31
H index
38
i10 index
8329
Citations
Stanford University | 31 H index 38 i10 index 8329 Citations RESEARCH PRODUCTION: 51 Articles 14 Papers 1 Books 7 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Kenneth Singleton. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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NBER Working Papers / National Bureau of Economic Research, Inc | 9 |
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2020 | Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09. Full description at Econpapers || Download paper | |
2020 | Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Christensen, Kim ; Bolko, Anine E ; Veliyev, Bezirgen ; Pakkanen, Mikko S. In: CREATES Research Papers. RePEc:aah:create:2020-12. Full description at Econpapers || Download paper | |
2021 | The New Keynesian Model and Bond Yields. (2021). Andreasen, Martin M. In: CREATES Research Papers. RePEc:aah:create:2021-01. Full description at Econpapers || Download paper | |
2021 | The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11. Full description at Econpapers || Download paper | |
2021 | Long and short memory in dynamic term structure models. (2021). Huseynov, Salman. In: CREATES Research Papers. RePEc:aah:create:2021-15. Full description at Econpapers || Download paper | |
2021 | Infrastructure development as a prerequisite for structural change in Africa. (2021). Asongu, Simplice ; Malah, Yselle F. In: Research Africa Network Working Papers. RePEc:abh:wpaper:21/040. Full description at Econpapers || Download paper | |
2020 | Interest Rates under Falling Stars. (2020). Rudebusch, Glenn ; Bauer, Michael. In: American Economic Review. RePEc:aea:aecrev:v:110:y:2020:i:5:p:1316-54. Full description at Econpapers || Download paper | |
2020 | Home Values and Firm Behavior. (2020). Pinter, Gabor ; Bahaj, Saleem ; Foulis, Angus. In: American Economic Review. RePEc:aea:aecrev:v:110:y:2020:i:7:p:2225-70. Full description at Econpapers || Download paper | |
2020 | An Estimated Structural Model of Entrepreneurial Behavior. (2020). Pratap, Sangeeta ; Jones, John Bailey. In: American Economic Review. RePEc:aea:aecrev:v:110:y:2020:i:9:p:2859-98. Full description at Econpapers || Download paper | |
2021 | Infrastructure development as a prerequisite for structural change in Africa. (2021). Kuete, Yselle Flora ; Asongu, Simplice ; Malah, Yselle F. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:21/040. Full description at Econpapers || Download paper | |
2020 | Institutions and economic growth: A comparative analysis of developing and developed countries based on institutionalized social technologies index. (2020). Siddiqui, Danish ; Ahmed, Qazi Masood. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(625):y:2020:i:4(625):p:309-322. Full description at Econpapers || Download paper | |
2021 | The Welfare Cost of Ignoring the Beta. (2021). Gollier, Christian. In: FEEM Working Papers. RePEc:ags:feemwp:309916. Full description at Econpapers || Download paper | |
2021 | Time-Consistent Evaluation of Credit Risk with Contagion. (2021). Hainaut, Donatien ; Ketelbuters, John John. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021004. Full description at Econpapers || Download paper | |
2021 | Macrofinancial information on the post- COVID-19 economic recovery: will it be V, U or L-shaped?. (2021). Dewachter, Hans ; De Backer, Bruno ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021002. Full description at Econpapers || Download paper | |
2021 | A Multicountry Model of the Term Structures of Interest Rates with a GVAR. (2021). Moura, Rubens ; Candelon, Bertrand. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021007. Full description at Econpapers || Download paper | |
2021 | Fragmentation in the European Monetary Union: Is it really over?. (2021). Candelon, Bertrand ; Roccazzella, Francesco ; Luisi, Angelo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021015. Full description at Econpapers || Download paper | |
