Adjusting for the intervalling effect bias in beta

An Analysis of Transformations

1964 • 13,718 citations

Estimating betas from nonsynchronous data

1977 • 2,887 citations

Risk measurement when shares are subject to infrequent trading

1979 • 2,767 citations

A New Test for Heteroskedasticity

1969 • 524 citations

An Almost Unbiased Method of Obtaining Confidence Intervals for the Probability of Misclassification in Discriminant Analysis

1967 • 506 citations

Friction in the trading process and the estimation of systematic risk

1983 • 362 citations

The Capital Asset Pricing Model and the Investment Horizon

1977 • 266 citations

The Microstructure of Securities Markets.

1986 • 178 citations

Implications of Microstructure Theory for Empirical Research on Stock Price Behavior

1980 • 172 citations

Estimating and Adjusting for the Intervalling-Effect Bias in Beta

1983 • 154 citations

A New Test for Heteroskedasticity

1969 • 124 citations

The Market Model Applied to European Common Stocks: Some Empirical Results

1974 • 101 citations

COMPARATIVE ANALYSIS OF RISK MEASURES: FRANCE AND THE UNITED STATES*

1974 • 81 citations

The Effect of Intervaling on Estimating Parameters of the Capital Asset Pricing Model

1978 • 72 citations

Intertemporal Cross-Dependence in Securities Daily Returns and the Short-Run Intervaling Effect on Systematic Risk

1980 • 71 citations

Evidence on the Presence and Causes of Serial Correlation in Market Model Residuals

1977 • 61 citations

Comparative Analysis of Risk Measures: France and the United States

1974 • 43 citations

Implications of Microstructure Theory for Empirical Research on Stock Price Behavior

1980 • 41 citations

THE EFFECT OF INTERVAL SELECTION ON THE PARAMETERS OF THE MARKET MODEL AS APPLIED TO BOND RETURNS*

1979 • 8 citations