Testing weak form efficiency on the Toronto Stock Exchange

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 21.9K citations

Economics, Volatility Modeling, Asset Pricing +4

Conditional Heteroskedasticity in Asset Returns: A New Approach

Daniel B. Nelson · Econometrica · 1991 · 10.3K citations

Empirical Finance, Volatility Innovations, Volatility Modeling +15

The Behavior of Stock-Market Prices

Eugene F. Fama · The Journal of Business · 1965 · 8.6K citations

Market Microstructure, Economics, Financial Economics +7

On a measure of lack of fit in time series models

Greta M. Ljung, George E. P. Box · Biometrika · 1978 · 5.9K citations

Econometric Model, Overall Tests, Engineering +11

On the Impossibility of Informationally Efficient Markets

Sanford J. Grossman · RePEc: Research Papers in Economics · 1980 · 5.3K citations