2022 | MultiATSM: An R Package for Arbitrage-free Multicountry Affine Term Structure of Interest Rates Models with Unspanned Macroeconomic Risk. (2022). Moura, Rubens. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022001. Full description at Econpapers || Download paper | |
2021 | Does It Matter How Central Banks Accumulate Reserves? Evidence from Sovereign Spreads. (2021). Sturzenegger, Federico ; Sosa-Padilla, Cesar. In: Working Papers. RePEc:aoz:wpaper:79. Full description at Econpapers || Download paper | |
2020 | Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure. (2016). Cao, Jiling ; Nazirah, Teh Raihana ; Zhang, Wenjun. In: Papers. RePEc:arx:papers:1610.09714. Full description at Econpapers || Download paper | |
2020 | Realized volatility and parametric estimation of Heston SDEs. (2017). Timofeyev, Ilya ; Ren, Peng ; Azencott, Robert . In: Papers. RePEc:arx:papers:1706.04566. Full description at Econpapers || Download paper | |
2020 | Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520. Full description at Econpapers || Download paper | |
2020 | Rational Models for Inflation-Linked Derivatives. (2018). Sloth, David ; Skovmand, David ; Macrina, Andrea ; Dam, Henrik. In: Papers. RePEc:arx:papers:1801.08804. Full description at Econpapers || Download paper | |
2020 | Indifference pricing of pure endowments via BSDEs under partial information. (2019). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia. In: Papers. RePEc:arx:papers:1804.00223. Full description at Econpapers || Download paper | |
2020 | Stochastic Revealed Preferences with Measurement Error. (2018). Kashaev, Nail ; Aguiar, Victor. In: Papers. RePEc:arx:papers:1810.05287. Full description at Econpapers || Download paper | |
2021 | Limits 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 | |
2020 | A closed formula for illiquid corporate bonds and an application to the European market. (2019). Nastasi, Emanuele ; Nassigh, Aldo ; Baviera, Roberto. In: Papers. RePEc:arx:papers:1901.06855. Full description at Econpapers || Download paper | |
2020 | A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456. Full description at Econpapers || Download paper | |
2020 | Affine 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 | |
2021 | The Likelihood of Mixed Hitting Times. (2019). Salimans, Tim ; Abbring, Jaap H. In: Papers. RePEc:arx:papers:1905.03463. Full description at Econpapers || Download paper | |
2021 | Detecting Identification Failure in Moment Condition Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1907.13093. Full description at Econpapers || Download paper | |
2020 | A 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 | |
2021 | Total 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 | |
2020 | How Safe are European Safe Bonds? An Analysis from the Perspective of Modern Portfolio Credit Risk Models. (2020). Damian, Camilla ; Kurt, Kevin ; Frey, Rudiger. In: Papers. RePEc:arx:papers:2001.11249. Full description at Econpapers || Download paper | |
2020 | Large-Maturity Smiles for an Affine Jump-Diffusion Model. (2020). Lin, Junfeng ; Ling, Zhichao ; Yao, Nian. In: Papers. RePEc:arx:papers:2003.00334. Full description at Econpapers || Download paper | |
2020 | An iterative splitting method for pricing European options under the Heston model. (2020). Huang, Zhongyi ; Li, Hongshan. In: Papers. RePEc:arx:papers:2003.12934. Full description at Econpapers || Download paper | |
2020 | Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (2020). Mancino, Maria Elvira ; Toscano, Giacomo ; Scotti, Simone. In: Papers. RePEc:arx:papers:2004.04015. Full description at Econpapers || Download paper | |
2021 | Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets. (2020). Scaillet, Olivier ; Shen, Yiwen. In: Papers. RePEc:arx:papers:2004.10096. Full description at Econpapers || Download paper | |
2020 | Existence and Uniqueness of Recursive Utility Models in $L_p$. (2020). O'Neil, Flint. In: Papers. RePEc:arx:papers:2005.07067. Full description at Econpapers || Download paper | |
