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

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

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

1987 • 15,268 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

ARCH modeling in finance

1992 • 4,478 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

On estimating the expected return on the market

1980 • 2,932 citations

Asset returns and inflation

1977 • 2,770 citations

The stochastic behavior of common stock variances Value, leverage and interest rate effects

1982 • 2,405 citations

Stock returns and the term structure

1987 • 2,322 citations

No news is good news

1992 • 1,945 citations

Autoregressive conditional heteroskedasticity and changes in regime

1994 • 1,846 citations

Are Seasonal Anomalies Real? A Ninety-Year Perspective

1988 • 1,148 citations

Time-varying conditional covariances in tests of asset pricing models

1989 • 852 citations

Measuring and Testing the Impact of News on Volatility

1993 • 756 citations

A Markov model of heteroskedasticity, risk, and learning in the stock market

1989 • 609 citations

Maximum Likelihood Specification Testing and Conditional Moment Tests

1985 • 538 citations

The econometric analysis of models with risk terms

1988 • 374 citations

Relative Shocks, Relative Price Variability, and Inflation

1981 • 358 citations

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

1992 • 345 citations

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

1989 • 290 citations

A Markov Model of Switching-Regime ARCH

1994 • 248 citations

Dividend yields and stock returns: Implications of abnormal January returns

1985 • 217 citations

Theoretical Relations Between Risk Premiums and Conditional Variances

1993 • 209 citations

Stock prices under time-varying dividend risk

1988 • 150 citations

Economic Significance of Predictable Variations in Stock Index Returns

1989 • 144 citations

Variations in economic uncertainty and risk premiums on capital assets

1993 • 122 citations

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

1989 • 70 citations

Non-Parametric Estimation and the Risk Premium

1988 • 63 citations