A note on information seasonality and the disappearance of the weekend effect in the UK stock market

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

Large Sample Properties of Generalized Method of Moments Estimators

Lars Peter Hansen · Econometrica · 1982 · 13.7K citations

Large Sample Properties, Engineering, Estimation Statistic +4

Time Series Analysis.

Jörg Breitung, James D. Hamilton · Contemporary Sociology A Journal of Reviews · 1995 · 11.2K citations

Engineering, Data Science, Financial Time Series Analysis +9

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

Donald W. K. Andrews · Econometrica · 1991 · 4.1K citations

Volatility Modeling, Parameter Estimation, Engineering +12

Stock returns and the weekend effect

Kenneth R. French · Journal of Financial Economics · 1980 · 2K citations

Empirical Finance, Asset Pricing, Weekend Effect +4