Exact distribution-free tests of mean-variance efficiency

Generalized autoregressive conditional heteroskedasticity

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Economics, Volatility Modeling, Asset Pricing +4

CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

William F. Sharpe · The Journal of Finance · 1964 · 17.3K citations

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 16.8K citations

Empirical Finance, Volatility Modeling, Economics +13

Conditional Heteroskedasticity in Asset Returns: A New Approach

Daniel B. Nelson · Econometrica · 1991 · 10.3K citations

Empirical Finance, Volatility Innovations, Volatility Modeling +15

The Behavior of Stock-Market Prices

Eugene F. Fama · The Journal of Business · 1965 · 8.6K citations

Market Microstructure, Economics, Financial Economics +7