References

• 1987Parsimonious Modeling of Yield Curves2,918 cited
• 2005Asset pricing with liquidity risk2,816 cited
• 1990Inference in Linear Time Series Models with some Unit Roots2,561 cited
• 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
• 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
• 2012The Aggregate Demand for Treasury Debt1,591 cited
• 2007Corporate Yield Spreads and Bond Liquidity1,087 cited
• 2006Liquidity and Asset Prices821 cited
• 2008Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market706 cited
• 2010Spurious Regression in Econometrics705 cited
• 1994Testing for a Unit Root in Time Series With Pretest Data-Based Model Selection701 cited
• 2004The Flight‐to‐Liquidity Premium in U.S. Treasury Bond Prices561 cited
• 2002The bond/old-bond spread514 cited
• 1991Liquidity, Maturity, and the Yields on U.S. Treasury Securities503 cited
• 2006Liquidity and Credit Risk452 cited
• 2010The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures