Kenneth Singleton : Citation Profile

Are you Kenneth Singleton?

Stanford University

28

H index

36

i10 index

6206

Citations

RESEARCH PRODUCTION:

51

Articles

14

Papers

1

Books

7

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   36 years (1980 - 2016). See details.
   Cites by year: 172
   Journals where Kenneth Singleton has often published
   Relations with other researchers
   Recent citing documents: 721.    Total self citations: 18 (0.29 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psi735
   Updated: 2019-10-06    RAS profile: 2016-11-29    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Biais, Bruno (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Kenneth Singleton.

Is cited by:

Chernov, Mikhail (51)

Monfort, Alain (47)

Campbell, John (39)

Christoffersen, Peter (35)

Rudebusch, Glenn (34)

Christiano, Lawrence (33)

Diebold, Francis (29)

Renne, Jean-Paul (29)

gourieroux, christian (28)

Renault, Eric (28)

Eichenbaum, Martin (27)

Cites to:

Duffie, Darrell (18)

Hansen, Lars (16)

Shiller, Robert (15)

Bekaert, Geert (14)

Ang, Andrew (13)

Duffee, Greg (12)

Campbell, John (11)

Hodrick, Robert (10)

Piazzesi, Monika (9)

Wu, Liuren (8)

Longstaff, Francis (7)

Main data

Where Kenneth Singleton has published?

Journals with more than one article published# docs
Journal of Finance13
Review of Financial Studies5
Journal of Econometrics4
Journal of Financial Economics3
Econometrica3
International Economic Review3
Journal of Political Economy2
Monetary and Economic Studies2
Carnegie-Rochester Conference Series on Public Policy2

Recent works citing Kenneth Singleton (2018 and 2017)

YearTitle of citing document
2017The Extended Perturbation Method: New Insights on the New Keynesian Model. (2017). Kronborg, Anders ; Andreasen, Martin M. In: CREATES Research Papers. RePEc:aah:create:2017-14.

Full description at Econpapers || Download paper

2017A Non-Structural Investigation of VIX Risk Neutral Density. (2017). Violante, Francesco ; Santucci de Magistris, Paolo ; Barletta, Andrea. In: CREATES Research Papers. RePEc:aah:create:2017-15.

Full description at Econpapers || Download paper

2017The TIPS Liquidity Premium. (2017). Riddell, Simon ; Andreasen, Martin M. In: CREATES Research Papers. RePEc:aah:create:2017-27.

Full description at Econpapers || Download paper

2017Term Structure Analysis with Big Data. (2017). Rudebusch, Glenn ; Andreasen, Martin M. In: CREATES Research Papers. RePEc:aah:create:2017-31.

Full description at Econpapers || Download paper

2018The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-02.

Full description at Econpapers || Download paper

2018Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span. (2018). Andersen, Torben ; Varneskov, Rasmus T ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-03.

Full description at Econpapers || Download paper

2018Option Panels in Pure-Jump Settings. (2018). Andersen, Torben ; Varneskov, Rasmus T ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-04.

Full description at Econpapers || Download paper

2018The Risk Premia Embedded in Index Options. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-07.

Full description at Econpapers || Download paper

2018Short-Term Market Risks Implied by Weekly Options. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-08.

Full description at Econpapers || Download paper

2018A multilevel factor approach for the analysis of CDS commonality and risk contribution. (2018). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Caporin, Massimiliano ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2018-33.

Full description at Econpapers || Download paper

2019Bond Risk Premiums at the Zero Lower Bound. (2019). Meldrum, Andrew ; Jorgensen, Kasper ; Andreasen, Martin Moller. In: CREATES Research Papers. RePEc:aah:create:2019-10.

Full description at Econpapers || Download paper

2019Explaining Bond Return Predictability in an Estimated New Keynesian Model. (2019). Andreasen, Martin M. In: CREATES Research Papers. RePEc:aah:create:2019-11.

