Modeling Stock Prices without Knowing How to Induce Stationarity

Estimating the Dimension of a Model

1978 • 43,634 citations

Co-Integration and Error Correction: Representation, Estimation, and Testing

1987 • 30,456 citations

Information Theory and an Extension of the Maximum Likelihood Principle

1998 • 16,234 citations

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 citations

Efficient Capital Markets: A Review of Theory and Empirical Work

1970 • 10,493 citations

The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

1988 • 3,689 citations

Stock Prices, Earnings, and Expected Dividends

1988 • 2,383 citations

Cointegration and Tests of Present Value Models

1987 • 2,166 citations

An Introduction to Bayesian Inference in Econometrics.

1974 • 2,058 citations

An Introduction to Bayesian Inference in Econometrics.

1972 • 1,749 citations

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

1981 • 1,402 citations

Forecasting and conditional projection using realistic prior distributions

1984 • 1,111 citations

The Determinants of the Variability of Stock Market Prices

1981 • 624 citations

Integration Versus Trend Stationary in Time Series

1992 • 521 citations

Variance Bounds Tests and Stock Price Valuation Models

1986 • 497 citations

Dividend variability and variance bounds tests for the rationality of stock market prices

1983 • 456 citations

The power problems of unit root test in time series with autoregressive errors

1992 • 409 citations

Dividend Innovations and Stock Price Volatility

1988 • 363 citations

The Use of Volatility Measures in Assessing Market Efficiency*

1981 • 347 citations

To criticize the critics: An objective bayesian analysis of stochastic trends

1991 • 322 citations

Trends versus Random Walks in Time Series Analysis

1988 • 267 citations

An Unbiased Reexamination of Stock Market Volatility

1985 • 202 citations

On the current state of the stock market rationality hypothesis

1985 • 136 citations

Macroeconomics and Finance: Essays in Honor of Franco Modigliani

1988 • 99 citations

Common-stock indexes

1939 • 90 citations

Co-integration and trend-stationarity in macroeconomic time series

1992 • 82 citations

A bayesian approach to testing the arbitrage pricing theory

1991 • 81 citations

The Temporal Stability of Dividends and Stock Prices: Evidence from the Likelihood Function

1991 • 66 citations

BVARTEC - Bayesian Vector Auto Regressions with Time Varying Error-Covariances

1992 • 2 citations

Deleted Work

1955 • 0 citations