SSRN Electronic Journal · 2009 · 17 citations · 47 references
BusinessEconomicsFinanceAsset PricingEconometricsFinancial EconomicsAsset Pricing EmpiricsImplied VolatilityInterest Rate DeterminationInterest Rate RiskLiquidity RiskOption PricingEquilibrium Interest RatesFutures Market LiquidityInterest Rate Option Implied VolatilityInterest Rate PricingInterest Rate Term StructureLatent Demand EstimationLiquidity ProxiesRisk-free Rate Estimation
47
Optimum consumption and portfolio rules in a continuous-time model
Robert C. Merton · Journal of Economic Theory · 1971 · 6.2K citations
Social Sciences, Economics, Finance +16
Market Liquidity and Funding Liquidity
Markus K. Brunnermeier, Lasse Heje Pedersen · Review of Financial Studies · 2008 · 4.9K citations
Forecasting, Structural Time Series Models and the Kalman Filter
Robert Fildes, Andrew Harvey, Mike West et al. · Journal of the Operational Research Society · 1991 · 4.8K citations
Computing, Mathematics, Forecasting +13