Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models

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

Continuous Auctions and Insider Trading

1985 • 9,651 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

Inferring Trade Direction from Intraday Data

1991 • 2,983 citations

Stock return variances

1986 • 1,878 citations

Measuring the Information Content of Stock Trades

1991 • 1,793 citations

Estimating the components of the bid/ask spread

1988 • 1,681 citations

Asymptotic Theory for Econometricians.

1988 • 1,473 citations

Inferring the Components of the Bid‐Ask Spread: Theory and Empirical Tests

1989 • 951 citations

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

1992 • 906 citations

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

1986 • 828 citations

A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets

1990 • 818 citations

Handbook of Econometrics.

1985 • 815 citations

The Dependence between Hourly Prices and Trading Volume

1988 • 700 citations

Asymptotic Theory for Econometricians

1984 • 602 citations

An Investigation of Transactions Data for NYSE Stocks

1985 • 580 citations

Stock Market Structure and Volatility

1990 • 580 citations

The Summary Informativeness of Stock Trades: An Econometric Analysis

1991 • 571 citations

Trades, quotes, inventories, and information

1988 • 517 citations

Periodic market closure and trading volume

1992 • 455 citations

Volatility in the Foreign Currency Futures Market

1991 • 282 citations

The Local Nature of Hypothesis Tests Involving Inequality Constraints in Nonlinear Models

1991 • 139 citations

A Theory of Common Stock Returns Over Trading and Non‐Trading Periods

1980 • 138 citations

The Bonferroni and the Scheffe Multiple Comparison Procedures

1980 • 89 citations

Subperiod aggregation and the power of multivariate tests of portfolio efficiency

1987 • 43 citations

A Note on a Reformulation of theS-Method of Multiple Comparison

1977 • 18 citations

A Note on a Reformulation of the S-Method of Multiple Comparison

1977 • 16 citations