Author Page for Kenneth J. Singleton

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

Downloads 2,367 (13,490)

Citation 152

2

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 2,131 (15,682)

Abstract:

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 236 (277,812)

Citation 152

Abstract:

2.

Specification Analysis of Affine Term Structure Models

Downloads 1,921 (18,880)

Citation 95

2

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 1,774 (20,972)

Citation 91

Abstract:

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 147 (429,474)

Citation 4

Abstract:

3.

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 1,911 (19,035)

Citation 135

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 1,143 (41,175)

Citation 85

Abstract:

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 1,069 (45,266)

Citation 29

Abstract:

6.

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

Downloads 985 (50,817)

Citation 18

2

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 985 (49,990)

Citation 18

Abstract:

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

Abstract:

7.

Fixed Income Pricing

Downloads 626 (92,710)

3

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 300 (217,262)

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 202 (323,115)

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 124 (493,778)

Abstract:

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 531 (114,226)

Citation 45

Abstract:

9.

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 467 (133,485)

Citation 128

Abstract:

10.

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 (138,811)

Citation 9

Abstract:

11.

Term Structure Dynamics in Theory and Reality

Downloads 410 (155,434)

Citation 34

2

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 288 (226,913)

Citation 1

Abstract:

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 122 (500,205)

Citation 33

Abstract:

12.

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 (UPF) - Faculty of Economic and Business Sciences and Stanford University - Graduate School of Business

Downloads 387 (165,815)

Citation 8

Abstract:

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 361 (179,192)

Citation 4

Abstract:

14.

Estimation and Evaluation of Conditional Asset Pricing Models

Downloads 325 (200,825)

Citation 40

2

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 188 (345,625)

Citation 40

Abstract:

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 137 (455,004)

Abstract:

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 269 (245,260)

Citation 56

Abstract:

16.

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

Downloads 255 (258,856)

Citation 22

2

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 146 (431,847)

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 - Graduate School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business

Downloads 109 (545,784)

Citation 22

Abstract:

17.

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 250 (264,015)

Citation 39

Abstract:

18.

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

Downloads 183 (355,279)

3

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 90 (624,439)

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 50 (865,565)

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 43 (927,819)

Abstract:

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 156 (408,448)

Abstract:

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 135 (459,451)

Citation 1

Abstract:

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 124 (491,550)

Citation 2

Abstract:

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 104 (561,234)

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 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 104 (561,234)

Citation 25

Abstract:

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 88 (626,102)

Citation 25

Abstract:

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 75 (687,532)

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 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 68 (725,834)

Citation 1

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 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 66 (737,464)

Citation 5

Abstract:

28.

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 56 (802,079)

Citation 1

Abstract:

29.

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 53 (824,002)

Citation 1

Abstract:

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

Abstract:

31.

Yield Curve Risk in Japanese Government Bond Markets

Posted: 02 May 2000

Kenneth J. Singleton

Stanford University - Graduate School of Business

Abstract:

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

Abstract:

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

Kenneth J. Singleton

Stanford University - Graduate School of Business

Adams Distinguished Professor of Mangement

33

Top 5,991

14,941

Top 481

961

Scholarly Papers (33)

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract: