Price discovery in stock and options markets

Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

Lawrence R. Glosten, Paul Milgrom · Journal of Financial Economics · 1985 · 6.4K citations

Social Sciences, Economics, Auction Theory +7

Problems with Instrumental Variables Estimation when the Correlation between the Instruments and the Endogenous Explanatory Variable is Weak

John Bound, David A. Jaeger, Regina Baker · Journal of the American Statistical Association · 1995 · 3.7K citations

Social Sciences, Economics, Causal Inference +11

Testing for Common Trends

James H. Stock, Mark W. Watson · Journal of the American Statistical Association · 1988 · 1.9K citations

Social Sciences, Economics, Econometrics +12

One Security, Many Markets: Determining the Contributions to Price Discovery

Joel Hasbrouck · The Journal of Finance · 1995 · 1.6K citations

Business, Economics, Finance +17

Estimation of Common Long-Memory Components in Cointegrated Systems

Jesús Gonzalo, Clive W. J. Granger · Journal of Business and Economic Statistics · 1995 · 1.3K citations

Social Sciences, Economics, Econometrics +7