Kenneth J. Singleton

Stanford University - Graduate School of Business

Adams Distinguished Professor of Mangement

Knight Management Center

655 Knight Way

Stanford, CA 94305-7298

United States

http://www.stanford.edu/~kenneths

SCHOLARLY PAPERS

33

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Scholarly Papers (33)

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

Number of pages: 43 Posted: 03 Apr 1999
Darrell Duffie, Jun Pan and Kenneth J. Singleton
Stanford University - Graduate School of Business, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Stanford University - Graduate School of Business
Downloads 2,056 (14,379)

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Transform Analysis and Asset Pricing for Affine Jump-Diffusions

NBER Working Paper No. w7105
Number of pages: 45 Posted: 11 Jun 2000 Last Revised: 02 Dec 2022
Darrell Duffie, Jun Pan and Kenneth J. Singleton
Stanford University - Graduate School of Business, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Stanford University - Graduate School of Business
Downloads 216 (260,845)
Citation 124

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2.

A New Perspective on Gaussian Dynamic Term Structure Models

Review of Financial Studies, Forthcoming, AFA 2010 Atlanta Meetings Paper
Number of pages: 55 Posted: 23 Mar 2009 Last Revised: 13 Oct 2010
Scott Joslin, Kenneth J. Singleton and Haoxiang Zhu
University of Southern California - Department of Finance and Business Economics, Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,900 (16,571)
Citation 123

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dynamic term structure model, no-arbitrage, Gaussian, estimation

3.
Downloads 1,809 (17,955)
Citation 135

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 1,672 (19,889)
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 137 (388,273)
Citation 3

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4.

Investor Flows and the 2008 Boom/Bust in Oil Prices

Number of pages: 35 Posted: 28 Mar 2011
Kenneth J. Singleton
Stanford University - Graduate School of Business
Downloads 1,118 (36,729)
Citation 71

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5.

Learning From Disagreement in the U.S. Treasury Bond Market

Stanford University Graduate School of Business Research Paper No. 15-45, Journal of Finance, Forthcoming
Number of pages: 48 Posted: 26 Jul 2015 Last Revised: 12 May 2020
Marco Giacoletti, Kristoffer Laursen and Kenneth J. Singleton
Marshall School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 967 (45,194)
Citation 26

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term structure of bond yields, learning, dispersion of beliefs, risk premiums

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

Number of pages: 49 Posted: 11 Jul 2001
Darrell Duffie, Lasse Heje Pedersen and Kenneth J. Singleton
Stanford University - Graduate School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 965 (44,632)
Citation 18

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Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

Posted: 31 Aug 2003
Darrell Duffie, Lasse Heje Pedersen and Kenneth J. Singleton
Stanford University - Graduate School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business

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7.
Downloads 580 (88,558)
Citation 5

Fixed Income Pricing

NYU Working Paper No. S-MF-02-06
Number of pages: 49 Posted: 12 Nov 2008
Qiang Dai and Kenneth J. Singleton
New York University and Stanford University - Graduate School of Business
Downloads 288 (196,114)

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Fixed Income Pricing

NYU Working Paper No. S-CDM-02-12
Number of pages: 49 Posted: 05 Nov 2008
Qiang Dai and Kenneth J. Singleton
New York University and Stanford University - Graduate School of Business
Downloads 178 (311,365)

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Fixed Income Pricing

NYU Working Paper No. FIN-02-055
Number of pages: 49 Posted: 03 Nov 2008
Qiang Dai and Kenneth J. Singleton
New York University and Stanford University - Graduate School of Business
Downloads 114 (447,879)

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8.

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 515 (102,735)
Citation 45

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

9.

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 447 (121,662)
Citation 9

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10.

Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks

Marshall School of Business Working Paper No. FBE 05.13
Number of pages: 46 Posted: 05 Jul 2013
Scott Joslin, Marcel Priebsch and Kenneth J. Singleton
University of Southern California - Department of Finance and Business Economics, Board of Governors of the Federal Reserve System and Stanford University - Graduate School of Business
Downloads 419 (131,190)
Citation 128

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term structure model, macro finance, unspanned macro risks

11.

