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The stochastic properties of term structure movements
13 references·0 citing·33 second hop
The stochastic properties of term structure movements (1987)The stochastic properties of term structu…The Behavior of Interest Rates (2006)The Behavior of Interest RatesA Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The information in the term structure (1984)The information in the term s…Stochastic Processes for Interest Rates and Equilibrium Bond Prices (1983)Stochastic Processes for Inte…An Equilibrium Model of Bond Pricing and a Test of Market Efficiency (1982)An Equilibrium Model of Bond …Treasury Bill Factors and Common Stock Returns (1981)Treasury Bill Factors and Com…A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)A Re-Examination of Tradition…A Multivariate Model of the Term Structure (1980)A Multivariate Model of the T…An arbitrage model of the term structure of interest rates (1978)An arbitrage model of the ter…Book Review: Time Series Analysis: Forecasting and Control (1977)Book Review: Time Series Anal…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The Behavior of Interest Rates. (1972)The Behavior of Interest Rate…Time Series Analysis, Forecasting and Control. (1971)Time Series Analysis, Forecas…An Intertemporal Capital Asset Pricing Model (1973)Time Series Analysis: Forecasting and Control (1977)Stock Returns and the Term Structure (1985)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Risk, Return, and Equilibrium: Empirical Tests (1973)The Pricing of Options and Corporate Liabilities (1973)Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Pricing Interest-Rate-Derivative Securities (1990)An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)The "Speculative Efficiency" Hypothesis (1981)Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates (1983)Forward and spot exchange rates (1984)Business conditions and expected returns on stocks and bonds (1989)Short- Term Interest Rates as Predictors of Inflation (2021)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Rational-expectations econometric analysis of changes in regime (1988)Testing Continuous-Time Models of the Spot Interest Rate (1996)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Optimum consumption and portfolio rules in a continuous-time model (1971)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Theory of rational option pricing (2005)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Generalized autoregressive conditional heteroskedasticity (1986)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Understanding spurious regressions in econometrics (1986)25 years of time series forecasting (2006)
this work references cited by second hop

References

  • 1977Book Review: Time Series Analysis: Forecasting and Control19,399 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1971Time Series Analysis, Forecasting and Control.2,814 cited
  • 1984The information in the term structure659 cited
  • 1981A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates588 cited
  • 1982An Equilibrium Model of Bond Pricing and a Test of Market Efficiency373 cited
  • 1980A Multivariate Model of the Term Structure223 cited
  • 1978An arbitrage model of the term structure of interest rates181 cited
  • 1983Stochastic Processes for Interest Rates and Equilibrium Bond Prices179 cited
  • 1972The Behavior of Interest Rates.118 cited
  • 1981Treasury Bill Factors and Common Stock Returns39 cited
  • 2006The Behavior of Interest Rates34 cited

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