An Econometric Model of Credit Spreads with Rebalancing, ARCH and Jump Effects

Testing for a unit root in time series regression

Peter C.B. Phillips, Pierre Perrón · Biometrika · 1988 · 17.9K citations

Social Sciences, Economics, Econometrics +16

Testing the null hypothesis of stationarity against the alternative of a unit root

Denis Kwiatkowski, Peter C.B. Phillips, Peter Schmidt et al. · Journal of Econometrics · 1992 · 12.6K citations

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The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Pierre Perrón · Econometrica · 1989 · 7.7K citations

Social Sciences, Economics, Econometrics +16

Modeling Term Structures of Defaultable Bonds

Darrell Duffie, Kenneth J. Singleton · Review of Financial Studies · 1999 · 2.6K citations

Business, Economics, Finance +16

Pricing Derivatives on Financial Securities Subject to Credit Risk

Robert A. Jarrow, Stuart M. Turnbull · The Journal of Finance · 1995 · 2K citations

Business, Economics, Finance +17