Full description at Econpapers || Download paper

2017The Costs of Sovereign Default: Evidence from Argentina. (2017). Schreger, Jesse ; Hebert, Benjamin. In: American Economic Review. RePEc:aea:aecrev:v:107:y:2017:i:10:p:3119-45.

Full description at Econpapers || Download paper

2018Firms, Informality, and Development: Theory and Evidence from Brazil. (2018). Ulyssea, Gabriel. In: American Economic Review. RePEc:aea:aecrev:v:108:y:2018:i:8:p:2015-47.

Full description at Econpapers || Download paper

2018Government Old-Age Support and Labor Supply: Evidence from the Old Age Assistance Program. (2018). Lockwood, Lee ; Fetter, Daniel. In: American Economic Review. RePEc:aea:aecrev:v:108:y:2018:i:8:p:2174-2211.

Full description at Econpapers || Download paper

2019Vulnerable Growth. (2019). Giannone, Domenico ; Boyarchenko, Nina ; Adrian, Tobias. In: American Economic Review. RePEc:aea:aecrev:v:109:y:2019:i:4:p:1263-89.

Full description at Econpapers || Download paper

2017Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices. (2017). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit ; Derek, Julien Chevallier . In: The Energy Journal. RePEc:aen:journl:ej38-2-bunn.

Full description at Econpapers || Download paper

2017What drives the regional integration of agribusiness stocks? Evidence in worldwide perspective. (2017). Valdes, Rodrigo . In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258265.

Full description at Econpapers || Download paper

2017Identifying the Impact of Financialization in Commodity Futures Prices from Index Rebalancing. (2017). Yan, Lei ; Sanders, Dwight R ; Irwin, Scott H. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258504.

Full description at Econpapers || Download paper

2017How low is the price elasticity in the global cocoa market?. (2017). Tothmihaly, Andras . In: GlobalFood Discussion Papers. RePEc:ags:gagfdp:258587.

Full description at Econpapers || Download paper

2019Potential Growth and Natural Yield Curve in Japan. (2019). Vaccaro-Grange, Etienne ; Dufrenot, Gilles ; Rhouzlane, Meryem. In: AMSE Working Papers. RePEc:aim:wpaimx:1912.

Full description at Econpapers || Download paper

2018Measuring Uncertainty of Optimal Simple Monetary Policy Rules in DSGE models. (2018). Mariusz, Gorajski ; Zbigniew, Kuchta. In: Lodz Economics Working Papers. RePEc:ann:wpaper:6/2018.

Full description at Econpapers || Download paper

2017A unified framework for pricing credit and equity derivatives. (2017). de Martino, Andrea ; Stagni, Roberto ; Ruiz, Edward Manuel. In: Working Papers. RePEc:apc:wpaper:2017-116.

Full description at Econpapers || Download paper

2017The ABC of Simulation Estimation with Auxiliary Statistics. (2017). Ng, Serena ; Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1501.01265.

Full description at Econpapers || Download paper

2019Introduction to Stochastic Differential Equations (SDEs) for Finance. (2019). Papanicolaou, A.. In: Papers. RePEc:arx:papers:1504.05309.

Full description at Econpapers || Download paper

2017Correction to Black-Scholes formula due to fractional stochastic volatility. (2017). Garnier, Josselin ; Solna, Knut. In: Papers. RePEc:arx:papers:1509.01175.

Full description at Econpapers || Download paper

2019Optimal measure transformation problems. (2015). Hyndman, Cody Blaine ; Wang, Renjie . In: Papers. RePEc:arx:papers:1511.06032.

Full description at Econpapers || Download paper

2017Affine multiple yield curve models. (2017). Gnoatto, Alessandro ; Cuchiero, Christa ; Fontana, Claudio. In: Papers. RePEc:arx:papers:1603.00527.

Full description at Econpapers || Download paper

2017General dynamic term structures under default risk. (2017). Fontana, Claudio ; Schmidt, Thorsten. In: Papers. RePEc:arx:papers:1603.03198.

