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

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

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

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

Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads, (with Jun Pan). Journal of Finance, Vol. 63, No. 5, October 2008, 2345-2384.

Type: Published Papers
Topic(s): 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

Fixed Income Pricing (with Qiang Dai). In Handbook of Economics and Finance, ed. C. Constantinides, M. Harris, and R. Stulz, North Holland, 2003.

Type: Book Chapters
Topic(s): 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

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

Yield Curve Risk Management for Government Bond Portfolios: An International Comparison. In Risk Management: Challenges and Solutions, eds. W. Beaver and G. Parker, McGraw Hill, 1995.

Type: Book Chapters
Topic(s): Credit Risk, Fixed Income

Yield Curve Risk in Japanese Government Bond Markets. in Japanese Journal of Financial Economics, Vol. 1, December 1994, 5-32.

Type: Published Papers
Topic(s): Credit Risk, Fixed Income

Institutional and Regulatory Influences on Price Discovery in Cash and Futures Bond Markets. In The Industrial Organization of Securities Markets, ed. A. Lo, National Bureau of Economic Research, 1994.

Type: Book Chapters
Topic(s): Fixed Income

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

Kokusai no taumu storakuchya moderu (with Tadashi Kikugawa). Reprinted in Shoken Analysts Journal, Shurai Ronbunshu, Nihon Shoken Analysts Kyokai, 1992.

Type: Book Chapters
Topic(s): Fixed Income

Interpreting Changes in the Volatility of Yields on Japanese Long-Term Bonds. In Monetary and Economic Studies, , Bank of Japan, 1990.

Type: Book Chapters
Topic(s): Fixed Income

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

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

Real and Nominal Factors in the Cyclical Behavior of Interest Rates, Output, and Money, in Journal of Economic Dynamics and Control, Vol. 5, February 1983, 289–309.

Type: Published Papers
Topic(s): Fixed Income

Expectation Models of the Term Structure and Implied Variance Bounds, in Journal of Political Economy, Vol. 88, No. 6, December 1980, 1159-1176.

Type: Published Papers
Topic(s): Econometric Methods, Fixed Income

Maturity – Specific Disturbances and the Term Structure of Interest Rates, in Journal of Money, Credit and Banking, Vol. 12, No. 4, Part 1 November 1980, 603-614.

Type: Published Papers
Topic(s): Fixed Income