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Cited by

• 1991Chaos and Nonlinear Dynamics: Application to Financial Markets1,046 cited
• 1987Option values under stochastic volatility: Theory and empirical estimates904 cited
• 1994Chapter 49 Arch models880 cited
• 1989Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts856 cited
• 2002The Message in Daily Exchange Rates791 cited
• 2014Tail Risk and Asset Prices788 cited
• 1989The Message in Daily Exchange Rates: A Conditional-Variance Tale647 cited
• 1982Multivariate tests of financial models614 cited
• 1984Models of Stock Returns--A Comparison606 cited
• 2002Application of neural networks to an emerging financial market: forecasting and trading the Taiwan Stock Index527 cited
• 1994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets517 cited
• 1982On the exclusion of assets from tests of the two-parameter model507 cited
• 2000The Distribution of Stock Return Volatility497 cited
• 1989An Examination of the Robustness of the Weekend Effect438 cited
• 2006