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Term Structure of Interest Rates Implications of Habit Persistence
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Term Structure of Interest Rates Implications of Habit Persistence (2006)Term Structure of Interest Rates Implicat…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Maximum Likelihood Estimation…Habit Persistence, Asset Returns, and the Business Cycle (2001)Habit Persistence, Asset Retu…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Habit Formation in Consumption and Its Implications for Monetary-Policy Models (2000)Habit Formation in Consumptio…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…An Econometric Model of the Term Structure of Interest-Rate Swap Yields (1997)An Econometric Model of the T…Implications of Security Market Data for Models of Dynamic Economies (1990)Implications of Security Mark…Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…Asset Prices under Habit Formation and Catching up with the Joneses (1990)Asset Prices under Habit Form…ARCH models as diffusion approximations (1990)ARCH models as diffusion appr…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Economic Forces and the Stock Market (1986)Economic Forces and the Stock…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Income, Saving and the Theory of Consumer Behavior. (1950)Income, Saving and the Theory…Trends and random walks in macroeconomic time series (1988)Business conditions and expected returns on stocks and bonds (1989)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Industry costs of equity (1997)Multivariate GARCH models: a surveyDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The Distribution of Realized Exchange Rate Volatility (2001)Optimum consumption and portfolio rules in a continuous-time model (1971)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)An equilibrium characterization of the term structure (1977)Common risk factors in the returns on stocks and bonds (1993)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Bond Risk Premia (2005)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Stochastic Differential Equations and Diffusion Processes (1983)Basel Committee On Banking Supervision (2010)Satisfaction and comparison income (1996)The analysis of household surveys (1997)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Prospect Theory and Asset Prices (2001)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1950Income, Saving and the Theory of Consumer Behavior.2,197 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1990Asset Prices under Habit Formation and Catching up with the Joneses2,021 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 2000Habit Formation in Consumption and Its Implications for Monetary-Policy Models1,148 cited
  • 1990Implications of Security Market Data for Models of Dynamic Economies1,088 cited
  • 2001Habit Persistence, Asset Returns, and the Business Cycle1,049 cited
  • 1990ARCH models as diffusion approximations943 cited
  • 2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach902 cited

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  • 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields793 cited
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