The World Price of Foreign Exchange Risk

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

Asset Prices in an Exchange Economy

1978 • 5,134 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

The Variation of Economic Risk Premiums

1991 • 1,745 citations

Hypothesis Testing with Efficient Method of Moments Estimation

1987 • 1,674 citations

International Portfolio Choice and Corporation Finance: A Synthesis

1983 • 1,374 citations

Interest rates and currency prices in a two-country world

1982 • 1,337 citations

An equilibrium model of the international capital market

1974 • 1,180 citations

Implications of Security Market Data for Models of Dynamic Economies

1991 • 1,158 citations

Nonlinear Statistical Models.

1989 • 1,147 citations

The World Price of Covariance Risk

1991 • 1,115 citations

The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models

1987 • 1,016 citations

The Risk and Predictability of International Equity Returns

1993 • 940 citations

Time-varying conditional covariances in tests of asset pricing models

1989 • 852 citations

A model of international asset pricing

1981 • 846 citations

Nonlinear Statistical Models

1987 • 776 citations

The Risk and Predictability of International Equity Returns

1993 • 662 citations

A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty

1988 • 621 citations

Economic Significance of Predictable Variations in Stock Index Returns

1989 • 602 citations

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

1992 • 534 citations

Exchange Rate Theory and Practice

1984 • 506 citations

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

1994 • 376 citations

The Distribution of the Instrumental Variables Estimator and Its $t$-Ratio When the Instrument is a Poor One

1990 • 363 citations

Statistical inference for a system of simultaneous, non-linear, implicit equations in the context of instrumental variable estimation

1979 • 360 citations

The International Pricing of Risk: An Empirical Investigation of the World Capital Market Structure

1974 • 360 citations

Global financial markets and the risk premium on U.S. equity

1992 • 345 citations

An investigation of risk and return in forward foreign exchange

1984 • 332 citations

Testing asset pricing models with changing expectations and an unobservable market portfolio

1985 • 321 citations

In search of the exchange risk premium: A six-currency test assuming mean-variance optimization

1982 • 313 citations

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

1983 • 294 citations

AN EMPIRICAL TEST OF THE ALTERNATIVE HYPOTHESES OF NATIONAL AND INTERNATIONAL PRICING OF RISKY ASSETS

1977 • 276 citations

Risk, uncertainty, and exchange rates

1989 • 238 citations

The performance of international asset allocation strategies using conditioning information

1993 • 209 citations

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

1989 • 195 citations

Interest rates and risk premia in the stock market and in the foreign exchange market

1987 • 195 citations

A New Approach to International Arbitrage Pricing

1993 • 183 citations

Tests of international CAPM with time‐varying covariances

1989 • 156 citations

Time-varying betas and risk premia in the pricing of forward foreign exchange contracts

1988 • 137 citations

Can a time-varying risk premium explain excess returns in the forward market for foreign exchange?

1990 • 123 citations

Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data

1990 • 98 citations

Equity risk premia and the pricing of foreign exchange risk

1992 • 67 citations

Tests for a Systematic Risk Component in Deviations from Uncovered Interest Rate Parity

1991 • 62 citations

A critique of latent variable tests of asset pricing models

1989 • 50 citations

International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence

1982 • 20 citations

Foreign exchange risk premia volatility once again

1988 • 14 citations