Good News, Bad News, Volatility, and Betas

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

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

1993 • 8,018 citations

Expected stock returns and volatility

1987 • 4,291 citations

Measuring and Testing the Impact of News on Volatility

1993 • 3,716 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

1992 • 3,405 citations

A Capital Asset Pricing Model with Time-Varying Covariances

1988 • 3,189 citations

On estimating the expected return on the market

1980 • 2,932 citations

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

1982 • 2,405 citations

Cointegration and Tests of Present Value Models

1987 • 2,166 citations

An Intertemporal General Equilibrium Model of Asset Prices

1985 • 2,096 citations

No news is good news

1992 • 1,945 citations

The Variation of Economic Risk Premiums

1991 • 1,745 citations

Wald Criteria for Jointly Testing Equality and Inequality Restrictions

1986 • 1,449 citations

Stock Prices and Volume

1992 • 1,388 citations

Bayesian Analysis of Stochastic Volatility Models

2002 • 1,355 citations

Alternative models for conditional stock volatility

1990 • 1,337 citations

THE EFFECT OF THE FIRM'S CAPITAL STRUCTURE ON THE SYSTEMATIC RISK OF COMMON STOCKS

1972 • 1,034 citations

The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models

1987 • 1,016 citations

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

1983 • 950 citations

The Risk and Predictability of International Equity Returns

1993 • 940 citations

Time-varying conditional covariances in tests of asset pricing models

1989 • 852 citations

Studies of stock market volatility changes

1976 • 846 citations

Pricing foreign currency options with stochastic volatility

1990 • 780 citations

Empirical Tests of the Consumption‐Oriented CAPM

1989 • 759 citations

The Risk and Predictability of International Equity Returns

1993 • 662 citations

Intertemporal asset pricing

1990 • 647 citations

Generalized method of moments specification testing

1985 • 624 citations

The Persistence of Volatility and Stock Market Fluctuations

1986 • 596 citations

On the Contrarian Investment Strategy

1988 • 584 citations

Asset pricing with a factor-arch covariance structure

1990 • 535 citations

Nonstationary expected returns

1989 • 512 citations

Handbook of Econometrics.

1987 • 510 citations

Funds, Factors, and Diversification in Arbitrage Pricing Models

1983 • 499 citations

Heteroskedasticity in Stock Returns

1990 • 485 citations

Bayesian Analysis of Stochastic Volatility Models

1994 • 392 citations

Risk, Inflation, and the Stock Market

1984 • 386 citations

Indexes of U.S. Stock Prices from 1802 to 1987

1990 • 386 citations

Diagnostic testing and evaluation of maximum likelihood models

1985 • 385 citations

A Unified Approach to Robust, Regression-Based Specification Tests

1990 • 321 citations

Advances in Futures and Options Research

1994 • 287 citations

Anomalies: A Mean-Reverting Walk Down Wall Street

1989 • 262 citations

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

1992 • 257 citations

Changes in Expected Security Returns, Risk, and the Level of Interest Rates

1989 • 255 citations

Testing inequality constraints in linear econometric models

1989 • 254 citations

Why Don't the Prices of Stocks and Bonds Move Together?

1989 • 244 citations

Filtering and forecasting with misspecified ARCH models I

1992 • 204 citations

An Unbiased Reexamination of Stock Market Volatility

1985 • 202 citations

Tests of the CAPM with Time‐Varying Covariances: A Multivariate GARCH Approach

1991 • 170 citations

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

1988 • 168 citations

Specification testing in dynamic models

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The Capital Formation Problem in the United States

1979 • 124 citations

Sources of Predictability in Portfolio Returns

1991 • 120 citations

Local and Global Testing of Linear and Nonlinear Inequality Constraints in Nonlinear Econometric Models

1989 • 114 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach**Reprinted from Econometrica59 (1991), 347–370.

1996 • 87 citations

Models and Priors for Multivariate Stochastic Volatility

1995 • 38 citations

The Capital Formation Problem in the United States

1979 • 35 citations