Measuring the risk premium in uncovered interest parity using the component GARCH-M model

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 · 8.6K citations · Full text

Empirical Finance, Volatility Modeling, Monthly Conditional Volatility +18

Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis

Eric Zivot, Donald W. K. Andrews · Journal of Business and Economic Statistics · 2002 · 5.7K citations

Oil-price Shock, Applied Econometrics, Economic Fluctuation +19

ARCH modeling in finance

Tim Bollerslev, Ray Yeutien Chou, Kenneth F. Kroner · Journal of Econometrics · 1992 · 4.4K citations

Economics, Computational Finance, Financial Economics +5

Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

Robert F. Engle, David M. Lilien, Russell P. Robins · Econometrica · 1987 · 2.5K citations

Empirical Finance, Long Bond, Term Structure Model +17

Forward and spot exchange rates

Eugene F. Fama · Journal of Monetary Economics · 1984 · 2.2K citations

International Finance, Trade, Exchange Rate Movement +4