Kenneth Singleton : Citation Profile


Are you Kenneth Singleton?

Stanford University

29

H index

36

i10 index

6485

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: 180
   Journals where Kenneth Singleton has often published
   Relations with other researchers
   Recent citing documents: 923.    Total self citations: 18 (0.28 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psi735
   Updated: 2020-05-23    RAS profile: 2016-11-29    
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Relations with other researchers


Works with:

Biais, Bruno (2)

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

Is cited by:

Chernov, Mikhail (57)

Monfort, Alain (47)

Campbell, John (39)

Rudebusch, Glenn (36)

Christoffersen, Peter (35)

Christiano, Lawrence (33)

Renne, Jean-Paul (29)

Diebold, Francis (29)

gourieroux, christian (28)

Andersen, Torben (27)

Ruge-Murcia, Francisco (27)

Cites to:

Duffie, Darrell (18)

Bekaert, Geert (14)

Ang, Andrew (13)

Hansen, Lars (11)

Shiller, Robert (10)

Hodrick, Robert (10)

Piazzesi, Monika (9)

Campbell, John (9)

Wu, Liuren (8)

Longstaff, Francis (7)

Duffee, Greg (7)

Main data


Where Kenneth Singleton has published?


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

Recent works citing Kenneth Singleton (2018 and 2017)


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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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2019Sensitivity of bankruptcy prediction models to the change in econometric methods. (2019). Mishra, Alok Kumar ; Singh, Bhanu Pratap. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:3(620):p:71-86.

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

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

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

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

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2019Quantitative Easing and the Term Premium as a Monetary Policy Instrument. (2019). Vaccaro-Grange, Etienne. In: AMSE Working Papers. RePEc:aim:wpaimx:1932.

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

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

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

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

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2019Approximate hedging with proportional transaction costs in stochastic volatility models with jumps. (2015). Pergamenschchikov, Serguei ; Nguyen, Thai Huu . In: Papers. RePEc:arx:papers:1505.02627.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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2019Indifference 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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2018Pricing sovereign contingent convertible debt. (2018). Consiglio, Andrea ; Zenios, Stavros ; Tumminello, Michele. In: Papers. RePEc:arx:papers:1804.01475.

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

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

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

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

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

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

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

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2020Limits 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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2018The Alpha-Heston Stochastic Volatility Model. (2018). Zhou, Chao ; Scotti, Simone ; Ma, Chunhua ; Jiao, Ying. In: Papers. RePEc:arx:papers:1812.01914.

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

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

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

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

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

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

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

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2019An arbitrage-free conic martingale model with application to credit risk. (2019). Fr'ed'eric Vrins, ; Mbaye, Cheikh. In: Papers. RePEc:arx:papers:1909.02474.

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2019Value adjustments and dynamic hedging of reinsurance counterparty risk. (2019). Kock, Verena ; FREY, RDIGER ; Colaneri, Katia ; Ceci, Claudia. In: Papers. RePEc:arx:papers:1909.04354.

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2019Consistent and Efficient Pricing of SPX and VIX Options under Multiscale Stochastic Volatility. (2019). Huh, Jeonggyu ; Kim, Geonwoo ; Jeon, Jaegi. In: Papers. RePEc:arx:papers:1909.10187.

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2019Credit risk with asymmetric information and a switching default threshold. (2019). Wunderlich, Ralf ; Redeker, Imke. In: Papers. RePEc:arx:papers:1910.14413.

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2019iCurrency?. (2019). Yu, Willie ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:1911.01272.

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2019A Scrambled Method of Moments. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1911.09128.

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2019The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics. (2019). Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1911.12969.

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2019Adaptive Financial Fraud Detection in Imbalanced Data with Time-Varying Poisson Processes. (2019). Robert, Stephan ; Bovay, J'Erome ; Houssou, R'Egis. In: Papers. RePEc:arx:papers:1912.04308.

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2019Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure. (2019). Ziegler, Philipp ; Sobotka, Tom'Avs ; Posp, Jan. In: Papers. RePEc:arx:papers:1912.06709.

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2019Gauge transformations in the dual space, and pricing and estimation in the long run in affine jump-diffusion models. (2019). Levendorskiui, Sergei ; Boyarchenko, Svetlana. In: Papers. RePEc:arx:papers:1912.06948.

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2019Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery. (2019). Soleymani, Fazlollah ; Itkin, Andrey. In: Papers. RePEc:arx:papers:1912.08713.

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

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

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

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

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

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

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

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

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

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

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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.
[Full Text][Citation analysis]
article5
2011How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]
article395
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 395
paper
1996Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors. In: Journal of Business & Economic Statistics.
[Citation analysis]
article47
1997Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors.(1997) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47
paper
2000Yield Curve Risk in Japanese Government Bond Markets In: International Review of Finance.
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article2
1982 On Unit Roots and the Empirical Modeling of Exchange Rates. In: Journal of Finance.
[Full Text][Citation analysis]
article112
1983 An Empirical Analysis of the Pricing of Mortgage-Backed Securities. In: Journal of Finance.
[Citation analysis]
article5
1985 Adjustment Costs and Capital Asset Pricing: Discussion. In: Journal of Finance.
[Full Text][Citation analysis]
article0
1997 An Econometric Model of the Term Structure of Interest-Rate Swap Yields. In: Journal of Finance.
[Full Text][Citation analysis]
article198
2000Specification Analysis of Affine Term Structure Models In: Journal of Finance.
[Full Text][Citation analysis]
article453
1998Specification Analysis of Affine Term Structure Models.(1998) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Citation analysis]
This paper has another version. Agregated cites: 453
paper
1997Specification Analysis of Affine Term Structure Models.(1997) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 453
paper
2003Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance.
[Full Text][Citation analysis]
article147
2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads In: Journal of Finance.
[Full Text][Citation analysis]
article293
2011Estimation and Evaluation of Conditional Asset Pricing Models In: Journal of Finance.
[Citation analysis]
article28
2010Estimation and Evaluation of Conditional Asset Pricing Models.(2010) In: NBER Working Papers.
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