Full description at Econpapers || Download paper

2017Concurrent Credit Portfolio Losses. (2017). Sicking, Joachim ; Schafer, Rudi ; Guhr, Thomas. In: Papers. RePEc:arx:papers:1604.06917.

Full description at Econpapers || Download paper

2019Linear Credit Risk Models. (2018). Ackerer, Damien ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1605.07419.

Full description at Econpapers || Download paper

2017Long-Term Factorization of Affine Pricing Kernels. (2017). Linetsky, Vadim ; Qin, Likuan. In: Papers. RePEc:arx:papers:1610.00778.

Full description at Econpapers || Download paper

2017Volatility Smile as Relativistic Effect. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1610.02456.

Full description at Econpapers || Download paper

2017Optimal Investment and Pricing in the Presence of Defaults. (2017). Ishikawa, Tetsuya ; Robertson, Scott. In: Papers. RePEc:arx:papers:1703.00062.

Full description at Econpapers || Download paper

2019High-order compact finite difference scheme for option pricing in stochastic volatility jump models. (2017). During, Bertram ; Pitkin, Alexander. In: Papers. RePEc:arx:papers:1704.05308.

Full description at Econpapers || Download paper

2017Optimal excess-of-loss reinsurance and investment problem for an insurer with default risk under a stochastic volatility model. (2017). Yao, Nian ; Yang, Zhiming. In: Papers. RePEc:arx:papers:1704.08234.

Full description at Econpapers || Download paper

2017Realized volatility and parametric estimation of Heston SDEs. (2017). Azencott, Robert ; Timofeyev, Ilya ; Ren, Peng. In: Papers. RePEc:arx:papers:1706.04566.

Full description at Econpapers || Download paper

2018An Explicit Default Contagion Model and Its Application to Credit Derivatives Pricing. (2018). Chen, Dianfa ; Feng, Jianfen ; Deng, Jun. In: Papers. RePEc:arx:papers:1706.06285.

Full description at Econpapers || Download paper

2017General Price Bounds for Guaranteed Annuity Options. (2017). Bahl, Raj Kumari ; Sabanis, Sotirios . In: Papers. RePEc:arx:papers:1707.00807.

Full description at Econpapers || Download paper

2019Indirect Inference with a Non-Smooth Criterion Function. (2018). Oka, Tatsushi ; Zhu, Dan ; Frazier, David T. In: Papers. RePEc:arx:papers:1708.02365.

Full description at Econpapers || Download paper

2018Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

Full description at Econpapers || Download paper

2017Optimal Liquidation Problems in a Randomly-Terminated Horizon. (2017). Yang, Qing-Qing ; Wong, Tak Kwong ; Gu, Jia-Wen ; Ching, Wai-Ki. In: Papers. RePEc:arx:papers:1709.05837.

Full description at Econpapers || Download paper

2018Numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon. (2018). , Hyong-Chol ; Jon, Il-Gwang ; Kim, Jong-Chol . In: Papers. RePEc:arx:papers:1709.06517.

Full description at Econpapers || Download paper

2017Transform Analysis for Hawkes Processes with Applications in Dark Pool Trading. (2017). Gao, Xuefeng ; Zhu, Lingjiong ; Zhou, Xiang. In: Papers. RePEc:arx:papers:1710.01452.

Full description at Econpapers || Download paper

2017Pricing of commodity derivatives on processes with memory. (2017). Benth, Fred Espen ; Vanmaele, Michele ; Khedher, Asma . In: Papers. RePEc:arx:papers:1711.00307.

Full description at Econpapers || Download paper

2017Influence of jump-at-default in IR and FX on Quanto CDS prices. (2017). Itkin, Andrey ; Veygman, A ; Shcherbakov, V. In: Papers. RePEc:arx:papers:1711.07133.

Full description at Econpapers || Download paper

2018Rational Models for Inflation-Linked Derivatives. (2018). Dam, Henrik ; Sloth, David ; Skovmand, David ; Macrina, Andrea. In: Papers. RePEc:arx:papers:1801.08804.

