LARGE GOVERNMENT DEFICITS ON INTEREST RATES AND EQUITY RETURNS

1985 • 10 citations

Crowding Out or Crowding In? Evidence on Debt-Equity Substitutability

1985 • 2 citations