References

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• 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root26,976 cited
• 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*23,066 cited
• 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
• 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
• 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
• 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
• 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
• 1981Fractional Differencing2,720 cited
• 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
• 1981Some properties of time series data and their use in econometric model specification2,406 cited
• 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
• 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
• 1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited