Good news, bad news and international spillovers of stock return volatility between Japan and the U.S.

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

1982 • 19,770 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

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

1992 • 3,405 citations

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

1993 • 2,215 citations

Correlations in Price Changes and Volatility across International Stock Markets

1990 • 1,910 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,759 citations

Transmission of Volatility between Stock Markets

1990 • 1,508 citations

International Transmission of Stock Market Movements

1989 • 1,471 citations

Stock Prices and Volume

1992 • 1,388 citations

Alternative models for conditional stock volatility

1990 • 1,337 citations

Day of the Week Effects and Asset Returns

1981 • 1,198 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,128 citations

Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility

1994 • 907 citations

Why Not Diversify Internationally Rather Than Domestically?

1974 • 900 citations

Measuring and Testing the Impact of News on Volatility

1993 • 756 citations

Volatility and Links between National Stock Markets

1994 • 670 citations

Stock Market Structure and Volatility

1990 • 580 citations

Wald, likelihood ratio, and Lagrange multiplier tests in econometrics

1984 • 547 citations

A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada

1995 • 507 citations

Journal of Business and Economic Statistics

1994 • 480 citations

The International Crash of October 1987

1988 • 401 citations

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

1992 • 345 citations

Evolution in dynamic linkages across daily national stock indexes

1991 • 300 citations

Common Volatility in International Equity Markets

1993 • 274 citations

Price Volatility, International Market Links, and Their Implications for Regulatory Policies

1989 • 251 citations

A multi-dynamic-factor model for stock returns

1992 • 232 citations

Lessons for International Asset Allocation

1993 • 203 citations

Price volatility, international market links, and their implications for regulatory policies

1989 • 165 citations

Common Volatility in International Equity Markets

1993 • 120 citations

Weekly Patterns in Japanese Stock Returns

1990 • 87 citations

Japanese financial market research

1992 • 78 citations

THE INTRADAY INTERDEPENDENCE STRUCTURE BETWEEN U.S. AND JAPANESE EQUITY MARKETS

1992 • 64 citations

The effect of the 1987 Stock Crash on international financial integration

1991 • 51 citations

On the Correlation and Predictability in Intraday Stock Returns in the United States and Japan

1992 • 1 citations