A Test of the Cox, Ingersoll, and Ross Model of the Term Structure

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

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

Asset Prices in an Exchange Economy

1978 • 5,134 citations

Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis

1980 • 2,192 citations

An Intertemporal General Equilibrium Model of Asset Prices

1985 • 2,096 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1982 • 1,846 citations

Distributions in Statistics: Continuous Multivariate Distributions.

1973 • 1,622 citations

Short- Term Interest Rates as Predictors of Inflation

2021 • 937 citations

Two Singular Diffusion Problems

1951 • 872 citations

A Re‐examination of Traditional Hypotheses about the Term Structure of Interest Rates

1981 • 547 citations

Inflation, real returns and capital investment

1982 • 491 citations

A Theory of the Nominal Term Structure of Interest Rates

1992 • 423 citations

A comparison of inflation forecasts

1984 • 387 citations

An Equilibrium Model of Bond Pricing and a Test of Market Efficiency

1982 • 377 citations

Testing asset pricing models with changing expectations and an unobservable market portfolio

1985 • 321 citations

Modeling the term structure of interest rates under non-separable utility and durability of goods

1986 • 315 citations

The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates

1986 • 288 citations

Optimal bond trading with personal taxes

1984 • 284 citations

The information in forward rates

1988 • 282 citations

Duration and the Measurement of Basis Risk

1979 • 236 citations

Term premiums in bond returns

1984 • 226 citations

Identifying the Dynamics of Real Interest Rates and Inflation: Evidence Using Survey Data

1991 • 225 citations

The term structure of real interest rates and the Cox, Ingersoll, and Ross model

1994 • 199 citations

Tests of Asset Pricing with Time‐Varying Expected Risk Premiums and Market Betas

1987 • 194 citations

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

1992 • 187 citations

A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates

1981 • 173 citations

Consumption, production, inflation and interest rates

1986 • 161 citations

A Simple Econometric Approach for Utility‐Based Asset Pricing Models

1985 • 128 citations

Real and Nominal Interest Rates under Uncertainty: The Fisher Theorem and the Term Structure

1983 • 89 citations

The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates

1986 • 81 citations

THE TERM STRUCTURE OF INTEREST RATES: EVIDENCE AND THEORY

1988 • 63 citations

Nonparametric Pricing of Interest Rate Derivative Securities

1995 • 48 citations

Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas

1987 • 44 citations

A Simple Econometric Approach for Utility-Based Asset Pricing Models

1985 • 32 citations