Emerging equity market volatility

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

1980 • 25,774 citations

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 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

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

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

1991 • 4,036 citations

Maximum Likelihood Estimation of Misspecified Models

1982 • 3,838 citations

Maximum Likelihood Estimation of Misspecified Models

1983 • 3,727 citations

Measuring and Testing the Impact of News on Volatility

1993 • 3,716 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

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

1982 • 2,405 citations

Threshold heteroskedastic models

1994 • 2,222 citations

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

1993 • 2,215 citations

Time‐Varying World Market Integration

1995 • 2,163 citations

Is the correlation in international equity returns constant: 1960–1990?

1995 • 1,908 citations

Transmission of Volatility between Stock Markets

1990 • 1,508 citations

Alternative models for conditional stock volatility

1990 • 1,337 citations

The World Price of Covariance Risk

1991 • 1,115 citations

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

1989 • 996 citations

Predictable Risk and Returns in Emerging Markets

1995 • 954 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 848 citations

Studies of stock market volatility changes

1976 • 846 citations

Stock Market Development and Financial Intermediaries: Stylized Facts

1996 • 806 citations

The dynamics of exchange rate volatility: A multivariate latent factor ARCH model

1989 • 778 citations

Measuring and Testing the Impact of News on Volatility

1993 • 756 citations

Volatility and Links between National Stock Markets

1994 • 670 citations

Market Integration and Investment Barriers in Emerging Equity Markets

1995 • 640 citations

Industrial Structure and the Comparative Behavior of International Stock Market Indices

1992 • 603 citations

Time-Varying World Market Integration

1995 • 598 citations

Political Risk, Economic Risk, and Financial Risk

1996 • 566 citations

Forecasting International Equity Correlations

1994 • 552 citations

Asset pricing with a factor-arch covariance structure

1990 • 535 citations

Semiparametric ARCH Models

1991 • 487 citations

Stock returns and volatility in emerging financial markets

1997 • 474 citations

The World Price of Covariance Risk

1991 • 344 citations

Model specification tests

1982 • 294 citations

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

1989 • 287 citations

Foreign ownership restrictions and stock prices in the Thai capital market

1994 • 278 citations

Return Behavior in Emerging Stock Markets

1995 • 268 citations

Industrial Structure and the Comparative Behavior of International Stock Market Indices

1992 • 264 citations

A multi-dynamic-factor model for stock returns

1992 • 232 citations

A Test for Multivariate Normality in Stock Returns

1993 • 217 citations

Semiparametric ARCH Models

1991 • 204 citations

Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements

1996 • 199 citations

Portfolio Investment in Developing Countries

1993 • 102 citations

Business Cycles, Financial Crises, and Stock Volatility

1989 • 85 citations

Structural change and asset pricing in emerging markets

1998 • 77 citations

Re-emerging Markets

1998 • 40 citations

Why do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements using ADRS

1996 • 31 citations

Business cycles, financial crises, and stock volatility

1989 • 29 citations

Structural Change and Asset Pricing in Emerging Markets

1996 • 6 citations