Endogenous term premia and anomalies in the term structure of interest rates: Explaining the predictability smile

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 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

A YIELD‐FACTOR MODEL OF INTEREST RATES

1996 • 2,625 citations

Yield Spreads and Interest Rate Movements: A Bird's Eye View

1991 • 1,822 citations

The Information in Long-Maturity Forward Rates

1987 • 1,646 citations

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

1992 • 1,641 citations

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

1992 • 905 citations

The information in the term structure

1984 • 689 citations

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

1993 • 608 citations

From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’

2017 • 551 citations

The Changing Behavior of the Term Structure of Interest Rates

1986 • 513 citations

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

1992 • 462 citations

Federal Reserve interest rate targeting, rational expectations, and the term structure

1995 • 417 citations

On biases in tests of the expectations hypothesis of the term structure of interest rates

1997 • 412 citations

Some Lessons from the Yield Curve

1995 • 385 citations

Federal Reserve interest rate targeting, rational expectations, and the term structure

1995 • 374 citations

The term structure spread and future changes in long and short rates in the G7 countries

1994 • 305 citations

Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields and Stock Prices in the United States Since 1856.

1938 • 254 citations

Risk premiums in the term structure

1989 • 251 citations

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

1992 • 244 citations

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

1984 • 229 citations

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

1992 • 187 citations

A model of target changes and the term structure of interest rates

1997 • 164 citations

The Predictive Power of the Term Structure during Recent Monetary Regimes

1988 • 163 citations

Do stationary risk premia explain it all?

1994 • 162 citations

Monetary Policy and the Term Structure of Interest Rates

1994 • 159 citations

The information in the term structure: Some further results

1988 • 137 citations

A Daily View of Yield Spreads and Short-Term Interest Rate Movements

1996 • 70 citations

Expectations and the Treasury Bill‐Federal Funds Rate Spread over Recent Monetary Policy Regimes

1990 • 63 citations

4 Modeling the term structure

1996 • 60 citations

"Peso Problem" Explanations for Term Structure Anomalies

1997 • 58 citations

Affine Models of Currency Pricing

1996 • 50 citations

An Empirical Note on the Term Structure and Interest Rate Stabilization Policies

1988 • 50 citations

The term structure of Euro interest rates and rational expectations

1990 • 48 citations

The rational expectations hypothesis of the term structure, monetary policy, and time-varying term premia

1995 • 40 citations

Predictable Changes in Yields and Forward Rates

1998 • 39 citations

The Expectations Hypothesis, The Yield Curve, and Monetary Policy

1964 • 36 citations

The Predictive Power of the Term Structure During Recent Monetary Regimes

1988 • 32 citations

Expectations and the Treasury Bill-Federal Funds Rate Spread over Recent Monetary Policy Regimes

1990 • 21 citations

The Rational Expectations Hypothesis of the Term Structure, Monetary Policy, and Time-Varying Term Premia

1995 • 19 citations