Why Does Stock Market Volatility Change Over Time?

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

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

1982 • 19,770 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Introduction to Statistical Time Series

1978 • 4,545 citations

Expected stock returns and volatility

1987 • 4,291 citations

Business conditions and expected returns on stocks and bonds

1989 • 4,137 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

A Capital Asset Pricing Model with Time-Varying Covariances

1988 • 3,189 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

On estimating the expected return on the market

1980 • 2,932 citations

The Relation Between Price Changes and Trading Volume: A Survey

1987 • 2,469 citations

VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS

1976 • 2,451 citations

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

1982 • 2,405 citations

Introduction to Statistical Time Series.

1977 • 2,373 citations

Econometric Issues in the Analysis of Regressions with Generated Regressors

1984 • 2,277 citations

Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

1970 • 2,117 citations

Modelling the persistence of conditional variances

1986 • 2,029 citations

A Monetary History of the United States, 1867-1960

1964 • 1,903 citations

Stock return variances

1986 • 1,878 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

1970 • 1,730 citations

The Advanced Theory of Statistics.

1968 • 1,584 citations

Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends

1980 • 1,351 citations

A Monetary History of the United States, 1867-1960

2008 • 1,205 citations

Mean Reversion in Stock Prices

1996 • 1,111 citations

Rational-expectations econometric analysis of changes in regime

1988 • 933 citations

Effects of model specification on tests for unit roots in macroeconomic data

1987 • 670 citations

Variance Function Estimation

1987 • 649 citations

Tests for Unit Roots: A Monte Carlo Investigation

1989 • 640 citations

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

1989 • 609 citations

The Persistence of Volatility and Stock Market Fluctuations

1986 • 596 citations

From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’

2017 • 551 citations

Variance Bounds Tests and Stock Price Valuation Models

1986 • 497 citations

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

1973 • 481 citations

Note on the Correlation of First Differences of Averages in a Random Chain

1960 • 408 citations

Risk, Inflation, and the Stock Market

1984 • 386 citations

Indexes of U.S. Stock Prices from 1802 to 1987

1990 • 386 citations

Stocks, bonds, bills, and inflation yearbook

1993 • 385 citations

The econometric analysis of models with risk terms

1988 • 374 citations

The Use of Volatility Measures in Assessing Market Efficiency*

1981 • 347 citations

Spurious Volatility in Historical Unemployment Data

1986 • 325 citations

Business cycles, financial crises, and stock volatility

1989 • 281 citations

The Prewar Business Cycle Reconsidered: New Estimates of Gross National Product, 1869-1908

1989 • 275 citations

Banking and Monetary Statistics

1947 • 258 citations

Is the Stabilization of the Postwar Economy a Figment of the Data

2016 • 255 citations

The Movements of Interest Rates, Bond Yields and Stock Prices in the United States since 1856.

1939 • 213 citations

Monetary policy regime shifts and the unusual behavior of real interest rates

1986 • 204 citations

Inflation Uncertainty and Expected Returns on Treasury Bills

1976 • 199 citations

Long- and short-term interest rates in a risky world

1983 • 190 citations

Stock prices under time-varying dividend risk

1988 • 150 citations

Bureau of Labor Statistics

1999 • 123 citations

Secular Patterns in the Financing of U.S. Corporations

1985 • 111 citations

A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market

1989 • 89 citations

A Comparison of Annual Common Stock Returns: 1871-1925 with 1926-85

1987 • 69 citations

Trends in Corporate Profitability and Capital Costs

2011 • 52 citations

Consumption volatility, production volatility, spot-rate volatility, and the returns on treasury bills and bonds

1989 • 51 citations

The Changing Roles of Debt and Equity in Financing U.S. Capital Formation

1982 • 37 citations

Studies in the National Balance Sheet of the United States, Volume 1

1963 • 29 citations

Fluctuations in American Business, 1790-1860.

1936 • 22 citations

INDEXES OF UNITED STATES STOCK PRICES FROM 1802-1987

1989 • 19 citations

Industrial production

1985 • 7 citations