Embedded Files
Stanford Graduate School of Business
Adams Distinguished Professor in Management, Emeritus
Stanford Graduate School of Business
Kenneth Singleton’s research interests are in econometric methods for estimation and testing of dynamic asset pricing models; modeling of term structures of government and defaultable bond yields; measuring and managing market, credit and liquidity risks; and debt financing in emerging economies.
Recent Work
Recent Work
Learning and Risk Premiums in an Arbitrage-free Term Structure Model, (with Marco Giacoletti and Kristoffer Laursen). Working Paper, May 20, 2018.
Type: Working Papers
Topic(s): Credit Risk, Econometric Methods, Fixed Income
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks, (with Scott Joslin and Marcel Priebsch). Journal of Finance, Vol. 69, no. 3, June 2014, 1197–1233.
Type: Published Papers
Topic(s): Credit Risk, Econometric Methods, Fixed Income
Investor Flows and the 2008 Boom/Bust in Oil Prices, (with ). Management Science, Vol. 60, No. 2, February 2014, 300-318.
Type: Published Papers
Topic(s): Econometric Methods, Equilibrium Asset Pricing
Gaussian Macro-Finance Term Structure Models with Lags, (with Scott Joslin and Anh Lee). Journal of Financial Econometrics, Vol. 11, No. 4, Fall 2013, 581-609.
Type: Published Papers
Topic(s): Econometric Methods, Fixed Income
Why Gaussian Macro-Finance Term Structure Models are (Nearly) Unconstrained Factor-VARs, (with Scott Joslin and Anh Le). Journal of Financial Economics, Vol. 109, No. 3, September 2013, 604–622.
Type: Published Papers
Topic(s): Econometric Methods, Fixed Income
Featured Book
Featured Book
Page updated
Report abuse