Kenneth Singleton : Citation Profile


Are you Kenneth Singleton?

Stanford University

30

H index

36

i10 index

6962

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: 193
   Journals where Kenneth Singleton has often published
   Relations with other researchers
   Recent citing documents: 292.    Total self citations: 18 (0.26 %)

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   Permalink: http://citec.repec.org/psi735
   Updated: 2021-03-01    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 (73)

Monfort, Alain (47)

Rudebusch, Glenn (41)

Xiao, Tim (39)

Campbell, John (39)

Christoffersen, Peter (35)

Christiano, Lawrence (33)

Renne, Jean-Paul (30)

Diebold, Francis (29)

gourieroux, christian (28)

Lemke, Wolfgang (28)

Cites to:

Duffie, Darrell (18)

Bekaert, Geert (14)

Ang, Andrew (13)

Hansen, Lars (11)

Hodrick, Robert (10)

Shiller, Robert (10)

Piazzesi, Monika (9)

Campbell, John (9)

Wu, Liuren (8)

Marshall, David (7)

Longstaff, Francis (7)

Main data


Where Kenneth Singleton has published?


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

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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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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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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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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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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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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2020Decomposition 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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2020A 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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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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2020Rough 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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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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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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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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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). Creal, Drew ; Chernov, Mikhail ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:918.

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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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2021DSGE 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.

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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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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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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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2020Low‐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.

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2020A 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.

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2020CORPORATE 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.

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2020Market Price of Longevity Risk for a Multi‐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.

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2020The 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.

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2020Network 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.

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2020A 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.

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2020Life 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.

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2020Interest 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.

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2020Dissecting 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.

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2020No-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.

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2020A shadow rate without a lower bound constraint. (2020). Ristiniemi, Annukka ; De Rezende, Rafael. In: Bank of England working papers. RePEc:boe:boeewp:0864.

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2020The 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.

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2020A 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.

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2020A 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.

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2020Nonparametric 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.

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2020Inferring 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.

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2020Does 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.

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2020Inflation and the Price of Real Assets. (2020). Schneider, Martin ; Rogers, Ciaran ; Piazzesi, Monika ; Leombroni, Matteo. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14390.

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2020LESS-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.

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2020Natural Rate Chimera and Bond Pricing Reality. (2020). Brand, Claus ; Lemke, Wolfgang ; Goy, Gavin. In: DNB Working Papers. RePEc:dnb:dnbwpp:666.

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2020Dependence 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.

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2020The 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.

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2020The (ir)relevance of the nominal lower bound for real yield curve analysis. (2020). Schupp, Fabian. In: Working Paper Series. RePEc:ecb:ecbwps:20202476.

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2020An 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.

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2020Pricing 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.

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2020The 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.

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2020The 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.

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2020A 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.

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2020Factor 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.

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2020European 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.

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2020The 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.

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2020Time 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.

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2020Evaluating 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.

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2021Forecasting 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.

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2021Quantifying 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.

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2020Joint 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.

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2020Sovereign 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.

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2020Disagreements 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.

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2020Decomposing 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.

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2020The 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.

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2020Impact 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.

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2020Financial 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.

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2020Implied 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.

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2020Generalized 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.

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2020Leisure 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.

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2020Japan’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.

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2020Identification 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.

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2020On the identification of models with conditional characteristic functions. (2020). Han, Hyojin. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519304343.

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2020Quantile 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.

