Published Papers

Investor Flows and the 2008 Boom/Bust in Oil Prices, in Management Science, Vol. 60, No. 2, February 2014, 300-318.

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.

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.

Topic(s): 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.

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

Topic(s): Econometric Methods, Equilibrium Asset Pricing

How Sovereign Is Sovereign Credit Risk?, (with Francis Longstaff, Jun Pan, and Lasse Pedersen). American Economic Journal: Macroeconomics, Vol. 3, No. 2, April 2011, 75-103.

Topic(s): Credit Risk

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

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.

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.

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.

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.

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.

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.

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.

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.

Topic(s): Credit Risk, Econometric Methods, Fixed Income

Estimation of Affine Asset Pricing Models Using the Empirical Characteristic Function, in Journal of Econometrics, Vol. 102, No. 1, May 2001, 111-141.

Topic(s): Econometric Methods, Equilibrium Asset Pricing

Transform Analysis and Asset Pricing for Affine Jump-Diffusions, (with Darrell Duffie and Jun Pan). Econometrica, Vol. 68, No. 6, November 2000, 1343-1376.

Topic(s): Equilibrium Asset Pricing

Specification Analysis of Affine Term Structure Models, (with Qiang Dai). Journal of Finance, Vol. 55, No. 5, October 2000, 1943-1978.

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.

Topic(s): Econometric Methods, Fixed Income

Equilibrium Asset Prices and Savings of Heterogeneous Agents in the Presence of Portfolio Constraints, (with A. Marcet). Macroeconomic Dynamics, Vol. 3, No. 2, June 1999, 243-277.

Topic(s): Equilibrium Asset Pricing

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.

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.

Topic(s): Econometric Methods, Equilibrium Asset Pricing

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

Topic(s): Credit Risk, Fixed Income

Modeling the Term Structure of Interest Rates in Japan., (with T. Kikugawa). Journal of Fixed Income, Vol. 4, September 1994, 7-16.

Topic(s): Econometric Methods, Fixed Income

Simulated Moments Estimation of Markov Models of Asset Prices, (with D. Duffie). Econometrica, Vol. 61, No. 4, July 1993, 929-952.

Topic(s): Econometric Methods, Equilibrium Asset Pricing

Econometric Issues in the Analysis of Equilibrium Business Cycle models, in Journal of Monetary Economics, Vol. 21, Issues 2–3, March–May 1988, 361–386.

Topic(s): Econometric Methods

A Time Series Analysis of Representative Consumer Models of Consumption and Leisure Choice Under Uncertainty, (with M. Eichenbaum and L. Hansen). Quarterly Journal of Economics, Vol. 103, No. 1, February 1988, 51-78.

Topic(s): Econometric Methods

Speculation and the Volatility of Floating Exchange Rates. In Carnegie-Rochester Conference Series on Public Policy, Vol. 26, Spring 1987, 9-56.

Topic(s): Econometric Methods

Do Equilibrium Real Business Cycle Theories Explain Post-war U.S. Business Cycles?, (with Martin Eichenbaum). NBER Macroeconomics Annual, Vol. 1, 1986, 91-135.

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.

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.

Topic(s): Econometric Methods

Testing Specifications of Economic Agents’ Intertemporal Optimum Problems in the Presence of Alternative Models, In  Journal of Econometrics, Vol. 30, Issues 1–2, October–November 1985, 391–413.

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.

Topic(s): Econometric Methods

An Empirical Analysis of the Pricing of Mortgage-Backed Securities, (with Lee Wakeman, Kenneth B. Dunn). Journal of Finance, Vol. 38, Issue 2, May 1983, 613–623.

Topic(s): Equilibrium Asset Pricing

Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns, (with Lars Peter Hansen). Journal of Political Economy, Vol. 91, No. 2, April 1983, 249-265.

Topic(s): Equilibrium Asset Pricing

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.

Topic(s): Fixed Income

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models, (with Lars Peter Hansen). Econometrica, Vol. 50, No. 5, September 1982, 1269-1286.

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.

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.

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.

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.

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.

Topic(s): Econometric Methods

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

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.

Topic(s): Fixed Income

A Latent Time Series Model of the Cyclical Behavior of Interest Rates, In International Economic Review, 21, October 1980, 559-575.

Topic(s): Econometric Methods, Fixed Income