Equilibrium Asset Prices and Savings of Heterogeneous Agents in the Presence of Incomplete Markets and Portfolio Constraints

Universitat Pompeu Fabra Economics WP No. 319
Number of pages: 32 Posted: 26 Nov 1998
Albert Marcet and Kenneth J. Singleton
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Stanford University - Graduate School of Business
Downloads 375 (148,761)
Citation 8

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12.
Downloads 347 (161,995)
Citation 69

Term Structure Dynamics in Theory and Reality

NYU Working Paper No. FIN-02-054
Number of pages: 46 Posted: 03 Nov 2008
Qiang Dai and Kenneth J. Singleton
New York University and Stanford University - Graduate School of Business
Downloads 234 (241,650)
Citation 1

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Term Structure Dynamics in Theory and Reality

NYU Working Paper No. S-MF-02-05
Number of pages: 46 Posted: 12 Nov 2008
Qiang Dai and Kenneth J. Singleton
New York University and Stanford University - Graduate School of Business
Downloads 113 (450,895)
Citation 34

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13.

How Sovereign is Sovereign Credit Risk?

NBER Working Paper No. w13658
Number of pages: 43 Posted: 19 Dec 2007 Last Revised: 29 Oct 2022
Francis A. Longstaff, Jun Pan, Lasse Heje Pedersen and Kenneth J. Singleton
University of California, Los Angeles (UCLA) - Finance Area, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 339 (166,059)
Citation 4

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Estimation and Evaluation of Conditional Asset Pricing Models

Journal of Finance, Forthcoming
Number of pages: 61 Posted: 05 Oct 2010
Stefan Nagel and Kenneth J. Singleton
University of Chicago - Booth School of Business and Stanford University - Graduate School of Business
Downloads 175 (316,257)
Citation 38

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Asset Pricing Tests, GMM, Optimal Instruments, Stochastic Discount Factor

Estimation and Evaluation of Conditional Asset Pricing Models

NBER Working Paper No. w16457
Number of pages: 79 Posted: 18 Oct 2010 Last Revised: 21 Jun 2023
Stefan Nagel and Kenneth J. Singleton
University of Chicago - Booth School of Business and Stanford University - Graduate School of Business
Downloads 90 (528,827)

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15.

Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields

Number of pages: 39 Posted: 28 Aug 2010
Don H. Kim and Kenneth J. Singleton
Board of Governors of the Federal Reserve System and Stanford University - Graduate School of Business
Downloads 242 (234,809)
Citation 54

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positive interest, term structure models, zero bound, Japanese yields

16.

Why Gaussian Macro-Finance Term Structure Models are (Nearly) Unconstrained Factor-VARs

Number of pages: 38 Posted: 18 Mar 2011
Scott Joslin, Anh Le and Kenneth J. Singleton
University of Southern California - Department of Finance and Business Economics, Penn State University Smeal College of Business and Stanford University - Graduate School of Business
Downloads 232 (244,623)
Citation 39

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No-Arbitrage, Gaussian Macro-Finance Term Structure Models

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

NYU Working Paper No. S-CDM-01-05
Number of pages: 50 Posted: 05 Nov 2008
Darrell Duffie, Lasse Heje Pedersen and Kenneth J. Singleton
Stanford University - Graduate School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 104 (479,636)

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Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

NYU Working Paper No. S-DRP-01-09
Number of pages: 50 Posted: 07 Nov 2008
Darrell Duffie, Lasse Heje Pedersen and Kenneth J. Singleton
Stanford University - Graduate School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 98 (499,939)
Citation 19

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

NYU Working Paper No. S-AM-00-01
Number of pages: 30 Posted: 13 Nov 2008
Qiang Dai and Kenneth J. Singleton
New York University and Stanford University - Graduate School of Business
Downloads 81 (565,265)

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

NYU Working Paper No. S-MF-00-04
Number of pages: 30 Posted: 12 Nov 2008
Qiang Dai and Kenneth J. Singleton
New York University and Stanford University - Graduate School of Business
Downloads 40 (802,199)

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

NYU Working Paper No. FIN-00-003
Number of pages: 30 Posted: 03 Nov 2008
Qiang Dai and Kenneth J. Singleton
New York University and Stanford University - Graduate School of Business
Downloads 39 (809,867)

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19.

