References

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• 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
• 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
• 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
• 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
• 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
• 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
• 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
• 1986Stock return variances1,813 cited
• 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
• 1989International Transmission of Stock Market Movements1,412 cited
• 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,313 cited
• 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
• 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility