Foreign exchange market efficiency and common stochastic trends

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Robert F. Engle, C. W. J. Granger · Econometrica · 1987 · 31.6K citations

Error Analysis, Engineering, Finance +15

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

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Empirical Finance, Volatility Modeling, Economics +13

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Financial Time Series Analysis, Cointegration Vectors, Business +3

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Søren Johansen, Katarina Jusélius · Oxford Bulletin of Economics and Statistics · 1990 · 14K citations

Econometric Model, Monetary Policy, Economics +11