SETS, arbitrage activity, and stock price dynamics

Co-Integration and Error Correction: Representation, Estimation, and Testing

Robert F. Engle, C. W. J. Granger · Econometrica · 1987 · 31.9K citations

Social Sciences, Economics, Econometrics +9

Estimating betas from nonsynchronous data

Myron S. Scholes, Joseph Williams · Journal of Financial Economics · 1977 · 2.8K citations

Natural Sciences, Biostatistics, Econometrics +6

Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models

Timo Teräsvirta · Journal of the American Statistical Association · 1994 · 2.1K citations

Business, Business Economics, Econometrics +10

Density Estimation for Statistics and Data Analysis

Khosrow Dehnad · Technometrics · 1987 · 1.7K citations

Natural Sciences, Mathematics, Statistics +11

Testing linearity against smooth transition autoregressive models

Ritva Luukkonen, Pentti Saikkonen, Timo Teräsvirta · Biometrika · 1988 · 1.3K citations

Computing, Business Economics, Econometrics +12