Terrorism, country attributes, and the volatility of stock returns

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

Halbert White · Econometrica · 1980 · 26.1K citations

Social Sciences, Economics, Econometrics +11

Using daily stock returns

Stephen J. Brown, Jerold B. Warner · Journal of Financial Economics · 1985 · 6.6K citations

Business, Finance, Financial Econometrics +11

Why Does Stock Market Volatility Change Over Time?

G. William Schwert · The Journal of Finance · 1989 · 3.6K citations

Business, Economics, History +16

Event-study methodology under conditions of event-induced variance

Elleke Boehmer · Journal of Financial Economics · 1991 · 1.8K citations

Public Health, Biostatistics, Experimental Design +6

Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?

Robert J. Shiller · National Bureau of Economic Research · 1980 · 1.8K citations · Full text

Business, Economics, Finance +12