2020 | The Gauss2++ Model -- A Comparison of Different Measure Change Specifications for a Consistent Risk Neutral and Real World Calibration. (2020). Pfeiffer, Julian ; Berninger, Christoph. In: Papers. RePEc:arx:papers:2006.08004. Full description at Econpapers || Download paper | |
2020 | Fast calibration of the LIBOR Market Model with Stochastic Volatility based on analytical gradient. (2020). Arrouy, Pierre-Edouard ; Herv'e Andres, ; Mehalla, Sophian ; Boumezoued, Alexandre ; Bonnefoy, Paul. In: Papers. RePEc:arx:papers:2006.13521. Full description at Econpapers || Download paper | |
2020 | Dynamic Effects of Persistent Shocks. (2020). Sanz, Carlos ; Alloza, Mario ; Gonzalo, Jesus. In: Papers. RePEc:arx:papers:2006.14047. Full description at Econpapers || Download paper | |
2020 | Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model. (2020). Li, Bingqing ; Fu, Michael C ; Zhang, Tianqi ; Wu, Rongwen . In: Papers. RePEc:arx:papers:2006.15054. Full description at Econpapers || Download paper | |
2021 | A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312. Full description at Econpapers || Download paper | |
2020 | Performance analysis of Zero Black-Derman-Toy interest rate model in catastrophic events: COVID-19 case study. (2020). Sosa, Andr'Es ; Zanowski, Grzegorz Krzy. In: Papers. RePEc:arx:papers:2007.00705. Full description at Econpapers || Download paper | |
2020 | Analysis on the Pricing model for a Discrete Coupon Bond with Early redemption provision by the Structural Approach. (2020). Kim, Tae Song ; Chol, Hyong. In: Papers. RePEc:arx:papers:2007.01511. Full description at Econpapers || Download paper | |
2020 | Equity Tail Risk in the Treasury Bond Market. (2020). Rubin, Mirco ; Ruzzi, Dario. In: Papers. RePEc:arx:papers:2007.05933. Full description at Econpapers || Download paper | |
2021 | Rough Heston: the SINC way. (2020). Rossi, Pietro ; Romagnoli, Silvia ; Bormetti, Giacomo ; Baschetti, Fabio. In: Papers. RePEc:arx:papers:2009.00557. Full description at Econpapers || Download paper | |
2020 | Volterra mortality model: Actuarial valuation and risk management with long-range dependence. (2020). Wong, Hoi Ying ; Chiu, Mei Choi ; Wang, Ling. In: Papers. RePEc:arx:papers:2009.09572. Full description at Econpapers || Download paper | |
2020 | Copula-Based Factor Model for Credit Risk Analysis. (2020). Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan ; Lu, Meng-Jou. In: Papers. RePEc:arx:papers:2009.12092. Full description at Econpapers || Download paper | |
2022 | Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610. Full description at Econpapers || Download paper | |
2020 | Measures of Model Risk in Continuous-time Finance Models. (2020). Qi, Shuyuan ; Lazar, Emese ; Tunaru, Radu. In: Papers. RePEc:arx:papers:2010.08113. Full description at Econpapers || Download paper | |
2020 | State Space Vasicek Model of a Longevity Bond. (2020). Ikpe, Chinemerem Dennis ; Kalu, Georgina Onuma ; Gyamerah, Samuel Asante ; Oruh, Benjamin Ifeanyichukwu. In: Papers. RePEc:arx:papers:2011.12753. Full description at Econpapers || Download paper | |
2021 | Valuation of electricity storage contracts using the COS method. (2021). Oosterlee, Cornelis W ; Boonstra, Boris C. In: Papers. RePEc:arx:papers:2101.02917. Full description at Econpapers || Download paper | |
2021 | The Golden Age of the Mathematical Finance. (2021). Jos'e Manuel Corcuera, . In: Papers. RePEc:arx:papers:2102.06693. Full description at Econpapers || Download paper | |
2021 | Deep Structural Estimation: With an Application to Option Pricing. (2021). Scheidegger, Simon ; Didisheim, Antoine ; Chen, Hui. In: Papers. RePEc:arx:papers:2102.09209. Full description at Econpapers || Download paper | |
2022 | Rodeo or Ascot: which hat to wear at the crypto race?. (2021). Hardle, Wolfgang Karl ; Hausler, Konstantin. In: Papers. RePEc:arx:papers:2103.12461. Full description at Econpapers || Download paper | |
2021 | Double robust inference for continuous updating GMM. (2021). Zhan, Zhaoguo ; Kleibergen, Frank. In: Papers. RePEc:arx:papers:2105.08345. Full description at Econpapers || Download paper | |
