Details about Kenneth Singleton

Homepage:	https://people.stanford.edu/kenneths/
Workplace:	Graduate School of Business, Stanford University, (more information at EDIRC)

Access statistics for papers by Kenneth Singleton.

Last updated 2016-11-29. Update your information in the RePEc Author Service.

Short-id: psi735

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Working Papers

2010

1. Estimation and Evaluation of Conditional Asset Pricing Models
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
   See also Journal Article Estimation and Evaluation of Conditional Asset Pricing Models, Journal of Finance, American Finance Association (2011) View citations (47) (2011)

2007

2. How Sovereign is Sovereign Credit Risk?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (50)
   See also Journal Article How Sovereign Is Sovereign Credit Risk?, American Economic Journal: Macroeconomics, American Economic Association (2011) View citations (616) (2011)

2001

3. Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)

1999

4. Transform Analysis and Asset Pricing for Affine Jump-Diffusions
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
   See also Journal Article Transform Analysis and Asset Pricing for Affine Jump-Diffusions, Econometrica, Econometric Society (2000) View citations (1108) (2000)

1998

5. Equilibrium asset prices and savings of heterogeneous agents in the presence of incomplete markets and portfolio constraints
   Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (20)
   See also Journal Article EQUILIBRIUM ASSET PRICES AND SAVINGS OF HETEROGENEOUS AGENTS IN THE PRESENCE OF INCOMPLETE MARKETS AND PORTFOLIO CONSTRAINTS, Macroeconomic Dynamics, Cambridge University Press (1999) View citations (28) (1999)
6. Specification Analysis of Affine Term Structure Models
   New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (5)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (1997) View citations (13)
   See also Journal Article Specification Analysis of Affine Term Structure Models, Journal of Finance, American Finance Association (2000) View citations (634) (2000)

1997

7. Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors
   NBER Technical Working Papers, National Bureau of Economic Research, Inc
   See also Journal Article Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors, Journal of Business & Economic Statistics, American Statistical Association (1996) View citations (65) (1996)

1990

8. Simulated Moments Estimation of Markov Models of Asset Prices
   NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (12)
   See also Journal Article Simulated Moments Estimation of Markov Models of Asset Prices, Econometrica, Econometric Society (1993) View citations (479) (1993)

1986

9. A Time Series Analysis of Representative Agent Models of Consumption andLeisure Choice Under Uncertainty
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
   See also Journal Article A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice Under Uncertainty, The Quarterly Journal of Economics, President and Fellows of Harvard College (1988) View citations (357) (1988)
10. Asset Prices in a Time Series Model with Disparately Informed, Competative Traders
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
11. Do Equilibrium Real Business Cycle Theories Explain Post-War U.S. Business Cycles?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (62)
    See also Chapter Do Equilibrium Real Business Cycle Theories Explain Postwar US Business Cycles?, NBER Chapters, National Bureau of Economic Research, Inc (1986) View citations (63) (1986)

1984

12. Modeling the Term Structure of Interest Rates Under Nonseparable Utilityand Duriability of Goods
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
    See also Journal Article Modeling the term structure of interest rates under non-separable utility and durability of goods, Journal of Financial Economics, Elsevier (1986) View citations (122) (1986)

1980

13. Rational expectations, risk premia, and the market for spot and forward exchange
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (6)

Journal Articles

2016

1. Report of the Editor of the Journal of Finance for the Year 2015
   Journal of Finance, 2016, 71, (4), 1895-1910

2015

2. Report of the Editor of the Journal of Finance for the Year 2014
   Journal of Finance, 2015, 70, (4), 1839-1854

2014

3. Investor Flows and the 2008 Boom/Bust in Oil Prices
   Management Science, 2014, 60, (2), 300-318 View citations (158)
4. Report of the Editor of the Journal of Finance for the Year 2013
   Journal of Finance, 2014, 69, (4), 1827-1842
5. Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
   Journal of Finance, 2014, 69, (3), 1197-1233 View citations (247)

2013

6. JFEC Invited Paper: Gaussian Macro-Finance Term Structure Models with Lags
   Journal of Financial Econometrics, 2013, 11, (4), 581-609 View citations (16)
7. Report of the Editor of The Journal of Finance for the Year 2012
   Journal of Finance, 2013, 68, (4), 1691-1705
8. Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs
   Journal of Financial Economics, 2013, 109, (3), 604-622 View citations (68)

2012

9. Term structure models and the zero bound: An empirical investigation of Japanese yields
   Journal of Econometrics, 2012, 170, (1), 32-49 View citations (187)

