Expected Returns, Time‐varying Risk, and Risk Premia

ARCH modeling in finance

1992 • 4,478 citations

Expected stock returns and volatility

1987 • 4,291 citations

Dividend yields and expected stock returns

1988 • 3,736 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

A Capital Asset Pricing Model with Time-Varying Covariances

1988 • 3,189 citations

Stock returns and the term structure

1987 • 2,322 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

The Variation of Economic Risk Premiums

1991 • 1,745 citations

On the Estimation of Beta-Pricing Models

1992 • 1,685 citations

Time-varying conditional covariances in tests of asset pricing models

1989 • 852 citations

Intertemporal asset pricing

1990 • 647 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

Exchange rates and international macroeconomics

1984 • 403 citations

Global financial markets and the risk premium on U.S. equity

1992 • 345 citations

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

1985 • 321 citations

A Unified Approach to Robust, Regression-Based Specification Tests

1990 • 321 citations

Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models

1983 • 294 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

Do stationary risk premia explain it all?

1994 • 162 citations

Stock return variation and expected dividends

1992 • 161 citations

Testing the CAPM with Time‐Varying Risks and Returns

1991 • 149 citations

Expected Returns, Time-Varying Risk, and Risk Premia

1994 • 30 citations