Testing the conditional CAPM and the effect of intervaling: A note

ARCH modeling in finance

1992 • 4,478 citations

Expected stock returns and volatility

1987 • 4,291 citations

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

1987 • 2,601 citations

Another Look at the Cross‐section of Expected Stock Returns

1995 • 1,009 citations

ARCH models as diffusion approximations

1990 • 974 citations

Stock Returns and Volatility

1990 • 760 citations

Another Look at the Cross-Section of Expected Stock Returns

1995 • 263 citations

Filtering and forecasting with misspecified ARCH models I: Getting the right variance with the wrong model

1992 • 257 citations

Filtering and forecasting with misspecified ARCH models I

1992 • 204 citations

Sensitivity of Multivariate Tests of the Capital Asset‐Pricing Model to the Return Measurement Interval

1993 • 78 citations

Australian Stock Market Volatility: 1875–1987*

1993 • 64 citations

Modelling Australian stock market volatility

2011 • 26 citations

Modeling exchange rate dynamics: Non-linear dependence and thick tails

1993 • 22 citations

Sensitivity of Multivariate Tests of the Capital Asset-Pricing Model to the Return Measurement Interval

1993 • 20 citations

Should the holding period matter for the intertemporal consumption-based CAPM?

1991 • 20 citations

Ustralian Stock Market Volatility: 1875-1987

1990 • 19 citations

Should the Holding Period Matter for the Intertemporal Consumption-BasedCAPM?

1991 • 19 citations

Market closures and time-varying volatility in the Australian equity market

1995 • 13 citations

A Corrected Statex-Actuaries Daily Accumulation Index

1987 • 11 citations

ARBITRAGE PRICING THEORY AND THE INVESTMENT HORIZON

1993 • 8 citations

Temporal dependence in asset pricing models

1994 • 4 citations