A Parametric Nonlinear Model of Term Structure Dynamics

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A Theory of the Term Structure of Interest Rates

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Continuous Martingales and Brownian Motion

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An equilibrium characterization of the term structure

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Martingales and arbitrage in multiperiod securities markets

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Dynamic Asset Pricing Theory.

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Stochastic Differential Equations

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Martingales and stochastic integrals in the theory of continuous trading

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A YIELD‐FACTOR MODEL OF INTEREST RATES

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Continuous Martingales and Brownian Motion

1991 • 1,960 citations

Common Factors Affecting Bond Returns

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Hypothesis Testing with Efficient Method of Moments Estimation

1987 • 1,674 citations

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

1992 • 1,641 citations

Alternative models for conditional stock volatility

1990 • 1,337 citations

An Empirical Investigation of the Arbitrage Pricing Theory

1980 • 1,152 citations

Testing Continuous-Time Models of the Spot Interest Rate

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On the bias in flexible functional forms and an essentially unbiased form

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Interest Rate Volatility and the Term Structure: A Two‐Factor General Equilibrium Model

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Two Singular Diffusion Problems

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A continuous time approach to the pricing of bonds

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On the term structure of interest rates

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Risk, Return, and Equilibrium

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A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk

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Nonparametric Pricing of Interest Rate Derivative Securities

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Estimating continuous-time stochastic volatility models of the short-term interest rate

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

1992 • 462 citations

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

1994 • 427 citations

A Theory of the Nominal Term Structure of Interest Rates

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A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns

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An Empirical Investigation of the Arbitrage Pricing Theory

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Short-Term Interest Rates as Subordinated Diffusions

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The information in forward rates

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The Pricing of Options on Default-Free Bonds

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Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model

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Pricing Interest Rate Options in a Two-Factor Cox–Ingersoll–Ross model of the Term Structure: Table 1

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Stochastic Processes for Interest Rates and Equilibrium Bond Prices

1983 • 166 citations

A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk

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U.S. term structure data, 1947-1991

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Stochastic Differential Equations

1992 • 143 citations

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1992 • 90 citations

Time‐Dependent Variance and the Pricing of Bond Options

1987 • 89 citations

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

1994 • 86 citations

Non-Parametric Estimation and the Risk Premium

1988 • 63 citations

Stochastic Processes for Interest Rates and Equilibrium Bond Prices

1983 • 55 citations