Bond Risk Premia

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

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1985 • 8,604 citations

An Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

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1989 • 4,137 citations

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1996 • 2,625 citations

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1998 • 1,908 citations

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1991 • 1,822 citations

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1996 • 1,818 citations

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2009 • 1,662 citations

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2002 • 1,656 citations

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1987 • 1,646 citations

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1991 • 1,158 citations

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2009 • 1,014 citations

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2009 • 970 citations

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2002 • 823 citations

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1998 • 654 citations

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1994 • 563 citations

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2010 • 469 citations

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2002 • 465 citations

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1990 • 464 citations

The Term Structure of Real Rates and Expected Inflation

2008 • 464 citations

Forecasts of Economic Growth from the Bond and Stock Markets

1989 • 427 citations

On biases in tests of the expectations hypothesis of the term structure of interest rates

1997 • 412 citations

Some Lessons from the Yield Curve

1995 • 385 citations

Futures prices as risk-adjusted forecasts of monetary policy

2008 • 360 citations

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1996 • 323 citations

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

1985 • 321 citations

Heterogeneous Expectations and Bond Markets

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Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models

1983 • 294 citations

The Fed funds futures rate as a predictor of federal reserve policy

1996 • 289 citations

Time‐Varying Expected Returns in International Bond Markets

1995 • 289 citations

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1988 • 282 citations

New Techniques to Extract Market Expectations from Financial Instruments

1997 • 245 citations

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2006 • 222 citations

Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies

2007 • 214 citations

Optimal Decentralized Investment Management

2008 • 174 citations

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

2005 • 164 citations

Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence

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When Can Life Cycle Investors Benefit from Time-Varying Bond Risk Premia?

2009 • 142 citations

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2006 • 101 citations

Forecasting government bond yields with large Bayesian vector autoregressions

2012 • 87 citations

An Econometric Model of the Yield Curve With Macroeconomic Jump Effects

2001 • 54 citations

A re-examination of the predictability of the yield spread for real economic activity *

1999 • 53 citations

Generalizing the Affine Framework to HJM and Random Field Models

2003 • 37 citations

A Tale of Two Yield Curves: Modeling the Joint Term Structure of Dollar and Euro Interest Rates

2006 • 29 citations

STRATEGIC ASSET ALLOCATION FOR LONG‐TERM INVESTORS: PARAMETER UNCERTAINTY AND PRIOR INFORMATION

2013 • 22 citations

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2005 • 19 citations

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2006 • 17 citations

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2005 • 13 citations

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2006 • 10 citations

A dynamic model of expected bond returns: A functional gradient descent approach

2006 • 9 citations

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2006 • 4 citations