Kenneth Singleton : Citation Profile


Are you Kenneth Singleton?

Stanford University

31

H index

38

i10 index

8329

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: 231
   Journals where Kenneth Singleton has often published
   Relations with other researchers
   Recent citing documents: 648.    Total self citations: 18 (0.22 %)

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   Permalink: http://citec.repec.org/psi735
   Updated: 2022-07-02    RAS profile: 2016-11-29    
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Relations with other researchers


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:

Chernov, Mikhail (78)

Rudebusch, Glenn (56)

Monfort, Alain (50)

Campbell, John (41)

Xiao, Tim (39)

Christensen, Jens (39)

Christoffersen, Peter (37)

Christiano, Lawrence (36)

Diebold, Francis (34)

Bauer, Michael (32)

Renne, Jean-Paul (32)

Cites to:

Duffie, Darrell (22)

Bekaert, Geert (16)

Ang, Andrew (14)

Longstaff, Francis (13)

Hodrick, Robert (12)

Hansen, Lars (12)

Shiller, Robert (11)

Duffee, Greg (11)

Piazzesi, Monika (10)

Campbell, John (10)

Wu, Liuren (9)

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
Econometrica3
Journal of Financial Economics3
International Economic Review3
Journal of Political Economy2
Monetary and Economic Studies2
Carnegie-Rochester Conference Series on Public Policy2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc9

Recent works citing Kenneth Singleton (2021 and 2020)


YearTitle of citing document
2020Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09.

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2020Roughness 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.

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2021The New Keynesian Model and Bond Yields. (2021). Andreasen, Martin M. In: CREATES Research Papers. RePEc:aah:create:2021-01.

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2021The 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.

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2021Long and short memory in dynamic term structure models. (2021). Huseynov, Salman. In: CREATES Research Papers. RePEc:aah:create:2021-15.

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2021Infrastructure 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.

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2020Interest 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.

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2020Home 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.

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2020An 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.

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2021Infrastructure 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.

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2020Institutions 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.

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2021The Welfare Cost of Ignoring the Beta. (2021). Gollier, Christian. In: FEEM Working Papers. RePEc:ags:feemwp:309916.

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2021Time-Consistent Evaluation of Credit Risk with Contagion. (2021). Hainaut, Donatien ; Ketelbuters, John John. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021004.

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2021Macrofinancial 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.

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2021A 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.

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2021Fragmentation 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.

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2022MultiATSM: 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.

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2021Does It Matter How Central Banks Accumulate Reserves? Evidence from Sovereign Spreads. (2021). Sturzenegger, Federico ; Sosa-Padilla, Cesar. In: Working Papers. RePEc:aoz:wpaper:79.

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2020Pricing 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.

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2020Realized volatility and parametric estimation of Heston SDEs. (2017). Timofeyev, Ilya ; Ren, Peng ; Azencott, Robert . In: Papers. RePEc:arx:papers:1706.04566.

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2020Dynamic 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.

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2020Rational Models for Inflation-Linked Derivatives. (2018). Sloth, David ; Skovmand, David ; Macrina, Andrea ; Dam, Henrik. In: Papers. RePEc:arx:papers:1801.08804.

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2020Indifference pricing of pure endowments via BSDEs under partial information. (2019). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia. In: Papers. RePEc:arx:papers:1804.00223.

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2020Stochastic Revealed Preferences with Measurement Error. (2018). Kashaev, Nail ; Aguiar, Victor. In: Papers. RePEc:arx:papers:1810.05287.

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2021Limits to Arbitrage in Markets with Stochastic Settlement Latency. (2018). Hautsch, Nikolaus ; Voigt, Stefan ; Scheuch, Christoph. In: Papers. RePEc:arx:papers:1812.00595.

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2020A 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.

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2020A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2020Affine 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.

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2021The Likelihood of Mixed Hitting Times. (2019). Salimans, Tim ; Abbring, Jaap H. In: Papers. RePEc:arx:papers:1905.03463.

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2021Detecting Identification Failure in Moment Condition Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1907.13093.

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2020A zero interest rate Black-Derman-Toy model. (2019). Sosa, Andr'Es ; Mordecki, Ernesto ; Zanowski, Grzegorz Krzy. In: Papers. RePEc:arx:papers:1908.04401.

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2021Total 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.

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2020How 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.

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2020Large-Maturity Smiles for an Affine Jump-Diffusion Model. (2020). Lin, Junfeng ; Ling, Zhichao ; Yao, Nian. In: Papers. RePEc:arx:papers:2003.00334.

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2020An iterative splitting method for pricing European options under the Heston model. (2020). Huang, Zhongyi ; Li, Hongshan. In: Papers. RePEc:arx:papers:2003.12934.

