The information in forward rates

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

A Theory of the Term Structure of Interest Rates

1985 • 8,604 citations

An equilibrium characterization of the term structure

1977 • 6,242 citations

Expected stock returns and volatility

1987 • 4,291 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

Asset returns and inflation

1977 • 2,770 citations

Stock returns and the term structure

1987 • 2,322 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1982 • 1,846 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

Distributions in Statistics: Continuous Multivariate Distributions.

1973 • 1,629 citations

Distributions in Statistics: Continuous Multivariate Distributions.

1973 • 1,622 citations

Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns

1983 • 1,611 citations

Intertemporal Substitution in Consumption

1988 • 1,533 citations

The information in the term structure

1984 • 689 citations

An aggregation theorem for securities markets

1974 • 507 citations

Exchange rates and international macroeconomics

1984 • 403 citations

An Equilibrium Model of Bond Pricing and a Test of Market Efficiency

1982 • 377 citations

Testing asset pricing models with changing expectations and an unobservable market portfolio

1985 • 321 citations

Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models

1983 • 294 citations

The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates

1986 • 288 citations

Term premiums and default premiums in money markets

1986 • 248 citations

Forward rates as predictors of future spot rates

1976 • 237 citations

Term premiums in bond returns

1984 • 226 citations

Tests of Asset Pricing with Time‐Varying Expected Risk Premiums and Market Betas

1987 • 194 citations

An arbitrage model of the term structure of interest rates

1978 • 186 citations

Stochastic Processes for Interest Rates and Equilibrium Bond Prices

1983 • 166 citations

Consumption, production, inflation and interest rates

1986 • 161 citations

Inflation and Real Interest Rates on Assets with Different Risk Characteristics

1984 • 122 citations

The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates

1986 • 81 citations

Do forecast errors or term premia really make the difference between long and short rates?

1982 • 69 citations

Conditional Predictions of Bond Prices and Returns

1980 • 57 citations

Stochastic Processes for Interest Rates and Equilibrium Bond Prices

1983 • 55 citations

A heteroscedasticity-consistent covariance matrix estimator for time series regressions

1983 • 54 citations

Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas

1987 • 44 citations

Inflation and Real Interest Rates on Assets with Different Risk Characteristics

1984 • 37 citations

The Term Structure Of Interest Rates: Empirical Evidence

1988 • 34 citations

Conditional Predictions of Bond Prices and Returns

1980 • 19 citations

The stochastic properties of term structure movements

1987 • 18 citations

The Development and Role of the National Bureau's Business Cycle Chronologies

1984 • 14 citations

Interest Rates, Money Supply Announcements, and Monetary Base Announcements

1985 • 4 citations

Interest Rates, Money Supply Announcements, and Monetary Base Announcements

1985 • 3 citations