Full description at Econpapers || Download paper

2018Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations. (2018). Muhlbacher, Andreas ; Guhr, Thomas. In: Papers. RePEc:arx:papers:1803.00261.

Full description at Econpapers || Download paper

2018Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization. (2018). White, Alan. In: Papers. RePEc:arx:papers:1803.07843.

Full description at Econpapers || Download paper

2019Indifference pricing of pure endowments via BSDEs under partial information. (2019). Ceci, Claudia ; Cretarola, Alessandra ; Colaneri, Katia. In: Papers. RePEc:arx:papers:1804.00223.

Full description at Econpapers || Download paper

2018Pricing sovereign contingent convertible debt. (2018). Consiglio, Andrea ; Zenios, Stavros ; Tumminello, Michele. In: Papers. RePEc:arx:papers:1804.01475.

Full description at Econpapers || Download paper

2018Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity. (2018). Yang, Ben-Zhang ; Huang, Nan-Jing ; Wang, Ming-Hui ; Yue, Jia. In: Papers. RePEc:arx:papers:1805.06226.

Full description at Econpapers || Download paper

2018Determining the dimension of factor structures in non-stationary large datasets. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1806.03647.

Full description at Econpapers || Download paper

2018Measuring Systematic Risk with Neural Network Factor Model. (2018). Huh, Jeonggyu. In: Papers. RePEc:arx:papers:1809.04925.

Full description at Econpapers || Download paper

2018Stochastic Revealed Preferences with Measurement Error. (2018). Kashaev, Nail ; Aguiar, Victor H. In: Papers. RePEc:arx:papers:1810.05287.

Full description at Econpapers || Download paper

2019High-order compact finite difference scheme for option pricing in stochastic volatility with contemporaneous jump models. (2018). During, Bertram ; Pitkin, Alexander. In: Papers. RePEc:arx:papers:1810.13248.

Full description at Econpapers || Download paper

2018Affine Jump-Diffusions: Stochastic Stability and Limit Theorems. (2018). Zhang, Xiaowei ; Glynn, Peter W. In: Papers. RePEc:arx:papers:1811.00122.

Full description at Econpapers || Download paper

2018Why are prices proportional to embodied energies?. (2018). Leiva, Benjamin . In: Papers. RePEc:arx:papers:1811.12502.

Full description at Econpapers || Download paper

2018Limits to Arbitrage in Markets with Stochastic Settlement Latency. (2018). Hautsch, Nikolaus ; Voigt, Stefan ; Scheuch, Christoph. In: Papers. RePEc:arx:papers:1812.00595.

Full description at Econpapers || Download paper

2018The Alpha-Heston Stochastic Volatility Model. (2018). Jiao, Ying ; Zhou, Chao ; Scotti, Simone ; Ma, Chunhua. In: Papers. RePEc:arx:papers:1812.01914.

Full description at Econpapers || Download paper

2019The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach. (2019). Kanniainen, Juho ; Yue, YE. In: Papers. RePEc:arx:papers:1901.02691.

Full description at Econpapers || Download paper

2019Affine term structure models : a time-changed approach with perfect fit to market curves. (2019). Fr'ed'eric Vrins, ; Mbaye, Cheikh. In: Papers. RePEc:arx:papers:1903.04211.

Full description at Econpapers || Download paper

2019The Likelihood of Mixed Hitting Times. (2019). Salimans, Tim ; Abbring, Jaap H. In: Papers. RePEc:arx:papers:1905.03463.

Full description at Econpapers || Download paper

2019Decomposition formula for jump diffusion models. (2019). Vives, Josep ; Sobotka, Tom'Avs ; Posp, Jan ; Merino, Raul. In: Papers. RePEc:arx:papers:1906.06930.

Full description at Econpapers || Download paper

2019Decomposition formula for rough Volterra stochastic volatility models. (2019). Vives, Josep ; Sottinen, Tommi ; Sobotka, Tom'Avs ; Posp, Jan ; Merino, Raul. In: Papers. RePEc:arx:papers:1906.07101.

