Herding in the Singapore stock Exchange

A New Approach to Linear Filtering and Prediction Problems

R. E. Kalman · Journal of Basic Engineering · 1960 · 31K citations

Natural Sciences, Mathematics, Dynamical Systems +16

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

On Persistence in Mutual Fund Performance

Mark M. Carhart · The Journal of Finance · 1997 · 17K citations · Full text

Business, Economics, Finance +17

Illiquidity and stock returns: cross-section and time-series effects

Yakov Amihud · Journal of Financial Markets · 2002 · 10.3K citations · Full text

Business, Economics, Finance +14

Continuous Auctions and Insider Trading

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

Business, Economics, Auction Theory +12