The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets

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

Optimum consumption and portfolio rules in a continuous-time model

1971 • 6,065 citations

The equity premium: A puzzle

1985 • 5,686 citations

Expected stock returns and volatility

1987 • 4,291 citations

Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

1989 • 4,242 citations

A Capital Asset Pricing Model with Time-Varying Covariances

1988 • 3,189 citations

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

1977 • 3,099 citations

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

1982 • 2,405 citations

Forward and spot exchange rates

1984 • 2,213 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,759 citations

Interest rates and currency prices in a two-country world

1982 • 1,337 citations

The Persistence of Volatility and Stock Market Fluctuations

1986 • 596 citations

Exchange Rate Theory and Practice

1984 • 506 citations

The statistical properties of daily foreign exchange rates: 1974–1983

1988 • 452 citations

International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence

1982 • 379 citations

An investigation of risk and return in forward foreign exchange

1984 • 332 citations

In search of the exchange risk premium: A six-currency test assuming mean-variance optimization

1982 • 313 citations

Research in International Business and Finance

2009 • 258 citations

The covariation of risk premiums and expected future spot exchange rates

1986 • 197 citations

Interest rates and risk premia in the stock market and in the foreign exchange market

1987 • 195 citations

Tests of Asset Pricing with Time‐Varying Expected Risk Premiums and Market Betas

1987 • 194 citations

A Note on Exchange‐Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis

1981 • 186 citations

Time-varying betas and risk premia in the pricing of forward foreign exchange contracts

1988 • 137 citations

An Equilibrium Model of Exchange Rate Determination and Asset Pricing with Nontraded Goods and Imperfect Information

1987 • 129 citations

Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model

1989 • 98 citations

The implications of mean-variance optimization for four questions in international macroeconomics

1986 • 65 citations

Recent estimates of time-variation in the conditional variance and in the exchange risk premium

1988 • 56 citations

Are Exchange Rates Excessively Variable?

1987 • 42 citations

Uncertainty and liquidity

1989 • 34 citations

Foreign exchange risk premia volatility once again

1988 • 14 citations

Tests of International CAPM with Time-Varying Covariances

1987 • 13 citations

Closed-Form Solutions to Dynamic Stochastic Choice Problems

1987 • 3 citations

Non-Expected Utility in Macroeconomics

1990 • 3 citations