Heteroskedasticity in Stock Returns

Specification Tests in Econometrics

1978 • 17,234 citations

CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

1964 • 15,720 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors…

1975 • 7,346 citations

The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets

1965 • 7,112 citations

The relationship between return and market value of common stocks

1981 • 6,052 citations

Expected stock returns and volatility

1987 • 4,291 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model

1990 • 3,552 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

A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory

1977 • 3,099 citations

On estimating the expected return on the market

1980 • 2,932 citations

Estimating betas from nonsynchronous data

1977 • 2,887 citations

The Capital Asset Pricing Model: Some Empirical Tests

1972 • 2,784 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

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

SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*

1976 • 1,562 citations

Alternative models for conditional stock volatility

1990 • 1,337 citations

Estimation and Inference in Two-Step Econometric Models

2002 • 1,315 citations

Mean Reversion in Stock Prices

1996 • 1,111 citations

Stock Volatility and the Crash of ’87

1990 • 1,003 citations

A GENERAL DISTRIBUTION THEORY FOR A CLASS OF LIKELIHOOD CRITERIA

1949 • 983 citations

Option values under stochastic volatility: Theory and empirical estimates

1987 • 928 citations

Time-varying conditional covariances in tests of asset pricing models

1989 • 852 citations

Variance Function Estimation

1987 • 649 citations

Studies in the Theory of Capital Markets.

1973 • 644 citations

Some New Stock-Market Indexes

1966 • 558 citations

A New Test for Heteroskedasticity

1969 • 524 citations

Estimation and Inference in Two-Step Econometric Models

1985 • 448 citations

Option Pricing when the Variance is Changing

1987 • 398 citations

THE DISTRIBUTION OF THE RATIO, IN A SINGLE NORMAL SAMPLE, OF RANGE TO STANDARD DEVIATION

1954 • 324 citations

A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets

1990 • 313 citations

Options markets and stock return volatility

1989 • 289 citations

Volatility increases subsequent to stock splits: An empirical aberration

1985 • 267 citations

An Unconditional Asset‐Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk

1988 • 243 citations

Tests of the CAPM with Time‐Varying Covariances: A Multivariate GARCH Approach

1991 • 170 citations

Stock-price volatility, mean-reverting diffusion, and noise

1989 • 84 citations

Tests of the CAPM with Time-Varying Covariances: A Multivariate GARCH Approach

1991 • 51 citations

Additional Evidence of Heteroscedasticity in the Market Model

1980 • 44 citations

Optimum Distribution‐Free Tests and Further Evidence of Heteroscedasticity in the Market Model

1982 • 44 citations

Subperiod aggregation and the power of multivariate tests of portfolio efficiency

1987 • 43 citations

Evidence of Heteroscedasticity in the Market Model

1975 • 35 citations

Market Models and Heteroscedasticity of Residual Security Returns

1983 • 30 citations

Consumer Instalment and Home-Mortgage Debt

1956 • 17 citations

THE EXISTENCE OF HETEROSCEDASTICITY AND ITS EFFECT ON ESTIMATES OF THE MARKET MODEL PARAMETERS

1983 • 3 citations