Alternative Models for the Conditional Heteroscedasticity of Stock Returns

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Generalized autoregressive conditional heteroskedasticity

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

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

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

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An Introduction to Bayesian Inference in Econometrics.

1974 • 2,058 citations

Stock returns and the weekend effect

1980 • 1,965 citations

Alternative models for conditional stock volatility

1990 • 1,337 citations

Day of the Week Effects and Asset Returns

1981 • 1,198 citations

Persistence in Variance, Structural Change, and the GARCH Model

1990 • 1,094 citations

Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects

1990 • 1,080 citations

ARCH models as diffusion approximations

1990 • 974 citations

A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices

1974 • 921 citations

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

1989 • 877 citations

Time-varying conditional covariances in tests of asset pricing models

1989 • 852 citations

Studies of stock market volatility changes

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Stock Returns and Volatility

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1984 • 561 citations

The Variation of Some Other Speculative Prices

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Time-Variation in Expected Returns

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Heteroskedasticity in Stock Returns

1990 • 485 citations

A Compound Events Model for Security Prices

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An Examination of the Robustness of the Weekend Effect

1989 • 451 citations

On Jumps in Common Stock Prices and Their Impact on Call Option Pricing

1985 • 410 citations

Testing asset pricing models with changing expectations and an unobservable market portfolio

1985 • 321 citations

An Introduction to Bayesian Inference in Econometrics

1975 • 262 citations

Jump Risks and the Intertemporal Capital Asset Pricing Model

1984 • 257 citations

On the Stable Paretian Behavior of Stock-Market Prices

1974 • 230 citations

The Stable-Law Model of Stock Returns

1988 • 212 citations

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

1988 • 168 citations

Testing the CAPM with Time‐Varying Risks and Returns

1991 • 149 citations

The Distribution of Stock Returns: New Evidence Against the Stable Model

1990 • 109 citations

MORE EVIDENCE ON THE DISTRIBUTION OF SECURITY RETURNS

1978 • 100 citations

A comparison of the information and posterior probability criteria for model selection

1981 • 96 citations

Model choice and specification analysis

1983 • 89 citations

COMPOUND DISTRIBUTION MODELS OF STOCK RETURNS: AN EMPIRICAL COMPARISON

1987 • 66 citations

A Reexamination of Finite- and Infinite-Variance Distributions as Models of Daily Stock Returns

1992 • 63 citations

Investigations of Nonstationarity in Prices

1974 • 56 citations

STOCK PRICE PROCESSES WITH DISCONTINUOUS TIME PATHS: AN EMPIRICAL EXAMINATION

1986 • 34 citations