Structural change and time dependence in models of stock returns

Estimating the Dimension of a Model

1978 • 43,634 citations

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

The Behavior of Stock-Market Prices

1965 • 8,575 citations

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

1993 • 8,018 citations

On a measure of lack of fit in time series models

1978 • 5,638 citations

The variation of certain speculative prices

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Techniques for Testing the Constancy of Regression Relationships Over Time

1975 • 4,552 citations

The Variation of Certain Speculative Prices

1963 • 4,461 citations

Expected stock returns and volatility

1987 • 4,291 citations

Bayesian Inference in Statistical Analysis.

1975 • 3,994 citations

Measuring and Testing the Impact of News on Volatility

1993 • 3,716 citations

Optimal Statistical Decisions.

1972 • 3,636 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

A Capital Asset Pricing Model with Time-Varying Covariances

1988 • 3,189 citations

The Information Content of Annual Earnings Announcements

1968 • 2,768 citations

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

1987 • 2,601 citations

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

1987 • 2,510 citations

The stochastic behavior of common stock variances Value, leverage and interest rate effects

1982 • 2,405 citations

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

1993 • 2,215 citations

No news is good news

1992 • 1,945 citations

Alternative models for conditional stock volatility

1990 • 1,337 citations

Tests of the Hypothesis That a Linear Regression System Obeys Two Separate Regimes

1960 • 1,112 citations

Persistence in Variance, Structural Change, and the GARCH Model

1990 • 1,094 citations

The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes

1958 • 1,029 citations

Stock Volatility and the Crash of ’87

1990 • 1,003 citations

Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts

1989 • 877 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 848 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

Introduction to Probability and Statistics from a Bayesian Viewpoint

1965 • 735 citations

Stock market volatility and the information content of stock index options

1992 • 704 citations

Models of Stock Returns—A Comparison

1984 • 561 citations

Volatility persistence and stock valuations: Some empirical evidence using garch

1988 • 542 citations

Heteroskedasticity in Stock Returns

1990 • 485 citations

An Examination of the Robustness of the Weekend Effect

1989 • 451 citations

Persistence in Variance, Structural Change, and the GARCH Model

1990 • 405 citations

The Distribution of Stock Returns

1972 • 292 citations

The Ex Ante and Ex Post Price Effects of Quarterly Earnings Announcements Reflected in Option and Stock Prices

1981 • 270 citations

Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes

1960 • 258 citations

Models of Stock Returns--A Comparison

1984 • 257 citations

On the Stable Paretian Behavior of Stock-Market Prices

1974 • 230 citations

Testing for Common Features

1993 • 230 citations

Alternative Models for the Conditional Heteroscedasticity of Stock Returns

1994 • 204 citations

Quasi-maximum likelihood estimation of dynamic models with time varying covariances

1988 • 168 citations

The Effect of Volatility Changes on the Level of Stock Prices and Subsequent Expected Returns

1991 • 167 citations

Testing the CAPM with Time‐Varying Risks and Returns

1991 • 149 citations

Heteroskedasticity in Stock Returns

1990 • 144 citations

The Distribution of Stock Returns

1972 • 68 citations

Investigations of Nonstationarity in Prices

1974 • 56 citations

On the Stable Paretian Behavior of Stock-Market Prices

1974 • 49 citations

The Effect of Volatility Changes on the Level of Stock Prices and Subsequent Expected Returns

1991 • 44 citations

Testing the CAPM with Time-Varying Risks and Returns

1991 • 43 citations

A Bayesian significance test of the stationarity of regression parameters

1991 • 28 citations

Sequential parameter nonstationarity in stock market returns

1996 • 9 citations