Business cycles, financial crises, and stock volatility

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

1980 • 25,774 citations

Investigating Causal Relations by Econometric Models and Cross-spectral Methods

1969 • 21,257 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

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

1989 • 9,360 citations

Bank Runs, Deposit Insurance, and Liquidity

1983 • 8,993 citations

Introduction to Statistical Time Series

1978 • 4,545 citations

Expected stock returns and volatility

1987 • 4,291 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

MONEY, INCOME, AND CAUSALITY

1972 • 3,059 citations

On estimating the expected return on the market

1980 • 2,932 citations

Introduction to Statistical Time Series.

1977 • 2,373 citations

Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

1970 • 2,117 citations

A Monetary History of the United States, 1867-1960

1964 • 1,903 citations

Nonmonetary Effects of the Financial Crisis in the Propagation of the Great Depression

2024 • 1,878 citations

Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends

1980 • 1,351 citations

Stock Prices and Social Dynamics

1984 • 1,274 citations

Does the Stock Market Rationally Reflect Fundamental Values?

1986 • 1,071 citations

Are Economic Time Series Asymmetric over the Business Cycle?

1984 • 960 citations

BANKING PANICS AND BUSINESS CYCLES *

1988 • 941 citations

Rational-expectations econometric analysis of changes in regime

1988 • 933 citations

Stock Prices and Social Dynamics

1984 • 851 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 848 citations

Effects of model specification on tests for unit roots in macroeconomic data

1987 • 670 citations

A Monetary History of the United States, 1867-1960

1964 • 663 citations

Variance Function Estimation

1987 • 649 citations

Comparing alternative tests of causality in temporal systems

1983 • 643 citations

Tests for Unit Roots: A Monte Carlo Investigation

1989 • 640 citations

Variance Bounds Tests and Stock Price Valuation Models

1986 • 497 citations

The American Business Cycle: Continuity and Change.

1987 • 484 citations

The Variability of the Market Factor of the New York Stock Exchange

1973 • 481 citations

Note on the Correlation of First Differences of Averages in a Random Chain

1960 • 408 citations

The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy

1972 • 397 citations

The econometric analysis of models with risk terms

1988 • 374 citations

The Use of Volatility Measures in Assessing Market Efficiency*

1981 • 347 citations

Required Disclosure and the Stock Market: An Evaluation of the Securities Exchange Act of 1934

1973 • 341 citations

Does the Stock Market Rationally Reflect Fundamental Values?

1986 • 336 citations

Financial Panics, the Seasonality of the Nominal Interest Rate, and the Founding of the Fed

1986 • 334 citations

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

1954 • 324 citations

The information in forward rates

1988 • 282 citations

Bank suspension of convertibility

1985 • 267 citations

Money, income, and sunspots: Measuring economic relationships and the effects of differencing

1978 • 233 citations

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

1939 • 213 citations

Inflation Uncertainty and Expected Returns on Treasury Bills

1976 • 199 citations

Variance Function Estimation

1987 • 189 citations

A Test for Independence Based on the Correlation Dimension

2001 • 187 citations

The Use of Volatility Measures in Assessing Market Efficiency

1981 • 117 citations

Tests for Predictive Relationships between Time Series Variables: A Monte Carlo Investigation

1982 • 98 citations

Fluctuations in American Business 1790-1860.

1936 • 96 citations

Common-stock indexes

1939 • 90 citations

Margin requirements, volatility, and the transitory component of stock prices

1988 • 82 citations

Tests of causality

1979 • 82 citations

The Interpretation ofR²in Autoregressive-Moving Average Time Series Models

1976 • 43 citations

Panic on Wall Street, a History of America's Financial Disasters.

1974 • 34 citations

Tests for Predictive Relationships Between Time Series Variables: A Monte Carlo Investigation

1982 • 31 citations

Fluctuations in American Business, 1790-1860.

1936 • 22 citations

Panic on Wall Street: A History of America's Financial Disasters

1969 • 21 citations

Banking panics and business cycles

1986 • 18 citations