2021 | Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes. (2021). Mandjes, Michel ; Karim, Raviar. In: Papers. RePEc:arx:papers:2106.03560. Full description at Econpapers || Download paper | |
2021 | Simulation of Multidimensional Diffusions with Sticky Boundaries via Markov Chain Approximation. (2021). Zhang, Gongqiu ; Li, Lingfei ; Meier, Christian. In: Papers. RePEc:arx:papers:2107.04260. Full description at Econpapers || Download paper | |
2021 | Empirical evidence on the Euler equation for investment in the US. (2021). Haque, Qazi ; Mavroeidis, Sophocles ; Magnusson, Leandro M ; Ascari, Guido. In: Papers. RePEc:arx:papers:2107.08713. Full description at Econpapers || Download paper | |
2021 | SINH-acceleration for B-spline projection with Option Pricing Applications. (2021). Levendorskiui, Sergei ; Boyarchenko, Svetlana ; Cui, Zhenyu ; Kirkby, Lars J. In: Papers. RePEc:arx:papers:2109.08738. Full description at Econpapers || Download paper | |
2021 | Correlation Estimation in Hybrid Systems. (2021). Law, Baron . In: Papers. RePEc:arx:papers:2111.06042. Full description at Econpapers || Download paper | |
2021 | Pricing S&P 500 Index Options with L\evy Jumps. (2021). Liang, Nan ; Xie, Bin. In: Papers. RePEc:arx:papers:2111.10033. Full description at Econpapers || Download paper | |
2021 | Hedging Cryptocurrency Options. (2021). Hardle, Wolfgang Karl ; Packham, Natalie ; Matic, Jovanka Lili. In: Papers. RePEc:arx:papers:2112.06807. Full description at Econpapers || Download paper | |
2022 | Decomposing LIBOR in Transition: Evidence from the Futures Markets. (2022). Skov, Jacob Bjerre ; Skovmand, David. In: Papers. RePEc:arx:papers:2201.06930. Full description at Econpapers || Download paper | |
2022 | Option Pricing and CVA Calculations using the Monte Carlo-Tree (MC-Tree) Method. (2022). Hanzon, Bernard ; Trinh, Yen Thuan. In: Papers. RePEc:arx:papers:2202.00785. Full description at Econpapers || Download paper | |
2022 | A contagion process with self-exciting jumps in credit risk applications. (2022). Pasricha, Puneet ; Natarajan, Selvaraju ; Selvamuthu, Dharmaraja. In: Papers. RePEc:arx:papers:2202.12946. Full description at Econpapers || Download paper | |
2022 | Solution of integrals with fractional Brownian motion for different Hurst indices. (2022). Gao, Fei ; Temme, Nico M ; Oosterlee, Cornelis W ; Liu, Shuaiqiang. In: Papers. RePEc:arx:papers:2203.02323. Full description at Econpapers || Download paper | |
2022 | Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\evy Models. (2022). Bayer, Christian ; Tempone, Ra'Ul ; Samet, Michael ; Papapantoleon, Antonis ; ben Hammouda, Chiheb. In: Papers. RePEc:arx:papers:2203.08196. Full description at Econpapers || Download paper | |
2022 | Indirect Inference for Nonlinear Panel Models with Fixed Effects. (2022). Chen, Shuowen. In: Papers. RePEc:arx:papers:2203.10683. Full description at Econpapers || Download paper | |
2021 | Automation and Sectoral Reallocation. (2021). Vella, Eugenia ; Santini, Tommaso ; Hutschenreiter, Dennis C. In: DEOS Working Papers. RePEc:aue:wpaper:2106. Full description at Econpapers || Download paper | |
2021 | Measuring the Business Cycle in Bulgaria. (2021). Karamisheva, Tania. In: Economic Studies journal. RePEc:bas:econst:y:2021:i:3:p:17-38. Full description at Econpapers || Download paper | |
2020 | Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields. (2020). Zhao, Guihai. In: Staff Working Papers. RePEc:bca:bocawp:20-14. Full description at Econpapers || Download paper | |
2020 | Efficient Solutions for Pricing and Hedging Interest Rate Asian Options. (). Machado, Jose Valentim ; Baczynski, Jack ; da Silva, Allan Jonathan . In: Working Papers Series. RePEc:bcb:wpaper:513. Full description at Econpapers || Download paper | |
2021 | A Non-Knotty Inflation Risk Premium Model. (2021). Machado, Jose Valentim. In: Working Papers Series. RePEc:bcb:wpaper:543. Full description at Econpapers || Download paper | |
