Autocorrelation and partial price adjustment

Continuous Auctions and Insider Trading

Albert S. Kyle · Econometrica · 1985 · 10K citations

Business, Economics, Auction Theory +12

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

Donald W. K. Andrews · Econometrica · 1991 · 4.1K citations

Computing, Economics, Econometrics +15

A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market

Richard Roll · The Journal of Finance · 1984 · 2.8K citations

Social Sciences, Economics, Finance +13

Trading Mechanisms and Stock Returns: An Empirical Investigation

Yakov Amihud, Haim Mendelson · The Journal of Finance · 1987 · 784 citations

Business, Economics, Finance +16

Dynamic Volume-Return Relation of Individual Stocks

Guillermo Llorente, Roni Michaely, Gideon Saar et al. · Review of Financial Studies · 2002 · 735 citations

Business, Economics, Finance +17