Stanford Graduate School of Business
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
The Structure of Risks in Equilibrium Affine Models of Bond Yields, (with Anh Le). Working Paper, April 2013.
Type: Working Papers
Topic(s): Credit Risk, Econometric Methods, Fixed Income
Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields, (with Don Kim). Journal of Econometrics, Vol. 170, No. 1, September 2012, 32–49.
Type: Published Papers
Topic(s): Econometric Methods, Fixed Income
Estimation and Evaluation of Conditional Asset Pricing Models, (with Stefan Nagel). Journal of Finance, Vol. 66, No. 3, June 2011, 873–909. Supplement
Type: Published Papers
Topic(s): Econometric Methods, Equilibrium Asset Pricing
A New Perspective on Gaussian Dynamic Term Structure Models, (with Scott Joslin and Haoxiang Zhu). Review of Financial Studies, Vol. 24, 2011, 926-970. Supplement
Type: Published Papers
Topic(s): Econometric Methods, Fixed Income
The Asymptotic Distribution of Reduced-Rank Regression Estimators, (with Anh Le). Working Paper, November 2010.
Type: Working Papers
Topic(s): Econometric Methods
An Equilibrium Term Structure Model with Recursive Preferences, (with Anh Le). American Economic Review, Papers and Proceedings, May 2010.
Type: Published Papers
Topic(s): Econometric Methods, Fixed Income
Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk, (with Anh Le and Qiang Dai). Review of Financial Studies, Vol. 23, No. 5, 2010, 2184-2227.
Type: Published Papers
Topic(s): Credit Risk, Econometric Methods, Fixed Income
Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yield, (with Qiang Dai and Wei Yang). Review of Financial Studies, Vol. 20, No. 5, 2007, 1669-1706.
Type: Published Papers
Topic(s): Econometric Methods, Fixed Income
Term Structure Modeling in Theory and Reality, (with Qiang Dai). Review of Financial Studies, Vol. 16, No. 3, 2003, 631-678.
Type: Published Papers
Topic(s): Econometric Methods, Fixed Income
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt, (with Darrell Duffie and Lasse Pedersen). Journal of Finance, Vol. 58, No. 1, February 2003, 119–159.
Type: Published Papers
Topic(s): Econometric Methods, Fixed Income
Pricing Coupon-Bond Options and Swaptions in Affine Term Structure Models, (with Len Umantsev). Mathematical Finance, Vol. 12, No. 4, October 2002, 427–446.
Type: Published Papers
Topic(s): Econometric Methods, Fixed Income
Expectation Puzzles, Time-varying Risk Premia, and Affine Models of the Term Structure, (with Qiang Dai). Journal of Financial Economics, Vol. 63, No. 3, March 2002, 415–441.
Type: Published Papers
Topic(s): Credit Risk, Econometric Methods, Fixed Income
Estimation of Affine Asset Pricing Models Using the Empirical Characteristic Function, Journal of Econometrics, Vol. 102, No. 1, May 2001, 111-141.
Type: Published Papers
Topic(s): Econometric Methods, Equilibrium Asset Pricing
Specification Analysis of Affine Term Structure Models, (with Qiang Dai). Journal of Finance, Vol. 55, No. 5, October 2000, 1943-1978.
Type: Published Papers
Topic(s): Econometric Methods, Fixed Income
Modeling Term Structure Models of Defaultable Bonds, (with Darrell Duffie). Review of Financial Studies, Vol.12, No. 4, 1999, 687-720.
Type: Published Papers
Topic(s): Econometric Methods, Fixed Income
An Econometric Model of the Term Structure of Interest Rate Swap Yields, (with Darrell Duffie). Journal of Finance, Vol. 52, No. 4, September 1997, 1287-1323.
Type: Published Papers
Topic(s): Econometric Methods, Fixed Income
Efficient Estimation of Linear Asset Pricing Models with Moving Average Errors, (with L. Hansen). Journal of Business and Economic Statistics, Vol. 114, No. 1, January 1996, 53-68.
Type: Published Papers
Topic(s): Econometric Methods, Equilibrium Asset Pricing
Modeling the Term Structure of Interest Rates in Japan., (with T. Kikugawa). Journal of Fixed Income, Vol. 4, September 1994, 7-16.
Type: Published Papers
Topic(s): Econometric Methods, Fixed Income
Japanese Corporate Investment and Bank of Japan Guidance of Commercial Bank Lending (with T. Hoshi and D. Scharfstein). In Japanese Monetary Policy, ed. K. Singleton, Chicago: University of Chicago Press, 1993.
Type: Book Chapters
Topic(s): Econometric Methods
Simulated Moments Estimation of Markov Models of Asset Prices, (with D. Duffie). Econometrica, Vol. 61, No. 4, July 1993, 929-952.
Type: Published Papers
Topic(s): Econometric Methods, Equilibrium Asset Pricing
Econometric Implications of Consumption-Based Asset Pricing Models. In Advances in Econometrics, Sixth World Congress, eds. J. J. Laffont and C. A. Sims, Cambridge: Cambridge University Press, 1993.
