Risk premia in the futures and forward markets

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

Halbert White · Econometrica · 1980 · 25.8K citations

Empirical Finance, Econometric Model, Volatility Modeling +13

Large Sample Properties of Generalized Method of Moments Estimators

Lars Peter Hansen · Econometrica · 1982 · 13.7K citations

Large Sample Properties, Engineering, Estimation Statistic +4

Real and Complex Analysis.

G. A. Garreau, Walter Rudin · Journal of the Royal Statistical Society Series D (The Statistician) · 1987 · 10.9K citations

Measure Theory, Infinite Dimensional Analysis, Engineering +10

Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis

Lars Peter Hansen, Robert J. Hodrick · Journal of Political Economy · 1980 · 2.2K citations

Forward Exchange Rate, Exchange Rate, Exchange Rates +16

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

Lars Peter Hansen, Kenneth J. Singleton · Econometrica · 1984 · 2.1K citations

Econometric Model, Economics, Business +6