Global financial markets and the risk premium on U.S. equity

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

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

1993 • 8,018 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

Multivariate Simultaneous Generalized ARCH

1995 • 4,490 citations

Expected stock returns and volatility

1987 • 4,291 citations

Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

1992 • 3,405 citations

A Capital Asset Pricing Model with Time-Varying Covariances

1988 • 3,189 citations

On estimating the expected return on the market

1980 • 2,932 citations

Correlations in Price Changes and Volatility across International Stock Markets

1990 • 1,910 citations

Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns

1983 • 1,611 citations

A Suggestion for Using Powerful and Informative Tests of Normality

1990 • 1,485 citations

An equilibrium model of the international capital market

1974 • 1,180 citations

The World Price of Covariance Risk

1991 • 1,115 citations

THE DEMAND FOR RISKY ASSETS

1977 • 977 citations

A model of international asset pricing

1981 • 846 citations

The Dynamics of Stock Index and Stock Index Futures Returns

1990 • 839 citations

A Suggestion for Using Powerful and Informative Tests of Normality

1990 • 541 citations

Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets

1992 • 534 citations

Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration

1992 • 521 citations

Heteroskedasticity in Stock Returns

1990 • 485 citations

International Portfolio Choice and Corporation Finance: A Synthesis

1983 • 425 citations

The World Price of Covariance Risk

1991 • 344 citations

Model specification tests

1982 • 294 citations

Were Japanese stock prices too high?

1991 • 291 citations

Filtering and forecasting with misspecified ARCH models I: Getting the right variance with the wrong model

1992 • 257 citations

International Arbitrage Pricing Theory: An Empirical Investigation

1986 • 249 citations

Some tests of international equity integration

1988 • 225 citations

Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets

1989 • 217 citations

An Empirical Investigation of International Asset Pricing

1989 • 214 citations

Filtering and forecasting with misspecified ARCH models I

1992 • 204 citations

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

1989 • 195 citations

Benefits of international diversification

1990 • 173 citations

Tests of international CAPM with time‐varying covariances

1989 • 156 citations

Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration

1992 • 151 citations

Heteroskedasticity in Stock Returns

1990 • 144 citations

Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets

1992 • 130 citations

Consumption risk and international equity returns: some empirical evidence

1990 • 87 citations

International Arbitrage Pricing Theory: An Empirical Investigation

1986 • 86 citations

Japanese financial market research

1992 • 78 citations

Pricing Capital Assets in an International Setting: An Introduction

1984 • 77 citations

Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets

1989 • 75 citations

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

1989 • 70 citations

Tests for a Systematic Risk Component in Deviations from Uncovered Interest Rate Parity

1991 • 62 citations

The Mochiai effect

1989 • 35 citations

Filtering and Forecasting with Misspecified Arch Models II: Making the Right Forecast with the Wrong Model*

1996 • 10 citations