References

• 1973An Intertemporal Capital Asset Pricing Model6,557 cited
• 1997The Econometrics of Financial Markets5,007 cited
• 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
• 1985Stock Returns and the Term Structure2,260 cited
• 2001Tests of equal forecast accuracy and encompassing for nested models1,178 cited
• 1982Sectoral Shifts and Cyclical Unemployment1,135 cited
• 1980On Estimating the Expected Return on the Market: An Exploratory Investigation755 cited
• 1989A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market647 cited
• 1995Automatic Lag Selection in Covariance Matrix Estimation481 cited
• 1986The American Business Cycle469 cited
• 2019The Pricing of Options and Corporate Liabilities461 cited
• 2000Drift Independent Volatility Estimation Based on High, Low, Open, and Close Prices450 cited
• 1998Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and Conditional Market Variance: A Two‐Factor Approach427 cited
• 1990Indexes of U.S. Stock Prices from 1802 to 1987356 cited
• 2000Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk