Concepedia
SSRN Electronic Journal · 2012 · 304 citations · 108 references
Open access
108
Common risk factors in the returns on stocks and bonds
Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 1993 · 27.2K citations
Economics, Financial Economics, Asset Pricing +7
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
Halbert White · Econometrica · 1980 · 25.8K citations
Empirical Finance, Econometric Model, Volatility Modeling +13
Hierarchical Grouping to Optimize an Objective Function
Joe H. Ward · Journal of the American Statistical Association · 1963 · 18.8K citations
Mathematical Programming, Complete Hierarchical Structure, Objective Function +14
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
Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama, James D. MacBeth · Journal of Political Economy · 1973 · 14.9K citations
Empirical Finance, Investment Strategy, Economics +12