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Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk
16 references·5 citing·34 second hop
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References

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  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
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  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
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  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
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  • 2000Habit Formation in Consumption and Its Implications for Monetary-Policy Models

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1,148 cited
  • 2003Affine processes and applications in finance1,044 cited
  • Cited by

    • 2008The role of no-arbitrage on forecasting: Lessons from a parametric term structure model54 cited
    • 2006Quadratic term structure models in discrete time39 cited
    • 2011Generalized Transform Analysis of Affine Processes and Applications in Finance33 cited
    • 2012A Stochastic Volatility Model With Conditional Skewness30 cited
    • 2017Term Premium Dynamics and the Taylor Rule24 cited