Emerging Equity Market Volatility

Distribution of the Estimators for Autoregressive Time Series with a Unit Root

1979 • 20,919 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

Efficient Capital Markets: A Review of Theory and Empirical Work

1970 • 10,493 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

The Behavior of Stock-Market Prices

1965 • 8,575 citations

Distribution of the Estimators for Autoregressive Time Series With a Unit Root

1979 • 8,550 citations

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

1993 • 8,018 citations

ARCH modeling in finance

1992 • 4,478 citations

Expected stock returns and volatility

1987 • 4,291 citations

Measuring and Testing the Impact of News on Volatility

1993 • 3,716 citations

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

1988 • 3,715 citations

Asset returns and inflation

1977 • 2,770 citations

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

1987 • 2,510 citations

Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

2001 • 2,494 citations

Stock returns and the term structure

1987 • 2,322 citations

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

1993 • 2,215 citations

Modelling the persistence of conditional variances

1986 • 2,029 citations

No news is good news

1992 • 1,945 citations

Foreign Speculators and Emerging Equity Markets

2000 • 1,914 citations

Modelling Financial Time Series

2007 • 1,507 citations

Studies of stock market volatility changes

1976 • 846 citations

Stock Returns and Volatility

1990 • 760 citations

Measuring and Testing the Impact of News on Volatility

1993 • 756 citations

Volatility in Emerging Stock Markets

1999 • 725 citations

Volatility persistence and stock valuations: Some empirical evidence using garch

1988 • 542 citations

Modelling financial time series

1987 • 316 citations

Emerging Markets

1992 • 221 citations

Discussion

1990 • 218 citations

Stock Volatility and the Crash of '87: Discussion

1990 • 216 citations

Stock returns and volatility: An empirical study of the UK stock market

1992 • 194 citations

Stock market volatility and the crash of 1987: evidence from six emerging markets

1996 • 170 citations

Asymmetries in the Conditional Mean and the Conditional Variance: Evidence From Nine Stock Markets

1998 • 136 citations

Stochastic behaviour of the Athens stock exchange

1993 • 88 citations

An examination of the effects of major political change on stock market volatility: the South African experience

1997 • 51 citations

Asset Pricing: Emerging Markets

2001 • 27 citations

Volatility and volatility spill-overs in emerging markets: the case of the African stock markets

1998 • 12 citations

Stock Return Characteristics In A Thin Incipient Stock Market

2011 • 2 citations

Deleted Work

1955 • 0 citations