Qiang Dai

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

Kenan-Flagler Business School

Chapel Hill, NC 27599-3490

United States

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

    • Email
    • Tel: 919-962-7182
SCHOLARLY PAPERS

11

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195

Scholarly Papers (11)

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1.

Specification Analysis of Affine Term Structure Models

Downloads 1,897 (18,775)
Citation 94

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 1,755 (20,803)
Citation 91

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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: 01 Oct 2022
Qiang Dai and Kenneth J. Singleton
University of North Carolina (UNC) at Chapel Hill - Finance Area and Stanford University - Graduate School of Business
Downloads 142 (428,188)
Citation 3

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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 600 (95,306)

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3.

Fiscal Policy and the Term Structure of Interest Rates

Downloads 539 (109,017)
Citation 5

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 421 (145,093)
Citation 4

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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 2022
Qiang Dai and Thomas Philippon
University of North Carolina (UNC) at Chapel Hill - Finance Area and New York University (NYU) - Department of Finance
Downloads 118 (496,870)
Citation 1

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4.

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 528 (111,847)
Citation 45

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

5.

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 465 (130,372)
Citation 7

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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 452 (134,911)
Citation 9

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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 390 (159,963)

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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

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 329 (192,822)
Citation 9

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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 234 (273,592)

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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 134 (447,536)
Citation 1

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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: 27 Oct 2022
Qiang Dai and Kenneth J. Singleton
University of North Carolina (UNC) at Chapel Hill - Finance Area and Stanford University - Graduate School of Business
Downloads 101 (554,127)
Citation 25

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