The relationship between trading activity and stock market volatility: Does the volume threshold matter?

Continuous Auctions and Insider Trading

Albert S. Kyle · Econometrica · 1985 · 10K citations

Business, Economics, Auction Theory +12

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

Lawrence R. Glosten, Ravi Jagannathan, David E. Runkle · The Journal of Finance · 1993 · 8.7K citations

Business, Economics, Finance +17

Noise Trader Risk in Financial Markets

J. Bradford De Long, Andrei Shleifer, Lawrence H. Summers et al. · Journal of Political Economy · 1990 · 6.4K citations · Full text

Business, Economics, Finance +17

Automatic Lag Selection in Covariance Matrix Estimation

Whitney K. Newey, Kenneth D. West · The Review of Economic Studies · 1994 · 3.3K citations

Social Sciences, Business Economics, Economics +11

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

Peter K. Clark · Econometrica · 1973 · 2.8K citations · Full text

Business, Economics, Finance +17