Monetary Policy and the Yield Curve

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

1987 • 15,268 citations

An equilibrium characterization of the term structure

1977 • 6,242 citations

Common Factors Affecting Bond Returns

1991 • 1,873 citations

Specification Analysis of Affine Term Structure Models

2000 • 1,864 citations

Monetary policy surprises and interest rates: Evidence from the Fed funds futures market

2001 • 1,699 citations

Arbitrage Theory in Continuous Time

1998 • 1,366 citations

Expectation puzzles, time-varying risk premia, and affine models of the term structure

2002 • 823 citations

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

1981 • 547 citations

Monetary policy and the term structure of nominal interest rates: Evidence and theory

1998 • 317 citations

Kalman Filtering of Generalized Vasicek Term Structure Models

1999 • 275 citations

The Central Tendency: A Second Factor in Bond Yields

1998 • 156 citations

A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables

2001 • 26 citations