Liquidity of the treasury bill market and the term structure of interest rates

Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

Robert F. Engle, David M. Lilien, Russell P. Robins · Econometrica · 1987 · 2.5K citations

Empirical Finance, Long Bond, Term Structure Model +17

The Cost of Transacting

Harold Demsetz · The Quarterly Journal of Economics · 1968 · 1.9K citations

Ask-bid Spread, Transaction Cost, Market Microstructure +17

Information Effects on the Bid‐Ask Spread

Thomas E. Copeland, Dan Galai · The Journal of Finance · 1983 · 1.8K citations

Communication, Market Design, Bid‐ask Spread +16

THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS

Hans R. Stoll · The Journal of Finance · 1978 · 1.4K citations

Market Manipulation, Business, Dealer Services +3

The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure

Robert J. Shiller · Journal of Political Economy · 1979 · 831 citations

Empirical Finance, Long-term Interest Rates, Economics +13