The DOI matches its Crossref record; 179 of the 179 references it cites were found in a registry or an index.
The econometrics of financial markets
Overview
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Citations
Cites
Estimating the Dimension of a Model
Schwarz, G. (1978) · The Annals of Statistics · doi:10.1214/aos/1176344136 · Cited by 47,033
A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
White, H. (1980) · Econometrica · doi:10.2307/1912934 · Cited by 25,861
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
STATISTICAL ANALYSIS OF COINTEGRATION VECTORS
Johansen, S. (1988) · Journal of Economic Dynamics and Control · doi:10.1016/0165-1889(88)90041-3 · Cited by 17,027
Newey, W. K., & West, K. D. (1987) · Econometrica · doi:10.2307/1913610 · Cited by 16,936
Density Estimation for Statistics and Data Analysis
Silverman, B. W. (2018) · Routledge eBooks · doi:10.1201/9781315140919 · Cited by 15,796
Large Sample Properties of Generalized Method of Moments Estimators
Hansen, L. P. (1982) · Econometrica · doi:10.2307/1912775 · Cited by 13,467
Testing the null hypothesis of stationarity against the alternative of a unit root
Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90104-y · Cited by 12,633
A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
Newey, W., & West, K. (1986) · National Bureau of Economic Research · doi:10.3386/t0055 · Cited by 12,278
Cited by
Giving content to investor sentiment: The role of media in the stock market
TETLOCK, P. C. (2007) · The Journal of Finance · doi:10.1111/j.1540-6261.2007.01232.x · Cited by 4,827
Metadata
- Authors
- Pagan, A.
- Venue
- Journal of Empirical Finance
- Publisher
- Elsevier BV
- Published
- 1996-05
- Volume
- 3
- Issue
- 1
- Pages
- 15-102
- ISSN
- 0927-5398 (ISSN-L)
- OpenAlex
- W1986395918
- Cited by
- 873
- References
- 179
- FWCI
- 37.27
- Type
- journal article
- Language
- en
- Open access
- closed
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
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How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: The econometrics of financial markets. https://app.cochat.ai/papers/10.1016/0927-5398(95)00020-8
- The paper
- Pagan, A. (1996). The econometrics of financial markets. Journal of Empirical Finance. https://doi.org/10.1016/0927-5398(95)00020-8
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
