Drawing inferences from statistics based on multiyear asset returns

Convergence of Probability Measures

1999 • 14,297 citations

The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

1989 • 7,573 citations

Markov Processes: Characterization and Convergence.

1987 • 4,826 citations

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

1988 • 3,715 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

Martingale Limit Theory and its Application.

1984 • 2,982 citations

Inference in Linear Time Series Models with some Unit Roots

1990 • 2,567 citations

Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis

1980 • 2,192 citations

Martingale Limit Theory and its Application

1980 • 2,084 citations

Alternative models for conditional stock volatility

1990 • 1,337 citations

How Big Is the Random Walk in GNP?

1988 • 1,326 citations

Are Output Fluctuations Transitory?

1987 • 771 citations

Limiting Distributions of Least Squares Estimates of Unstable Autoregressive Processes

1988 • 649 citations

Interpreting the evidence on money-income causality

1989 • 552 citations

The size and power of the variance ratio test in finite samples

1989 • 523 citations

An empirical investigation of the long-run behavior of real exchange rates

1987 • 422 citations

A Functional Central Limit Theorem for Weakly Dependent Sequences of Random Variables

1984 • 293 citations

Tests of Financial Models in the Presence of Overlapping Observations

1991 • 276 citations

Are Output Fluctuations Transitory?

1986 • 141 citations

Temporary Components of Stock Prices: A Skeptic's View

1993 • 103 citations

The Order of Differencing in ARIMA Models

1984 • 89 citations

Multivariate estimates of the permanent components of GNP and stock prices

1988 • 78 citations

Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K.

1991 • 40 citations

The Order of Differencing in ARIMA Models

1984 • 39 citations

Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence

1988 • 22 citations

A Reexamination of Friedman's Consumption Puzzle

1988 • 21 citations

A Reexamination of Friedman's Consumption Puzzle

1988 • 7 citations