Mean reversion of interest-rate term premiums and profits from trading strategies with treasury futures spreads

Co-Integration and Error Correction: Representation, Estimation, and Testing

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Testing for a unit root in time series regression

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

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A Theory of the Term Structure of Interest Rates

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Business conditions and expected returns on stocks and bonds

Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 1989 · 4.2K citations

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Asymptotic Properties of Residual Based Tests for Cointegration

P. C. B. Phillips, Sam Ouliaris · Econometrica · 1990 · 2K citations

Social Sciences, Economics, Econometrics +12