Using Generalized Method of Moments to Test Mean‐Variance Efficiency

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

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 Behavior of Stock-Market Prices

1965 • 8,575 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

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1982 • 1,846 citations

An Introduction to Bayesian Inference in Econometrics.

1972 • 1,749 citations

Foundations of Finance.

1977 • 1,197 citations

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

1974 • 921 citations

Empirical Tests of the Consumption‐Oriented CAPM

1989 • 759 citations

Intertemporal asset pricing

1990 • 647 citations

Multivariate tests of financial models

1982 • 632 citations

A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty

1988 • 621 citations

On the exclusion of assets from tests of the two-parameter model

1982 • 532 citations

Heteroskedasticity in Stock Returns

1990 • 485 citations

Multivariate tests of the zero-beta CAPM

1985 • 460 citations

The empirical foundations of the arbitrage pricing theory

1988 • 388 citations

Risk and Return in an Equilibrium APT

1987 • 343 citations

Tests of Financial Models in the Presence of Overlapping Observations

1991 • 276 citations

Potential performance and tests of portfolio efficiency

1982 • 274 citations

Multivariate proxies and asset pricing relations

1987 • 233 citations

On correlations and inferences about mean-variance efficiency

1987 • 165 citations

On multivariate tests of the CAPM

1987 • 157 citations

Nonnormalities and Tests of Asset Pricing Theories

1989 • 127 citations

A Bayesian Robust Detection of Shift in the Risk Structure of Stock Market Returns

1982 • 82 citations

Market Models and Heteroscedasticity of Residual Security Returns

1983 • 30 citations

An analysis of multivariate financial tests

1985 • 19 citations

Conditional heteroskedasticity in the market

1988 • 7 citations