Full description at Econpapers || Download paper

2019CVA and vulnerable options in stochastic volatility models. (2019). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio ; Alos, Elisa. In: Papers. RePEc:arx:papers:1907.12922.

Full description at Econpapers || Download paper

2019Detecting Identification Failure in Moment Condition Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1907.13093.

Full description at Econpapers || Download paper

2019A zero interest rate Black-Derman-Toy model. (2019). Sosa, Andr'Es ; Mordecki, Ernesto ; Zanowski, Grzegorz Krzy. In: Papers. RePEc:arx:papers:1908.04401.

Full description at Econpapers || Download paper

2019Total positivity and the classification of term structure shapes in the two-factor Vasicek model. (2019). Keller-Ressel, Martin. In: Papers. RePEc:arx:papers:1908.04667.

Full description at Econpapers || Download paper

2019Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models. (2019). Pedio, Manuela ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19106.

Full description at Econpapers || Download paper

2017Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns. (2017). Sadaba, Barbara ; Ravazzolo, Francesco ; Foroni, Claudia. In: Staff Working Papers. RePEc:bca:bocawp:17-19.

Full description at Econpapers || Download paper

2017Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions. (2017). Diez de los Rios, Antonio. In: Staff Working Papers. RePEc:bca:bocawp:17-33.

Full description at Econpapers || Download paper

2017Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models. (2017). Feunou, Bruno ; Okou, Cedric. In: Staff Working Papers. RePEc:bca:bocawp:17-55.

Full description at Econpapers || Download paper

2017Which Model to Forecast the Target Rate?. (2017). van Oordt, Maarten. In: Staff Working Papers. RePEc:bca:bocawp:17-60.

Full description at Econpapers || Download paper

2018Ambiguity, Nominal Bond Yields and Real Bond Yields. (2018). Zhao, Guihai. In: Staff Working Papers. RePEc:bca:bocawp:18-24.

Full description at Econpapers || Download paper

2019Firm-level Investment Under Imperfect Capital Markets in Ukraine. (2019). Shcherbakov, Oleksandr. In: Staff Working Papers. RePEc:bca:bocawp:19-14.

Full description at Econpapers || Download paper

2019Labor Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects. (2019). Tuzcuoglu, Kerem. In: Staff Working Papers. RePEc:bca:bocawp:19-16.

Full description at Econpapers || Download paper

2018Multivariate Jump Diffusion Model with Markovian Contagion. (2018). de Carvalho, Pablo ; Gupta, Aparna ; Campos, Pablo Jose. In: Working Papers Series. RePEc:bcb:wpaper:482.

Full description at Econpapers || Download paper

2019International Reserves Management in a Model of Partial Sovereign Default. (2019). Sabbadini, Ricardo. In: Working Papers Series. RePEc:bcb:wpaper:496.

Full description at Econpapers || Download paper

2017Financial Regulation and Shadow Banking: A Small-Scale DSGE Perspective. (2017). Pierrard, Olivier ; Fève, Patrick ; Feve, Patrick. In: BCL working papers. RePEc:bcl:bclwop:bclwp111.

Full description at Econpapers || Download paper

2018Should I stay or should I go? Austerity, unemployment and migration. (2018). Bandeira, Guilherme ; Vella, Eugenia ; Caballe, Jordi . In: Working Papers. RePEc:bde:wpaper:1839.

Full description at Econpapers || Download paper

2018Analyzing the structural transformation of commodity markets: financialization revisited. (2018). Natoli, Filippo. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_419_18.

Full description at Econpapers || Download paper

2017A quantitative analysis of risk premia in the corporate bond market. (2017). Cecchetti, Sara . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1141_17.

Full description at Econpapers || Download paper

2018Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models. (2018). Taboga, Marco ; Pericoli, Marcello. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1189_18.

