References

• 1978Specification Tests in Econometrics18,788 cited
• 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
• 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
• 1993The journal of financial economics2,544 cited
• 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
• 1968The Cost of Transacting1,909 cited
• 1983Information Effects on the Bid-Ask Spread1,875 cited
• 1986Stock return variances1,813 cited
• 1988Estimating the components of the bid/ask spread1,612 cited
• 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
• 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
• 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
• 1994Market Statistics and Technical Analysis: The Role of Volume1,105 cited
• 1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis931 cited
• 1971The Only Game in Town855 cited