A Direct Test of the Mixture of Distributions Hypothesis: Measuring the Daily Flow of Information

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

Theory of Financial Decision Making.

1988 • 2,039 citations

The Price Variability-Volume Relationship on Speculative Markets

1983 • 1,501 citations

Stock Prices and Volume

1992 • 1,388 citations

Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects

1990 • 1,080 citations

ARCH models as diffusion approximations

1990 • 974 citations

The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis

1976 • 967 citations

A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices

1974 • 921 citations

A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets

1990 • 818 citations

The Dependence between Hourly Prices and Trading Volume

1988 • 700 citations

Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models

1993 • 645 citations

Transaction Data Tests of the Mixture of Distributions Hypothesis

1987 • 335 citations

Cross-Security Tests of the Mixture of Distributions Hypothesis

1986 • 291 citations

Endogenous Trading Volume and Momentum in Stock-Return Volatility

1994 • 230 citations

Can Speculative Trading Explain the Volume–Volatility Relation?

1995 • 117 citations