Topic · Market Dynamics and Volatility
Most cited papers in Market Dynamics and Volatility
What are the most cited papers in Market Dynamics and Volatility?
The most cited paper in Market Dynamics and Volatility is "Generalized autoregressive conditional heteroskedasticity" (Tim Bollerslev, 1986), with 22,677 citations. Next come "Statistical analysis of cointegration vectors" (16,966) and "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks" (8,790).
Showing 50 of 98 papers. Every paper with more than 1,732 citations is listed.
| # | Paper | ||
|---|---|---|---|
| 1 | Generalized autoregressive conditional heteroskedasticity Tim Bollerslev · Journal of Econometrics | Apr 1986 | 22,677 |
| 2 | Statistical analysis of cointegration vectors Søren Johansen · Journal of Economic Dynamics and Control | Jun 1988 | 16,966 |
| 3 | 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 |
| 4 | Does the Stock Market Overreact? Werner F. M. De Bondt, Richard H. Thaler · The Journal of Finance | Jul 1985 | 7,335 |
| 5 | Dynamic Conditional Correlation Robert F. Engle · Journal of Business and Economic Statistics | Jul 2002 | 7,250 |
| 6 | The arbitrage theory of capital asset pricing Stephen A. Ross · Journal of Economic Theory | Dec 1976 | 7,226 |
| 7 | PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS Peter L. Pedroni · Econometric Theory | Jun 2004 | 6,683 |
| 8 | Generalized impulse response analysis in linear multivariate models M. Hashem Pesaran, Yongcheol Shin · Economics Letters | 1998 | 6,198 |
| 9 | Statistical inference in vector autoregressions with possibly integrated processes Hiro Y. Toda, Taku Yamamoto · Journal of Econometrics | Mar 1995 | 6,075 |
| 10 | The Impact of Uncertainty Shocks Nicholas Bloom · Econometrica | 2009 | 5,984 |
| 11 | 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 |
| 12 | Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis Eric W. Zivot, Donald W. K. Andrews · Journal of Business and Economic Statistics | 2002 | 5,801 |
| 13 | Spurious regression and residual-based tests for cointegration in panel data Chihwa D. Kao · Journal of Econometrics | May 1999 | 5,794 |
| 14 | Strategic Factor Markets: Expectations, Luck, and Business Strategy Jay Bryan Barney · Management Science | Oct 1986 | 5,592 |
| 15 | Threshold effects in non-dynamic panels: Estimation, testing, and inference Bruce E. Hansen · Journal of Econometrics | Dec 1999 | 5,173 |
| 16 | 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 |
| 17 | Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* Richard H. Clarida, Jordi Gaĺı, Mark L. Gertler · The Quarterly Journal of Economics | Feb 2000 | 4,787 |
| 18 | Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach Frank R. Smets, Rafael Wouters · American Economic Review | May 2007 | 4,754 |
| 19 | Trends and random walks in macroeconmic time series Charles R. Nelson, Charles R. Plosser · Journal of Monetary Economics | 1982 | 4,725 |
| 20 | Estimation and Inference of Impulse Responses by Local Projections Òscar Jordà · American Economic Review | Feb 2005 | 4,713 |
| 21 | On the network topology of variance decompositions: Measuring the connectedness of financial firms Francis X. Diebold, Kamil Yılmaz · Journal of Econometrics | 24 Apr 2014 | 4,689 |
| 22 | Multivariate Simultaneous Generalized ARCH Robert F. Engle, Kenneth F. Kroner · Econometric Theory | Feb 1995 | 4,600 |
| 23 | Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors Peter L. Pedroni · Oxford Bulletin of Economics and Statistics | Nov 1999 | 4,404 |
| 24 | ARCH modeling in finance Tim Bollerslev, Ray Yeutien Chou, Kenneth F. Kroner · Journal of Econometrics | Apr 1992 | 4,383 |
| 25 | Expected stock returns and volatility Kenneth R. French, G. William Schwert, Robert F. Stambaugh · Journal of Financial Economics | Sep 1987 | 4,285 |
| 26 | Empirical exchange rate models of the seventies Richard A. Meese, Kenneth Rogoff · Journal of International Economics | Feb 1983 | 4,229 |
| 27 | Business conditions and expected returns on stocks and bonds Eugene F. Fama, Kenneth R. French · Journal of Financial Economics | Nov 1989 | 4,174 |
| 28 | Unit root tests for panel data In Ae Choi · Journal of International Money and Finance | Apr 2001 | 4,136 |
| 29 | Measuring Geopolitical Risk Dario Caldara, Matteo M. Iacoviello · American Economic Review | 31 Mar 2022 | 3,687 |
| 30 | Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances Tim Bollerslev, Jeffrey M. Wooldridge · Econometric Reviews | 1992 | 3,345 |
| 31 | 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 |
| 32 | Numerical distribution functions for unit root and cointegration tests James G. MacKinnon · Journal of Applied Econometrics | Nov 1996 | 3,125 |
| 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 | Motivation Crowding Theory Bruno S. Frey, Reto Jegen · Journal of Economic Surveys | Dec 2001 | 3,053 |
| 35 | The Importance of Climate Risks for Institutional Investors Philipp Krueger, Zacharias Sautner, Laura T. Starks · Review of Financial Studies | 13 Nov 2019 | 3,023 |
| 36 | The Entropy Law and the Economic Process. M. J. Green, N. Georgescu-Roegen · The Economic Journal | Jun 1973 | 3,013 |
| 37 | Time Varying Structural Vector Autoregressions and Monetary Policy Giorgio E. Primiceri · The Review of Economic Studies | Jul 2005 | 3,000 |
| 38 | Measuring Uncertainty Kyle Jurado, Sydney C. Ludvigson, Serena Ng · American Economic Review | Mar 2015 | 2,997 |
| 39 | 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 |
| 40 | The pricing of commodity contracts Fischer Black · Journal of Financial Economics | 1976 | 2,960 |
| 41 | Macroeconomic Forecasting Using Diffusion Indexes James H. Stock, Mark W. Watson · Journal of Business and Economic Statistics | Apr 2002 | 2,672 |
| 42 | A Simple Approximate Long-Memory Model of Realized Volatility Fulvio Corsi · Journal of Financial Econometrics | 7 Nov 2008 | 2,608 |
| 43 | DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES Clive W. J. Granger · Oxford Bulletin of Economics and Statistics | Aug 1986 | 2,601 |
| 44 | 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 |
| 45 | What Explains the Stock Market's Reaction to Federal Reserve Policy? Ben Bernanke, Kenneth N. Kuttner · The Journal of Finance | 3 May 2005 | 2,481 |
| 46 | Trends and random walks in macroeconomic time series Pierre Perrón · Journal of Economic Dynamics and Control | Jun 1988 | 2,478 |
| 47 | Rare Disasters and Asset Markets in the Twentieth Century* Robert J. Barro · The Quarterly Journal of Economics | 17 Jul 2006 | 2,460 |
| 48 | Some properties of time series data and their use in econometric model specification Clive W. J. Granger · Journal of Econometrics | May 1981 | 2,423 |
| 49 | Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks Junsoo Lee, Mark C. Strazicich · The Review of Economics and Statistics | Nov 2003 | 2,393 |
| 50 | The distribution of realized stock return volatility Torben Gustav Andersen · Journal of Financial Economics | Jul 2001 | 2,378 |
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.