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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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article6
2011How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics.
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article436
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
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This paper has another version. Agregated cites: 436
paper
1996Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors. In: Journal of Business & Economic Statistics.
[Citation analysis]
article48
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: 48
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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article116
1983 An Empirical Analysis of the Pricing of Mortgage-Backed Securities. In: Journal of Finance.
[Citation analysis]
article7
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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article203
2000Specification Analysis of Affine Term Structure Models In: Journal of Finance.
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article496
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: 496
paper
1997Specification Analysis of Affine Term Structure Models.(1997) In: NBER Working Papers.
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This paper has another version. Agregated cites: 496
paper
2003Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance.
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article152
2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads In: Journal of Finance.
[Full Text][Citation analysis]
article317
2011Estimation and Evaluation of Conditional Asset Pricing Models In: Journal of Finance.
[Citation analysis]
article33
2010Estimation and Evaluation of Conditional Asset Pricing Models.(2010) In: NBER Working Papers.
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This paper has another version. Agregated cites: 33
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.
[Full Text][Citation analysis]
article135
2014Report of the Editor of the Journal of Finance for the Year 2013 In: Journal of Finance.
[Full Text][Citation analysis]
article0
2015Report of the Editor of the Journal of Finance for the Year 2014 In: Journal of Finance.
[Full Text][Citation analysis]
article0
2016Report of the Editor of the Journal of Finance for the Year 2015 In: Journal of Finance.
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article0
2002PRICING COUPON‐BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS In: Mathematical Finance.
[Full Text][Citation analysis]
article24
1999EQUILIBRIUM ASSET PRICES AND SAVINGS OF HETEROGENEOUS AGENTS IN THE PRESENCE OF INCOMPLETE MARKETS AND PORTFOLIO CONSTRAINTS In: Macroeconomic Dynamics.
[Full Text][Citation analysis]
article35
1998Equilibrium asset prices and savings of heterogeneous agents in the presence of incomplete markets and portfolio constraints.(1998) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35
paper
1982Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models. In: Econometrica.
[Full Text][Citation analysis]
article867
1993Simulated Moments Estimation of Markov Models of Asset Prices. In: Econometrica.
[Full Text][Citation analysis]
article381
1990Simulated Moments Estimation of Markov Models of Asset Prices.(1990) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 381
paper
2000Transform Analysis and Asset Pricing for Affine Jump-Diffusions In: Econometrica.
[Citation analysis]
article866
1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions.(1999) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 866
paper
1981Extracting measures of ex ante real interest rates from ex post rates: A comment In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]
article0
1987Speculation and the volatility of foreign currency exchange rates In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]
article6
1983Real and nominal factors in the cyclical behavior of interest rates, output, and money In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article3
2001Estimation of affine asset pricing models using the empirical characteristic function In: Journal of Econometrics.
[Full Text][Citation analysis]
article131
2012Term structure models and the zero bound: An empirical investigation of Japanese yields In: Journal of Econometrics.
[Full Text][Citation analysis]
article102
1981Latent variable models for time series : A frequency domain approach with an application to the permanent income hypothesis In: Journal of Econometrics.
[Full Text][Citation analysis]
article8
1985Testing specifications of economic agents intertemporal optimum problems in the presence of alternative models In: Journal of Econometrics.
[Full Text][Citation analysis]
article23
2003Fixed-income pricing In: Handbook of the Economics of Finance.
[Full Text][Citation analysis]
chapter2
2013Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs In: Journal of Financial Economics.
[Full Text][Citation analysis]
article39
1986Modeling the term structure of interest rates under non-separable utility and durability of goods In: Journal of Financial Economics.
[Full Text][Citation analysis]
article97
1984Modeling 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
2002Expectation puzzles, time-varying risk premia, and affine models of the term structure In: Journal of Financial Economics.
[Full Text][Citation analysis]
article160
1990Specification and estimation of intertemporal asset pricing models In: Handbook of Monetary Economics.
[Full Text][Citation analysis]
chapter16
1988Econometric issues in the analysis of equilibrium business cycle models In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article68
2004Regime shifts in a dynamic term structure model of U.S. Treasury bond yields In: Proceedings.
[Full Text][Citation analysis]
article78
2007Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields.(2007) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 78
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.
[Full Text][Citation analysis]
article17
1981Maximum Likelihood Confirmatory Factor Analysis of Economic Time Series. In: International Economic Review.
[Full Text][Citation analysis]
article40
1983Rational Expectations and the Volatility of Floating Exchange Rates. In: International Economic Review.
[Full Text][Citation analysis]
article7
2006Interpreting Recent Changes in the Credit Spreads of Japanese Banks In: Monetary and Economic Studies.
[Full Text][Citation analysis]
article3
1990Interpreting Changes in the Volatility of Yields on Japnanese Long-term Bonds In: Monetary and Economic Studies.
[Full Text][Citation analysis]
article1
2014Investor Flows and the 2008 Boom/Bust in Oil Prices In: Management Science.
[Full Text][Citation analysis]
article76
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.
[Citation analysis]
book3
1987Erratum: Do Equilibrium Real Business Cycle Theories Explain Postwar U.S. Business Cycles? In: NBER Chapters.
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chapter0
1986Do Equilibrium Real Business Cycle Theories Explain Postwar U.S. 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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48
paper
1993Introduction to Japanese Monetary Policy In: NBER Chapters.
[Full Text][Citation analysis]
chapter2
1993Japanese Corporate Investment and Bank of Japan Guidance of Commercial Bank Lending In: NBER Chapters.
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chapter32
1996Institutional and Regulatory Influences on Price Discovery in Cash and Futures Bond Markets In: NBER Chapters.
[Full Text][Citation analysis]
chapter1
1986Asset Prices in a Time Series Model with Disparately Informed, Competative Traders In: NBER Working Papers.
[Full Text][Citation analysis]
paper0
1986A Time Series Analysis of Representative Agent Models of Consumption andLeisure Choice Under Uncertainty In: NBER Working Papers.
[Full Text][Citation analysis]
paper261
1988A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice Under Uncertainty.(1988) In: The Quarterly Journal of Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 261
article
2001Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure In: NBER Working Papers.
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paper0
2013JFEC Invited Paper: Gaussian Macro-Finance Term Structure Models with Lags In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article12
1999Modeling Term Structures of Defaultable Bonds. In: Review of Financial Studies.
[Citation analysis]
article680
2003Term Structure Dynamics in Theory and Reality In: Review of Financial Studies.
[Full Text][Citation analysis]
article115
2010Discrete-Time Affine-super-ℚ Term Structure Models with Generalized Market Prices of Risk In: Review of Financial Studies.
[Full Text][Citation analysis]
article27
2011A New Perspective on Gaussian Dynamic Term Structure Models In: Review of Financial Studies.
[Full Text][Citation analysis]
article177
1981Multinational Inflation under Fixed Exchange Rates: Some Empirical Evidence from Latent Variable Models. In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
article1
1980Expectations Models of the Term Structure and Implied Variance Bounds. In: Journal of Political Economy.
[Full Text][Citation analysis]
article31
1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns. In: Journal of Political Economy.
[Full Text][Citation analysis]
article563

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