Measuring and Testing the Impact of News on Volatility

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

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

1993 • 8,018 citations

ARCH modeling in finance

1992 • 4,478 citations

Expected stock returns and volatility

1987 • 4,291 citations

The Pricing of Options on Assets with Stochastic Volatilities

1987 • 3,897 citations

On estimating the expected return on the market

1980 • 2,932 citations

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

1982 • 2,405 citations

Modelling the persistence of conditional variances

1986 • 2,029 citations

Correlations in Price Changes and Volatility across International Stock Markets

1990 • 1,910 citations

The Variation of Economic Risk Premiums

1991 • 1,745 citations

Alternative models for conditional stock volatility

1990 • 1,337 citations

Stock Volatility and the Crash of ’87

1990 • 1,003 citations

Information and Volatility: The No‐Arbitrage Martingale Approach to Timing and Resolution Irrelevancy

1989 • 996 citations

Option values under stochastic volatility: Theory and empirical estimates

1987 • 928 citations

Bivariate garch estimation of the optimal commodity futures Hedge

1991 • 742 citations

Stock market volatility and the information content of stock index options

1992 • 704 citations

Volatility persistence and stock valuations: Some empirical evidence using garch

1988 • 542 citations

Heteroskedasticity in Stock Returns

1990 • 485 citations

Modeling The persistence Of Conditional Variances: A Comment

1986 • 463 citations

An Examination of the Robustness of the Weekend Effect

1989 • 451 citations

Chapter 13 Wald, likelihood ratio, and Lagrange multiplier tests in econometrics

1984 • 318 citations

Market volatility prediction and the efficiency of the S & P 100 index option market

1992 • 313 citations

Option Valuation with Systematic Stochastic Volatility

1993 • 244 citations

A multi-dynamic-factor model for stock returns

1992 • 232 citations

Asymmetric Predictability of Conditional Variances

1991 • 209 citations

Measuring risk aversion from excess returns on a stock index

1992 • 177 citations

Qualitative threshold ARCH models

1992 • 165 citations

Commet

1986 • 131 citations

Applied Time Series Analysis of Economic Data

1987 • 124 citations

The Pricing of Japanese Equity Warrants

1992 • 38 citations

MODELING COMMODITY PRICE DISTRIBUTIONS AND ESTIMATING THE OPTIMAL FUTURES HEDGE

1989 • 15 citations