An econometric analysis of nonsynchronous trading
Data up to Jan 2025
Total Citations Per Year
Abstract
References (23)
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
1987 • 15,268 citations
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
1988 • 3,715 citations
Estimating betas from nonsynchronous data
1977 • 2,887 citations
Risk measurement when shares are subject to infrequent trading
1979 • 2,767 citations
When Are Contrarian Profits Due to Stock Market Overreaction?
1990 • 1,732 citations
Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
1983 • 950 citations
Some New Stock-Market Indexes
1966 • 558 citations
Funds, Factors, and Diversification in Arbitrage Pricing Models
1983 • 499 citations
Note on the Correlation of First Differences of Averages in a Random Chain
1960 • 408 citations
Friction in the trading process and the estimation of systematic risk
1983 • 362 citations
Nonsynchronous Security Trading and Market Index Autocorrelation
1987 • 214 citations
The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence
1983 • 183 citations
The Microstructure of Securities Markets.
1986 • 178 citations
Estimating and Adjusting for the Intervalling-Effect Bias in Beta
1983 • 154 citations
THE RETURNS GENERATION PROCESS, RETURNS VARIANCE, AND THE EFFECT OF THINNESS IN SECURITIES MARKETS
1978 • 80 citations
Output and Labor Input in Manufacturing
1974 • 77 citations
Nonsynchronous Data and the Covariance‐Factor Structure of Returns
1987 • 70 citations
Nonsynchronous Security Trading and Market Index Autocorrelation
1987 • 50 citations
The Pricing of Futures and Options Contracts on the Value Line Index
1986 • 28 citations
The Returns Generation Process, Returns Variance, and the Effect of Thinness in Securities Markets
1978 • 25 citations
Nonsynchronous Data and the Covariance-Factor Structure of Returns
1987 • 20 citations
The Pricing of Futures and Options Contracts on the Value Line Index
1986 • 7 citations
Essays on the theory of arbitrage pricing
1988 • 4 citations