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2020Is 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.

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2021Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets. (2020). Scaillet, Olivier ; Shen, Yiwen. In: Papers. RePEc:arx:papers:2004.10096.

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2020Existence and Uniqueness of Recursive Utility Models in $L_p$. (2020). O'Neil, Flint. In: Papers. RePEc:arx:papers:2005.07067.

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2020The 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.

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2020Fast 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.

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2020Dynamic Effects of Persistent Shocks. (2020). Sanz, Carlos ; Alloza, Mario ; Gonzalo, Jesus. In: Papers. RePEc:arx:papers:2006.14047.

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2020Option 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.

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2021A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312.

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2020Performance 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.

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2020Analysis 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.

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2020Equity Tail Risk in the Treasury Bond Market. (2020). Rubin, Mirco ; Ruzzi, Dario. In: Papers. RePEc:arx:papers:2007.05933.

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2021Rough Heston: the SINC way. (2020). Rossi, Pietro ; Romagnoli, Silvia ; Bormetti, Giacomo ; Baschetti, Fabio. In: Papers. RePEc:arx:papers:2009.00557.

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2020Volterra 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.

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2020Copula-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.

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2022Roughness 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.

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2020Measures of Model Risk in Continuous-time Finance Models. (2020). Qi, Shuyuan ; Lazar, Emese ; Tunaru, Radu. In: Papers. RePEc:arx:papers:2010.08113.

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2020State 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.

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2021Valuation of electricity storage contracts using the COS method. (2021). Oosterlee, Cornelis W ; Boonstra, Boris C. In: Papers. RePEc:arx:papers:2101.02917.

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2021The Golden Age of the Mathematical Finance. (2021). Jos'e Manuel Corcuera, . In: Papers. RePEc:arx:papers:2102.06693.

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2021Deep Structural Estimation: With an Application to Option Pricing. (2021). Scheidegger, Simon ; Didisheim, Antoine ; Chen, Hui. In: Papers. RePEc:arx:papers:2102.09209.

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2022Rodeo or Ascot: which hat to wear at the crypto race?. (2021). Hardle, Wolfgang Karl ; Hausler, Konstantin. In: Papers. RePEc:arx:papers:2103.12461.

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2021Double robust inference for continuous updating GMM. (2021). Zhan, Zhaoguo ; Kleibergen, Frank. In: Papers. RePEc:arx:papers:2105.08345.

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2021Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes. (2021). Mandjes, Michel ; Karim, Raviar. In: Papers. RePEc:arx:papers:2106.03560.

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2021Simulation of Multidimensional Diffusions with Sticky Boundaries via Markov Chain Approximation. (2021). Zhang, Gongqiu ; Li, Lingfei ; Meier, Christian. In: Papers. RePEc:arx:papers:2107.04260.

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2021Empirical 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.

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2021SINH-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.

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2021Correlation Estimation in Hybrid Systems. (2021). Law, Baron . In: Papers. RePEc:arx:papers:2111.06042.

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2021Pricing S&P 500 Index Options with L\evy Jumps. (2021). Liang, Nan ; Xie, Bin. In: Papers. RePEc:arx:papers:2111.10033.

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2021Hedging Cryptocurrency Options. (2021). Hardle, Wolfgang Karl ; Packham, Natalie ; Matic, Jovanka Lili. In: Papers. RePEc:arx:papers:2112.06807.

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2022Decomposing LIBOR in Transition: Evidence from the Futures Markets. (2022). Skov, Jacob Bjerre ; Skovmand, David. In: Papers. RePEc:arx:papers:2201.06930.

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2022Option 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.

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2022A contagion process with self-exciting jumps in credit risk applications. (2022). Pasricha, Puneet ; Natarajan, Selvaraju ; Selvamuthu, Dharmaraja. In: Papers. RePEc:arx:papers:2202.12946.

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2022Solution 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.

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2022Optimal 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.

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2022Indirect Inference for Nonlinear Panel Models with Fixed Effects. (2022). Chen, Shuowen. In: Papers. RePEc:arx:papers:2203.10683.

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2021Automation and Sectoral Reallocation. (2021). Vella, Eugenia ; Santini, Tommaso ; Hutschenreiter, Dennis C. In: DEOS Working Papers. RePEc:aue:wpaper:2106.

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2021Measuring the Business Cycle in Bulgaria. (2021). Karamisheva, Tania. In: Economic Studies journal. RePEc:bas:econst:y:2021:i:3:p:17-38.

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2020Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields. (2020). Zhao, Guihai. In: Staff Working Papers. RePEc:bca:bocawp:20-14.

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2020Efficient 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.

