Based on courses developed by the author over several years, this book provides access to
a broad area of research that is not available in separate articles or books of readings …

We derive and test an alternative closed-form general equilibrium model of the term
structure within the Cox, Ingersoll, and Ross theoretical framework in which yields are …

This paper studies equilibrium in the futures market for a commodity in a single good
economy, which is populated by heterogeneous producers and speculators. The commodity …

In this article, we illustrate that the estimation procedure applied in Chan et al.(1992)-
hereafter referred to as CKLS (1992)-for estimating short-term interest rate models suffers …

Robert J. Shiller October 14, 2002 Abstract. The efficient markets theory reached the height
of its dominance in academic circles around the 1970s. Faith in this theory was eroded by a …

The first paper proposes an efficient generalized method of moment (GMM) estimation
method for nonlinear continuous-time stochastic processes such as the Constant Elasticity of …