An Examination of the Robustness of the Weekend Effect

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

1980 • 25,774 citations

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

Exploratory Data Analysis

1977 • 12,265 citations

The Behavior of Stock-Market Prices

1965 • 8,575 citations

Regression Diagnostics -- Identifying Influential Data and Sources of Collinearity

1981 • 6,625 citations

Robust Estimation of a Location Parameter

1964 • 6,342 citations

The variation of certain speculative prices

1997 • 4,766 citations

The theory and practice of econometrics

1986 • 4,551 citations

A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return

1987 • 2,601 citations

Robust Regression: Asymptotics, Conjectures and Monte Carlo

1973 • 2,229 citations

Variations of Box Plots

1978 • 2,064 citations

Modelling the persistence of conditional variances

1986 • 2,029 citations

Stock returns and the weekend effect

1980 • 1,965 citations

Generalized autoregressive conditional heteroscedasticity

1986 • 1,914 citations

Stock return variances

1986 • 1,878 citations

Day of the Week Effects and Asset Returns

1981 • 1,198 citations

Specification Searches: Ad Hoc Inference with Non-Experimental Data.

1981 • 1,125 citations

A STATISTICAL PARADOX

1957 • 947 citations

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

1974 • 921 citations

Applications, Basics and Computing of Exploratory Data Analysis.

1983 • 894 citations

Mandelbrot and the Stable Paretian Hypothesis

1963 • 832 citations

A transaction data study of weekly and intradaily patterns in stock returns

1986 • 828 citations

A Further Investigation of the Weekend Effect in Stock Returns

1984 • 788 citations

The Week‐End Effect in Common Stock Returns: The International Evidence

1985 • 706 citations

Stock market seasonality

1983 • 594 citations

The Theory and Practice of Econometrics (2nd ed.).

1986 • 450 citations

New Findings Regarding Day‐of‐the‐Week Returns over Trading and Non‐Trading Periods: A Note

1984 • 449 citations

Asymptotic Theory of Least Absolute Error Regression

1978 • 442 citations

Weekend Effects on Stock Returns: A Note

1982 • 438 citations

Trimmed Least Squares Estimation in the Linear Model

1980 • 436 citations

Day-of-the-week and intraday effects in stock returns

1986 • 339 citations

Model specification tests

1982 • 294 citations

An Empirical Quantile Function for Linear Models with iid Errors

1982 • 207 citations

Small-Sample Properties of ARCH Estimators and Tests

1985 • 188 citations

The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator

1987 • 182 citations

Asymptotic Behavior of $M$-Estimators for the Linear Model

1979 • 178 citations

Weaker Criteria and Tests for Linear Restrictions in Regression

1972 • 165 citations

Basic Issues in Econometrics

1986 • 158 citations

From T‐Bills to Common Stocks: Investigating the Generality of Intra‐Week Return Seasonality

1988 • 146 citations

An Empirical Quantile Function for Linear Models with | operatornameiid Errors

1982 • 137 citations

Sets of Posterior Means with Bounded Variance Priors

1982 • 136 citations

A Bayesian approach to testing portfolio efficiency

1987 • 119 citations

Robust methods in econometrics

1982 • 95 citations

New Cambridge elementary statistical tables

1953 • 93 citations

Model Selection when There is "Minimal" Prior Information

1984 • 56 citations

Mean-Absolute-Deviation Versus Least-Squares Regression Estimation of Beta Coefficients

1978 • 36 citations

INTRADAY AND OVERNIGHT RETURNS AND DAY‐OF‐THE‐WEEK EFFECTS

1985 • 26 citations

Global Sensitivity Results for Generalized Least Squares Estimates

1984 • 25 citations

Robust Sets of Regression Estimates

1983 • 19 citations

The Ubiquitous Role off'/fin Efficient Estimation of Location

1983 • 8 citations

A Diagnostic Test for Normality Within the Power Exponential Family

1986 • 6 citations