Transient fads and the crash of ′87

Noise Trader Risk in Financial Markets

1990 • 6,029 citations

Trends and random walks in macroeconmic time series

1982 • 4,673 citations

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

1988 • 3,715 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

Autoregressive conditional heteroskedasticity and changes in regime

1994 • 1,846 citations

A Variance Decomposition for Stock Returns

1991 • 1,817 citations

Dynamic linear models with Markov-switching

1994 • 1,446 citations

How Big Is the Random Walk in GNP?

1988 • 1,326 citations

Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement

1992 • 1,304 citations

Mean Reversion in Stock Prices

1996 • 1,111 citations

Does the Stock Market Rationally Reflect Fundamental Values?

1986 • 1,071 citations

Stock Volatility and the Crash of ’87

1990 • 1,003 citations

Univariate detrending methods with stochastic trends

1986 • 873 citations

Are Output Fluctuations Transitory?

1987 • 771 citations

The Cyclical Component of U. S. Economic Activity

1987 • 744 citations

A Markov model of heteroskedasticity, risk, and learning in the stock market

1989 • 609 citations

A Permanent and Transitory Component Model of Stock Return Volatility

1993 • 505 citations

Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence

1991 • 488 citations

Mean Reversion in Equilibrium Asset Prices

1990 • 455 citations

Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts

1993 • 437 citations

Unobserved component time series models with Arch disturbances

1992 • 349 citations

Implied ARCH models from options prices

1992 • 310 citations

Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K.

1991 • 221 citations

Unobserved-Component Time Series Models With Markov-Switching Heteroscedasticity: Changes in Regime and the Link Between Inflation Rates and Inflation Uncertainty

1993 • 170 citations

Economic Implications of Extraordinary Movements in Stock Prices

1989 • 136 citations

Spurious trend and cycle in the state space decomposition of a time series with a unit root

1988 • 47 citations