Most cited papers in Financial Risk and Volatility Modeling
What are the most cited papers in Financial Risk and Volatility Modeling?
The most cited paper in Financial Risk and Volatility Modeling is "Distribution of the Estimators for Autoregressive Time Series with a Unit Root" (David Alan Dickey, Wayne Arthur Fuller, 1979), with 23,250 citations. Next come "Generalized autoregressive conditional heteroskedasticity" (22,677) and "Testing for a unit root in time series regression" (18,270).
Showing 50 of 98 papers. Every paper with more than 1,671 citations is listed.
| # | Paper | ||
|---|---|---|---|
| 1 | Distribution of the Estimators for Autoregressive Time Series with a Unit Root David Alan Dickey, Wayne Arthur Fuller · Journal of the American Statistical Association | Jun 1979 | 23,250 |
| 2 | Generalized autoregressive conditional heteroskedasticity Tim Bollerslev · Journal of Econometrics | Apr 1986 | 22,677 |
| 3 | Testing for a unit root in time series regression Peter C.B. Phillips, Pierre Perrón · Biometrika | 1988 | 18,270 |
| 4 | Statistical analysis of cointegration vectors Søren Johansen · Journal of Economic Dynamics and Control | Jun 1988 | 16,966 |
| 5 | Testing for unit roots in heterogeneous panels Kyung So Im, M. Hashem Pesaran, Yongcheol Shin · Journal of Econometrics | 30 Apr 2003 | 15,285 |
| 6 | MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY Søren Johansen, Katarina Jusélius · Oxford Bulletin of Economics and Statistics | May 1990 | 14,204 |
| 7 | Testing the null hypothesis of stationarity against the alternative of a unit root Denis Kwiatkowski, Peter C.B. Phillips, Peter Schmidt et al. · Journal of Econometrics | Oct 1992 | 12,778 |
| 8 | A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options Steven L. Heston · Review of Financial Studies | Apr 1993 | 9,255 |
| 9 | Coherent Measures of Risk Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber et al. · Mathematical Finance | Jul 1999 | 9,137 |
| 10 | On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks Lawrence R. Glosten, Ravi Jagannathan, David Edward Runkle · The Journal of Finance | Dec 1993 | 8,790 |
| 11 | Dynamic Conditional Correlation Robert F. Engle · Journal of Business and Economic Statistics | Jul 2002 | 7,250 |
| 12 | Better to give than to receive: Predictive directional measurement of volatility spillovers Francis X. Diebold, Kamil Yılmaz · International Journal of Forecasting | 26 May 2011 | 5,816 |
| 13 | Comparing Predictive Accuracy Francis X. Diebold, Roberto S. Mariano · Journal of Business and Economic Statistics | Jul 1995 | 5,100 |
| 14 | Statistical Inference in Instrumental Variables Regression with I(1) Processes Peter C.B. Phillips, Bruce E. Hansen · The Review of Economic Studies | 1990 | 4,935 |
| 15 | The Cross‐Section of Volatility and Expected Returns Andrew Ang, Robert J. Hodrick, Yuhang Xing et al. · The Journal of Finance | 20 Jan 2006 | 4,865 |
| 16 | Multivariate Simultaneous Generalized ARCH Robert F. Engle, Kenneth F. Kroner · Econometric Theory | Feb 1995 | 4,600 |
| 17 | THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 Michael C. Jensen · The Journal of Finance | May 1968 | 4,409 |
| 18 | ARCH modeling in finance Tim Bollerslev, Ray Yeutien Chou, Kenneth F. Kroner · Journal of Econometrics | Apr 1992 | 4,383 |
| 19 | Empirical exchange rate models of the seventies Richard A. Meese, Kenneth Rogoff · Journal of International Economics | Feb 1983 | 4,229 |
| 20 | A modified Mann-Kendall trend test for autocorrelated data Khaled H. Hamed, A. Ramachandra Rao · Journal of Hydrology | 1998 | 3,923 |
| 21 | Measuring and Testing the Impact of News on Volatility Robert F. Engle, Victor Ng · The Journal of Finance | Dec 1993 | 3,717 |
| 22 | A test for independence based on the correlation dimension W. A. Broock, J. A. Scheinkman, W. Davis Dechert et al. · Econometric Reviews | 1996 | 3,544 |
| 23 | Modelling of extremal events in insurance and finance Paul Embrechts, Hanspeter Schmidli · Mathematical Methods of Operations Research | Feb 1994 | 3,536 |
| 24 | AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING Clive W. J. Granger, Roselyne Joyeux · Journal of Time Series Analysis | 1980 | 3,426 |
| 25 | Automatic Lag Selection in Covariance Matrix Estimation Whitney K. Newey, Kenneth D. West · The Review of Economic Studies | Oct 1994 | 3,374 |
