The Message in Daily Exchange Rates: A Conditional-Variance Tale

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

Testing for a unit root in time series regression

1988 • 17,004 citations

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

The Behavior of Stock-Market Prices

1965 • 8,575 citations

On a measure of lack of fit in time series models

1978 • 5,638 citations

The Variation of Certain Speculative Prices

1963 • 4,461 citations

Time Series Regression with a Unit Root

1987 • 2,905 citations

A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return

1987 • 2,601 citations

Trends and random walks in macroeconomic time series

1988 • 2,527 citations

Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

1987 • 2,510 citations

Théorie de la spéculation

1900 • 2,440 citations

Intervention Analysis with Applications to Economic and Environmental Problems

1975 • 2,217 citations

Modelling the persistence of conditional variances

1986 • 2,029 citations

The Advanced Theory of Statistics.

1968 • 1,584 citations

A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices

1974 • 921 citations

A Further Investigation of the Weekend Effect in Stock Returns

1984 • 788 citations

The dynamics of exchange rate volatility: A multivariate latent factor ARCH model

1989 • 778 citations

Dynamic Macroeconomic Theory

1988 • 759 citations

The Distribution of Share Price Changes

1972 • 543 citations

Volatility persistence and stock valuations: Some empirical evidence using garch

1988 • 542 citations

Conditional variance and the risk premium in the foreign exchange market

1985 • 512 citations

Bayesian Inference in Statistical Analysis

1974 • 456 citations

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

1988 • 452 citations

The statistical distribution of exchange rates: Empirical evidence and economic implications

1987 • 326 citations

An examination of foreign exchange risk under fixed and floating rate regimes

1977 • 240 citations

ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS

1988 • 237 citations

Testing Rational Expectations and Efficiency in the Foreign Exchange Market

1983 • 187 citations

Short-run fluctuations in foreign exchange rates

1982 • 134 citations

Tests of the martingale hypothesis for foreign currency futures with time-varying volatility

1987 • 115 citations

A Conditional Variance Model for Daily Deviations of an Exchange Rate

1987 • 102 citations

Empirical Properties of Foreign Exchange Rates

1978 • 97 citations

Expectations and the Forward Exchange Rate

1981 • 88 citations

The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement

1982 • 84 citations

Measurement of Abnormal Returns From Small Firms

1987 • 49 citations

International economic policy: Theory and evidence

1981 • 37 citations

The Weekend Game: Clearing House vs Federal Funds

1978 • 30 citations

International Finance: Financial Management and the International Economy

1984 • 19 citations

The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement--A Reply

1987 • 10 citations

Temporal aggregation of ARCH processes and the distribution of asset returns

1986 • 6 citations

A Diagnostic Test for Normality within the Power Exponential Family

1986 • 1 citations