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

34

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CITATIONS
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Top 139

in Total Papers Citations

2,133

Scholarly Papers (34)

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, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and Stanford University - Graduate School of Business
Downloads 1,842 (5,828)
Citation 419

Abstract:

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

NBER Working Paper No. w7105
Number of pages: 45 Posted: 11 Jun 2000
Darrell Duffie, Jun Pan and Kenneth J. Singleton
Stanford University - Graduate School of Business, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and Stanford University - Graduate School of Business
Downloads 99 (214,333)
Citation 419

Abstract:

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, Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,849 (5,880)
Citation 38

Abstract:

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

3.
Downloads 1,308 ( 10,661)
Citation 393

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 1,256 (11,139)
Citation 393

Abstract:

Specification Analysis of Affine Term Structure Models

NBER Working Paper No. w6128
Number of pages: 53 Posted: 10 Jul 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 52 (311,236)
Citation 393

Abstract:

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 856 (18,617)
Citation 23

Abstract:

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

EFA 2001 Barcelona Meetings
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 816 (21,523)
Citation 99

Abstract:

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

Journal of Finance, Vol. 58, pp. 119-159, 2003
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

Abstract:

6.

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 470 (45,580)
Citation 35

Abstract:

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

7.
Downloads 401 ( 56,179)
Citation 10

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 240 (99,604)
Citation 10

Abstract:

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 84 (238,979)
Citation 10

Abstract:

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 77 (252,192)
Citation 10

Abstract:

8.

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 389 (57,175)
Citation 18

Abstract:

9.

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 331 (69,244)
Citation 12

Abstract:

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, Federal Reserve Board and Stanford University - Graduate School of Business
Downloads 237 (90,522)
Citation 40

Abstract:

term structure model, macro finance, unspanned macro risks

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 Michigan, Stephen M. Ross School of Business and Stanford University - Graduate School of Business
Downloads 136 (168,749)
Citation 12

Abstract:

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
Stefan Nagel and Kenneth J. Singleton
University of Michigan, Stephen M. Ross School of Business and Stanford University - Graduate School of Business
Downloads 34 (370,902)
Citation 12

Abstract:

12.

How Sovereign is Sovereign Credit Risk?

NBER Working Paper No. W13658
Number of pages: 43 Posted: 19 Dec 2007
Francis A. Longstaff, Jun Pan, Lasse Heje Pedersen and Kenneth J. Singleton
University of California, Los Angeles (UCLA) - Finance Area, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA), AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 169 (132,970)
Citation 75

Abstract:

13.

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, University of North Carolina Kenan-Flagler Business School and Stanford University - Graduate School of Business
Downloads 159 (136,384)
Citation 7

Abstract:

No-Arbitrage, Gaussian Macro-Finance Term Structure Models

14.

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
Federal Reserve Board - Division of Monetary Affairs and Stanford University - Graduate School of Business
Downloads 105 (182,003)
Citation 9

Abstract:

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

15.
Downloads 92 (223,805)
Citation 115

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 73 (260,282)
Citation 115

Abstract:

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 19 (445,015)
Citation 115

Abstract:

16.

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, AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 80 (238,717)
Citation 82

Abstract:

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 46 (329,146)
Citation 132

Abstract:

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 17 (456,343)
Citation 132

Abstract:

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 16 (461,984)
Citation 132

Abstract:

18.

Learning, Dispersion of Beliefs, and Risk Premiums in an Arbitrage-Free Term Structure Model

Stanford University Graduate School of Business Research Paper No. 15-45
Number of pages: 51 Posted: 26 Jul 2015 Last Revised: 01 Mar 2016
Marco Giacoletti, Kristoffer Laursen and Kenneth J. Singleton
Stanford Graduate School of Business, Stanford Graduate School of Business and Stanford University - Graduate School of Business
Downloads 67 (67,829)

Abstract:

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

19.

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 66 (270,206)
Citation 115

Abstract:

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, AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 39 (352,232)
Citation 98

Abstract:

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, AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 26 (406,604)
Citation 98

Abstract:

21.

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 55 (286,271)
Citation 35

Abstract:

22.

Simulated Moments Estimation of Markov Models of Asset Prices

NBER Working Paper No. t0087
Number of pages: 43 Posted: 27 Jun 2007
Darrell Duffie and Kenneth J. Singleton
Stanford University and Stanford University - Graduate School of Business
Downloads 54 (265,985)
Citation 91

Abstract:

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
Qiang Dai and Kenneth J. Singleton
University of North Carolina (UNC) at Chapel Hill - Finance Area and Stanford University - Graduate School of Business
Downloads 52 (291,040)
Citation 132

Abstract:

24.

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 48 (306,483)
Citation 2

Abstract:

25.

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
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 44 (320,648)
Citation 76

Abstract:

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
Kenneth B. Dunn and Kenneth J. Singleton
Carnegie Mellon University - David A. Tepper School of Business and Stanford University - Graduate School of Business
Downloads 41 (326,485)

Abstract:

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
Lars Peter Hansen and Kenneth J. Singleton
University of Chicago - Department of Economics and Stanford University - Graduate School of Business
Downloads 28 (366,235)
Citation 12

Abstract:

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
Kenneth J. Singleton
Stanford University - Graduate School of Business
Downloads 26 (369,961)
Citation 15

Abstract:

29.

Pricing Coupon-Bond Options and Swaptions in Affine Term Structure Models

Mathematical Finance, Vol. 12, pp. 427-446, 2002
Number of pages: 20 Posted: 07 Feb 2003
Kenneth J. Singleton and Len Umantsev
Stanford University - Graduate School of Business and Stanford University - Management Science & Engineering
Downloads 23 (409,589)
Citation 28

Abstract:

30.

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
Martin Eichenbaum and Kenneth J. Singleton
Northwestern University and Stanford University - Graduate School of Business
Downloads 21 (395,313)
Citation 10

Abstract:

31.

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

Abstract:

G12

32.

Yield Curve Risk in Japanese Government Bond Markets

JAPANESE JOURNAL OF FINANCIAL ECONOMICS, Vol 1 No 1, December 1994
Posted: 02 May 2000
Kenneth J. Singleton
Stanford University - Graduate School of Business

Abstract:

33.

Modeling Term Structures of Defaultable Bond

Review of Financial Studies, Vol. 12, Issue 3
Posted: 21 May 1999
Darrell Duffie and Kenneth J. Singleton
Stanford University - Graduate School of Business and Stanford University - Graduate School of Business

Abstract:

34.

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

Abstract: