Stock Market Risk and Return: An Equilibrium Approach

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Time Series Analysis.

1995 • 11,935 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

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

The equity premium: A puzzle

1985 • 5,686 citations

By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior

1999 • 5,300 citations

Asset Prices in an Exchange Economy

1978 • 5,134 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

Time Series Analysis

1997 • 3,571 citations

On estimating the expected return on the market

1980 • 2,932 citations

Stock returns and the term structure

1987 • 2,322 citations

Habit Formation: A Resolution of the Equity Premium Puzzle

1990 • 2,223 citations

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

1993 • 2,215 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1982 • 1,846 citations

Modeling the conditional distribution of interest rates as a regime-switching process

1996 • 1,526 citations

Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models

1991 • 986 citations

Business-Cycle Phases and Their Transitional Dynamics

1994 • 775 citations

The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp

1992 • 610 citations

Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns

1994 • 505 citations

Stock returns and volatility in emerging financial markets

1997 • 474 citations

Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and Conditional Market Variance: A Two‐Factor Approach

1998 • 459 citations

Mean Reversion in Equilibrium Asset Prices

1990 • 455 citations

Habit persistence and durability in aggregate consumption

1991 • 350 citations

Expectations and Volatility of Consumption and Asset Returns

1990 • 335 citations

Inventories and the Three Phases of the Business Cycle

1994 • 292 citations

Business-Cycle Phases and Their Transitional Dynamics

1994 • 288 citations

Peso problem explanations for term structure anomalies

2001 • 254 citations

Theoretical Relations Between Risk Premiums and Conditional Variances

1993 • 209 citations

Regime Switches in Interest Rates

1998 • 197 citations

An Investigation of the Risk and Return Relation at Long Horizons

1999 • 196 citations

Imposing Moment Restrictions from Auxiliary Data by Weighting

1999 • 170 citations

Stock prices under time-varying dividend risk

1988 • 150 citations

Disentangling the Coefficient of Relative Risk Aversion from the Elasticity of Intertemporal Substitution: An Irrelevance Result

1990 • 146 citations

International Asset Allocation with Time-Varying Correlations

1999 • 105 citations

Ex Ante Bond Returns and the Liquidity Preference Hypothesis

1999 • 100 citations

Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns

1994 • 95 citations

Regime Switches in Interest Rates

1998 • 93 citations

Nonlinearities in the Relation Between the Equity Risk Premium and the Term Structure

1997 • 63 citations

"Peso Problem" Explanations for Term Structure Anomalies

1997 • 58 citations

Theoretical Relations between Risk Premiums and Conditional Variances

1993 • 54 citations

Disentangling the Coefficient of Relative Risk Aversion from the Elasticity of Intertemporal Substitution: An Irrelevance Result

1990 • 53 citations

Inventories and the Three Phases of the Business Cycle

1994 • 50 citations

The Interaction between Nonexpected Utility and Asymmetric Market Fundamentals

1994 • 32 citations

Regime Shifts, Risk and the Term Structure

1999 • 29 citations

Regime Shifts and Bond Returns

1999 • 20 citations

Asset return volatility with extremely small costs of consumption adjustment

1994 • 7 citations

Regime Shifts and Changing Volatility in Stock Returns: A Rational Expectations Equilibrium Model

1998 • 3 citations