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

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

Handbook of Mathematical Functions

1972 • 15,955 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

A Theory of the Term Structure of Interest Rates

1985 • 8,604 citations

Theory of rational option pricing

2005 • 7,870 citations

Theory of Rational Option Pricing

1973 • 7,693 citations

An equilibrium characterization of the term structure

1977 • 6,242 citations

ARCH modeling in finance

1992 • 4,478 citations

Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

1992 • 3,405 citations

Introduction to Multiple Time Series Analysis

1993 • 2,070 citations

Analysis of time series subject to changes in regime

1990 • 1,948 citations

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

1992 • 1,641 citations

Modeling the conditional distribution of interest rates as a regime-switching process

1996 • 1,526 citations

Stationarity and Persistence in the GARCH(1,1) Model

1990 • 1,139 citations

Simulation-based Econometric Methods

1997 • 1,132 citations

Introduction to Multiple Time Series Analysis

1991 • 1,079 citations

Which Moments to Match?

1996 • 1,056 citations

Testing Continuous-Time Models of the Spot Interest Rate

1996 • 1,009 citations

Indirect inference

1993 • 969 citations

Semi-Nonparametric Maximum Likelihood Estimation

1987 • 926 citations

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

1992 • 905 citations

Simulated Moments Estimation of Markov Models of Asset Prices

1993 • 680 citations

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

1997 • 562 citations

A Markov Model of Switching-Regime ARCH

1994 • 550 citations

Inequality Constraints in the Univariate GARCH Model

1992 • 503 citations

Semiparametric ARCH Models

1991 • 487 citations

Efficient and portable combined random number generators

1988 • 485 citations

GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study

1996 • 476 citations

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

1992 • 462 citations

Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications

1989 • 461 citations

Advances in Econometrics

1983 • 421 citations

Nonparametric and Semiparametric Methods in Econometrics and Statistics

1991 • 377 citations

Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data

1988 • 368 citations

Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes

1995 • 357 citations

Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models

1991 • 339 citations

A Unified Approach to Robust, Regression-Based Specification Tests

1990 • 321 citations

Common Persistence in Conditional Variances

1993 • 314 citations

Short-Term Interest Rates as Subordinated Diffusions

1997 • 289 citations

Idiosyncratic Variation of Treasury Bill Yields

1996 • 258 citations

Peso problem explanations for term structure anomalies

2001 • 254 citations

A Markov Model of Switching-Regime ARCH

1994 • 248 citations

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

1992 • 244 citations

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1977 • 239 citations

Computer Generation of Random Variables Using the Ratio of Uniform Deviates

1977 • 219 citations

Inequality Constraints in the Univariate GARCH Model

1992 • 210 citations

Semiparametric ARCH Models

1991 • 204 citations

On Fitting A Recalcitrant Series: The Pound/Dollar Exchange Rate, 1974- 83

1988 • 177 citations

Monte Carlo simulation and numerical integration

1994 • 174 citations

Quasi-maximum likelihood estimation of dynamic models with time varying covariances

1988 • 168 citations

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

1997 • 164 citations

On the asymptotic normality of Fourier flexible form estimates

1991 • 156 citations

Advances in Econometrics

1994 • 155 citations

Nonparametric estimation of structural models for high-frequency currency market data

1995 • 142 citations

GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study

1996 • 133 citations

Qualitative and asymptotic performance of SNP density estimators

1996 • 125 citations

Testing for continuous-time models of the short-term interest rate

1995 • 103 citations

Estimation of continuous-time models in finance

2008 • 61 citations

"Peso Problem" Explanations for Term Structure Anomalies

1997 • 58 citations

Idiosyncratic Variation of Treasury Bill Yields

1996 • 57 citations

ERA's: A New Approach to Small Sample Theory

1983 • 52 citations

Estimation of Stochastic Volatility Models with Diagnostics

1997 • 47 citations

Estimating Diffusion Models of Stochastic Volatility

1996 • 41 citations

Asymptotic normality and consistency of semi-nonparametric regression estimators using an upwards F test truncation rule

1991 • 40 citations

SIMULATION-BASED ECONOMETRIC METHODS

2000 • 40 citations

New Minimum Chi-Square Methods in Empirical Finance

1995 • 36 citations

Estimation of Continuous Time Models for Stock Returns and Interest Rates

1995 • 32 citations

Estimating Stochastic Differential Equations Efficiently by Minimum Chi-Square

1996 • 31 citations

Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects.

1994 • 30 citations

Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects

1994 • 24 citations

Regime Shifts in Short Term Riskless Interest Rates

1995 • 22 citations

The Central Tendency: A Second Factor in Bond Yields

1995 • 20 citations

Nonparametric Pricing of Interest Rate Derivative Securities*

1996 • 20 citations

The Dynamics of Short-term Interest Rate Volatility Reconsidered

1994 • 16 citations

Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects

1998 • 14 citations

Consistency of Quasi-Maximum Likelihood Estimators for Models with Conditional Heteroskedasticity

1998 • 4 citations