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2021A Non-Knotty Inflation Risk Premium Model. (2021). Machado, Jose Valentim. In: Working Papers Series. RePEc:bcb:wpaper:543.

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2020Break-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.

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2020An 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.

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2020Equity 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.

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2020Forecast 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.

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2021Capital 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.

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2021Indicador Combinado de Liquidez para la Deuda Pública Local Colombiana. (2021). Martinez-Cruz, Diego Alejandro. In: Borradores de Economia. RePEc:bdr:borrec:1167.

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2020Climate-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.

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2021Structural 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.

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2020Reference Dependence in Intertemporal Preference. (2020). Zhong, Songfa ; Li, Zhihua. In: Discussion Papers. RePEc:bir:birmec:20-01.

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2021Sovereign 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.

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2021Determinants 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.

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2020Asset 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.

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2021Share?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.

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2021Implied 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.

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2021Modelling 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.

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2021DSGE 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.

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2020Moving 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.

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2021On 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.

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2020Consumption, 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.

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2020Safehavenness 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.

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2021The 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.

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2021The 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.

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2021Liquidity 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.

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2022Firm?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.

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2020Does 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.

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2020Understanding Systematic Risk: A High‐Frequency Approach. (2020). Pelger, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2179-2220.

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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.
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article9
2011How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics.
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article548
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
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This paper has another version. Agregated cites: 548
paper
1996Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors. In: Journal of Business & Economic Statistics.
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article55
1997Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors.(1997) In: NBER Technical Working Papers.
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This paper has another version. Agregated cites: 55
paper
2000Yield Curve Risk in Japanese Government Bond Markets In: International Review of Finance.
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article2
1982 On Unit Roots and the Empirical Modeling of Exchange Rates. In: Journal of Finance.
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article130
1983 An Empirical Analysis of the Pricing of Mortgage-Backed Securities. In: Journal of Finance.
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article11
1985 Adjustment Costs and Capital Asset Pricing: Discussion. In: Journal of Finance.
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article0
1997 An Econometric Model of the Term Structure of Interest-Rate Swap Yields. In: Journal of Finance.
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article250
2000Specification Analysis of Affine Term Structure Models In: Journal of Finance.
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article585
1998Specification Analysis of Affine Term Structure Models.(1998) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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This paper has another version. Agregated cites: 585
paper
1997Specification Analysis of Affine Term Structure Models.(1997) In: NBER Working Papers.
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This paper has another version. Agregated cites: 585
paper
2003Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance.
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article176
2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads In: Journal of Finance.
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article356
2011Estimation and Evaluation of Conditional Asset Pricing Models In: Journal of Finance.
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article38
2010Estimation and Evaluation of Conditional Asset Pricing Models.(2010) In: NBER Working Papers.
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This paper has another version. Agregated cites: 38
paper
2013Report of the Editor of The Journal of Finance for the Year 2012 In: Journal of Finance.
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article0
2014Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks In: Journal of Finance.
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article183
2014Report of the Editor of the Journal of Finance for the Year 2013 In: Journal of Finance.
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article0
2015Report of the Editor of the Journal of Finance for the Year 2014 In: Journal of Finance.
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article0
2016Report of the Editor of the Journal of Finance for the Year 2015 In: Journal of Finance.
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article0
2002PRICING COUPON?BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS In: Mathematical Finance.
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article24
1999EQUILIBRIUM ASSET PRICES AND SAVINGS OF HETEROGENEOUS AGENTS IN THE PRESENCE OF INCOMPLETE MARKETS AND PORTFOLIO CONSTRAINTS In: Macroeconomic Dynamics.
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article35
1998Equilibrium asset prices and savings of heterogeneous agents in the presence of incomplete markets and portfolio constraints.(1998) In: Economics Working Papers.
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This paper has another version. Agregated cites: 35
paper
1982Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models. In: Econometrica.
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article1017
1993Simulated Moments Estimation of Markov Models of Asset Prices. In: Econometrica.
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article449
