Flexible exchange rates

Empirical exchange rate models of the seventies

1983 • 4,141 citations

On estimating the expected return on the market

1980 • 2,932 citations

A transaction data study of weekly and intradaily patterns in stock returns

1986 • 828 citations

The Week‐End Effect in Common Stock Returns: The International Evidence

1985 • 706 citations

The Dependence between Hourly Prices and Trading Volume

1988 • 700 citations

The statistical distribution of exchange rates: Empirical evidence and economic implications

1987 • 326 citations

The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement

1982 • 300 citations

An examination of foreign exchange risk under fixed and floating rate regimes

1977 • 240 citations

Empirical Models of the Exchange Rate: Separating the Wheat from the Chaff

1984 • 180 citations

Why interest rates react to money announcements

1984 • 180 citations

Implications of the Discreteness of Observed Stock Prices

1985 • 166 citations

THE IMPACT ON OPTION PRICING OF SPECIFICATION ERROR IN THE UNDERLYING STOCK PRICE RETURNS

1976 • 156 citations

Short-run fluctuations in foreign exchange rates

1982 • 134 citations

The behavior of intra-daily exchange rates

1985 • 103 citations

Empirical Properties of Foreign Exchange Rates

1978 • 97 citations

The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement

1982 • 84 citations

An autoregressive jump process for common stock returns

1977 • 81 citations

International market response to announcements of US macroeconomic data

1987 • 55 citations

The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement—A Comment

1987 • 53 citations

Implications of the Discreteness of Observed Stock Prices

1985 • 52 citations

Speculation and the volatility of foreign currency exchange rates

1987 • 38 citations

The Weekend Game: Clearing House vs Federal Funds

1978 • 30 citations

The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns

1976 • 30 citations

Minute by minute: Efficiency, normality, and randomness in intra-daily asset prices

1987 • 28 citations

The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement--A Comment

1987 • 22 citations

The stochastic properties of term structure movements

1987 • 18 citations

INTRADAY RETURN AND VOLATILITY PATTERNS IN THE STOCK MARKET: FUTURES VERSUS SPOT

1987 • 13 citations

The behavior of flexible exchange rates in the short run — A systematic investigation

1985 • 13 citations