Market Dynamics and Volatility

Most cited papers

1. Measuring Economic Policy Uncertainty*The Quarterly Journal of Economics · 2016 · 12,564 citations
2. Conditional Heteroskedasticity in Asset Returns: A New ApproachEconometrica · 1991 · 10,505 citations
3. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on StocksThe Journal of Finance · 1993 · 8,781 citations
4. Postwar U.S. Business Cycles: An Empirical InvestigationJournal of money credit and banking · 1997 · 7,491 citations
5. Does the Stock Market Overreact?The Journal of Finance · 1985 · 7,331 citations
6. Dynamic Conditional CorrelationJournal of Business and Economic Statistics · 2002 · 7,268 citations
7. PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESISEconometric Theory · 2004 · 6,731 citations
8. Noise Trader Risk in Financial MarketsJournal of Political Economy · 1990 · 6,487 citations
9. The Impact of Uncertainty ShocksEconometrica · 2009 · 6,020 citations
10. Spurious regression and residual-based tests for cointegration in panel dataJournal of Econometrics · 1999 · 5,809 citations
11. Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root HypothesisJournal of Business and Economic Statistics · 2002 · 5,780 citations
12. Economic Forces and the Stock MarketThe Journal of Business · 1986 · 5,407 citations
13. A Simple Estimator of Cointegrating Vectors in Higher Order Integrated SystemsEconometrica · 1993 · 5,057 citations
14. The Cross‐Section of Volatility and Expected ReturnsThe Journal of Finance · 2006 · 4,866 citations
15. Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*The Quarterly Journal of Economics · 2000 · 4,765 citations
16. Giving Content to Investor Sentiment: The Role of Media in the Stock MarketThe Journal of Finance · 2007 · 4,699 citations