Financial Risk and Volatility Modeling

Most cited papers

1. Testing for a unit root in time series regressionBiometrika · 1988 · 18,258 citations
2. Conditional Heteroskedasticity in Asset Returns: A New ApproachEconometrica · 1991 · 10,505 citations
3. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency OptionsReview of Financial Studies · 1993 · 9,215 citations
4. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on StocksThe Journal of Finance · 1993 · 8,781 citations
5. Dynamic Conditional CorrelationJournal of Business and Economic Statistics · 2002 · 7,268 citations
6. The Econometrics of Financial MarketsPrinceton University Press eBooks · 2012 · 6,104 citations
7. Efficient Tests for an Autoregressive Unit RootEconometrica · 1996 · 5,709 citations
8. Comparing Predictive AccuracyJournal of Business and Economic Statistics · 1995 · 5,146 citations
9. The Cross‐Section of Volatility and Expected ReturnsThe Journal of Finance · 2006 · 4,866 citations
10. Giving Content to Investor Sentiment: The Role of Media in the Stock MarketThe Journal of Finance · 2007 · 4,699 citations