The Time Variation of Expected Returns and Volatility in Foreign-Exchange Markets

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

1982 • 19,770 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Macroeconomics and Reality

1980 • 12,249 citations

Multivariate Simultaneous Generalized ARCH

1995 • 4,490 citations

ARCH modeling in finance

1992 • 4,478 citations

Empirical exchange rate models of the seventies

1983 • 4,141 citations

Maximum Likelihood Estimation of Misspecified Models

1982 • 3,838 citations

Maximum Likelihood Estimation of Misspecified Models

1983 • 3,727 citations

The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

1988 • 3,689 citations

Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

1992 • 3,405 citations

Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement

1992 • 1,304 citations

The Message in Daily Exchange Rates

2002 • 828 citations

Temporal Aggregation of Garch Processes

1993 • 720 citations

The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets

2014 • 628 citations

Dividend yields and expected stock returns: alternative procedures for inference and measurement

1992 • 607 citations

Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets

1992 • 534 citations

Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration

1992 • 521 citations

The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach

1993 • 474 citations

Finite sample properties of the generalized method of moments in tests of conditional asset pricing models

1994 • 376 citations

Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection

1988 • 354 citations

Common Persistence in Conditional Variances

1993 • 314 citations

Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models

1983 • 294 citations

Model specification tests

1982 • 294 citations

The Message in Daily Exchange Rates: A Conditional-Variance Tale

1989 • 290 citations

Exchange Rates and International Macroeconomics

1983 • 284 citations

On biases in the measurement of foreign exchange risk premiums

1993 • 284 citations

A Variance‐Ratio Test of Random Walks in Foreign Exchange Rates

1991 • 261 citations

The empirical evidence on the efficiency of forward and futures foreign exchange markets

1988 • 260 citations

Testing the Autocorrelation Structure of Disturbances in Ordinary Least Squares and Instrumental Variables Regressions

1992 • 240 citations

Mean Reversion in Short-Horizon Expected Returns

1989 • 206 citations

The Real Interest Rate: An Empirical Investigation

1981 • 205 citations

The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets

1989 • 195 citations

The real interest rate: An empirical investigation

1981 • 173 citations

The Pricing of Forward Contracts for Foreign Exchange

1985 • 142 citations

Technical trading rules and regime shifts in foreign exchange

2002 • 91 citations

Is it risk?

1988 • 85 citations

Foreign exchange rates

1988 • 66 citations

Recent estimates of time-variation in the conditional variance and in the exchange risk premium

1988 • 56 citations

Investigating the correlation of unobserved expectations

1992 • 25 citations

The Behavior of Eurocurrency Returns Across Different Holding Periods and Monetary Regimes

1990 • 21 citations

Extracting measures of ex ante real interest rates from ex post rates: A comment

1981 • 7 citations