Real interest rates and shifts in macroeconomic volatility

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

1991 • 11,052 citations

Economic Forces and the Stock Market

1986 • 5,321 citations

ARCH modeling in finance

1992 • 4,478 citations

Modelling the persistence of conditional variances

1986 • 2,029 citations

Multivariate Stochastic Variance Models

1994 • 1,417 citations

The equity premium puzzle and the risk-free rate puzzle

1989 • 1,394 citations

Bayesian Analysis of Stochastic Volatility Models

2002 • 1,355 citations

5 Stochastic volatility

1996 • 1,243 citations

The Equity Premium Puzzle and the Riskfree Rate Puzzle

1989 • 1,038 citations

The econometrics of financial markets

1996 • 906 citations

Financial Investment Opportunities and the Macroeconomy

1991 • 875 citations

The information in the term structure

1984 • 689 citations

Term-structure forecasts of interest rates, inflation and real returns

1990 • 464 citations

What does the term structure tell us about future inflation?

1990 • 445 citations

Bayesian Analysis of Stochastic Volatility Models

1994 • 392 citations

Risk, Inflation, and the Stock Market

1984 • 386 citations

The econometric analysis of models with risk terms

1988 • 374 citations

Partial non-Gaussian state space

1994 • 372 citations

Do Expected Shifts in Inflation Affect Estimates of the Long‐Run Fisher Relation?

1995 • 277 citations

Inflation and Asset Returns in a Monetary Economy

1992 • 266 citations

Financial Investment Opportunities and the Macroeconomy

1991 • 233 citations

A multicountry comparison of term-structure forecasts at long horizons

1991 • 217 citations

[Bayesian Analysis of Stochastic Volatility Models]: Reply

1994 • 205 citations

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

1986 • 204 citations

The Information in the Longer Maturity Term Structure About Future Inflation

1990 • 192 citations

Long- and short-term interest rates in a risky world

1983 • 190 citations

Do stationary risk premia explain it all?

1994 • 162 citations

Why Real Interest Rates Were So Low in the 1970's

1983 • 112 citations

Are the Latent Variables in Time‐Varying Expected Returns Compensation for Consumption Risk?

1990 • 106 citations

World Real Interest Rates

1990 • 91 citations

Do Expected Shifts in Inflation Affect Estimates of the Long-Run Fisher Relation?

1995 • 85 citations

Stochastic inflation and the equity premium

1989 • 78 citations

Inflation and Asset Returns in a Monetary Economy

1992 • 77 citations

Interest rates and monetary policy uncertainty

1986 • 71 citations

Forecasting inflation from the term structure

1996 • 50 citations

Reply

1986 • 45 citations

Macroeconomic Sources of Time-Varying Risk Premia in the Term Structure of Interest Rates

1995 • 34 citations

Does Money Explain Asset Returns? Theory and Empirical Analysis

1996 • 32 citations

Are the Latent Variables in Time-Varying Expected Returns Compensation for Consumption Risk?

1990 • 30 citations

Future inflation and the information in international term structures

1995 • 25 citations

Why Are Real Interest Rates So High

1983 • 16 citations

Does Money Explain Asset Returns? Theory and Empirical Analysis

1996 • 9 citations

[World Real Interest Rates]: Comment

1990 • 2 citations