Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach

Parsimonious Modeling of Yield Curves

1987 • 2,902 citations

On Gibbs sampling for state space models

1994 • 1,971 citations

Common Factors Affecting Bond Returns

1991 • 1,873 citations

Specification Analysis of Affine Term Structure Models

2000 • 1,864 citations

Marginal Likelihood from the Gibbs Output

1995 • 1,819 citations

A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables

2003 • 1,742 citations

The Information in Long-Maturity Forward Rates

1987 • 1,646 citations

Forecasting the term structure of government bond yields

2005 • 1,644 citations

International Business Cycles: World, Region, and Country-Specific Factors

2003 • 1,188 citations

An equilibrium model of the international capital market

1974 • 1,180 citations

Forecasting Output and Inflation: The Role of Asset Prices

2003 • 1,165 citations

New Indexes of Coincident and Leading Economic Indicators

1989 • 1,150 citations

The macroeconomy and the yield curve: a dynamic latent factor approach

2005 • 967 citations

Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach*

2005 • 752 citations

Business Cycle Modeling Without Pretending to Have Too Much A Priori Economic Theory

1977 • 699 citations

Bayes inference in regression models with ARMA (p, q) errors

1994 • 365 citations

Modeling Bond Yields in Finance and Macroeconomics

2005 • 227 citations

The Term Structure and World Economic Growth

1991 • 193 citations

Testing term structure estimation methods

1996 • 191 citations

A Simple Approach to Three-Factor Affine Term Structure Models

1996 • 176 citations

Identifying the Common Component of International Economic Fluctuations: A new Approach

2002 • 173 citations

A multivariate latent factor decomposition of international bond yield spreads

2000 • 152 citations

Common and country-specific fluctuations in productivity, investment, and the current account

1999 • 132 citations

State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications

1999 • 125 citations

International Capital Markets and Foreign Exchange Risk

2006 • 124 citations

Movements in the Term Structure of Interest Rates

1997 • 123 citations

Dynamic linkages among real interest rates in international capital markets

1998 • 83 citations

Identifying the Common Component of International Economic Fluctuations: A New Approach

2002 • 66 citations

State-Space Models with Markov Switching and Gibbs-Sampling

1999 • 51 citations

Identifying the Common Component in International Economic Fluctuations

1997 • 42 citations

An international CAPM for bonds and equities

1993 • 35 citations

Bond Risk Premia

2002 • 11 citations