Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

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

1987 • 2,510 citations

The Price Variability-Volume Relationship on Speculative Markets

1983 • 1,501 citations

Stock Prices and Social Dynamics

1984 • 851 citations

Studies of stock market volatility changes

1976 • 846 citations

Some New Stock-Market Indexes

1966 • 558 citations

The econometric analysis of models with risk terms

1988 • 374 citations

Business cycles, financial crises, and stock volatility

1989 • 281 citations

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

2016 • 116 citations

Margin requirements and stock market volatility

1988 • 73 citations

An Equilibrium Model of the Crash

1988 • 47 citations

Stock Market Margin Requirements and Volatility: Implications for Regulation of Stock Index Futures

1989 • 47 citations

Mean Reversion and Consumption Smoothing

1990 • 41 citations

Implications of Microstructure Theory for Empirical Research on Stock Price Behavior

1980 • 41 citations

FROM HOUR TO HOUR IN THE FOREIGN EXCHANGE MARKET

1993 • 29 citations

An Equilibrium Theory of Excess Volatility and Mean Reversion in Stock Market Prices

1989 • 4 citations