30
H index
36
i10 index
6962
Citations
Stanford University | 30 H index 36 i10 index 6962 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: |
Year | Title of citing document | |
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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 | |
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 | 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 | |
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 | |
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 | |
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 | |
2020 | 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 | |
2020 | 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 | 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 | |
2020 | 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 | |
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 | |
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 | 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 | |
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). Creal, Drew ; Chernov, Mikhail ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:918. 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 | DSGE models, detrending, and the method of moments. (2021). Mao, 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 | |
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 | |
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 | |
2020 | Lowâ€Risk Anomalies?. (2020). Zechner, Josef ; Wagner, Christian ; Schneider, Paul. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2673-2718. Full description at Econpapers || Download paper | |
2020 | A Macrofinance View of U.S. Sovereign CDS Premiums. (2020). Chernov, Mikhail ; Schneider, Andres ; Schmid, Lukas. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2809-2844. Full description at Econpapers || Download paper | |
2020 | CORPORATE BONDS AND PRODUCT MARKET COMPETITION. (2020). Platt, Katarzyna. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:3:p:615-647. Full description at Econpapers || Download paper | |
2020 | Market Price of Longevity Risk for a Multiâ€Cohort Mortality Model With Application to Longevity Bond Option Pricing. (2020). Ziveyi, Jonathan ; Sherris, Michael ; Xu, Yajing. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:3:p:571-595. Full description at Econpapers || Download paper | |
2020 | The Phillips Curve at the ECB. (2020). Osbat, Chiara ; Eser, Fabian ; Moretti, Laura ; Lane, Philip R ; Karadi, Peter. In: Manchester School. RePEc:bla:manchs:v:88:y:2020:i:s1:p:50-85. Full description at Econpapers || Download paper | |
2020 | Network valuation in financial systems. (2020). D'Errico, Marco ; Caccioli, Fabio ; Bardoscia, Marco ; Barucca, Paolo ; Battiston, Stefano ; Caldarelli, Guido ; Visentin, Gabriele. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1181-1204. Full description at Econpapers || Download paper | |
2020 | A martingale representation theorem and valuation of defaultable securities. (2020). Vanmaele, Michele ; Daveloose, Catherine ; Choulli, Tahir. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1527-1564. Full description at Econpapers || Download paper | |
2020 | Life expectancy and economic development: Evidence from microdata. (2020). Turan, Belgi. In: Review of Development Economics. RePEc:bla:rdevec:v:24:y:2020:i:3:p:949-972. Full description at Econpapers || Download paper | |
2020 | Interest rate volatility and macroeconomic dynamics: Heterogeneity matters. (2020). Velic, Adnan ; Curran, Michael. In: Review of International Economics. RePEc:bla:reviec:v:28:y:2020:i:4:p:957-975. Full description at Econpapers || Download paper | |
2020 | Dissecting interbank risk using basis swap spreads. (2020). Serrano, Pedro ; Ruiz, Jesus ; Petit, Nuria ; Lafuente, Juan Angel. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:3:p:729-757. Full description at Econpapers || Download paper | |
2020 | No-arbitrage pricing of GDP-linked bonds. (2020). Yan, Wen ; Eguren Martin, Fernando ; Meldrum, Andrew ; Eguren-Martin, Fernando. In: Bank of England working papers. RePEc:boe:boeewp:0849. Full description at Econpapers || Download paper | |
2020 | A shadow rate without a lower bound constraint. (2020). Ristiniemi, Annukka ; De Rezende, Rafael. In: Bank of England working papers. RePEc:boe:boeewp:0864. Full description at Econpapers || Download paper | |
2020 | The effects of conventional and unconventional monetary policy : identification through the yield curve. (2020). Nelimarkka, Jaakko ; Kortela, Tomi . In: Research Discussion Papers. RePEc:bof:bofrdp:2020_003. Full description at Econpapers || Download paper | |
2020 | A DEEP MARKET IN ISRAELI CORPORATE BONDS: MACRO AND MICROECONOMIC ANALYSIS IN LIGHT OF THE ACCOUNTING STANDARDS. (2020). Hadad, Elroi ; Gershgoren, Gitit Gur ; Kedar-Levy, Haim. In: Israel Economic Review. RePEc:boi:isrerv:v:18:y:2020:i:1:p:139-176. Full description at Econpapers || Download paper | |
2020 | A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model. (2020). Ge, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20114. Full description at Econpapers || Download paper | |
2020 | Nonparametric Euler Equation Identi?cation and Estimation. (2020). Srisuma, S ; Linton, O ; Lewbel, A ; Hoderlein, S ; Escanciano, J C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2064. Full description at Econpapers || Download paper | |
2020 | Inferring informal risk-sharing regimes: Evidence from rural Tanzania. (2020). Ligon, Ethan. In: Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series. RePEc:cdl:agrebk:qt50f6t3fh. Full description at Econpapers || Download paper | |
2020 | Does a Big Bazooka Matter? Quantitative Easing Policies and Exchange Rates. (2020). Mehl, Arnaud ; Grab, Johannes ; Georgiadis, Georgios ; Dedola, Luca. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14324. Full description at Econpapers || Download paper | |
2020 | Inflation and the Price of Real Assets. (2020). Schneider, Martin ; Rogers, Ciaran ; Piazzesi, Monika ; Leombroni, Matteo. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14390. Full description at Econpapers || Download paper | |