| 26 | Empirical properties of asset returns: stylized facts and statistical issues Rama Cont · Quantitative Finance | Feb 2001 | 3,345 |
| 27 | Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances Tim Bollerslev, Jeffrey M. Wooldridge · Econometric Reviews | 1992 | 3,345 |
| 28 | A long memory property of stock market returns and a new model Zhuanxin Ding, Clive W. J. Granger, Robert F. Engle · Journal of Empirical Finance | Jun 1993 | 3,337 |
| 29 | Testing for unit roots in autoregressive-moving average models of unknown order Saïd E. Saïd, David Alan Dickey · Biometrika | 1984 | 3,258 |
| 30 | Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code Michael D. McKay, Richard J. Beckman, William Jay Conover · Technometrics | May 1979 | 3,249 |
| 31 | L-Moments: Analysis and Estimation of Distributions Using Linear Combinations of Order Statistics J. R. M. Hosking · Journal of the Royal Statistical Society Series B (Statistical Methodology) | Sep 1990 | 3,210 |
| 32 | On the Uniform Convergence of Relative Frequencies of Events to Their Probabilities Vladimir N. Vapnik, Alexey Ya. Chervonenkis | 2015 | 3,197 |
| 33 | Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets Francis X. Diebold, Kamil Yılmaz · The Economic Journal | 9 Dec 2008 | 3,123 |
| 34 | Forecasting Using Principal Components From a Large Number of Predictors James H. Stock, Mark W. Watson · Journal of the American Statistical Association | Dec 2002 | 3,122 |
| 35 | Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? John Y. Campbell, Samuel Brodsky Thompson · Review of Financial Studies | 20 Nov 2007 | 3,081 |
| 36 | Conditional Skewness in Asset Pricing Tests Campbell R. Harvey, Akhtar R. Siddique · The Journal of Finance | Jun 2000 | 2,987 |
| 37 | THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS John F Geweke, Susan Porter‐Hudak · Journal of Time Series Analysis | Jul 1983 | 2,983 |
| 38 | Risk measurement when shares are subject to infrequent trading Elroy Dimson · Journal of Financial Economics | Jun 1979 | 2,901 |
| 39 | Estimating betas from nonsynchronous data Myron S. Scholes, Joseph T. Williams · Journal of Financial Economics | Dec 1977 | 2,855 |
| 40 | A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output From a Computer Code Michael D. McKay, Richard J. Beckman, William Jay Conover · Technometrics | Feb 2000 | 2,847 |
| 41 | Instrumental Variables and GMM: Estimation and Testing Christopher F. Baum, Mark E. Schaffer, Steven Stillman · The Stata Journal Promoting communications on statistics and Stata | Mar 2003 | 2,715 |
| 42 | Macroeconomic Forecasting Using Diffusion Indexes James H. Stock, Mark W. Watson · Journal of Business and Economic Statistics | Apr 2002 | 2,672 |
| 43 | A YIELD‐FACTOR MODEL OF INTEREST RATES Darrell Duffie, Rui Kan · Mathematical Finance | Oct 1996 | 2,644 |
| 44 | A Simple Approximate Long-Memory Model of Realized Volatility Fulvio Corsi · Journal of Financial Econometrics | 7 Nov 2008 | 2,608 |
| 45 | The m-Distribution—A General Formula of Intensity Distribution of Rapid Fading MINORU NAKAGAMI · Elsevier eBooks | 1960 | 2,565 |
| 46 | Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk John Y. Campbell, Martin Lettau, Burton Gordon Malkiel et al. · The Journal of Finance | Feb 2001 | 2,553 |
| 47 | Approximately normal tests for equal predictive accuracy in nested models Todd E. Clark, Kenneth D. West · Journal of Econometrics | 19 Jul 2006 | 2,534 |
| 48 | Empirical Asset Pricing via Machine Learning Shihao Gu, Bryan P. Kelly, Dacheng Xiu · Review of Financial Studies | 20 Feb 2020 | 2,508 |
| 49 | The Stationary Bootstrap Dimitris N. Politis, Joseph P. Romano · Journal of the American Statistical Association | Dec 1994 | 2,497 |
| 50 | Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards Werner Antweiler, Murray Z. Frank · The Journal of Finance | 6 May 2004 | 2,453 |
Citations are OpenAlex's own counts, from its 2026-09-23 snapshot, so the ranking can differ from Google Scholar or Web of Science. A paper is listed for a field when OpenAlex files it under one of the field's topics; retracted papers and papers whose citation count cannot be traced to citing works are left out, and a preprint and the article it became are shown once. Release dates are OpenAlex's: where a source gave only a month or a year, that is what is shown. How the lists are chosen.