Interest rates and risk premia in the stock market and 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

CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

1964 • 15,720 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk

1964 • 7,201 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

Asset Prices in an Exchange Economy

1978 • 5,134 citations

Expected stock returns and volatility

1987 • 4,291 citations

A Capital Asset Pricing Model with Time-Varying Covariances

1988 • 3,189 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

Asset returns and inflation

1977 • 2,770 citations

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

1982 • 2,405 citations

Forward and spot exchange rates

1984 • 2,213 citations

Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis

1980 • 2,192 citations

Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns

1983 • 1,611 citations

Interest rates and currency prices in a two-country world

1982 • 1,337 citations

A model of international asset pricing

1981 • 846 citations

Conditional variance and the risk premium in the foreign exchange market

1985 • 512 citations

Exchange Rate Theory and Practice

1984 • 506 citations

The "Speculative Efficiency" Hypothesis

1981 • 440 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

Testing asset pricing models with changing expectations and an unobservable market portfolio

1985 • 321 citations

Exchange Rates and International Macroeconomics

1983 • 284 citations

Two-step two-stage least squares estimation in models with rational expectations

1983 • 259 citations

Stock Returns and the Term Structure

1985 • 256 citations

Floating Exchange Rates: Experience and Prospects

1985 • 253 citations

A Capital-Asset Pricing Model with Time-varying Covariances

1995 • 215 citations

Monetary policy regime shifts and the unusual behavior of real interest rates

1986 • 204 citations

The covariation of risk premiums and expected future spot exchange rates

1986 • 197 citations

The Relation between Stock Prices and Inflationary Expectations: The International Evidence

1983 • 190 citations

A Note on Exchange‐Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis

1981 • 186 citations

Why interest rates react to money announcements

1984 • 180 citations

Tests of rational expectations and no risk premium in forward exchange markets

1984 • 158 citations

Do asset-demand functions optimize over the mean and variance of real returns? A six-currency test

1984 • 153 citations

The Real Interest Rate: A Multi-Country Empirical Study

1984 • 116 citations

An integrated view of tests of rationality, market efficiency and the short-run neutrality of monetary policy

1983 • 114 citations

Admissible uncertainty in the intertemporal asset pricing model

1980 • 89 citations

A Note on Exchange-Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis

1981 • 83 citations

The Relation Between Stock Prices and Inflationary Expectations: The International Evidence

1983 • 76 citations

The implications of mean-variance optimization for four questions in international macroeconomics

1986 • 65 citations

Inflation and the Stock Market

1978 • 57 citations