References

• 1988Testing for a Unit Root in Time Series Regression19,288 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
• 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
• 1992Efficient Tests for an Autoregressive Unit Root4,234 cited
• 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power3,944 cited
• 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
• 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes878 cited
• 1990Stock Returns and Real Activity: A Century of Evidence733 cited
• 2006The empirical risk–return relation: A factor analysis approach☆666 cited
• 2013Dynamic co-movements of stock market returns, implied volatility and policy uncertainty553 cited
• 2012‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables486 cited
• 2009Transmission of the U.S. subprime crisis to emerging markets: Evidence on the decoupling–recoupling hypothesis433 cited
• 2010Measuring and Modeling Variation in the Risk-Return Trade-off424 cited
• 1989