Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals

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

Business conditions and expected returns on stocks and bonds

Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 1989 · 4.2K citations

Business, Economics, Finance +12

Modeling the conditional distribution of interest rates as a regime-switching process

Stephen Gray · Journal of Financial Economics · 1996 · 1.5K citations

Business, Economics, Finance +17

Dynamic linear models with Markov-switching

Chang‐Jin Kim · Journal of Econometrics · 1994 · 1.5K citations

Engineering, Mathematics, Dynamical Systems +11