References

• 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
• 2002Dynamic Conditional Correlation7,126 cited
• 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
• 1993A long memory property of stock market returns and a new model3,257 cited
• 1991Investor Diversification and International Equity Markets2,542 cited
• 2004Honey, I Shrunk the Sample Covariance Matrix1,276 cited
• 2004The relationship between credit default swap spreads, bond yields, and credit rating announcements1,008 cited
• 2010A Long Memory Property of Stock Market Returns and a New Model981 cited
• 1986Bayes-Stein Estimation for Portfolio Analysis960 cited
• 2004Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements655 cited
• 2006Leverage and Volatility Feedback Effects in High-Frequency Data439 cited
• 2006Why Do Absolute Returns Predict Volatility So Well?379 cited
• 2005News spillovers in the sovereign debt market378 cited
• 2012Sovereign credit ratings and financial markets linkages: Application to European data