Qiang Dai

University of North Carolina (UNC) at Chapel Hill - Finance Area

Kenan-Flagler Business School

Chapel Hill, NC 27599-3490

United States

SCHOLARLY PAPERS

11

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Scholarly Papers (11)

1.
Downloads 1,367 ( 13,155)

Specification Analysis of Affine Term Structure Models

Number of pages: 53 Posted: 26 Nov 1998
Qiang Dai and Kenneth J. Singleton
University of North Carolina (UNC) at Chapel Hill - Finance Area and Stanford University - Graduate School of Business
Downloads 1,303 (13,888)

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Specification Analysis of Affine Term Structure Models

NBER Working Paper No. w6128
Number of pages: 53 Posted: 10 Jul 2000 Last Revised: 06 Apr 2008
Qiang Dai and Kenneth J. Singleton
University of North Carolina (UNC) at Chapel Hill - Finance Area and Stanford University - Graduate School of Business
Downloads 64 (343,447)

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2.

Ownership Structure, Income Distribution, and Competitive Equilibrium: A Theory of Business Cycles, Human Capital, and Asset Returns

Stern School of Business New York University
Number of pages: 47 Posted: 19 Aug 2000
Qiang Dai
University of North Carolina (UNC) at Chapel Hill - Finance Area
Downloads 562 (46,850)

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3.

Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk

AFA 2007 Chicago Meetings Paper
Number of pages: 39 Posted: 10 Mar 2006
Qiang Dai, Anh Le and Kenneth J. Singleton
University of North Carolina (UNC) at Chapel Hill - Finance Area, New York University, Leonard N. Stern School of Business and Stanford University - Graduate School of Business
Downloads 484 (56,611)

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Nonlinear, Discrete time, Dynamic Term Structure Models, Esscher Transform, Generalized Market Prices of Risks

4.

From Equity Premium Puzzle to Expectations Puzzle: A General Equilibrium Production Economy with Stochastic Habit Formation

Number of pages: 63 Posted: 25 Jul 2000
Qiang Dai
University of North Carolina (UNC) at Chapel Hill - Finance Area
Downloads 441 (63,472)

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5.
Downloads 438 ( 63,981)

Fiscal Policy and the Term Structure of Interest Rates

Number of pages: 37 Posted: 05 Jan 2005
Qiang Dai and Thomas Philippon
University of North Carolina (UNC) at Chapel Hill - Finance Area and New York University (NYU) - Department of Finance
Downloads 375 (76,266)

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No-arbitrage, interest rates, yield curve, fiscal policy, public deficits

Fiscal Policy and the Term Structure of Interest Rates

NBER Working Paper No. w11574
Number of pages: 38 Posted: 10 Oct 2005 Last Revised: 18 Aug 2010
Qiang Dai and Thomas Philippon
University of North Carolina (UNC) at Chapel Hill - Finance Area and New York University (NYU) - Department of Finance
Downloads 63 (346,393)

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6.

Expectations Puzzle, Time-Varying Risk Premia, and Dynamic Models of the Term Structure

Stern School of Business, New York University, and Graduate School of Business, Stanford University
Number of pages: 32 Posted: 10 Nov 2000
Qiang Dai and Kenneth J. Singleton
University of North Carolina (UNC) at Chapel Hill - Finance Area and Stanford University - Graduate School of Business
Downloads 412 (68,891)

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7.

Asset Pricing with Production and Labor

Number of pages: 27 Posted: 23 Jan 2001
Qiang Dai
University of North Carolina (UNC) at Chapel Hill - Finance Area
Downloads 355 (82,009)

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CAPM, ICAPM, CCAPM, production, optimal financial policy, labor, human capital, asset pricing puzzles

8.

Government Deficits and Interest Rates: A No-Arbitrage Structural VAR Approach

AFA 2005 Philadelphia Meetings
Number of pages: 28 Posted: 02 Jan 2005
Qiang Dai and Thomas Philippon
University of North Carolina (UNC) at Chapel Hill - Finance Area and New York University (NYU) - Department of Finance
Downloads 264 (113,356)

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9.

An Empirical Investigation of Consumption-Based Asset Pricing Models with Stochastic Habit Formation

Number of pages: 37 Posted: 14 Dec 2005 Last Revised: 29 Jan 2010
Qiang Dai and Olesya V. Grishchenko
University of North Carolina (UNC) at Chapel Hill - Finance Area and Board of Governors of the Federal Reserve System
Downloads 189 (157,059)

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consumption-based asset pricing model, habit formation, stochastic habit, time-varying risk-premium

10.

Term Structure Dynamics in Theory and Reality

NYU Working Paper No. S-DRP-02-06
Number of pages: 46 Posted: 07 Nov 2008
Qiang Dai and Kenneth J. Singleton
University of North Carolina (UNC) at Chapel Hill - Finance Area and Stanford University - Graduate School of Business
Downloads 74 (313,640)

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11.

Expectation Puzzles, Time-Varying Risk Premia, and Dynamic Models of the Term Structure

NBER Working Paper No. w8167
Number of pages: 33 Posted: 16 Mar 2001 Last Revised: 05 Oct 2001
Qiang Dai and Kenneth J. Singleton
University of North Carolina (UNC) at Chapel Hill - Finance Area and Stanford University - Graduate School of Business
Downloads 62 (344,592)

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