References

• 1993Common risk factors in the returns on stocks and bonds26,615 cited
• 1997On Persistence in Mutual Fund Performance17,267 cited
• 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
• 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
• 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
• 2003Modeling and Forecasting Realized Volatility3,887 cited
• 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
• 2000Conditional Skewness in Asset Pricing Tests2,837 cited
• 1980On estimating the expected return on the market2,818 cited
• 1990Evidence of Predictable Behavior of Security Returns2,702 cited
• 2001The distribution of realized stock return volatility2,264 cited
• 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
• 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
• 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
• 2013Betting against beta2,027 cited