Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach

Time Series Analysis.

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

Social Sciences, Economics, Econometrics +7

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

Liquidity Risk and Expected Stock Returns

Ľuboš Pástor, Robert F. Stambaugh · Journal of Political Economy · 2003 · 5.6K citations

Business, Finance, Asset Pricing +16

Market Liquidity and Funding Liquidity

Markus K. Brunnermeier, Lasse Heje Pedersen · Review of Financial Studies · 2008 · 4.9K citations

Business, Economics, Finance +14

Time Series Analysis

David E. Booth · Technometrics · 1997 · 3.2K citations

Natural Resources, Earth Sciences, Hydrology +15