A New Test of the Three-Moment Capital Asset Pricing Model

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Approximation Theorems of Mathematical Statistics

1980 • 5,851 citations

Introduction to Statistical Time Series

1978 • 4,545 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*

1976 • 1,562 citations

Multivariate tests of financial models

1982 • 632 citations

An aggregation theorem for securities markets

1974 • 507 citations

The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds

1970 • 451 citations

Multiperiod Consumption-Investment Decisions

1970 • 449 citations

Co‐Skewness and Capital Asset Pricing

1980 • 260 citations

Stocks, bonds, bills, and inflation : the past and the future

1982 • 178 citations

Arbitrage Equilibrium with Skewed Asset Returns

1985 • 144 citations

A Simple Econometric Approach for Utility‐Based Asset Pricing Models

1985 • 128 citations

Asset Pricing, Higher Moments, and the Market Risk Premium: A Note

1985 • 102 citations

THE STRUCTURE OF SKEWNESS PREFERENCES IN ASSET PRICING MODELS WITH HIGHER MOMENTS: AN EMPIRICAL TEST

1988 • 58 citations