2020 | Break-even inflation rates: the Italian case. (2020). Fanari, Marco ; di Iorio, Alberto. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_578_20. Full description at Econpapers || Download paper | |
2020 | An analysis of sovereign credit risk premia in the euro area: are they explained by local or global factors?. (2020). Cecchetti, Sara. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1271_20. Full description at Econpapers || Download paper | |
2020 | Equity tail risk in the treasury bond market. (2020). Ruzzi, Dario ; Rubin, Mirco. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1311_20. Full description at Econpapers || Download paper | |
2020 | Forecast Comparison of the Term Structure of Interest Rates of Mexico for Different Specifications of the Affine Model. (2020). Lelo-De, Alejandra. In: Working Papers. RePEc:bdm:wpaper:2020-01. Full description at Econpapers || Download paper | |
2021 | Capital Flows to Emerging Economies and Global Risk Aversion during the COVID-19 Pandemic. (2021). Ibarra, Raul ; Hernandez, Juan ; Alba, Carlos ; Ibarra-Ramrez, Ral ; Hernndez, Juan R ; Cuadra, Gabriel. In: Working Papers. RePEc:bdm:wpaper:2021-17. Full description at Econpapers || Download paper | |
2021 | Indicador Combinado de Liquidez para la Deuda Pública Local Colombiana. (2021). Martinez-Cruz, Diego Alejandro. In: Borradores de Economia. RePEc:bdr:borrec:1167. Full description at Econpapers || Download paper | |
2020 | Climate-Related Scenarios for Financial Stability Assessment: an Application to France. (2020). Lisack, Noëmie ; Dees, Stephane ; CLERC, Laurent ; CAICEDO, Mateo ; Vernet, Lucas ; Svartzman, Romain ; Allen, Thomas ; Rabate, Marie ; Pegoraro, Fulvio ; Diot, Sebastien ; Devulder, Antoine ; de Gaye, Annabelle ; Chouard, Valerie ; Boissinot, Jean. In: Working papers. RePEc:bfr:banfra:774. Full description at Econpapers || Download paper | |
2021 | Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission. (2021). Arthur, Stalla-Bourdillon ; Lukas, Boeckelmann. In: Working papers. RePEc:bfr:banfra:798. Full description at Econpapers || Download paper | |
2020 | Reference Dependence in Intertemporal Preference. (2020). Zhong, Songfa ; Li, Zhihua. In: Discussion Papers. RePEc:bir:birmec:20-01. Full description at Econpapers || Download paper | |
2021 | Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds. (2021). Hördahl, Peter ; Creal, Drew ; Chernov, Mikhail ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:918. Full description at Econpapers || Download paper | |
2021 | Determinants of Russia’s Sovereign Risk. (2021). Grigoryeva, Evgenia. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:80:y:2021:i:4:p:74-97. Full description at Econpapers || Download paper | |
2020 | Asset pricing and energy consumption risk. (2020). Lan, Yihui ; Lim, Ashley ; Treepongkaruna, Sirimon. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:3813-3850. Full description at Econpapers || Download paper | |
2021 | Share?pledging and the cost of debt. (2021). Kozlowski, Steven ; McDonald, Michael ; Puleo, Michael. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:1:p:1047-1079. Full description at Econpapers || Download paper | |
2021 | Implied volatility smirk in the Australian dollar market. (2021). Ruan, Xinfeng ; Zhang, Jin E ; Gehricke, Sebastian A. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4573-4599. Full description at Econpapers || Download paper | |
2021 | Modelling of Chinese corporate bond default – A machine learning approach. (2021). Zhuo, Zhuyao ; Lu, Zhou. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:5:p:6147-6191. Full description at Econpapers || Download paper | |
2021 | DSGE models, detrending, and the method of moments. (2021). MAO TAKONGMO, Charles Olivier. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:1:p:67-99. Full description at Econpapers || Download paper | |
2020 | Moving markets? Government bond investors and microeconomic policy changes. (2020). Wibbels, Erik ; Paniagua, Victoria ; Mosley, Layna. In: Economics and Politics. RePEc:bla:ecopol:v:32:y:2020:i:2:p:197-249. Full description at Econpapers || Download paper | |
