Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close

Estimating the Dimension of a Model

1978 • 43,634 citations

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

1980 • 25,774 citations

The General Theory of Employment, Interest and Money.

1936 • 14,151 citations

Expected stock returns and volatility

1987 • 4,291 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

The Relation Between Price Changes and Trading Volume: A Survey

1987 • 2,469 citations

The stochastic behavior of common stock variances Value, leverage and interest rate effects

1982 • 2,405 citations

The Variation of Economic Risk Premiums

1991 • 1,745 citations

Transmission of Volatility between Stock Markets

1990 • 1,508 citations

Alternative models for conditional stock volatility

1990 • 1,337 citations

Stock Volatility and the Crash of ’87

1990 • 1,003 citations

An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks

1992 • 906 citations

The Dynamics of Stock Index and Stock Index Futures Returns

1990 • 839 citations

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

1986 • 828 citations

Trading Mechanisms and Stock Returns: An Empirical Investigation

1987 • 780 citations

The Dependence between Hourly Prices and Trading Volume

1988 • 700 citations

Variance Function Estimation

1987 • 649 citations

A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL*

1976 • 635 citations

An Investigation of Transactions Data for NYSE Stocks

1985 • 580 citations

Stock Market Structure and Volatility

1990 • 580 citations

A Theory of Trading Volume

1986 • 565 citations

Some New Stock-Market Indexes

1966 • 558 citations

A Model of Asset Trading Under the Assumption of Sequential Information Arrival

1976 • 530 citations

Heteroskedasticity in Stock Returns

1990 • 485 citations

The Variability of the Market Factor of the New York Stock Exchange

1973 • 481 citations

Periodic market closure and trading volume

1992 • 455 citations

Unit Roots in Time Series Models: Tests and Implications

1986 • 421 citations

Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market

1991 • 307 citations

Cross-Security Tests of the Mixture of Distributions Hypothesis

1986 • 291 citations

Volatility in the Foreign Currency Futures Market

1991 • 282 citations

An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964–1989

1990 • 249 citations

Margin Regulation and Stock Market Volatility

1990 • 198 citations

Unit Roots in Time Series Models: Tests and Implications

1986 • 169 citations

Transactional Risk, Market Crashes, and the Role of Circuit Breakers

1991 • 150 citations

Transactional risk, market crashes, and the role of circuit breakers

1993 • 136 citations

Exchange and production; theory in use

1969 • 129 citations

The Task Force Report: The Reasoning Behind the Recommendations

1988 • 118 citations

An analysis of transactions data for the Toronto Stock Exchange

1990 • 115 citations

Intraday patterns in the S&P 500 index futures market

1992 • 69 citations

An Introduction to Options and Futures.

1990 • 56 citations

Information dissemination, market efficiency and the frequency of transactions

1979 • 55 citations

The Probability of a Trade at the Ask: An Examination of Interday and Intraday Behavior

1992 • 54 citations

Explaining intra-day and overnight price behavior

1989 • 38 citations

A Formal Dynamic Model of Market Making

1979 • 29 citations

Introduction to NBER Symposium on the October 1987 Crash

1990 • 27 citations

The Stock Exchange Specialist: An Economic and Legal Analysis

1970 • 4 citations

Program trading and price movements

1990 • 4 citations