Profits, risk, and uncertainty in foreign exchange markets

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

Halbert White · Econometrica · 1980 · 26.1K citations

Social Sciences, Economics, Econometrics +11

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text

Business, Finance, Econometrics +11

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

Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 17.1K citations

Social Sciences, Economics, Econometrics +10

The equity premium: A puzzle

Rajnish Mehra, Edward C. Prescott · Journal of Monetary Economics · 1985 · 5.8K citations

Business, Economics, Finance +12

A Simple Test for Heteroscedasticity and Random Coefficient Variation

Trevor Breusch, A. R. Pagan · Econometrica · 1979 · 5.4K citations

Social Sciences, Economics, Econometrics +14