One Security, Many Markets: Determining the Contributions to Price Discovery

Co-Integration and Error Correction: Representation, Estimation, and Testing

1987 • 30,456 citations

Time Series Analysis.

1995 • 11,935 citations

Time Series Analysis

1994 • 6,582 citations

Inferring Trade Direction from Intraday Data

1991 • 2,983 citations

Cointegration and Tests of Present Value Models

1987 • 2,166 citations

Introduction to Multiple Time Series Analysis

1993 • 2,070 citations

Testing for Common Trends

1988 • 1,998 citations

Measuring the Information Content of Stock Trades

1991 • 1,793 citations

Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data.

1996 • 1,690 citations

Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

1993 • 1,674 citations

Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom

1978 • 1,632 citations

Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots

1991 • 1,327 citations

Stealth trading and volatility

1993 • 1,007 citations

The Effect of Bond Rating Agency Announcements on Bond and Stock Prices

1992 • 966 citations

The Dynamics of Stock Index and Stock Index Futures Returns

1990 • 839 citations

NBER Macroeconomics Annual 1990

1992 • 735 citations

A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market

1992 • 662 citations

Price Movements and Price Discovery in Futures and Cash Markets

1983 • 627 citations

The Summary Informativeness of Stock Trades: An Econometric Analysis

1991 • 571 citations

Introduction to Multiple Time Series Analysis

1993 • 563 citations

Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement

1993 • 524 citations

Trades, quotes, inventories, and information

1988 • 517 citations

Handbook of Econometrics.

1987 • 510 citations

The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index

1987 • 491 citations

Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets

1990 • 455 citations

Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets

1995 • 393 citations

Option Prices as Predictors of Equilibrium Stock Prices

1982 • 381 citations

Equilibrium Block Trading and Asymmetric Information

1990 • 331 citations

Vector autoregressions and cointegration

1993 • 289 citations

Interpreting cointegrated models

1988 • 246 citations

Consolidation, Fragmentation, and Market Performance

1987 • 229 citations

Liquidity of the CBOE Equity Options

1990 • 217 citations

Price Changes of Related Securities: The Case of Call Options and Stocks

1987 • 204 citations

The effects of option listing on the underlying stocks' return processes

1991 • 191 citations

The October 1987 S&P 500 Stock‐Futures Basis

1989 • 169 citations

Order Arrival, Quote Behavior, and the Return‐Generating Process

1987 • 161 citations

Dominant and Satellite Markets: A Study of Dually-Traded Securities

1979 • 160 citations

Electronic Screen Trading and the Transmission of Information: An Empirical Examination

1994 • 150 citations

Prices Are Property: The Organization of Financial Exchanges from a Transaction Cost Perspective

1991 • 141 citations

Market Making and the Changing Structure of the Securities Industry

1985 • 140 citations

Common nonstationary components of asset prices

1988 • 125 citations

Stock Index Futures: Does the Tail Wag the Dog?

1987 • 50 citations

The internationalisation of capital markets and the regulatory response

1992 • 31 citations

An analysis of the economic justification for consolidation in a secondary security market

1982 • 26 citations

Temporary Components of Stock Prices: New Univariate Results

1993 • 25 citations

The Information Content of Prices

2018 • 23 citations

The Effect of Television Station Ownership on Local News Ratings

1982 • 18 citations

Deleted Work

1955 • 0 citations