Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

The Behavior of Stock-Market Prices

1965 • 8,575 citations

The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics

1980 • 7,455 citations

The variation of certain speculative prices

1997 • 4,766 citations

The Variation of Certain Speculative Prices

1963 • 4,461 citations

A Capital Asset Pricing Model with Time-Varying Covariances

1988 • 3,189 citations

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

1987 • 2,510 citations

Forward and spot exchange rates

1984 • 2,213 citations

Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis

1980 • 2,192 citations

Modelling the persistence of conditional variances

1986 • 2,029 citations

Formulating and estimating dynamic linear rational expectations models

1980 • 845 citations

Wald, likelihood ratio, and Lagrange multiplier tests in econometrics

1984 • 547 citations

Conditional variance and the risk premium in the foreign exchange market

1985 • 512 citations

Estimates of the Variance of U. S. Inflation Based upon the ARCH Model

1983 • 474 citations

Modeling The persistence Of Conditional Variances: A Comment

1986 • 463 citations

The econometric analysis of models with risk terms

1988 • 374 citations

On Unit Roots and the Empirical Modeling of Exchange Rates

1982 • 344 citations

An investigation of risk and return in forward foreign exchange

1984 • 332 citations

In search of the exchange risk premium: A six-currency test assuming mean-variance optimization

1982 • 313 citations

The Specification and Influence of Asset Markets

1985 • 294 citations

Monetary and Portfolio Balance Models of Exchange Rate Determination

1987 • 291 citations

ARMA MODELS WITH ARCH ERRORS

1984 • 290 citations

Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates?

1986 • 268 citations

The observable implications of self-fulfilling expectations

1985 • 262 citations

Economic Interdependence and Flexible Exchange Rates

1984 • 254 citations

Floating Exchange Rates: Experience and Prospects

1985 • 253 citations

Exchange rates in the short run

1977 • 217 citations

Empirical Models of the Exchange Rate: Separating the Wheat from the Chaff

1984 • 180 citations

On time varying risk premia in the foreign exchange market: An econometric analysis

1985 • 177 citations

The moment structure of ARCH processes

1985 • 165 citations

On Unit Roots and the Empirical Modeling of Exchange Rates

1982 • 141 citations

A Test for Speculative Bubbles in the Sterling-Dollar Exchange Rate: 1981-84

1986 • 135 citations

Exchange-Rate Dynamics: An Empirical Investigation

1981 • 110 citations

Floating Exchange Rates after Ten Years

1983 • 96 citations

ARCH and Bilinear Time Series Models: Comparison and Combination

1986 • 86 citations

The Portfolio-Balance Model of Exchange Rates and Some Structural Estimates of the Risk Premium (Modele d'equilibre de portefeuilles applique aux taux de change et certaines estimations (structurelles) de la prime de risque) (El modelo de equilibrio de cartera para los tipos de cambio y algunas estimaciones estructurales de la prima de riesgo)

1983 • 78 citations

A portfolio-balance rational-expectations model of the dollar-mark exchange rate

1982 • 68 citations

ARCH and Bilinear Time Series Models: Comparison and Combination

1986 • 48 citations

Exchange risk and the macroeconomics of exchange rate determination

1980 • 47 citations

The Internationalization of financial markets and national economic policy

1983 • 46 citations

Exchange rate overshooting, the trade balance, and rational expectations

1981 • 30 citations

The time-series structure of exchange rate fluctuations

1986 • 5 citations

SOME EVIDENCE IN FAVOR OF A MONETARY MODEL OF EXCHANGE RATE DETERMINATION

1982 • 2 citations