Type: Book Chapters
Topic(s): Econometric Methods, Equilibrium Asset Pricing
Computing Semiparametric Efficiency Bounds for Linear Time Series Models with Moving Average Errors (with L. Hansen). In Nonparametric and Seminonparametric Methods in Econometrics and Statistics, eds. W. Barnett, J. Powell, and G. Tauchen, Cambridge: Cambridge University Press, 1990.
Type: Book Chapters
Topic(s): Econometric Methods
Specification and Estimation of Intertemporal Asset Pricing Models. In Handbook of Monetary Economics, eds. B. Friedman and F. Hahn, Amsterdam: North Holland, 1990.
Type: Book Chapters
Topic(s): Econometric Methods, Equilibrium Asset Pricing
Modeling the Term Structure of Interest Rates in General Equilibrium. In Theory of Valuation: Frontiers of Modern Financial Theory, Vol. 1, eds. S. Bhattacharya and G. Constantinides, Rowan and Allenheld Publishers, 1989.
Type: Book Chapters
Topic(s): Econometric Methods, Fixed Income
Econometric Issues in the Analysis of Equilibrium Business Cycle models, Journal of Monetary Economics, Vol. 21, Issues 2–3, March–May 1988, 361–386.
Type: Published Papers
Topic(s): Econometric Methods
Speculation and the Volatility of Floating Exchange Rates., , Vol. 26, Spring 1987, 9-56.
Type: Published Papers
Topic(s): Econometric Methods
Asset Prices in a Time Series Model with Disparately Informed, Competitive Traders. In New Approaches to Monetary Economics, Proceedings of the Second International Symposium in Economic Theory and Econometrics, eds. W. Barnet and K. Singleton, Cambridge: Cambridge University Press, 1987.
Type: Book Chapters
Topic(s): Econometric Methods, Equilibrium Asset Pricing
Do Equilibrium Real Business Cycle Theories Explain Post-war U.S. Business Cycles?, (with Martin Eichenbaum). NBER Macroeconomics Annual, Vol. 1, 1986, 91-135.
Type: Published Papers
Topic(s): Econometric Methods
Modeling the Term Structure of Interest Rates Under Non-separable Utility and Durability of Goods, (with Kenneth B. Dunn). Journal of Financial Economics, Vol.17, Issue 1, September 1986, 27-55.
Type: Published Papers
Topic(s): Econometric Methods, Fixed Income
An Omnibus Test for the Two-Sample Problem Using the Empirical Characteristic Function, (with T.W. Epps). Journal of Statistical Computation and Simulation, Vol. 26, Issue 3-4, 1986, 177-203.
Type: Published Papers
Topic(s): Econometric Methods
Testing Specifications of Economic Agents’ Intertemporal Optimum Problems in the Presence of Alternative Models, Journal of Econometrics, Vol. 30, Issues 1–2, October–November 1985, 391–413.
Type: Published Papers
Topic(s): Econometric Methods
Rational Expectations and the Volatility of Floating Exchange Rates, (with Richard A. Meese). International Economic Review, Vol. 24, No. 3, October 1983, 721-733.
Type: Published Papers
Topic(s): Econometric Methods
Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models, (with Lars Peter Hansen). Econometrica, Vol. 50, No. 5, September 1982, 1269-1286.
Type: Published Papers
Topic(s): Econometric Methods
On Unit Roots and the Empirical Modeling of Exchange Rates, (with Richard A. Meese). Journal of Finance, Vol. 37, Issue 4, September 1982, 1029–1035.
Type: Published Papers
Topic(s): Econometric Methods
A Test of Separate Families of Distributions Based on the Empirical Moment Generating Function, (with T. Epps and L. Pulley). Biometrika, Vol. 69, No. 2, 1982, 391-399.
Type: Published Papers
Topic(s): Econometric Methods
Latent Variable Models for Time Series: A Frequency Domain Approach with an Application to the Permanent Income Hypothesis, (with John F. Geweke). Journal of Econometrics, Vol. 17, Issue 3, December 1981, 287-304.
Type: Published Papers
Topic(s): Econometric Methods
Maximum Likelihood ‘Confirmatory’ Factor Analysis of Economic Time Series, (with John F. Geweke). International Economic Review, Vol. 22, No. 1, February 1981, 37-54.
Type: Published Papers
Topic(s): Econometric Methods
Multinational Inflation Under Fixed Exchange Rates: Some Empirical Evidence from Latent Variable Models, (with Edgar L. Feige). The Review of Economics and Statistics, Vol. 63, No. 1, February 1981, 11-19.
Type: Published Papers
Topic(s): Econometric Methods
Expectation Models of the Term Structure and Implied Variance Bounds, Journal of Political Economy, Vol. 88, No. 6, December 1980, 1159-1176.
Type: Published Papers
Topic(s): Econometric Methods, Fixed Income
A Latent Time Series Model of the Cyclical Behavior of Interest Rates, International Economic Review, 21, October 1980, 559-575.
Type: Published Papers
Topic(s): Econometric Methods, Fixed Income
Interpreting the Likelihood of Ratio Statistic in Factor Models when Sample Size is Small, (with John F. Geweke). Journal of American Statistical Association, Vol. 75, Issue 369, March 1980, 133-137.
Type: Published Papers
Topic(s): Econometric Methods