Stock Market Volatility

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

Noise Trader Risk in Financial Markets

1990 • 6,029 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

The Relation Between Price Changes and Trading Volume: A Survey

1987 • 2,469 citations

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

1982 • 2,405 citations

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

1995 • 2,230 citations

The Variation of Economic Risk Premiums

1991 • 1,745 citations

Trading Mechanisms and Stock Returns: An Empirical Investigation

1987 • 780 citations

Smart Money, Noise Trading and Stock Price Behaviour

1993 • 598 citations

The Variability of the Market Factor of the New York Stock Exchange

1973 • 481 citations

Options markets and stock return volatility

1989 • 289 citations

Program Trading and Expiration-Day Effects

1987 • 210 citations

Program Trading and Market Volatility: A Report on Interday Relationships

1988 • 66 citations