Nicholas M. Kiefer

Economic duration data and hazard functions

Nicholas M. Kiefer · Journal of Economic Literature · 1988 · 1.9K citations

Dynamic Economic Model, Economics, Econometric Model +6

Liquidity, Information, and Infrequently Traded Stocks

David Easley, Nicholas M. Kiefer, Maureen O’Hara et al. · The Journal of Finance · 1996 · 1.5K citations

Market Microstructure, Observed Differences, Financial Economics +14

One Day in the Life of a Very Common Stock

David Easley, Nicholas M. Kiefer, Maureen O’Hara · Review of Financial Studies · 1997 · 674 citations

Empirical Finance, Trade, Market Microstructure +16

Cream‐Skimming or Profit‐Sharing? The Curious Role of Purchased Order Flow

David Easley, Nicholas M. Kiefer, Maureen O’Hara · The Journal of Finance · 1996 · 531 citations

Retail Order Flow, Trade, Consumer Research +16

A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS

Nicholas M. Kiefer, Timothy J. Vogelsang · Econometric Theory · 2005 · 431 citations

Volatility Modeling, Asset Pricing, Robust Statistic +10