References

• 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
• 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
• 1987Expected stock returns and volatility4,147 cited
• 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
• 1983The anomalous stock market behavior of small firms in January848 cited
• 1983Vas Ist Das?429 cited
• 1984Risk and return317 cited
• 1942Certain Observations on Seasonal Movements in Stock Prices309 cited
• 1977CAPITAL GAINS TAXATION AND YEAR‐END STOCK MARKET BEHAVIOR262 cited
• 1985Seasonal and Size Anomalies in the Japanese Stock Market256 cited
• 1984Volume and turn-of-the-year behavior160 cited
• 1983Year-End Tax-Induced Sales and Stock Market Seasonality138 cited
• 1986The January Size Effect: Anomaly or Risk Mismeasurement?127 cited
• 1987Taxes and Stock Return Seasonality: Evidence from the London Stock Exchange101 cited
• 1985Personal Income Taxes and the January Effect: Small Firm Stock Returns Before the War Revenue Act of 1917: A Note83 cited