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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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, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Stanford University - Graduate School of Business
Downloads 1,928 (7,929)

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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: 16 Apr 2008
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 139 (216,768)
Citation 27

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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, Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,886 (8,397)
Citation 75

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

3.
Downloads 1,380 ( 13,913)
Citation 58

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 1,311 (14,749)
Citation 62

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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 69 (348,541)

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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 1,019 (21,960)
Citation 90

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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 866 (27,371)
Citation 16

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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

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6.

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

Stanford University Graduate School of Business Research Paper No. 15-45
Number of pages: 42 Posted: 26 Jul 2015 Last Revised: 23 Oct 2019
Marco Giacoletti, Kristoffer Laursen and Kenneth J. Singleton
Marshall School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business
Downloads 542 (52,163)
Citation 9

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

7.

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 485 (60,097)
Citation 18

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

8.
Downloads 432 ( 69,180)
Citation 4

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 249 (127,234)

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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 101 (275,254)

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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 82 (315,050)

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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 417 (72,208)
Citation 26

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10.

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 346 (89,688)
Citation 5

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11.

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 309 (101,638)
Citation 97

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term structure model, macro finance, unspanned macro risks

12.

How Sovereign is Sovereign Credit Risk?

NBER Working Paper No. w13658
Number of pages: 43 Posted: 19 Dec 2007 Last Revised: 07 Feb 2008
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 225 (141,230)
Citation 3

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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, Penn State University Smeal College of Business and Stanford University - Graduate School of Business
Downloads 200 (157,838)
Citation 29

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No-Arbitrage, Gaussian Macro-Finance Term Structure Models

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 142 (213,029)
Citation 7

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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
Stefan Nagel and Kenneth J. Singleton
University of Chicago - Booth School of Business and Stanford University - Graduate School of Business
Downloads 51 (406,251)

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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
Federal Reserve Board - Division of Monetary Affairs and Stanford University - Graduate School of Business
Downloads 155 (197,741)
Citation 23

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

16.
Downloads 146 (207,795)
Citation 58

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 82 (315,050)
Citation 23

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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 64 (363,010)
Citation 1

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17.

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 92 (290,608)

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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 48 (417,258)

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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 43 (437,212)
Citation 5

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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 51 (406,251)

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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 20 (560,353)

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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 19 (567,184)

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20.

Simulated Moments Estimation of Markov Models of Asset Prices

NBER Working Paper No. t0087
Number of pages: 43 Posted: 27 Jun 2007 Last Revised: 29 Sep 2010
Darrell Duffie and Kenneth J. Singleton
Stanford University - Graduate School of Business and Stanford University - Graduate School of Business
Downloads 82 (312,217)
Citation 11

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21.

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 78 (321,533)

Abstract:

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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 70 (341,830)

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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: 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 63 (361,338)
Citation 13

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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
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 60 (370,324)
Citation 4

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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 56 (382,906)

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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
Kenneth B. Dunn and Kenneth J. Singleton
Carnegie Mellon University - David A. Tepper School of Business and Stanford University - Graduate School of Business
Downloads 50 (402,935)
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: 28 Sep 2010
Lars Peter Hansen and Kenneth J. Singleton
University of Chicago - Department of Economics and Stanford University - Graduate School of Business
Downloads 38 (448,999)
Citation 1

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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 2010
Kenneth J. Singleton
Stanford University - Graduate School of Business
Downloads 37 (453,161)
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
Martin Eichenbaum and Kenneth J. Singleton
Northwestern University and Stanford University - Graduate School of Business
Downloads 32 (475,468)

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30.

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 24 (517,877)
Citation 4
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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:

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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

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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:

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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

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