1990Simulated Moments Estimation of Markov Models of Asset Prices.(1990) In: NBER Technical Working Papers.
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This paper has another version. Agregated cites: 449
paper
2000Transform Analysis and Asset Pricing for Affine Jump-Diffusions In: Econometrica.
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article988
1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions.(1999) In: NBER Working Papers.
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This paper has another version. Agregated cites: 988
paper
1981Extracting measures of ex ante real interest rates from ex post rates: A comment In: Carnegie-Rochester Conference Series on Public Policy.
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article0
1987Speculation and the volatility of foreign currency exchange rates In: Carnegie-Rochester Conference Series on Public Policy.
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article9
1983Real and nominal factors in the cyclical behavior of interest rates, output, and money In: Journal of Economic Dynamics and Control.
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article4
2001Estimation of affine asset pricing models using the empirical characteristic function In: Journal of Econometrics.
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article142
2012Term structure models and the zero bound: An empirical investigation of Japanese yields In: Journal of Econometrics.
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article145
1981Latent variable models for time series : A frequency domain approach with an application to the permanent income hypothesis In: Journal of Econometrics.
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article8
1985Testing specifications of economic agents intertemporal optimum problems in the presence of alternative models In: Journal of Econometrics.
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article25
2003Fixed-income pricing In: Handbook of the Economics of Finance.
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chapter2
2013Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs In: Journal of Financial Economics.
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article48
1986Modeling the term structure of interest rates under non-separable utility and durability of goods In: Journal of Financial Economics.
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article122
1984Modeling the Term Structure of Interest Rates Under Nonseparable Utilityand Duriability of Goods.(1984) In: NBER Working Papers.
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This paper has another version. Agregated cites: 122
paper
2002Expectation puzzles, time-varying risk premia, and affine models of the term structure In: Journal of Financial Economics.
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article181
1990Specification and estimation of intertemporal asset pricing models In: Handbook of Monetary Economics.
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chapter17
1988Econometric issues in the analysis of equilibrium business cycle models In: Journal of Monetary Economics.
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article74
2004Regime shifts in a dynamic term structure model of U.S. Treasury bond yields In: Proceedings.
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article95
2007Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields.(2007) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 95
article
1980Rational expectations, risk premia, and the market for spot and forward exchange In: International Finance Discussion Papers.
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paper6
1980A Latent Time Series Model of the Cyclical Behavior of Interest Rates. In: International Economic Review.
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article20
1981Maximum Likelihood Confirmatory Factor Analysis of Economic Time Series. In: International Economic Review.
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article45
1983Rational Expectations and the Volatility of Floating Exchange Rates. In: International Economic Review.
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article8
2006Interpreting Recent Changes in the Credit Spreads of Japanese Banks In: Monetary and Economic Studies.
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article6
1990Interpreting Changes in the Volatility of Yields on Japnanese Long-term Bonds In: Monetary and Economic Studies.
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article1
2014Investor Flows and the 2008 Boom/Bust in Oil Prices In: Management Science.
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article98
1980Maturity-Specific Disturbances and the Term Structure of Interest Rates. In: Journal of Money, Credit and Banking.
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article1
1993Japanese Monetary Policy In: NBER Books.
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book71
1987Erratum: Do Equilibrium Real Business Cycle Theories Explain Postwar US Business Cycles? In: NBER Chapters.
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chapter0
1986Do Equilibrium Real Business Cycle Theories Explain Postwar US Business Cycles? In: NBER Chapters.
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chapter48
1986Do Equilibrium Real Business Cycle Theories Explain Post-War U.S. Business Cycles?.(1986) In: NBER Working Papers.
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This paper has another version. Agregated cites: 48
paper
1993Introduction to Japanese Monetary Policy In: NBER Chapters.
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chapter2
1993Japanese Corporate Investment and Bank of Japan Guidance of Commercial Bank Lending In: NBER Chapters.
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chapter37
1996Institutional and Regulatory Influences on Price Discovery in Cash and Futures Bond Markets In: NBER Chapters.
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chapter1
1986Asset Prices in a Time Series Model with Disparately Informed, Competative Traders In: NBER Working Papers.
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paper0
1986A Time Series Analysis of Representative Agent Models of Consumption andLeisure Choice Under Uncertainty In: NBER Working Papers.
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paper319
1988A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice Under Uncertainty.(1988) In: The Quarterly Journal of Economics.
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This paper has another version. Agregated cites: 319
article
2001Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure In: NBER Working Papers.
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paper1
2013JFEC Invited Paper: Gaussian Macro-Finance Term Structure Models with Lags In: Journal of Financial Econometrics.
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article13
1999Modeling Term Structures of Defaultable Bonds. In: Review of Financial Studies.
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article756
2003Term Structure Dynamics in Theory and Reality In: Review of Financial Studies.
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article141
2010Discrete-Time Affine-super-ℚ Term Structure Models with Generalized Market Prices of Risk In: Review of Financial Studies.
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article31
2011A New Perspective on Gaussian Dynamic Term Structure Models In: Review of Financial Studies.
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article227
1981Multinational Inflation under Fixed Exchange Rates: Some Empirical Evidence from Latent Variable Models. In: The Review of Economics and Statistics.
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article1
1980Expectations Models of the Term Structure and Implied Variance Bounds. In: Journal of Political Economy.
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article32
1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns. In: Journal of Political Economy.
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article665

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