Measuring Systematic Risk in EMU Government Yield Spreads

A Theory of the Term Structure of Interest Rates

1985 • 8,604 citations

An equilibrium characterization of the term structure

1977 • 6,242 citations

Forecasting, Structural Time Series Models and the Kalman Filter

1991 • 5,040 citations

A YIELD‐FACTOR MODEL OF INTEREST RATES

1996 • 2,625 citations

Term Premia and Interest Rate Forecasts in Affine Models

2002 • 1,656 citations

An Empirical Comparison of Alternative Models of the Short‐Term Interest Rate

1992 • 1,641 citations

On cox processes and credit risky securities

1998 • 1,291 citations

Credit Risk: Modeling, Valuation and Hedging

2004 • 1,210 citations

Estimating the Price of Default Risk

1999 • 803 citations

Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates

1993 • 608 citations

Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model

1994 • 427 citations

A STATE‐SPACE APPROACH TO ESTIMATE AND TEST MULTIFACTOR COX‐INGERSOLL‐ROSS MODELS OF THE TERM STRUCTURE

1999 • 139 citations

Unit roots and the estimation of interest rate dynamics

1996 • 103 citations

An Analytic Solution for Interest Rate Swap Spreads

2002 • 43 citations

Liquidity and its Impact on Bond Prices

2002 • 14 citations

Parsimonious Estimation of Credit Spreads

2002 • 5 citations

Iinn(a)eite

2014 • 2 citations