References

• 1985Continuous Auctions and Insider Trading9,626 cited
• 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
• 2014Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework3,694 cited
• 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
• 1971The Only Game in Town855 cited
• 2010A new unit root test with two structural breaks in level and slope at unknown time725 cited
• 2014Festschrift in Honor of Peter Schmidt579 cited
• 2014Has oil price predicted stock returns for over a century?351 cited
• 2014Testing for Predictability in Conditionally Heteroskedastic Stock Returns284 cited
• 2012Does the choice of estimator matter when forecasting returns?265 cited
• 2017The predictive power of Google searches in forecasting US unemployment241 cited
• 2016Google searches and stock returns239 cited
• 2015Stock return forecasting: Some new evidence217 cited
• 2018Predicting the direction of stock markets using optimized neural networks with Google Trends201 cited
• 2012Modelling oil price volatility with structural breaks183 cited