Stock market volatility and the business cycle

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

Time Series Analysis.

1995 • 11,935 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

1989 • 9,360 citations

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

1993 • 8,018 citations

Time Series Analysis

1994 • 6,582 citations

Economic Forces and the Stock Market

1986 • 5,321 citations

ARCH modeling in finance

1992 • 4,478 citations

Tests for Parameter Instability and Structural Change With Unknown Change Point

1993 • 4,272 citations

Business conditions and expected returns on stocks and bonds

1989 • 4,137 citations

Measuring and Testing the Impact of News on Volatility

1993 • 3,716 citations

Time Series Analysis

1997 • 3,571 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

Stock returns and the term structure

1987 • 2,322 citations

Autoregressive conditional heteroskedasticity and changes in regime

1994 • 1,846 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

Journal of business and economic statistics 5

1988 • 1,802 citations

Stock Returns, Expected Returns, and Real Activity

1990 • 1,453 citations

Alternative models for conditional stock volatility

1990 • 1,337 citations

Persistence in Variance, Structural Change, and the GARCH Model

1990 • 1,094 citations

Rational-expectations econometric analysis of changes in regime

1988 • 933 citations

Financial Investment Opportunities and the Macroeconomy

1991 • 875 citations

Studies of stock market volatility changes

1976 • 846 citations

Business-Cycle Phases and Their Transitional Dynamics

1994 • 775 citations

Stock Returns and Real Activity: A Century of Evidence

1990 • 712 citations

The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp

1992 • 610 citations

A Markov model of heteroskedasticity, risk, and learning in the stock market

1989 • 609 citations

Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities

1993 • 588 citations

A Markov Model of Switching-Regime ARCH

1994 • 550 citations

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

1973 • 481 citations

Journal of Business and Economic Statistics

1994 • 480 citations

An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching

1998 • 421 citations

Business Cycles, Indicators, and Forecasting

1993 • 345 citations

Forecasting Output with the Composite Leading Index: A Real-Time Analysis

1991 • 333 citations

Measuring Business Cycles: A Modern Perspective

1996 • 319 citations

Implied ARCH models from options prices

1992 • 310 citations

Business cycles, financial crises, and stock volatility

1989 • 281 citations

Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth

1994 • 253 citations

A Nonparametric Investigation of Duration Dependence in the American Business Cycle

1990 • 244 citations

Business-Cycle Analysis With a Markov-Switching Model

1993 • 189 citations

Statistical Models for Financial Volatility

1993 • 170 citations

New index of coincident indicators: A multivariate Markov switching factor model approach

1995 • 168 citations

The Hamilton model with a general autoregressive component: estimation and comparison with other models of economic time series

1990 • 164 citations

Tests of international CAPM with time‐varying covariances

1989 • 156 citations

Business Cycle Duration Dependence: A Parametric Approach

1991 • 141 citations

Further Evidence on Business Cycle Duration Dependence

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Cyclical Patterns in the Variance of Economic Activity

1993 • 89 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach**Reprinted from Econometrica59 (1991), 347–370.

1996 • 87 citations

The Likelihood Test Under Non-Standard Conditions: Testing the Markov Trend Model of GNP

1991 • 80 citations

Business Cycles, Financial Crises, and Stock Volatility

1988 • 76 citations

Risk, Time-Varying Second Moments and Market Efficiency

1991 • 65 citations

Turning point prediction with the composite leading index: An ex ante analysis

1991 • 58 citations

SWITCHING VOLATILITY IN INTERNATIONAL EQUITY MARKETS

1999 • 37 citations

TIME-SERIES MODEL WITH PERIODIC STOCHASTIC REGIME SWITCHING

2001 • 35 citations

A time series model with periodic stochastic regime switching

1993 • 13 citations

A Time Series Model with Periodic Stochastic Regime Switching

1993 • 12 citations

Leading economic indicators: New approaches and forecasting records

1993 • 9 citations