No news is good news

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

A Theory of the Term Structure of Interest Rates

1985 • 8,604 citations

Expected stock returns and volatility

1987 • 4,291 citations

The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

1988 • 3,689 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

On estimating the expected return on the market

1980 • 2,932 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

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

1982 • 2,405 citations

A Variance Decomposition for Stock Returns

1991 • 1,817 citations

Alternative models for conditional stock volatility

1990 • 1,337 citations

The Adjustment of Consumption to Changing Expectations About Future Income

1981 • 1,326 citations

What moves stock prices?

1989 • 1,131 citations

Stock Volatility and the Crash of ’87

1990 • 1,003 citations

Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts

1989 • 877 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 848 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

Volatility persistence and stock valuations: Some empirical evidence using garch

1988 • 542 citations

Risk aversion, uncertain information, and market efficiency

1988 • 531 citations

Semiparametric ARCH Models

1991 • 487 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

Discussion

1990 • 218 citations

Stock Volatility and the Crash of '87: Discussion

1990 • 216 citations

The Effect of Volatility Changes on the Level of Stock Prices and Subsequent Expected Returns

1991 • 167 citations

Economic Implications of Extraordinary Movements in Stock Prices

1989 • 136 citations

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

1989 • 89 citations

A note on Wiener-Kolmogorov prediction formulas for rational expectations models

1981 • 64 citations

The Effect of Volatility Changes on the Level of Stock Prices and Subsequent Expected Returns

1991 • 44 citations

No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns

1992 • 31 citations

Intertemporal Asset Pricing Without Consumption Data

1992 • 2 citations