Accounting for Forward Rates in Markets for Foreign Currency

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

1987 • 15,268 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

The equity premium: A puzzle

1985 • 5,686 citations

Asset Prices in an Exchange Economy

1978 • 5,134 citations

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

1991 • 4,036 citations

Habit Formation: A Resolution of the Equity Premium Puzzle

1990 • 2,223 citations

Forward and spot exchange rates

1984 • 2,213 citations

An Intertemporal General Equilibrium Model of Asset Prices

1985 • 2,096 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1982 • 1,846 citations

Interest rates and currency prices in a two-country world

1982 • 1,337 citations

Implications of Security Market Data for Models of Dynamic Economies

1991 • 1,158 citations

Anomalies: Foreign Exchange

1990 • 955 citations

Forward Discount Bias: Is it an Exchange Risk Premium?

1989 • 756 citations

The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets

2014 • 628 citations

Economic Significance of Predictable Variations in Stock Index Returns

1989 • 602 citations

Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth

1989 • 553 citations

Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets

1992 • 534 citations

The "Speculative Efficiency" Hypothesis

1981 • 440 citations

An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications

1995 • 423 citations

The Time Series Consumption Function Revisited

1985 • 416 citations

International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence

1982 • 379 citations

Habit persistence and durability in aggregate consumption

1991 • 350 citations

Asset‐pricing Puzzles and Incomplete Markets

1993 • 333 citations

An investigation of risk and return in forward foreign exchange

1984 • 332 citations

The ‘peso problem’ in testing the efficiency of forward exchange markets

1980 • 315 citations

Modeling the term structure of interest rates under non-separable utility and durability of goods

1986 • 315 citations

Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models

1983 • 294 citations

Asset pricing with undiversifiable income risk and short sales constraints

1994 • 286 citations

Exchange Rates and International Macroeconomics

1983 • 284 citations

On biases in the measurement of foreign exchange risk premiums

1993 • 284 citations

The empirical evidence on the efficiency of forward and futures foreign exchange markets

1988 • 260 citations

Changing Beliefs and Systematic Rational Forecast Errors with Evidence from Foreign Exchange

1989 • 260 citations

The Interaction Between Time-Nonseparable Preferences and Time Aggregation

1993 • 256 citations

Testing Rational Expectations and Efficiency in the Foreign Exchange Market

1983 • 187 citations

On time varying risk premia in the foreign exchange market: An econometric analysis

1985 • 177 citations

Consumption, asset markets and macroeconomic fluctuations

1982 • 146 citations

The Pricing of Forward Contracts for Foreign Exchange

1985 • 142 citations

An Equilibrium Model of Exchange Rate Determination and Asset Pricing with Nontraded Goods and Imperfect Information

1987 • 129 citations

Foreign exchange market efficiency tests: Implications of recent empirical findings

1986 • 107 citations

The Variability of Velocity in Cash-in-Advance Models

1991 • 107 citations

Market Microstructure Effects of Government Intervention in the Foreign Exchange Market

1991 • 99 citations

Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data

1990 • 98 citations

On the foreign exchange risk premium in a general equilibrium model

1992 • 98 citations

Estimating the Continuous-Time Consumption-Based Asset-Pricing Model

1987 • 88 citations

Is it risk?

1988 • 85 citations

Equity risk premia and the pricing of foreign exchange risk

1992 • 67 citations

Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis

1984 • 64 citations

The impact of data errors on measurement of the foreign exchange risk premium

1989 • 48 citations

Forward exchange rates and risk premiums in artificial economies

1991 • 42 citations

The Currency-hedging debate

1990 • 26 citations

Nominal Profits, Risk and Uncertainty in Foreign Exchange Markets

1988 • 5 citations

Deleted Work

1955 • 0 citations