A multi-dynamic-factor model for stock returns

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

Multivariate Simultaneous Generalized ARCH

1995 • 4,490 citations

Expected stock returns and volatility

1987 • 4,291 citations

A Capital Asset Pricing Model with Time-Varying Covariances

1988 • 3,189 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

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

1987 • 2,510 citations

Stock returns and the term structure

1987 • 2,322 citations

Modelling the persistence of conditional variances

1986 • 2,029 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns

1983 • 1,611 citations

Estimation and Inference in Two-Step Econometric Models

2002 • 1,315 citations

Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets

1983 • 950 citations

The dynamics of exchange rate volatility: A multivariate latent factor ARCH model

1989 • 778 citations

The Persistence of Volatility and Stock Market Fluctuations

1986 • 596 citations

Volatility persistence and stock valuations: Some empirical evidence using garch

1988 • 542 citations

Asymptotic Theory for ARCH Models: Estimation and Testing

1986 • 539 citations

Asset pricing with a factor-arch covariance structure

1990 • 535 citations

Funds, Factors, and Diversification in Arbitrage Pricing Models

1983 • 499 citations

Heteroskedasticity in Stock Returns

1990 • 485 citations

Estimation and Inference in Two-Step Econometric Models

1985 • 448 citations

Tests of Asset Pricing with Time‐Varying Expected Risk Premiums and Market Betas

1987 • 194 citations

Arbitrage pricing with information

1983 • 73 citations

Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas

1987 • 44 citations