Stock returns and the term structure

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 Intertemporal Capital Asset Pricing Model

1973 • 6,653 citations

Expected stock returns and volatility

1987 • 4,291 citations

On estimating the expected return on the market

1980 • 2,932 citations

The Jackknife: The Bootstrap and Other Resampling Plans.

1983 • 2,827 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

Asset returns and inflation

1977 • 2,770 citations

Stock Returns, Real Activity, Inflation, and Money

1981 • 2,625 citations

Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

1987 • 2,510 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns

1983 • 1,611 citations

Asymptotic Theory for Econometricians.

1988 • 1,473 citations

Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties

1985 • 1,446 citations

The Fiscal and Monetary Linkage between Stock Returns and Inflation

1983 • 895 citations

The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure

1979 • 866 citations

The information in the term structure

1984 • 689 citations

Multivariate tests of financial models

1982 • 632 citations

Conditional variance and the risk premium in the foreign exchange market

1985 • 512 citations

Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates

1983 • 447 citations

Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates

1983 • 391 citations

Risk, Inflation, and the Stock Market

1984 • 386 citations

The Adjustment of Stock Prices to Information About Inflation

1981 • 367 citations

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

1985 • 321 citations

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

1983 • 294 citations

The information in forward rates

1988 • 282 citations

The Fiscal and Monetary Linkage Between Stock Returns and Inflation

1983 • 255 citations

Consumption correlatedness and risk measurement in economies with non-traded assets and heterogeneous information

1982 • 253 citations

Term premiums in bond returns

1984 • 226 citations

Inflation Uncertainty and Expected Returns on Treasury Bills

1976 • 199 citations

Asset Pricing and Expected Inflation

1986 • 186 citations

The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator

1987 • 182 citations

Expectations Models of Asset Prices: A Survey of Theory

1982 • 115 citations

The Adjustment of Stock Prices to Information About Inflation

1981 • 91 citations

Exact Linear Rational Expectations Models: Specification and Estimation

1981 • 69 citations

Do forecast errors or term premia really make the difference between long and short rates?

1982 • 69 citations

Asset Pricing and Expected Inflation

1986 • 43 citations

Optimal Growth in a Putty-Clay Model

1976 • 29 citations