References

• 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
• 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
• 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
• 2005Estimation and Inference of Impulse Responses by Local Projections4,629 cited
• 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
• 1991Inferring Trade Direction from Intraday Data3,150 cited
• 1991Measuring the Information Content of Stock Trades1,868 cited
• 1992Time and the Process of Security Price Adjustment1,225 cited
• 2006The Cointegrated VAR Model: Methodology and Applications1,181 cited
• 2006Realized Variance and Market Microstructure Noise1,164 cited
• 2000Time and the Price Impact of a Trade592 cited
• 2010Did Fair-Value Accounting Contribute to the Financial Crisis?529 cited
• 2004The “make or take” decision in an electronic market: Evidence on the evolution of liquidity483 cited
• 2004Realized Variance and Market Microstructure Noise308 cited
• 2003More statistical properties of order books and price impact