A nonlinear general equilibrium model of the term structure of interest rates

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

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 Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias

1962 • 7,696 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

An equilibrium characterization of the term structure

1977 • 6,242 citations

Optimum consumption and portfolio rules in a continuous-time model

1971 • 6,065 citations

The theory and practice of econometrics

1986 • 4,551 citations

A First Course in Stochastic Processes

1975 • 4,107 citations

The Theory of Stochastic Processes

1966 • 3,500 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

A second course in stochastic processes

1981 • 2,967 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

An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias

1962 • 1,514 citations

Ordinary Differential Equations.

1963 • 1,464 citations

Term Structure Movements and Pricing Interest Rate Contingent Claims

1986 • 1,256 citations

Foundations of Finance.

1977 • 1,197 citations

A continuous time approach to the pricing of bonds

1979 • 776 citations

On the term structure of interest rates

1978 • 636 citations

Term Structure of Interest Rates

2008 • 569 citations

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

1981 • 547 citations

The Folded Normal Distribution

1961 • 404 citations

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

1982 • 377 citations

Term Structure Movements and Pricing Interest Rate Contingent Claims

1986 • 320 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

An Analysis of Variable Rate Loan Contracts

1980 • 276 citations

The theory and practice of econometrics

1986 • 269 citations

Savings bonds, retractable bonds and callable bonds

1977 • 240 citations

Term premiums in bond returns

1984 • 226 citations

A Multivariate Model of the Term Structure*

1980 • 220 citations

An arbitrage model of the term structure of interest rates

1978 • 186 citations

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

1981 • 173 citations

Stochastic Processes for Interest Rates and Equilibrium Bond Prices

1983 • 166 citations

The valuation of floating-rate instruments

1986 • 123 citations

Ordinary Differential Equations

2019 • 120 citations

Time‐Dependent Variance and the Pricing of Bond Options

1987 • 89 citations

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

1986 • 81 citations

The Folded Normal Distribution

1961 • 67 citations

An Analysis of Variable Rate Loan Contracts

1980 • 64 citations

Conditional Predictions of Bond Prices and Returns

1980 • 57 citations

Stochastic Processes for Interest Rates and Equilibrium Bond Prices

1983 • 55 citations

The monotonicity of the term premium

1987 • 53 citations

A Multivariate Model of the Term Structure

1980 • 52 citations

Consumption and Equilibrium Interest Rates in Stochastic Production Economies

1984 • 51 citations

Treasury Bill Factors and Common Stock Returns

1981 • 37 citations

The Term Structure Of Interest Rates: Empirical Evidence

1988 • 34 citations

Time-Dependent Variance and the Pricing of Bond Options

1987 • 23 citations

Conditional Predictions of Bond Prices and Returns

1980 • 19 citations

The stochastic properties of term structure movements

1987 • 18 citations

Treasury Bill Factors and Common Stock Returns

1981 • 12 citations

Consumption and Equilibrium Interest Rates in Stochastic Production Economies

1984 • 11 citations

Term Structure of Interest Rates

1987 • 7 citations

Deleted Work

1955 • 0 citations