Regime Shifts, Risk and the Term Structure

A Theory of the Term Structure of Interest Rates

1985 • 8,604 citations

The Econometrics of Financial Markets

2012 • 6,595 citations

An equilibrium characterization of the term structure

1977 • 6,242 citations

Dynamic Asset Pricing Theory.

1993 • 3,202 citations

A YIELD‐FACTOR MODEL OF INTEREST RATES

1996 • 2,625 citations

Modeling the conditional distribution of interest rates as a regime-switching process

1996 • 1,526 citations

Dynamic linear models with Markov-switching

1994 • 1,446 citations

The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp

1992 • 610 citations

Identifying the Dynamics of Real Interest Rates and Inflation: Evidence Using Survey Data

1991 • 225 citations

Testing the term structure of interest rates using a stationary vector autoregression with regime switching

1994 • 140 citations

Real and Nominal Interest Rates: A Discrete-Time Model and Its Continuous-Time Limit

1992 • 113 citations

Regime Switches in Interest Rates

1998 • 93 citations

21 Peso problems: Their theoretical and empirical implications

1996 • 84 citations

Endogenous term premia and anomalies in the term structure of interest rates: Explaining the predictability smile

1999 • 64 citations

Estimating the Term Structure of Interest Rates

1994 • 61 citations

"Peso Problem" Explanations for Term Structure Anomalies

1997 • 58 citations

The Yield Curve and Bond Option Prices with Discrete Shifts in Economic Regimes

1994 • 36 citations

What Was the Market's View of U.K. Monetary Policy? Estimating Inflation Risk and Expected Inflation with Indexed Bonds

1998 • 33 citations

An Assessment of the Relative Importance of Real Interest Rates, Inflation, and Term Premiums in Determining the Prices of Real and Nominal U.K. Bonds

1997 • 29 citations

Was There a "Peso Problem" in the U.S. Term Structure of Interest Rates:1979-1982?

1990 • 4 citations