Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

Computing, Economics, Econometrics +15

The arbitrage theory of capital asset pricing

Stephen A. Ross · Journal of Economic Theory · 1976 · 7.2K citations

Business, Economics, Finance +14

Forecasting, Structural Time Series Models and the Kalman Filter

Robert Fildes, Andrew Harvey, Mike West et al. · Journal of the Operational Research Society · 1991 · 4.8K citations

Computing, Mathematics, Forecasting +13

Maximum Likelihood Estimation of Misspecified Models

Halbert White · Econometrica · 1982 · 4.1K citations

Business, Biostatistics, Econometrics +16

Maximum Likelihood Estimation of Misspecified Models

Halbert White · Econometrica · 1983 · 3.8K citations

Business, Biostatistics, Econometrics +16