2020 | LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC. (2020). Fergusson, Kevin. In: ASTIN Bulletin. RePEc:cup:astinb:v:50:y:2020:i:2:p:381-417_3. Full description at Econpapers || Download paper | |
2020 | Natural Rate Chimera and Bond Pricing Reality. (2020). Brand, Claus ; Lemke, Wolfgang ; Goy, Gavin. In: DNB Working Papers. RePEc:dnb:dnbwpp:666. Full description at Econpapers || Download paper | |
2020 | Dependence structure between oil price volatility and sovereign credit risk of oil exporters: Evidence using a Copula Approach. (2020). Ehouman, Yao Axel. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-31. Full description at Econpapers || Download paper | |
2020 | The Phillips Curve at the ECB. (2020). Osbat, Chiara ; Eser, Fabian ; Moretti, Laura ; Lane, Philip R ; Karadi, Peter. In: Working Paper Series. RePEc:ecb:ecbwps:20202400. Full description at Econpapers || Download paper | |
2020 | The (ir)relevance of the nominal lower bound for real yield curve analysis. (2020). Schupp, Fabian. In: Working Paper Series. RePEc:ecb:ecbwps:20202476. 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: Applied Mathematics and Computation. RePEc:eee:apmaco:v:387:y:2020:i:c:s0096300320303854. Full description at Econpapers || Download paper | |
2020 | Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model. (2020). Deng, Guohe. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:141:y:2020:i:c:s0960077920308043. Full description at Econpapers || Download paper | |
2020 | The effects of conventional and unconventional monetary policy on forecasting the yield curve. (2020). Eo, Yunjong ; Ho, Kyu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s016518891930209x. Full description at Econpapers || Download paper | |
2020 | The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233. Full description at Econpapers || Download paper | |
2020 | A consistent stochastic model of the term structure of interest rates for multiple tenors. (2020). Schlogl, Erik ; Grasselli, Martino ; Alfeus, Mesias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188920300312. Full description at Econpapers || Download paper | |
2020 | Factor Investing for the Long Run. (2020). Tarelli, Andrea ; Lioui, Abraham. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301287. Full description at Econpapers || Download paper | |
2020 | European spreads at the interest rate lower bound. (2020). Coroneo, Laura ; Pastorello, Sergio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301470. Full description at Econpapers || Download paper | |
2020 | The failure of stabilization policy: Balanced-budget fiscal rules in the presence of incompressible public expenditures. (2020). Abad, Nicolas ; Modesto, Leonor ; Lloyd-Braga, Teresa. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301640. Full description at Econpapers || Download paper | |
2020 | Time to build and bond risk premia. (2020). Li, Kai ; Huang, Fuzhe ; Guo, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301925. Full description at Econpapers || Download paper | |
2020 | Evaluating sovereign risk spillovers on domestic banks during the European debt crisis. (2020). Keddad, Benjamin ; Schalck, Christophe. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:356-375. Full description at Econpapers || Download paper | |
2021 | Forecasting U.S. Yield Curve Using the Dynamic Nelson–Siegel Model with Random Level Shift Parameters. (2021). Xu, Jiawen ; Pang, Tao ; Luo, Deqing. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:340-350. Full description at Econpapers || Download paper | |
2021 | Quantifying sovereign risk in the euro area. (2021). Sosvilla-Rivero, Simon ; Singh, Manish K ; Gomez-Puig, Marta. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:76-96. Full description at Econpapers || Download paper | |
2020 | Joint dynamic modeling and option pricing in incomplete derivative-security market. (2020). Chen, Jun-Home ; Lian, Yu-Min. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081730325x. Full description at Econpapers || Download paper | |
2020 | Sovereign default risk, debt uncertainty and fiscal credibility: The case of Brazil. (2020). Souza, Ivan ; Montes, Gabriel Caldas. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302316. Full description at Econpapers || Download paper | |
2020 | Disagreements with noisy signals and asset pricing. (2020). Cheng, Fengchao ; Ma, Chaoqun ; Hu, Duni ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818305424. Full description at Econpapers || Download paper | |
2020 | Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads. (2020). Tsuruta, Masaru. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818306818. Full description at Econpapers || Download paper | |
2020 | The economic and financial properties of crude oil: A review. (2020). Auer, Benjamin R ; Lang, Korbinian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559. Full description at Econpapers || Download paper | |
2020 | Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence. (2020). Chen, Ting-Fu ; Chiu, Hsin-Yu . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819300026. Full description at Econpapers || Download paper | |
2020 | Financial risk and acquirers stockholder wealth in mergers and acquisitions. (2020). Cheng, Miao-Sih ; Hung, Pi-Hsia ; Chu, Hsiang-Hui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818300834. Full description at Econpapers || Download paper | |
2020 | Implied risk aversion and pricing kernel in the FTSE 100 index. (2020). Sung, Hao-Chang ; Ju, Wen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818302092. Full description at Econpapers || Download paper | |
2020 | Generalized affine transform on pricing quanto range accrual note. (2020). Zhang, Teng ; Huang, Henry H ; Li, Shaoyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s106294081830295x. Full description at Econpapers || Download paper | |
2020 | Leisure and long-run risks: An empirical evaluation on value premium puzzle. (2020). Zhang, Xiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301200. Full description at Econpapers || Download paper | |
