Learning, regime switches, and equilibrium asset pricing dynamics

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

1989 • 9,360 citations

Asset Prices in an Exchange Economy

1978 • 5,134 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

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

1991 • 488 citations

How Learning in Financial Markets Generates Excess Volatility and Predictability in Stock Prices

1993 • 463 citations

Mean Reversion in Equilibrium Asset Prices

1990 • 455 citations

Drawing inferences from statistics based on multiyear asset returns

1989 • 434 citations

The Behavior of the Exchange Rate in the Genetic Algorithm and Experimental Economies

1996 • 346 citations

Solving the Stochastic Growth Model by Parameterizing Expectations

1990 • 290 citations

Is the Stabilization of the Postwar Economy a Figment of the Data

2016 • 255 citations

The equity premium and the risk-free rate

1993 • 196 citations

The equity premium and the risk-free rate: matching the moments

1991 • 158 citations

Stock prices under time-varying dividend risk

1988 • 150 citations

Solving the Stochastic Growth Model by Parameterizing Expectations

1990 • 97 citations

Adaptive forecasts, hysteresis, and endogenous fluctuations

1993 • 62 citations

Can a well‐fitted equilibrium asset‐pricing model produce mean reversion?

1994 • 61 citations

Financial Market Efficiency Tests

1992 • 46 citations

Evaluating Empirical Tests of Asset Pricing Models: Alternative Interpretations

2016 • 43 citations

Why Don't the Prices of Stocks and Bonds Move Together?

1986 • 5 citations

Can Well-Fitted Equilibrium Asset Pricing Model Produce Mean Reversion?

1991 • 1 citations