Modeling Sovereign Yield Spreads: A Case Study of Russian Debts

NYU Working Paper No. FIN-01-021
Number of pages: 50 Posted: 03 Nov 2008
Darrell Duffie, Lasse Heje Pedersen and Kenneth J. Singleton
Stanford University - Graduate School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 135 (392,076)

Abstract:

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20.

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 121 (426,243)
Citation 1

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21.

Simulated Moments Estimation of Markov Models of Asset Prices

NBER Working Paper No. t0087
Number of pages: 43 Posted: 27 Jun 2007 Last Revised: 30 Mar 2023
Darrell Duffie and Kenneth J. Singleton
Stanford University - Graduate School of Business and Stanford University - Graduate School of Business
Downloads 115 (442,760)
Citation 2

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22.

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

NYU Working Paper No. FIN-06-007
Number of pages: 39 Posted: 03 Nov 2008
Qiang Dai, Anh Le and Kenneth J. Singleton
New York University, New York University, Leonard N. Stern School of Business and Stanford University - Graduate School of Business
Downloads 99 (492,772)

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23.

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 91 (520,263)
Citation 25

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24.

A Time Series Analysis of Representative Agent Models of Consumption Andleisure Choice Under Uncertainty

NBER Working Paper No. w1981
Number of pages: 43 Posted: 09 Mar 2004 Last Revised: 02 Dec 2022
Martin Eichenbaum, Lars Peter Hansen and Kenneth J. Singleton
Northwestern University, University of Chicago - Department of Economics and Stanford University - Graduate School of Business
Downloads 86 (538,847)
Citation 25

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25.

Specification Analysis of Affine Term Structure Models

NYU Working Paper No. FIN-98-083
Number of pages: 57 Posted: 11 Nov 2008
Kenneth J. Singleton
Stanford University - Graduate School of Business
Downloads 70 (606,732)

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26.

Modeling the Term Structure of Interest Rates Under Nonseparable Utilityand Duriability of Goods

NBER Working Paper No. w1415
Number of pages: 53 Posted: 18 Jun 2004 Last Revised: 14 Nov 2022
Kenneth B. Dunn and Kenneth J. Singleton
Carnegie Mellon University - David A. Tepper School of Business and Stanford University - Graduate School of Business
Downloads 67 (620,794)
Citation 1

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27.

Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors

NBER Working Paper No. t0086
Number of pages: 55 Posted: 27 Jun 2007 Last Revised: 29 Mar 2023
Lars Peter Hansen and Kenneth J. Singleton
University of Chicago - Department of Economics and Stanford University - Graduate School of Business
Downloads 65 (630,702)
Citation 5

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28.

Asset Prices in a Time Series Model with Disparately Informed, Competative Traders

NBER Working Paper No. w1897
Number of pages: 44 Posted: 04 Apr 2004 Last Revised: 09 Sep 2022
Kenneth J. Singleton
Stanford University - Graduate School of Business
Downloads 52 (701,806)
Citation 1

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29.

Do Equilibrium Real Business Cycle Theories Explain Post-War U.S. Business Cycles?

NBER Working Paper No. w1932
Number of pages: 71 Posted: 12 Apr 2004 Last Revised: 14 Oct 2022
Martin Eichenbaum and Kenneth J. Singleton
Northwestern University and Stanford University - Graduate School of Business
Downloads 51 (708,032)
Citation 1

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30.

Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields

The Review of Financial Studies, Vol. 20, Issue 5, pp. 1669-1706, 2007
Posted: 26 Jun 2008
Qiang Dai, Kenneth J. Singleton and Wei Yang
New York University, Stanford University - Graduate School of Business and Indiana University - Kelley School of Business - Department of Finance

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31.

Yield Curve Risk in Japanese Government Bond Markets

Posted: 02 May 2000
Kenneth J. Singleton
Stanford University - Graduate School of Business

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32.

Modeling Term Structures of Defaultable Bond

Posted: 21 May 1999
Darrell Duffie and Kenneth J. Singleton
Stanford University - Graduate School of Business and Stanford University - Graduate School of Business

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33.

An Econometric Model of the Term Structure of Interest-Rate Swap Yields

J. OF FINANCE, Vol. 52 No. 4, September 1997
Posted: 22 Oct 1997
Darrell Duffie and Kenneth J. Singleton
Stanford University - Graduate School of Business and Stanford University - Graduate School of Business

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