Full description at Econpapers || Download paper

2018Fiscal Policy and Inflation: Understanding the Role of Expectations in Mexico. (2018). Samano, Daniel ; Lopez-Martin, Bernabe ; Daniel, Samano ; de Aguilar, Ramirez ; Bernabe, Lopez-Martin . In: Working Papers. RePEc:bdm:wpaper:2018-18.

Full description at Econpapers || Download paper

2017Sovereign default risk in OECD countries: do global factors matter?. (2017). Ordoñez-Callamand, Daniel ; Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Ordoez-Callamand, Daniel. In: Borradores de Economia. RePEc:bdr:borrec:996.

Full description at Econpapers || Download paper

2018Estimating Non-Linear DSGEs with the Approximate Bayesian Computation: an application to the Zero Lower Bound. (2018). Scalone, Valerio . In: Working papers. RePEc:bfr:banfra:688.

Full description at Econpapers || Download paper

2019Evaluating the macroeconomic effects of the ECB’s unconventional monetary policies. (2019). Sahuc, Jean-Guillaume ; Mouabbi, Sarah. In: Working papers. RePEc:bfr:banfra:708.

Full description at Econpapers || Download paper

2017Staying at zero with affine processes : an application to term structure modelling. (2017). Roussellet, Guillaume ; Renne, Jean-Paul ; Monfort, Alain ; Pegoraro, Fulvio. In: Rue de la Banque. RePEc:bfr:rueban:2017:52.

Full description at Econpapers || Download paper

2019Identifying and Estimating the Effects of Unconventional Monetary Policy in the Data: How to Do It and What Have We Learned?. (2019). Rossi, Barbara. In: Working Papers. RePEc:bge:wpaper:1081.

Full description at Econpapers || Download paper

2019Identifying Modern Macro Equations with Old Shocks. (2019). Mesters, Geert ; Barnichon, Régis. In: Working Papers. RePEc:bge:wpaper:1097.

Full description at Econpapers || Download paper

2019The term structures of global yields. (2019). Monch, Emanuel. In: BIS Papers chapters. RePEc:bis:bisbpc:102-02.

Full description at Econpapers || Download paper

2019Determinants of Asia-Pacific government bond yields. (2019). Hordahl, Peter ; Creal, Drew ; Chernov, Mikhail. In: BIS Papers chapters. RePEc:bis:bisbpc:102-05.

Full description at Econpapers || Download paper

2019Comments on Determinants of Asia-pacific government bond yields. (2019). Wei, Min. In: BIS Papers chapters. RePEc:bis:bisbpc:102-06.

Full description at Econpapers || Download paper

2018Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M. In: BIS Papers. RePEc:bis:bisbps:95.

Full description at Econpapers || Download paper

2018Term premia: models and some stylised facts. (2018). Hördahl, Peter ; Cohen, Benjamin ; Xia, Dora ; Hordahl, Peter. In: BIS Quarterly Review. RePEc:bis:bisqtr:1809h.

Full description at Econpapers || Download paper

2017Asset prices and macroeconomic outcomes: a survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: BIS Working Papers. RePEc:bis:biswps:676.

Full description at Econpapers || Download paper

2017Syndicated loans and CDS positioning. (2017). Barth, Andreas ; Aldasoro, Iñaki. In: BIS Working Papers. RePEc:bis:biswps:679.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Kenneth Singleton has edited the books:

YearTitleTypeCited

Works by Kenneth Singleton:

