Time-Varying World Market Integration

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

1989 • 9,360 citations

Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk

1964 • 7,201 citations

The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets

1965 • 7,112 citations

Multivariate Simultaneous Generalized ARCH

1995 • 4,490 citations

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

1992 • 3,405 citations

Capital Market Equilibrium with Restricted Borrowing

1972 • 3,158 citations

Stock returns and the term structure

1987 • 2,322 citations

Econometric Issues in the Analysis of Regressions with Generated Regressors

1984 • 2,277 citations

Analysis of time series subject to changes in regime

1990 • 1,948 citations

An equilibrium model of the international capital market

1974 • 1,180 citations

A model of international asset pricing

1981 • 846 citations

The Risk and Predictability of International Equity Returns

1993 • 662 citations

Market Integration and Investment Barriers in Emerging Equity Markets

1995 • 640 citations

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

1992 • 534 citations

International Asset Pricing under Mild Segmentation: Theory and Test

1985 • 372 citations

The World Price of Covariance Risk

1991 • 344 citations

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

1982 • 313 citations

Regime switching with time-varying transition probabilities

1994 • 273 citations

Finite Mixture Distributions

1982 • 262 citations

Predictable Risk and Returns in Emerging Markets

1994 • 237 citations

The Term Structure and World Economic Growth

1991 • 193 citations

Tests of integration, mild segmentation and segmentation hypotheses

1992 • 176 citations

Time-Varying Conditional Covariances in Tests of Asset Pricing Models

1989 • 158 citations

Do asset-demand functions optimize over the mean and variance of real returns? A six-currency test

1984 • 153 citations

Estimating Time-Varying Risk Premia in the Term Structure: the ARCH-M Model

1995 • 139 citations

Evaluating the Performance of International Mutual Funds

1990 • 130 citations

What Determines Expected International Asset Returns?

1994 • 121 citations

Emerging Stock Markets and International Asset Pricing

1995 • 105 citations

A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership

1986 • 95 citations

International Investment Restrictions and Closed-End Country Fund Prices

1990 • 92 citations

Predictable bond and stock returns in the United States and Japan : a study of long-term capital market integration

1988 • 42 citations

A New Approach to International Arbitrage Pricing

1993 • 41 citations

An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns

1993 • 39 citations

A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables

1994 • 17 citations

A Markov switching model of market integration

1998 • 13 citations