Nonparametric Pricing of Interest Rate Derivative Securities*

The Pricing of Options and Corporate Liabilities

1973 • 29,036 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

Theory of Rational Option Pricing

1973 • 7,693 citations

An equilibrium characterization of the term structure

1977 • 6,242 citations

Partial differential equations of parabolic type

1965 • 3,378 citations

Testing for unit roots in autoregressive-moving average models of unknown order

1984 • 2,980 citations

On estimating the expected return on the market

1980 • 2,932 citations

Time Series Regression with a Unit Root

1987 • 2,905 citations

The Jackknife and the Bootstrap for General Stationary Observations

1989 • 2,213 citations

Pricing Interest-Rate-Derivative Securities

1990 • 2,189 citations

An Intertemporal General Equilibrium Model of Asset Prices

1985 • 2,096 citations

An Empirical Comparison of Alternative Models of the Short‐Term Interest Rate

1992 • 1,641 citations

Testing Continuous-Time Models of the Spot Interest Rate

1996 • 1,009 citations

ARCH models as diffusion approximations

1990 • 974 citations

Indirect inference

1993 • 969 citations

Two Singular Diffusion Problems

1951 • 872 citations

A continuous time approach to the pricing of bonds

1979 • 776 citations

Asymptotic efficiency in estimation with conditional moment restrictions

1987 • 761 citations

Simulated Moments Estimation of Markov Models of Asset Prices

1993 • 680 citations

An Exact Bond Option Formula

1989 • 652 citations

On the term structure of interest rates

1978 • 636 citations

NONPARAMETRIC ESTIMATORS FOR TIME SERIES

1983 • 574 citations

Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model

1994 • 427 citations

A Theory of the Nominal Term Structure of Interest Rates

1992 • 423 citations

Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data

1988 • 368 citations

Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes

1995 • 357 citations

Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form

1987 • 299 citations

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

1986 • 288 citations

Exploring the Limits of Bootstrap.

1993 • 286 citations

An Analysis of Variable Rate Loan Contracts

1980 • 276 citations

The Pricing of Options on Default-Free Bonds

1982 • 251 citations

On estimating the diffusion coefficient from discrete observations

1993 • 249 citations

Stochastic Processes for Interest Rates and Equilibrium Bond Prices

1983 • 166 citations

Nonparametric Identification for Diffusion Processes

1978 • 115 citations

A test of the Cox, Ingersoll, and Ross model of the term structure

1993 • 68 citations