References

• 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
• 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
• 1995Multivariate Simultaneous Generalized ARCH4,510 cited
• 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
• 1980On estimating the expected return on the market2,818 cited
• 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
• 1995DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL685 cited
• 1991The Pricing of Exchange Rate Risk in the Stock Market613 cited
• 1988Volatility persistence and stock valuations: Some empirical evidence using garch519 cited
• 1996ON THE DYNAMIC RELATION BETWEEN STOCK PRICES AND EXCHANGE RATES427 cited
• 1984An investigation of risk and return in forward foreign exchange322 cited
• 1990A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets294 cited
• 1987Using Financial Prices to Test Exchange Rate Models: A Note261 cited
• 1993The impact of exchange rate volatility on international trade: Reduced form estimates using the GARCH-in-mean model214 cited