New evidence on nominal exchange rate predictability

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

Computing, Economics, Econometrics +15

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

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

James D. Hamilton · Econometrica · 1989 · 9.7K citations

Social Sciences, Business Economics, Economics +17

Empirical exchange rate models of the seventies

Richard Meese, Kenneth Rogoff · Journal of International Economics · 1983 · 4.2K citations

Social Sciences, Economics, Finance +12

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

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

Computing, Economics, Econometrics +15