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Interest rate volatility and the shape of the term structure

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References

1985A Theory of the Term Structure of Interest Rates8,333 cited
1977An equilibrium characterization of the term structure6,104 cited
1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
1991Common Factors Affecting Bond Returns1,796 cited
1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model977 cited
1981A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates588 cited
1986The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates291 cited
1979Duration and the Measurement of Basis Risk225 cited
1994The term structure of real interest rates and the Cox, Ingersoll, and Ross model188 cited
1991Volatility and the Yield Curve158 cited
1981Measuring a Tax-Specific Term Structure of Interest Rates in the Market for British Government Securities147 cited
1984A Two-Factor Model of the Term Structure: An Approximate Analytical Solution144 cited

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2012

The Swaption Cube

42 cited

2000Why Long Term Forward Interest Rates (Almost) Always Slope Downwards25 cited

2005Term Structure Forecasts of Long-Term Consumption Growth19 cited