Conditional variance and the risk premium in the foreign exchange market

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

Maximum Likelihood Estimation of Misspecified Models

1982 • 3,838 citations

Maximum Likelihood Estimation of Misspecified Models

1983 • 3,727 citations

Forward and spot exchange rates

1984 • 2,213 citations

Hypothesis testing when a nuisance parameter is present only under the alternative

1987 • 2,016 citations

Interest rates and currency prices in a two-country world

1982 • 1,337 citations

A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence

1977 • 970 citations

Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative

1977 • 580 citations

Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market

1979 • 494 citations

Diagnostic tests as residual analysis

1983 • 436 citations

International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence

1982 • 379 citations

An investigation of risk and return in forward foreign exchange

1984 • 332 citations

In search of the exchange risk premium: A six-currency test assuming mean-variance optimization

1982 • 313 citations

Exchange Rates and International Macroeconomics

1983 • 284 citations

Misspecified models with dependent observations

1982 • 256 citations

Short-run fluctuations in foreign exchange rates

1982 • 134 citations

The diversifiability of exchange risk

1979 • 123 citations

The information matrix test

1983 • 101 citations

Stochastic prices and tests of efficiency of foreign exchange markets

1980 • 83 citations

Empirical Studies of Exchange Rates: Price Behavior, Rate Determinationand Market Efficiency

1983 • 69 citations

The Economics of Exchange Rates

2004 • 51 citations

Exchange risk and the macroeconomics of exchange rate determination

1980 • 47 citations

The Internationalization of financial markets and national economic policy

1983 • 46 citations