The statistical properties of daily foreign exchange rates: 1974–1983

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

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Maximum Likelihood Estimation of Misspecified Models

1982 • 3,838 citations

Maximum Likelihood Estimation of Misspecified Models

1983 • 3,727 citations

Robust Tests for the Equality of Variances

1974 • 2,665 citations

Stock returns and the weekend effect

1980 • 1,965 citations

Pseudo Maximum Likelihood Methods: Theory

1984 • 1,366 citations

Day of the Week Effects and Asset Returns

1981 • 1,198 citations

Introduction to Mathematical Statistics.

1971 • 804 citations

A Further Investigation of the Weekend Effect in Stock Returns

1984 • 788 citations

Robust Tests for the Equality of Variances

1974 • 556 citations

Conditional variance and the risk premium in the foreign exchange market

1985 • 512 citations

Introduction to Mathematical Statistics.

1966 • 328 citations

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

1987 • 326 citations

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

1977 • 240 citations

A Further Investigation of the Weekend Effect in Stock Returns

1984 • 215 citations

Spot rates, forward rates and exchange market efficiency

1977 • 205 citations

The Random Behavior of Flexible Exchange Rates: Implications for Forecasting

1975 • 147 citations

Short-run fluctuations in foreign exchange rates

1982 • 134 citations

Empirical Properties of Foreign Exchange Rates

1978 • 97 citations

‘WHITE‐NOISE’ IN IMPERFECT MARKETS: THE CASE OF THE FRANC/DOLLAR EXCHANGE RATE

1977 • 75 citations

Speculative behavior of foreign exchange rates during the current float

1978 • 55 citations

A heteroscedasticity-consistent covariance matrix estimator for time series regressions

1983 • 54 citations

The Behavior of Foreign Exchange Rates

1982 • 46 citations

FOREIGN EXCHANGE MARKET EFFICIENCY UNDER FLEXIBLE EXCHANGE RATES

1977 • 34 citations

`White-Noise' in Imperfect Markets: The Case of the Frac/Dollar Exchange Rate

1977 • 15 citations

Foreign Exchange Market Efficiency Under Flexible Exchange Rates

1977 • 10 citations