EMU and European Stock Market Integration

Multivariate Simultaneous Generalized ARCH

Robert F. Engle, Kenneth F. Kroner · Econometric Theory · 1995 · 4.6K citations

Engineering, Mathematics, Statistical Modeling +16

Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

Tim Bollerslev, Jeffrey M. Wooldridge · Econometric Reviews · 1992 · 3.3K citations

Social Sciences, Economics, Econometrics +16

On estimating the expected return on the market

Robert C. Merton · Journal of Financial Economics · 1980 · 2.9K citations

Business, Economics, Finance +12

Time‐Varying World Market Integration

Geert Bekaert, Campbell R. Harvey · The Journal of Finance · 1995 · 2.1K citations · Full text

Business, Economics, Finance +16

Several Tests for Model Specification in the Presence of Alternative Hypotheses

Russell Davidson, James G. MacKinnon · Econometrica · 1981 · 1.8K citations

Social Sciences, Economics, Econometrics +12