Nonlinear term structure dependence: Copula functions, empirics, and risk implications

A Theory of the Term Structure of Interest Rates

John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.6K citations

Business, Economics, Finance +17

An equilibrium characterization of the term structure

Oldrich A Vasicek · Journal of Financial Economics · 1977 · 6.3K citations

Social Sciences, Economics, Microeconomics +7

ARCH modeling in finance

Tim Bollerslev, Ray Yeutien Chou, Kenneth F. Kroner · Journal of Econometrics · 1992 · 4.4K citations

Business, Economics, Finance +12

Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes

T. W. Anderson, D. A. Darling · The Annals of Mathematical Statistics · 1952 · 3.5K citations · Full text

Natural Sciences, Mathematics, Econometrics +10

Multivariate Models and Dependence Concepts.

Trevor J. Ringrose, Harry Joe · Biometrics · 1998 · 3.5K citations

Business, Biostatistics, Statistical Modeling +12