YearTitleTypeCited
2010An Equilibrium Term Structure Model with Recursive Preferences In: American Economic Review.
[Full Text][Citation analysis]		article4
2011How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article370
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 370		paper
1996Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors. In: Journal of Business & Economic Statistics.
[Citation analysis]		article47
1997Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors.(1997) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47		paper
2000Yield Curve Risk in Japanese Government Bond Markets In: International Review of Finance.
[Full Text][Citation analysis]		article2
1982 On Unit Roots and the Empirical Modeling of Exchange Rates. In: Journal of Finance.
[Full Text][Citation analysis]		article111
1983 An Empirical Analysis of the Pricing of Mortgage-Backed Securities. In: Journal of Finance.
[Citation analysis]		article5
1985 Adjustment Costs and Capital Asset Pricing: Discussion. In: Journal of Finance.
[Full Text][Citation analysis]		article0
1997 An Econometric Model of the Term Structure of Interest-Rate Swap Yields. In: Journal of Finance.
[Full Text][Citation analysis]		article189
2000Specification Analysis of Affine Term Structure Models In: Journal of Finance.
[Full Text][Citation analysis]		article441
1998Specification Analysis of Affine Term Structure Models.(1998) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Citation analysis]
This paper has another version. Agregated cites: 441		paper
1997Specification Analysis of Affine Term Structure Models.(1997) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 441		paper
2003Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance.
[Full Text][Citation analysis]		article142
2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads In: Journal of Finance.
[Full Text][Citation analysis]		article272
2011Estimation and Evaluation of Conditional Asset Pricing Models In: Journal of Finance.
[Citation analysis]		article26
2010Estimation and Evaluation of Conditional Asset Pricing Models.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26		paper
2013Report of the Editor of The Journal of Finance for the Year 2012 In: Journal of Finance.
[Full Text][Citation analysis]		article0
2014Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks In: Journal of Finance.
[Full Text][Citation analysis]		article90
2014Report of the Editor of the Journal of Finance for the Year 2013 In: Journal of Finance.
[Full Text][Citation analysis]		article0
2015Report of the Editor of the Journal of Finance for the Year 2014 In: Journal of Finance.
[Full Text][Citation analysis]		article0
2016Report of the Editor of the Journal of Finance for the Year 2015 In: Journal of Finance.
[Full Text][Citation analysis]		article0
2002PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS In: Mathematical Finance.
[Full Text][Citation analysis]		article22
1999EQUILIBRIUM ASSET PRICES AND SAVINGS OF HETEROGENEOUS AGENTS IN THE PRESENCE OF INCOMPLETE MARKETS AND PORTFOLIO CONSTRAINTS In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article34
1998Equilibrium asset prices and savings of heterogeneous agents in the presence of incomplete markets and portfolio constraints.(1998) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34		paper
1982Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models. In: Econometrica.
[Full Text][Citation analysis]		article802
1993Simulated Moments Estimation of Markov Models of Asset Prices. In: Econometrica.
[Full Text][Citation analysis]		article367
1990Simulated Moments Estimation of Markov Models of Asset Prices.(1990) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 367		paper
2000Transform Analysis and Asset Pricing for Affine Jump-Diffusions In: Econometrica.
[Citation analysis]		article741
1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions.(1999) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 741		paper
1981Extracting measures of ex ante real interest rates from ex post rates: A comment In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]		article0
1987Speculation and the volatility of foreign currency exchange rates In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]		article6
1983Real and nominal factors in the cyclical behavior of interest rates, output, and money In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article2
2001Estimation of affine asset pricing models using the empirical characteristic function In: Journal of Econometrics.
[Full Text][Citation analysis]		article126
2012Term structure models and the zero bound: An empirical investigation of Japanese yields In: Journal of Econometrics.
[Full Text][Citation analysis]		article79
1981Latent variable models for time series : A frequency domain approach with an application to the permanent income hypothesis In: Journal of Econometrics.
[Full Text][Citation analysis]		article8
1985Testing specifications of economic agents intertemporal optimum problems in the presence of alternative models In: Journal of Econometrics.
[Full Text][Citation analysis]		article23
2003Fixed-income pricing In: Handbook of the Economics of Finance.
