Testing for Linear and Nonlinear Granger Causality in the Stock Price‐Volume Relation

A new look at the statistical model identification

1974 • 46,507 citations

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

1980 • 25,774 citations

Investigating Causal Relations by Econometric Models and Cross-spectral Methods

1969 • 21,257 citations

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

1982 • 19,770 citations

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

Approximation Theorems of Mathematical Statistics

1980 • 5,851 citations

Introduction to Statistical Time Series

1978 • 4,545 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

The Relation Between Price Changes and Trading Volume: A Survey

1987 • 2,469 citations

Positive Feedback Investment Strategies and Destabilizing Rational Speculation

1990 • 2,212 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,759 citations

Trading Volume and Serial Correlation in Stock Returns

1993 • 1,580 citations

Stock Prices and Volume

1992 • 1,388 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,128 citations

Mean Reversion in Stock Prices

1996 • 1,111 citations

Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects

1990 • 1,080 citations

ARCH models as diffusion approximations

1990 • 974 citations

The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis

1976 • 967 citations

Chaos and Nonlinear Dynamics: Application to Financial Markets

1991 • 947 citations

Introduction to Statistical Time Series

1995 • 933 citations

Nonlinear Dynamics and Stock Returns

1989 • 784 citations

Forecasting Economic Time Series

1986 • 748 citations

The Dependence between Hourly Prices and Trading Volume

1988 • 700 citations

Comparing alternative tests of causality in temporal systems

1983 • 643 citations

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

1976 • 635 citations

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

1976 • 530 citations

Nonlinear Dynamics, Chaos and Instability Statistical Theory and Economic Evidence.

1993 • 509 citations

Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence

1991 • 488 citations

Nonlinear Dynamic Structures

1993 • 465 citations

An Equilibrium Model of Asset Trading with Sequential Information Arrival

1981 • 412 citations

Lag-Length Selection and Tests of Granger Causality Between Money and Income

1985 • 278 citations

Evidence of Nonlinearity in Daily Stock Returns

1985 • 266 citations

Nonlinear modeling and forecasting

1993 • 251 citations

INFERENCE AND CAUSALITY IN ECONOMIC TIME SERIES MODELS

1984 • 247 citations

Testing for a Unit Root in Time Series with Pretest Data-Based Model Selection

1994 • 246 citations

On U-statistics and v. mise? statistics for weakly dependent processes

1983 • 221 citations

Tests for serial correlation in regression analysis based on the periodogram of least-squares residuals

1969 • 215 citations

An empirical analysis of the stock price-volume relationship

1988 • 187 citations

Temporary Components of Stock Prices: A Skeptic's View

1993 • 187 citations

The Dependence of Prices and Volume

1978 • 182 citations

A Direct Test of the Mixture of Distributions Hypothesis: Measuring the Daily Flow of Information

1994 • 145 citations

Chapter 19 Inference and causality in economic time series models

1984 • 133 citations

Beyond Belief: Randomness, Prediction and Explanation in Science

1990 • 110 citations

Evidence of Nonlinearity in Daily Stock Returns

1985 • 102 citations

A comparison of lag–length selection techniques in tests of Granger causality between money growth and inflation: evidence for the US, 1959–86

1989 • 97 citations

A Nonparametric Test For Independence Of A Multivariate Time Series

1989 • 62 citations

Forecasting in business and economics

1990 • 55 citations

Past price changes and current trading volume

1989 • 50 citations

Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection

1992 • 48 citations

Persistence of the Dow Jones Index on Rising Volume

1992 • 46 citations

A Nonparametric Test for Independence of a Multivariate Time Series

2001 • 45 citations

Trading volume and return reversals

1992 • 15 citations

Deleted Work

1955 • 0 citations