References

• 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
• 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
• 1986Stock return variances1,813 cited
• 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
• 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
• 1990The Dynamics of Stock Index and Stock Index Futures Returns803 cited
• 1989An Econometric Analysis of Nonsynchronous Trading798 cited
• 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market635 cited
• 1987The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index503 cited
• 1990Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets444 cited
• 1994A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns374 cited
• 1983Friction in the trading process and the estimation of systematic risk345 cited
• 1997Short-Term Interest Rates as Subordinated Diffusions263 cited
• 1991Tests of Financial Models in the Presence of Overlapping Observations257 cited
• 1993