SSRN Electronic Journal · 2009 · 137 citations · 28 references
BusinessEconomicsFinanceEconometricsFinancial EconometricsFinancial EconomicsAsset Pricing EmpiricsAsset Return ModelingCapital MarketsCointegration AnalysisVolatility AnalysisVolatility ModelingArch ModelsConditional Heteroskedasticity ModelsContagion In Financial MarketsFinancial Market VolatilityGeneralized Autoregressive Conditional Heteroskedasticity ModelsRegional SpilloversStock Market ReturnsTime Series Volatility Modeling
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Multivariate Simultaneous Generalized ARCH
Robert F. Engle, Kenneth F. Kroner · Econometric Theory · 1995 · 4.6K citations
Measuring and Testing the Impact of News on Volatility
Robert F. Engle, Victor Ng · The Journal of Finance · 1993 · 3.7K citations
Time‐Varying World Market Integration
Geert Bekaert, Campbell R. Harvey · The Journal of Finance · 1995 · 2.1K citations · Full text
Foreign Speculators and Emerging Equity Markets
Geert Bekaert, Campbell R. Harvey · The Journal of Finance · 2000 · 1.9K citations