Stock market volatility and regime shifts in returns

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

Computing, Economics, Econometrics +15

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

James D. Hamilton · Econometrica · 1989 · 9.7K citations

Social Sciences, Business Economics, Economics +17

The Behavior of Stock-Market Prices

Eugene F. Fama · The Journal of Business · 1965 · 8.7K citations

Business, Economics, Finance +12

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

Lawrence R. Glosten, Ravi Jagannathan, David E. Runkle · The Journal of Finance · 1993 · 8.7K citations

Business, Economics, Finance +17

The Variation of Certain Speculative Prices

Benoît B. Mandelbrot · The Journal of Business · 1963 · 4.7K citations

Engineering, Economics, Finance +11