[Full Text][Citation analysis]		chapter2
2013Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs In: Journal of Financial Economics.
[Full Text][Citation analysis]		article27
1986Modeling the term structure of interest rates under non-separable utility and durability of goods In: Journal of Financial Economics.
[Full Text][Citation analysis]		article86
2002Expectation puzzles, time-varying risk premia, and affine models of the term structure In: Journal of Financial Economics.
[Full Text][Citation analysis]		article144
1990Specification and estimation of intertemporal asset pricing models In: Handbook of Monetary Economics.
[Full Text][Citation analysis]		chapter15
1988Econometric issues in the analysis of equilibrium business cycle models In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article66
2004Regime shifts in a dynamic term structure model of U.S. Treasury bond yields In: Proceedings.
[Full Text][Citation analysis]		article69
2007Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields.(2007) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 69		article
1980Rational expectations, risk premia, and the market for spot and forward exchange In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper6
1980A Latent Time Series Model of the Cyclical Behavior of Interest Rates. In: International Economic Review.
[Full Text][Citation analysis]		article17
1981Maximum Likelihood Confirmatory Factor Analysis of Economic Time Series. In: International Economic Review.
[Full Text][Citation analysis]		article37
1983Rational Expectations and the Volatility of Floating Exchange Rates. In: International Economic Review.
[Full Text][Citation analysis]		article7
2006Interpreting Recent Changes in the Credit Spreads of Japanese Banks In: Monetary and Economic Studies.
[Full Text][Citation analysis]		article3
1990Interpreting Changes in the Volatility of Yields on Japnanese Long-term Bonds In: Monetary and Economic Studies.
[Full Text][Citation analysis]		article1
2014Investor Flows and the 2008 Boom/Bust in Oil Prices In: Management Science.
[Full Text][Citation analysis]		article50
1980Maturity-Specific Disturbances and the Term Structure of Interest Rates. In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]		article1
1993Japanese Monetary Policy In: NBER Books.
[Citation analysis]		book3
1987Erratum: Do Equilibrium Real Business Cycle Theories Explain Postwar U.S. Business Cycles? In: NBER Chapters.
[Full Text][Citation analysis]		chapter0
1986Do Equilibrium Real Business Cycle Theories Explain Postwar U.S. Business Cycles? In: NBER Chapters.
[Full Text][Citation analysis]		chapter41
1986Do Equilibrium Real Business Cycle Theories Explain Post-War U.S. Business Cycles?.(1986) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41		paper
1993Introduction to Japanese Monetary Policy In: NBER Chapters.
[Full Text][Citation analysis]		chapter2
1993Japanese Corporate Investment and Bank of Japan Guidance of Commercial Bank Lending In: NBER Chapters.
[Full Text][Citation analysis]		chapter31
1996Institutional and Regulatory Influences on Price Discovery in Cash and Futures Bond Markets In: NBER Chapters.
[Full Text][Citation analysis]		chapter1
1984Modeling the Term Structure of Interest Rates Under Nonseparable Utilityand Duriability of Goods In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
1986Asset Prices in a Time Series Model with Disparately Informed, Competative Traders In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
1986A Time Series Analysis of Representative Agent Models of Consumption andLeisure Choice Under Uncertainty In: NBER Working Papers.
[Full Text][Citation analysis]		paper248
1988A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice Under Uncertainty.(1988) In: The Quarterly Journal of Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 248		article
2001Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2013JFEC Invited Paper: Gaussian Macro-Finance Term Structure Models with Lags In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article11
1999Modeling Term Structures of Defaultable Bonds. In: Review of Financial Studies.
[Citation analysis]		article596
2003Term Structure Dynamics in Theory and Reality In: Review of Financial Studies.
[Full Text][Citation analysis]		article109
2010Discrete-Time Affine-super-ℚ Term Structure Models with Generalized Market Prices of Risk In: Review of Financial Studies.
[Full Text][Citation analysis]		article21
2011A New Perspective on Gaussian Dynamic Term Structure Models In: Review of Financial Studies.
[Full Text][Citation analysis]		article137
1981Multinational Inflation under Fixed Exchange Rates: Some Empirical Evidence from Latent Variable Models. In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article1
1980Expectations Models of the Term Structure and Implied Variance Bounds. In: Journal of Political Economy.
[Full Text][Citation analysis]		article29
1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns. In: Journal of Political Economy.
[Full Text][Citation analysis]		article531

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2019. Contact: CitEc Team