article Open AccessTop 10% cited
No news is good news
Journal of Financial Economics · 1992 · Vol. 31(3) · pp. 281–318
John Y. Campbell✉(Princeton University)Ludger Hentschel(Princeton University)
Financial Risk and Volatility ModelingMarket Dynamics and VolatilityComplex Systems and Time Series AnalysisVolatility (finance)EconometricsEconomicsHeteroscedasticityStock (firearms)Autoregressive modelKurtosisSkewnessStock marketAutoregressive conditional heteroskedasticity
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References
The stochastic behavior of common stock variances Value, leverage and interest rate effects
Journal of Financial Economics · 1982 · 2,427 citations
Expected stock returns and volatility
Journal of Financial Economics · 1987 · 4,255 citations
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Econometrica · 1982 · 20,395 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
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
Review of Financial Studies · 1988 · 3,950 citations
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