Asymmetric dependence structures for regional stock markets: An unconditional quantile regression approach

Distribution of the Estimators for Autoregressive Time Series with a Unit Root

David A. Dickey, Wayne A. Fuller · Journal of the American Statistical Association · 1979 · 23K citations · Full text

Business, Economics, Econometrics +12

Testing for a unit root in time series regression

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Regression Quantiles

Roger Koenker, Gilbert W. Bassett · Econometrica · 1978 · 12.9K citations

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Testing the null hypothesis of stationarity against the alternative of a unit root

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Investor Sentiment and the Cross‐Section of Stock Returns

Malcolm Baker, Jeffrey Wurgler · The Journal of Finance · 2006 · 6.1K citations · Full text

Business, Economics, Finance +14