Leverage vs. Feedback: Which Effect Drives the Oil Market ?

Estimating and Testing Linear Models with Multiple Structural Changes

Jushan Bai, Pierre Perrón · Econometrica · 1998 · 6K citations · Full text

Social Sciences, Economics, Change Measurement +13

Modeling and Forecasting Realized Volatility

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold et al. · Econometrica · 2003 · 4K citations

Business, Economics, Finance +10

The stochastic behavior of common stock variances Value, leverage and interest rate effects

Andrew Christie · Journal of Financial Economics · 1982 · 2.4K citations

Business, Economics, Finance +16

No news is good news

John Y. Campbell, Ludger Hentschel · Journal of Financial Economics · 1992 · 2K citations · Full text

Computing, Biomedical Informatics, Health Informatics +16

Estimation of a Change Point in Multiple Regression Models

Jushan Bai · The Review of Economics and Statistics · 1997 · 838 citations

Social Sciences, Business Economics, Economics +17