Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence

The Statistical Analysis of Time Series.

1995 • 2,128 citations

The Present-Value Relation: Tests Based on Implied Variance Bounds

1981 • 1,402 citations

Bubbles, Rational Expectations and Financial Markets

1982 • 459 citations

The Use of Volatility Measures in Assessing Market Efficiency*

1981 • 347 citations

The ‘peso problem’ in testing the efficiency of forward exchange markets

1980 • 315 citations

The Statistical Analysis of Time Series.

1996 • 292 citations

Variance Bounds in a Simple Model of Asset Pricing

1982 • 51 citations

Time series evidence on the expectations hypothesis of the term structure

1984 • 7 citations

The term structure of interest rates in an expanded market model

1980 • 4 citations

Time series evidence on the expectations hypothesis of the term structure

1984 • 4 citations