articleTop 10% cited
Stock market volatility, excess returns, and the role of investor sentiment
Journal of Banking & Finance · 2002 · Vol. 26(12) · pp. 2277–2299
Wayne Y Lee✉(University of Arkansas at Fayetteville)Christine X. Jiang(University of Memphis)Daniel C. Indro(Pennsylvania State University)
Financial Markets and Investment StrategiesMarket Dynamics and VolatilityFinancial Risk and Volatility ModelingVolatility (finance)EconomicsHeteroscedasticityEconometricsAutoregressive conditional heteroskedasticityExcess returnFinancial economicsStock (firearms)Market sentimentStock market
Citations
697
FWCI
4.36
field-weighted impact
References
46
Percentile
95%
vs. same field & year
Citations per year
References
ARCH modeling in finance
Journal of Econometrics · 1992 · 4,361 citations
Expected stock returns and volatility
Journal of Financial Economics · 1987 · 4,255 citations
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
Journal of the American Statistical Association · 1979 · 22,774 citations
A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return
The Review of Economics and Statistics · 1987 · 2,583 citations
Conditional Heteroskedasticity in Asset Returns: A New Approach
Econometrica · 1991 · 10,302 citations
Generalized autoregressive conditional heteroskedasticity
Journal of Econometrics · 1986 · 22,015 citations
Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
Econometrica · 1987 · 2,502 citations
Noise Trader Risk in Financial Markets
Journal of Political Economy · 1990 · 6,313 citations
Citation Network
How this paper connects to the literature. Drag to explore, click any node to open that paper.