2020 | Japan’s impactful augmentation of quantitative easing sovereign-bond purchases. (2020). Inaba, Kei-Ichiro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301492. Full description at Econpapers || Download paper | |
2020 | Identification of triggers of U.S. yield curve movements. (2020). Kučera, Adam ; Kuera, Adam. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301789. Full description at Econpapers || Download paper | |
2020 | On the identification of models with conditional characteristic functions. (2020). Han, Hyojin. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519304343. Full description at Econpapers || Download paper | |
2020 | Quantile selection in non-linear GMM quantile models. (2020). Montes-Rojas, Gabriel ; Galvao, Antonio F ; de Castro, Luciano. In: Economics Letters. RePEc:eee:ecolet:v:195:y:2020:i:c:s0165176520302470. Full description at Econpapers || Download paper | |
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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 | 6 |
2011 | How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics. [Full Text][Citation analysis] | article | 436 |
2007 | How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 436 | paper | |
1996 | Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 48 |
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: 48 | 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 | 116 |
1983 | An Empirical Analysis of the Pricing of Mortgage-Backed Securities. In: Journal of Finance. [Citation analysis] | article | 7 |
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 | 203 |
2000 | Specification Analysis of Affine Term Structure Models In: Journal of Finance. [Full Text][Citation analysis] | article | 496 |
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: 496 | 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: 496 | paper | |
2003 | Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance. [Full Text][Citation analysis] | article | 152 |
2008 | Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads In: Journal of Finance. [Full Text][Citation analysis] | article | 317 |
2011 | Estimation and Evaluation of Conditional Asset Pricing Models In: Journal of Finance. [Citation analysis] | article | 33 |
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: 33 | 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 | 135 |
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 COUPONâ€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 | 867 |
1993 | Simulated Moments Estimation of Markov Models of Asset Prices. In: Econometrica. [Full Text][Citation analysis] | article | 381 |
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: 381 | paper | |
2000 | Transform Analysis and Asset Pricing for Affine Jump-Diffusions In: Econometrica. [Citation analysis] | article | 866 |
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: 866 | 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 | 6 |
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 | 3 |
2001 | Estimation of affine asset pricing models using the empirical characteristic function In: Journal of Econometrics. [Full Text][Citation analysis] | article | 131 |
2012 | Term structure models and the zero bound: An empirical investigation of Japanese yields In: Journal of Econometrics. [Full Text][Citation analysis] | article | 102 |
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 | 23 |
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 | 39 |
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 | 97 |
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: 97 | 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 | 160 |
1990 | Specification and estimation of intertemporal asset pricing models In: Handbook of Monetary Economics. [Full Text][Citation analysis] | chapter | 16 |
1988 | Econometric issues in the analysis of equilibrium business cycle models In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 68 |
2004 | Regime shifts in a dynamic term structure model of U.S. Treasury bond yields In: Proceedings. [Full Text][Citation analysis] | article | 78 |
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: 78 | 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 | 17 |
1981 | Maximum Likelihood Confirmatory Factor Analysis of Economic Time Series. In: International Economic Review. [Full Text][Citation analysis] | article | 40 |
1983 | Rational Expectations and the Volatility of Floating Exchange Rates. In: International Economic Review. [Full Text][Citation analysis] | article | 7 |
2006 | Interpreting Recent Changes in the Credit Spreads of Japanese Banks In: Monetary and Economic Studies. [Full Text][Citation analysis] | article | 3 |
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 | 76 |
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 | 3 |
1987 | Erratum: Do Equilibrium Real Business Cycle Theories Explain Postwar U.S. Business Cycles? In: NBER Chapters. [Full Text][Citation analysis] | chapter | 0 |
1986 | Do Equilibrium Real Business Cycle Theories Explain Postwar U.S. 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 | 32 |
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 | 261 |
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: 261 | article | |
2001 | Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | JFEC Invited Paper: Gaussian Macro-Finance Term Structure Models with Lags In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 12 |
1999 | Modeling Term Structures of Defaultable Bonds. In: Review of Financial Studies. [Citation analysis] | article | 680 |
2003 | Term Structure Dynamics in Theory and Reality In: Review of Financial Studies. [Full Text][Citation analysis] | article | 115 |
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 | 27 |
2011 | A New Perspective on Gaussian Dynamic Term Structure Models In: Review of Financial Studies. [Full Text][Citation analysis] | article | 177 |
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 | 31 |
1983 | Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 563 |
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