A new European investor sentiment index (EURsent) and its return and volatility predictability

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

Halbert White · Econometrica · 1980 · 25.8K citations

Empirical Finance, Econometric Model, Volatility Modeling +13

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 · 22.7K citations · Full text

Autoregressive Time Series, Regression Estimator, Economics +14

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 · 9K citations

Noise Trader Risk in Financial Markets

J. Bradford De Long, Andrei Shleifer, Lawrence H. Summers et al. · Journal of Political Economy · 1990 · 6.3K citations

Investor Sentiment and the Cross‐Section of Stock Returns

Malcolm Baker, Jeffrey Wurgler · The Journal of Finance · 2006 · 5.9K citations · Full text