International Journal of Forecasting · 2013 · 16 citations · 39 references
Social SciencesEconomicsFinanceEconometricsFinancial EconometricsFinancial EconomicsBayesian EconometricsBayesian InferenceBayesian Model AveragingBayesian StatisticsFinancial ForecastingInterest Rate ModelingBayesian Autoregressive ModelsBayesian Model Averaging For Time SeriesFinancial Time Series ForecastingInterest Rate ForecastingInterest Rate Volatility ModelingModel AveragingStochastic Interest Rate Models
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Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text
Business, Finance, Econometrics +11
A Theory of the Term Structure of Interest Rates
John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.6K citations
An Intertemporal Capital Asset Pricing Model
Robert C. Merton · Econometrica · 1973 · 6.8K citations