Testing for herding in the Athens Stock Exchange during the crisis period

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

Regression Quantiles

Roger Koenker, Gilbert W. Bassett · Econometrica · 1978 · 12.3K citations

The impact of institutional trading on stock prices

Josef Lakonishok, Andrei Shleifer, Robert W. Vishny · Journal of Financial Economics · 1992 · 2.1K citations · Full text

Market Microstructure, Economics, Financial Economics +7

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Eric C. Chang, Joseph Cheng, Ajay Khorana · Journal of Banking & Finance · 2000 · 1.2K citations

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Following the Pied Piper: Do Individual Returns Herd around the Market?

William G. Christie, Roger D. Huang · Financial Analysts Journal · 1995 · 1.1K citations

Empirical Finance, Equity Returns, Pied Piper +21