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

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

1987 • 30,456 citations

Distribution of the Estimators for Autoregressive Time Series with a Unit Root

1979 • 20,919 citations

Statistical analysis of cointegration vectors

1988 • 16,501 citations

MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY

1990 • 14,144 citations

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

1981 • 14,059 citations

Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

1985 • 6,148 citations

DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES

1986 • 2,603 citations

Measuring the Information Content of Stock Trades

1991 • 1,793 citations

Informed Speculation with Imperfect Competition

1989 • 956 citations

An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks

1992 • 906 citations

Insider Trading in Continuous Time

1992 • 485 citations

Asymmetric Information and Options

1993 • 331 citations

Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets

1995 • 326 citations

Market Integration and Price Execution for NYSE‐Listed Securities

1993 • 252 citations

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

1979 • 160 citations

Price discovery in securities markets

1986 • 109 citations