The dynamic relationship of volatility, volume, and market depth in currency futures markets

Distribution of the Estimators for Autoregressive Time Series with a Unit Root

David A. Dickey, Wayne A. Fuller · Journal of the American Statistical Association · 1979 · 22.7K citations · Full text

Autoregressive Time Series, Regression Estimator, Economics +14

Investigating Causal Relations by Econometric Models and Cross-spectral Methods

Clive W. J. Granger · Econometrica · 1969 · 22.4K citations

Cross Spectrum, Apparent Instantaneous Causality, Communication +17

Macroeconomics and Reality

Christopher A. Sims · Econometrica · 1980 · 12.5K citations

Monetary Policy, Economics, Useful Forecasting +13

Continuous Auctions and Insider Trading

Albert S. Kyle · Econometrica · 1985 · 9.8K citations

Market Microstructure, Electronic Auction, Financial Economics +6

Expectations and Exchange Rate Dynamics

Rüdiger Dornbusch · Journal of Political Economy · 1976 · 4.7K citations

Exchange Rate Regimes, Economics, Monetary Policy +11