Risk spillovers from China's and the US stock markets during high-volatility periods: Evidence from East Asianstock markets

Generalized autoregressive conditional heteroskedasticity

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

Business, Finance, Econometrics +11

Regression Quantiles

Roger Koenker, Gilbert W. Bassett · Econometrica · 1978 · 12.9K citations

Natural Sciences, Biostatistics, Statistics +4

Conditional Heteroskedasticity in Asset Returns: A New Approach

Daniel B. Nelson · Econometrica · 1991 · 10.4K citations

Business, Economics, Finance +17

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

Lawrence R. Glosten, Ravi Jagannathan, David E. Runkle · The Journal of Finance · 1993 · 8.7K citations

Business, Economics, Finance +17

Dynamic Conditional Correlation

Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 7.1K citations

Business, Finance, Econometrics +16