Price limits and stock market volatility in Taiwan

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text

Business, Finance, Econometrics +11

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

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

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Spurious regressions in econometrics

Clive W. J. Granger, Paul Newbold · Journal of Econometrics · 1974 · 6.2K citations

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Expected stock returns and volatility

Kenneth R. French, G. William Schwert, Robert F. Stambaugh · Journal of Financial Economics · 1987 · 4.3K citations · Full text

Business, Economics, Finance +12

Why Does Stock Market Volatility Change Over Time?

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

Business, Economics, History +16