References

• 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
• 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
• 1977Time Series Analysis: Forecasting and Control19,200 cited
• 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
• 1993Discretion versus policy rules in practice9,059 cited
• 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
• 1977Time Series Analysis: Forecasting and Control6,446 cited
• 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
• 1992ARCH modeling in finance4,288 cited
• 1993Measuring and Testing the Impact of News on Volatility3,692 cited
• 1993A long memory property of stock market returns and a new model3,257 cited
• 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
• 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
• 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
• 1994Threshold heteroskedastic models