2021 | On the International Spillover Effects of Country?Specific Financial Sector Bailouts and Sovereign Risk Shocks*. (2021). Wu, Eliza ; Nguyen, Viet Hoang ; GREENWOODNIMMO, MATTHEW . In: The Economic Record. RePEc:bla:ecorec:v:97:y:2021:i:317:p:285-309. Full description at Econpapers || Download paper | |
2020 | Consumption, asset wealth, equity premium, term spread, and flight to quality. (2020). Sousa, Ricardo ; Costantini, Mauro. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:778-807. Full description at Econpapers || Download paper | |
2020 | Safehavenness of the Chinese renminbi. (2020). Fong, Tom ; Tong, Alfred Yun. In: International Finance. RePEc:bla:intfin:v:23:y:2020:i:2:p:215-233. Full description at Econpapers || Download paper | |
2021 | The risk?taking channel of currency appreciation: A structural VAR investigation of Asian emerging market economies. (2021). Kim, David ; Huh, Hyeonseung . In: International Finance. RePEc:bla:intfin:v:24:y:2021:i:3:p:313-331. Full description at Econpapers || Download paper | |
2021 | The sovereign yield curve and credit ratings in GIIPS. (2021). Umar, Zaghum ; Shehzad, Choudhry T ; Riaz, Yasir. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:3:p:895-916. Full description at Econpapers || Download paper | |
2021 | Liquidity risk and corporate bond yield spread: Evidence from China. (2021). Jiang, Lunan ; Chen, Yinghui. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:4:p:1117-1151. Full description at Econpapers || Download paper | |
2022 | Firm?level investment under imperfect capital markets in Ukraine. (2022). Shcherbakov, Oleksandr. In: Journal of Economics & Management Strategy. RePEc:bla:jemstr:v:31:y:2022:i:1:p:227-255. Full description at Econpapers || Download paper | |
2020 | Does Borrowing from Banks Cost More than Borrowing from the Market?. (2020). Schwert, Michael. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:2:p:905-947. Full description at Econpapers || Download paper | |
2020 | Understanding Systematic Risk: A Highâ€Frequency Approach. (2020). Pelger, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2179-2220. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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Year | Title | Type | Cited |
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2010 | An Equilibrium Term Structure Model with Recursive Preferences In: American Economic Review. [Full Text][Citation analysis] | article | 9 |
2011 | How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics. [Full Text][Citation analysis] | article | 548 |
2007 | How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 548 | paper | |
1996 | Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 55 |
1997 | Efficient 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: 55 | paper | |
2000 | Yield Curve Risk in Japanese Government Bond Markets In: International Review of Finance. [Full Text][Citation analysis] | article | 2 |
1982 | On Unit Roots and the Empirical Modeling of Exchange Rates. In: Journal of Finance. [Full Text][Citation analysis] | article | 130 |
1983 | An Empirical Analysis of the Pricing of Mortgage-Backed Securities. In: Journal of Finance. [Citation analysis] | article | 11 |
1985 | Adjustment Costs and Capital Asset Pricing: Discussion. In: Journal of Finance. [Full Text][Citation analysis] | article | 0 |
1997 | An Econometric Model of the Term Structure of Interest-Rate Swap Yields. In: Journal of Finance. [Full Text][Citation analysis] | article | 250 |
2000 | Specification Analysis of Affine Term Structure Models In: Journal of Finance. [Full Text][Citation analysis] | article | 585 |
1998 | Specification 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: 585 | paper | |
1997 | Specification Analysis of Affine Term Structure Models.(1997) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 585 | paper | |
2003 | Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance. [Full Text][Citation analysis] | article | 176 |
