Rational-expectations econometric analysis of changes in regime

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

Time Series Analysis: Forecasting and Control

1977 • 19,717 citations

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

1989 • 9,360 citations

Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

1987 • 2,510 citations

Statistics of Random Processes

2021 • 2,216 citations

The Information in Long-Maturity Forward Rates

1987 • 1,646 citations

Are Economic Time Series Asymmetric over the Business Cycle?

1984 • 960 citations

The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure

1979 • 866 citations

Formulating and estimating dynamic linear rational expectations models

1980 • 845 citations

A Markov model for switching regressions

1973 • 810 citations

The information in the term structure

1984 • 689 citations

Statistics of Random Processes I: General Theory

1984 • 617 citations

Term Structure of Interest Rates

2008 • 569 citations

A Re‐examination of Traditional Hypotheses about the Term Structure of Interest Rates

1981 • 547 citations

Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates

1983 • 447 citations

Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates

1983 • 391 citations

The ‘peso problem’ in testing the efficiency of forward exchange markets

1980 • 315 citations

Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence

1983 • 296 citations

Do Long-Term Interest Rates Overreact to Short-Term Interest Rates?

1984 • 229 citations

Optimal prediction of cyclical downturns

1982 • 215 citations

Monetary policy regime shifts and the unusual behavior of real interest rates

1986 • 204 citations

An introduction to stochastic processes and their applications

1993 • 200 citations

A note on maximum likelihood estimation of the rational expectations model of the term structure

1979 • 190 citations

A Defense of Traditional Hypotheses about the Term Structure of Interest Rates

1986 • 174 citations

A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates

1981 • 173 citations

Stochastic Processes for Interest Rates and Equilibrium Bond Prices

1983 • 166 citations

An Introduction to Stochastic Processes and Their Applications.

1994 • 153 citations

Uncovering Financial Market Expectations of Inflation

1985 • 134 citations

Serial correlation in latent discrete variable models

1985 • 109 citations

Alternative tests of rational expectations models

1981 • 90 citations

Testing for the absence of expected real profits from forward market speculation

1984 • 67 citations

INVESTMENT DIVERSIFICATION AND BOND MATURITY

1971 • 66 citations

Stochastic Processes for Interest Rates and Equilibrium Bond Prices

1983 • 55 citations

High and Volatile Real Interest Rates: Where Does the Fed Fit In?

1986 • 49 citations

A Defense of Traditional Hypotheses about the Term Structure of Interest Rates

1986 • 31 citations

The Federal Reserve's new operating procedures

1987 • 26 citations

Monetary Policy Regimes and the Reduced Form for Interest Rates

1987 • 19 citations

Investment Diversification and Bond Maturity

1971 • 13 citations

Monetary Policy in Practice

2019 • 8 citations

Time series evidence on the expectations hypothesis of the term structure

1984 • 7 citations

Time series evidence on the expectations hypothesis of the term structure

1984 • 4 citations

Evolution of Federal Reserve Credibility

1998 • 4 citations

Testing for Real Effects of Monetary Policy Regime Shifts

1987 • 2 citations

THE EVOLUTION OF FEDERAL RESERVE CREDIBILITY: 1978-1984

1989 • 1 citations