References

• 1985A Theory of the Term Structure of Interest Rates8,333 cited
• 2007Brownian Motion and Stochastic Calculus7,421 cited
• 1977An equilibrium characterization of the term structure6,104 cited
• 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
• 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
• 1976Stochastic Differential Equations and Applications1,378 cited
• 1996Testing Continuous-Time Models of the Spot Interest Rate923 cited
• 1995Nonparametric Pricing of Interest Rate Derivative Securities546 cited
• 1993Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes373 cited
• 1999A Parametric Nonlinear Model of Term Structure Dynamics335 cited
• 2003Fully Nonparametric Estimation of Scalar Diffusion Models322 cited
• 2004Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates311 cited
• 2000Is the Short Rate Drift Actually Nonlinear?230 cited
• 1998Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models208 cited
• 1997A Nonparametric Approach to the Estimation of Diffusion Processes, With an Application to a Short-Term Interest Rate Model