2008 | Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads In: Journal of Finance. [Full Text][Citation analysis] | article | 356 |
2011 | Estimation and Evaluation of Conditional Asset Pricing Models In: Journal of Finance. [Citation analysis] | article | 38 |
2010 | Estimation and Evaluation of Conditional Asset Pricing Models.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | paper | |
2013 | Report of the Editor of The Journal of Finance for the Year 2012 In: Journal of Finance. [Full Text][Citation analysis] | article | 0 |
2014 | Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks In: Journal of Finance. [Full Text][Citation analysis] | article | 183 |
2014 | Report of the Editor of the Journal of Finance for the Year 2013 In: Journal of Finance. [Full Text][Citation analysis] | article | 0 |
2015 | Report of the Editor of the Journal of Finance for the Year 2014 In: Journal of Finance. [Full Text][Citation analysis] | article | 0 |
2016 | Report of the Editor of the Journal of Finance for the Year 2015 In: Journal of Finance. [Full Text][Citation analysis] | article | 0 |
2002 | PRICING COUPON?BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS In: Mathematical Finance. [Full Text][Citation analysis] | article | 24 |
1999 | EQUILIBRIUM ASSET PRICES AND SAVINGS OF HETEROGENEOUS AGENTS IN THE PRESENCE OF INCOMPLETE MARKETS AND PORTFOLIO CONSTRAINTS In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 35 |
1998 | Equilibrium 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: 35 | paper | |
1982 | Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models. In: Econometrica. [Full Text][Citation analysis] | article | 1017 |
1993 | Simulated Moments Estimation of Markov Models of Asset Prices. In: Econometrica. [Full Text][Citation analysis] | article | 449 |
1990 | Simulated 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: 449 | paper | |
2000 | Transform Analysis and Asset Pricing for Affine Jump-Diffusions In: Econometrica. [Citation analysis] | article | 988 |
1999 | Transform Analysis and Asset Pricing for Affine Jump-Diffusions.(1999) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 988 | paper | |
1981 | Extracting 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] | article | 0 |
1987 | Speculation and the volatility of foreign currency exchange rates In: Carnegie-Rochester Conference Series on Public Policy. [Full Text][Citation analysis] | article | 9 |
1983 | Real and nominal factors in the cyclical behavior of interest rates, output, and money In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 4 |
2001 | Estimation of affine asset pricing models using the empirical characteristic function In: Journal of Econometrics. [Full Text][Citation analysis] | article | 142 |
2012 | Term structure models and the zero bound: An empirical investigation of Japanese yields In: Journal of Econometrics. [Full Text][Citation analysis] | article | 145 |
1981 | Latent 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] | article | 8 |
1985 | Testing specifications of economic agents intertemporal optimum problems in the presence of alternative models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 25 |
2003 | Fixed-income pricing In: Handbook of the Economics of Finance. [Full Text][Citation analysis] | chapter | 2 |
2013 | Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 48 |
1986 | Modeling the term structure of interest rates under non-separable utility and durability of goods In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 122 |
1984 | Modeling the Term Structure of Interest Rates Under Nonseparable Utilityand Duriability of Goods.(1984) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 122 | paper | |
2002 | Expectation puzzles, time-varying risk premia, and affine models of the term structure In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 181 |
1990 | Specification and estimation of intertemporal asset pricing models In: Handbook of Monetary Economics. [Full Text][Citation analysis] | chapter | 17 |
1988 | Econometric issues in the analysis of equilibrium business cycle models In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 74 |
