A New Approach to International Arbitrage Pricing

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 arbitrage theory of capital asset pricing

1976 • 7,056 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

Martingales and arbitrage in multiperiod securities markets

1979 • 3,734 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 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

Stock Prices and Volume

1992 • 1,388 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

The World Price of Covariance Risk

1991 • 1,115 citations

The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models

1987 • 1,016 citations

Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets

1983 • 950 citations

Chaos and Nonlinear Dynamics: Application to Financial Markets

1991 • 947 citations

The Economics of Information and Uncertainty

1982 • 874 citations

A model of international asset pricing

1981 • 846 citations

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

2014 • 628 citations

Industrial Structure and the Comparative Behavior of International Stock Market Indices

1992 • 603 citations

A Simple Approach to the Valuation of Risky Streams

1978 • 602 citations

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

1992 • 534 citations

Arbitrage and equilibrium in economies with infinitely many commodities

1981 • 513 citations

Funds, Factors, and Diversification in Arbitrage Pricing Models

1983 • 499 citations

Semiparametric ARCH Models

1991 • 487 citations

Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications

1989 • 461 citations

Exchange rates and international macroeconomics

1984 • 403 citations

Session Topic: Capital Asset Pricing Models in an International Context

1974 • 391 citations

The International Pricing of Risk: An Empirical Investigation of the World Capital Market Structure

1974 • 360 citations

Global financial markets and the risk premium on U.S. equity

1992 • 345 citations

Risk and Return in an Equilibrium APT

1987 • 343 citations

A unified beta pricing theory

1984 • 333 citations

Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained From Financial Market Data

1986 • 313 citations

On learning the derivatives of an unknown mapping with multilayer feedforward networks

1992 • 309 citations

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

1983 • 294 citations

Were Japanese stock prices too high?

1991 • 291 citations

Asset Prices in a Production Economy

1982 • 281 citations

Mean-Variance Theory in Complete Markets

1982 • 276 citations

No Arbitrage and Arbitrage Pricing: A New Approach

1993 • 265 citations

International Arbitrage Pricing Theory

1983 • 255 citations

Risk, uncertainty, and exchange rates

1989 • 238 citations

Multivariate proxies and asset pricing relations

1987 • 233 citations

Some tests of international equity integration

1988 • 225 citations

An Empirical Investigation of International Asset Pricing

1989 • 214 citations

Semiparametric ARCH Models

1991 • 204 citations

The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets

1989 • 195 citations

Factor pricing in a finite economy

1983 • 187 citations

On Fitting A Recalcitrant Series: The Pound/Dollar Exchange Rate, 1974- 83

1988 • 177 citations

Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution

1990 • 166 citations

An explicit bound on individual assets' deviations from APT pricing in a finite economy

1983 • 158 citations

Currency prices, terms of trade, and interest rates: A general equilibrium asset-pricing cash-in-advance approach

1985 • 153 citations

TESTING INTERNATIONAL ASSET PRICING: SOME PESSIMISTIC VIEWS

1977 • 134 citations

A General Equilibrium Model of Changing Risk Premia: Theory and Tests

1989 • 81 citations

Temporal Aggregation and the Continuous‐Time Capital Asset Pricing Model

1989 • 78 citations

An Intertemporal Equilibrium Beta Pricing Model

1989 • 73 citations

The world price of exchange rate risk

1992 • 67 citations

Equity risk premia and the pricing of foreign exchange risk

1992 • 67 citations

Identification and consistency in semi-nonparametric regression

2008 • 50 citations

The Mochiai effect

1989 • 35 citations

Arbitrage Asset Pricing under Exchange Risk

1991 • 34 citations

Theory of Valuation: Frontiers of Modern Financial Theory

1989 • 34 citations

ARE JAPANESE STOCK PRICES TOO HIGH

1990 • 9 citations

A Contingent Claim Approach to Performance Evaluation

1993 • 9 citations

A note on a simplified approach to the valuation of risky streams

1984 • 9 citations