A Test for Multivariate Normality in Stock Returns

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

The Behavior of Stock-Market Prices

1965 • 8,575 citations

Approximation Theorems of Mathematical Statistics

1980 • 5,851 citations

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

1991 • 4,036 citations

Measures of multivariate skewness and kurtosis with applications

1970 • 3,844 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

A Test of the Efficiency of a Given Portfolio

1989 • 2,325 citations

An Introduction to Bayesian Inference in Econometrics.

1974 • 2,058 citations

Theory of Financial Decision Making.

1988 • 2,039 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

Distributions in Statistics: Continuous Multivariate Distributions.

1973 • 1,629 citations

SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*

1976 • 1,562 citations

The Price Variability-Volume Relationship on Speculative Markets

1983 • 1,501 citations

Foundations of Finance.

1977 • 1,197 citations

Stochastic Comparison of Tests

1960 • 354 citations

Using Generalized Method of Moments to Test Mean‐Variance Efficiency

1991 • 292 citations

Cross-Security Tests of the Mixture of Distributions Hypothesis

1986 • 291 citations

A General Distribution for Describing Security Price Returns

1987 • 168 citations

Asset‐pricing Tests under Alternative Distributions

1993 • 162 citations

Consumption, production, inflation and interest rates

1986 • 161 citations

On multivariate tests of the CAPM

1987 • 157 citations

Testing multivariate normality

1978 • 154 citations

Nonnormalities and Tests of Asset Pricing Theories

1989 • 127 citations

An analysis of multivariate financial tests

1985 • 19 citations

Deleted Work

1955 • 0 citations