2004 | Regime shifts in a dynamic term structure model of U.S. Treasury bond yields In: Proceedings. [Full Text][Citation analysis] | article | 95 |
2007 | Regime 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: 95 | article | |
1980 | Rational expectations, risk premia, and the market for spot and forward exchange In: International Finance Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
1980 | A Latent Time Series Model of the Cyclical Behavior of Interest Rates. In: International Economic Review. [Full Text][Citation analysis] | article | 20 |
1981 | Maximum Likelihood Confirmatory Factor Analysis of Economic Time Series. In: International Economic Review. [Full Text][Citation analysis] | article | 45 |
1983 | Rational Expectations and the Volatility of Floating Exchange Rates. In: International Economic Review. [Full Text][Citation analysis] | article | 8 |
2006 | Interpreting Recent Changes in the Credit Spreads of Japanese Banks In: Monetary and Economic Studies. [Full Text][Citation analysis] | article | 6 |
1990 | Interpreting Changes in the Volatility of Yields on Japnanese Long-term Bonds In: Monetary and Economic Studies. [Full Text][Citation analysis] | article | 1 |
2014 | Investor Flows and the 2008 Boom/Bust in Oil Prices In: Management Science. [Full Text][Citation analysis] | article | 98 |
1980 | Maturity-Specific Disturbances and the Term Structure of Interest Rates. In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 1 |
1993 | Japanese Monetary Policy In: NBER Books. [Citation analysis] | book | 71 |
1987 | Erratum: Do Equilibrium Real Business Cycle Theories Explain Postwar US Business Cycles? In: NBER Chapters. [Full Text][Citation analysis] | chapter | 0 |
1986 | Do Equilibrium Real Business Cycle Theories Explain Postwar US Business Cycles? In: NBER Chapters. [Full Text][Citation analysis] | chapter | 48 |
1986 | Do 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: 48 | paper | |
1993 | Introduction to Japanese Monetary Policy In: NBER Chapters. [Full Text][Citation analysis] | chapter | 2 |
1993 | Japanese Corporate Investment and Bank of Japan Guidance of Commercial Bank Lending In: NBER Chapters. [Full Text][Citation analysis] | chapter | 37 |
1996 | Institutional and Regulatory Influences on Price Discovery in Cash and Futures Bond Markets In: NBER Chapters. [Full Text][Citation analysis] | chapter | 1 |
1986 | Asset Prices in a Time Series Model with Disparately Informed, Competative Traders In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
1986 | A Time Series Analysis of Representative Agent Models of Consumption andLeisure Choice Under Uncertainty In: NBER Working Papers. [Full Text][Citation analysis] | paper | 319 |
1988 | A 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: 319 | article | |
2001 | Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2013 | JFEC Invited Paper: Gaussian Macro-Finance Term Structure Models with Lags In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 13 |
1999 | Modeling Term Structures of Defaultable Bonds. In: Review of Financial Studies. [Citation analysis] | article | 756 |
2003 | Term Structure Dynamics in Theory and Reality In: Review of Financial Studies. [Full Text][Citation analysis] | article | 141 |
2010 | Discrete-Time Affine-super-ℚ Term Structure Models with Generalized Market Prices of Risk In: Review of Financial Studies. [Full Text][Citation analysis] | article | 31 |
2011 | A New Perspective on Gaussian Dynamic Term Structure Models In: Review of Financial Studies. [Full Text][Citation analysis] | article | 227 |
1981 | Multinational Inflation under Fixed Exchange Rates: Some Empirical Evidence from Latent Variable Models. In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 1 |
1980 | Expectations Models of the Term Structure and Implied Variance Bounds. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 32 |
1983 | Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 665 |
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