Volatility persistence and stock valuations: Some empirical evidence using garch

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

Distribution of the Estimators for Autoregressive Time Series with a Unit Root

1979 • 20,919 citations

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

1982 • 19,770 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

Expected stock returns and volatility

1987 • 4,291 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

Stock Returns, Real Activity, Inflation, and Money

1981 • 2,625 citations

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

1987 • 2,601 citations

Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

1987 • 2,510 citations

Modelling the persistence of conditional variances

1986 • 2,029 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,759 citations

Inflation, Rational Valuation and the Market

1979 • 942 citations

The Persistence of Volatility and Stock Market Fluctuations

1986 • 596 citations

Risk, Inflation, and the Stock Market

1984 • 386 citations

The econometric analysis of models with risk terms

1988 • 374 citations

ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS

1988 • 237 citations

Stocks, bonds, bills, and inflation : the past and the future

1982 • 178 citations

The Capital Formation Problem in the United States

1979 • 124 citations

Inflation and the Stock Market

1978 • 57 citations

Inflation, the Stock Market, and Owner-Occupied Housing

1980 • 18 citations

Risk aversion and determinants of stock market behavior

1986 • 6 citations

Deleted Work

1955 • 0 citations