Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

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

1982 • 19,770 citations

The variation of certain speculative prices

1997 • 4,766 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,759 citations

The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure

1979 • 866 citations

Wald, likelihood ratio, and Lagrange multiplier tests in econometrics

1984 • 547 citations

Asymptotic Theory for ARCH Models: Estimation and Testing

1986 • 539 citations

Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates

1983 • 391 citations

A general approach to lagrange multiplier model diagnostics

1982 • 371 citations

Maximum Likelihood Estimation for Dependent Observations

1976 • 255 citations

Forward rates as predictors of future spot rates

1976 • 237 citations

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

1984 • 229 citations

A note on maximum likelihood estimation of the rational expectations model of the term structure

1979 • 190 citations

Rational Expectations and the Term Structure of Interest Rates

1972 • 130 citations

Why Haven’t Nominal Rates Declined?

1984 • 23 citations

Asset duration and time-varying risk premia

1985 • 9 citations

On expectations, term premiums and the volatility of long-term interest rates

1983 • 9 citations

Term structure variance bounds and time varying liquidity premia

1984 • 5 citations

The Liquidity Premium and the Solidity Premium

1980 • 2 citations