this work references cited by second hop· second hop is a sample of the most-cited connectionsReferences
- 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
- 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
- 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
- 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
- 1995Multivariate Simultaneous Generalized ARCH4,510 cited
- 1987Expected stock returns and volatility4,147 cited
- 1993Measuring and Testing the Impact of News on Volatility3,692 cited
- 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
- 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
- 2001Extreme Correlation of International Equity Markets2,608 cited
- 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
- 1994Threshold heteroskedastic models2,294 cited
- 1992No news is good news1,929 cited
- 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
- 1998Modeling Asymmetric Comovements of Asset Returns
Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work