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

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 citations

The Behavior of Stock-Market Prices

1965 • 8,575 citations

On a measure of lack of fit in time series models

1978 • 5,638 citations

The variation of certain speculative prices

1997 • 4,766 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

Applied Statistical Decision Theory

1962 • 2,252 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,759 citations

DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS

1983 • 1,124 citations

A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices

1974 • 921 citations

Models of Stock Returns—A Comparison

1984 • 561 citations

The Distribution of Share Price Changes

1972 • 543 citations

Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market

1979 • 494 citations

The statistical properties of daily foreign exchange rates: 1974–1983

1988 • 452 citations

The statistical distribution of exchange rates: Empirical evidence and economic implications

1987 • 326 citations

Evidence of Nonlinearity in Daily Stock Returns

1985 • 266 citations

ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS

1988 • 237 citations

Small-Sample Properties of ARCH Estimators and Tests

1985 • 188 citations

The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models

1977 • 154 citations

A Conditional Variance Model for Daily Deviations of an Exchange Rate

1987 • 102 citations

Empirical Properties of Foreign Exchange Rates

1978 • 97 citations

Stable Distributions and the Mixtures of Distributions Hypotheses for Common Stock Returns

1983 • 90 citations

Testing the Martingale Hypothesis in the Deutschmark/US dollar Futures and Spot Markets

1985 • 4 citations