Alternative models for conditional stock 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

Density Estimation for Statistics and Data Analysis

2018 • 15,477 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

1989 • 9,360 citations

The variation of certain speculative prices

1997 • 4,766 citations

The Variation of Certain Speculative Prices

1963 • 4,461 citations

Expected stock returns and volatility

1987 • 4,291 citations

Density Estimation for Statistics and Data Analysis

1987 • 3,576 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

On Estimating Regression

1964 • 3,307 citations

Smooth Regression Analysis

1964 • 2,671 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

Stock Volatility and the Crash of ’87

1990 • 1,003 citations

On the bias in flexible functional forms and an essentially unbiased form

1981 • 956 citations

Rational-expectations econometric analysis of changes in regime

1988 • 933 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 848 citations

Variance Function Estimation

1987 • 649 citations

The econometric analysis of models with risk terms

1988 • 374 citations

Business cycles, financial crises, and stock volatility

1989 • 281 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1995 • 224 citations

The Movements of Interest Rates, Bond Yields and Stock Prices in the United States since 1856.

1939 • 213 citations

Variance Function Estimation

1987 • 189 citations

Fluctuations in American Business 1790-1860.

1936 • 96 citations

Common-stock indexes

1939 • 90 citations

Consistency tests for heteroskedastic and risk models

1992 • 26 citations

Panic on Wall Street

1968 • 26 citations

Some theoretical aspects of econometric inference with heteroskedastic models

1988 • 4 citations