Preferred habitat for liquidity in international short-term interest rates

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

Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

Søren Johansen · Econometrica · 1991 · 11K citations

Volatility Modeling, Likelihood Analysis, Cointegration Vectors +16

A Theory of the Term Structure of Interest Rates

John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.5K citations

Empirical Finance, Monetary Policy, Economics +10

The relationship between return and market value of common stocks

Rolf W. Banz · Journal of Financial Economics · 1981 · 6.1K citations

Market Microstructure, Financial Economics, Asset Pricing +7