How is macro news transmitted to exchange rates?

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

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

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Large Sample Properties of Generalized Method of Moments Estimators

Lars Peter Hansen · Econometrica · 1982 · 13.7K citations

Large Sample Properties, Engineering, Estimation Statistic +4

Continuous Auctions and Insider Trading

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

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Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

Lawrence R. Glosten, Paul Milgrom · Journal of Financial Economics · 1985 · 6.3K citations

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Empirical exchange rate models of the seventies

Richard Meese, Kenneth Rogoff · Journal of International Economics · 1983 · 4.1K citations

Economics, International Finance, Macroeconomics +5