2011

10. A New Perspective on Gaussian Dynamic Term Structure Models
    The Review of Financial Studies, 2011, 24, (3), 926-970 View citations (284)
11. Estimation and Evaluation of Conditional Asset Pricing Models
    Journal of Finance, 2011, 66, (3), 873-909 View citations (47)
    See also Working Paper Estimation and Evaluation of Conditional Asset Pricing Models, NBER Working Papers (2010) View citations (2) (2010)
12. How Sovereign Is Sovereign Credit Risk?
    American Economic Journal: Macroeconomics, 2011, 3, (2), 75-103 View citations (616)
    See also Working Paper How Sovereign is Sovereign Credit Risk?, NBER Working Papers (2007) View citations (50) (2007)

2010

13. An Equilibrium Term Structure Model with Recursive Preferences
    American Economic Review, 2010, 100, (2), 557-61 View citations (11)
14. Discrete-Time Affine-super-ℚ Term Structure Models with Generalized Market Prices of Risk
    The Review of Financial Studies, 2010, 23, (5), 2184-2227 View citations (58)

2008

15. Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads
    Journal of Finance, 2008, 63, (5), 2345-2384 View citations (418)

2007

16. Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields
    The Review of Financial Studies, 2007, 20, (5), 1669-1706 View citations (117)
    Also in Proceedings, 2004, (Mar) (2004)

2006

17. Interpreting Recent Changes in the Credit Spreads of Japanese Banks
    Monetary and Economic Studies, 2006, 24, (S1), 129-141 View citations (6)

2003

18. Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
    Journal of Finance, 2003, 58, (1), 119-159 View citations (197)
19. Term Structure Dynamics in Theory and Reality
    The Review of Financial Studies, 2003, 16, (3), 631-678 View citations (159)

2002

20. Expectation puzzles, time-varying risk premia, and affine models of the term structure
    Journal of Financial Economics, 2002, 63, (3), 415-441 View citations (351)
21. PRICING COUPON‐BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
    Mathematical Finance, 2002, 12, (4), 427-446 View citations (29)

2001

22. Estimation of affine asset pricing models using the empirical characteristic function
    Journal of Econometrics, 2001, 102, (1), 111-141 View citations (157)

2000

23. Specification Analysis of Affine Term Structure Models
    Journal of Finance, 2000, 55, (5), 1943-1978 View citations (634)
    See also Working Paper Specification Analysis of Affine Term Structure Models, New York University, Leonard N. Stern School Finance Department Working Paper Seires (1998) View citations (5) (1998)
24. Transform Analysis and Asset Pricing for Affine Jump-Diffusions
    Econometrica, 2000, 68, (6), 1343-1376 View citations (1108)
    See also Working Paper Transform Analysis and Asset Pricing for Affine Jump-Diffusions, NBER Working Papers (1999) View citations (7) (1999)
25. Yield Curve Risk in Japanese Government Bond Markets
    International Review of Finance, 2000, 1, (2), 97-121 View citations (2)

1999

26. EQUILIBRIUM ASSET PRICES AND SAVINGS OF HETEROGENEOUS AGENTS IN THE PRESENCE OF INCOMPLETE MARKETS AND PORTFOLIO CONSTRAINTS
    Macroeconomic Dynamics, 1999, 3, (2), 243-277 View citations (28)
    See also Working Paper Equilibrium asset prices and savings of heterogeneous agents in the presence of incomplete markets and portfolio constraints, Economics Working Papers (1998) View citations (20) (1998)
27. Modeling Term Structures of Defaultable Bonds
    The Review of Financial Studies, 1999, 12, (4), 687-720 View citations (843)

1997

28. An Econometric Model of the Term Structure of Interest-Rate Swap Yields
    Journal of Finance, 1997, 52, (4), 1287-1321 View citations (288)

1996

29. Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors
    Journal of Business & Economic Statistics, 1996, 14, (1), 53-68 View citations (65)
    See also Working Paper Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors, NBER Technical Working Papers (1997) (1997)

1993

30. Simulated Moments Estimation of Markov Models of Asset Prices
    Econometrica, 1993, 61, (4), 929-52 View citations (479)
    See also Working Paper Simulated Moments Estimation of Markov Models of Asset Prices, NBER Technical Working Papers (1990) View citations (12) (1990)

1990

31. Interpreting Changes in the Volatility of Yields on Japnanese Long-term Bonds
    Monetary and Economic Studies, 1990, 8, (1), 49-77 View citations (1)

1988

32. A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice Under Uncertainty
    The Quarterly Journal of Economics, 1988, 103, (1), 51-78 View citations (357)
    See also Working Paper A Time Series Analysis of Representative Agent Models of Consumption andLeisure Choice Under Uncertainty, NBER Working Papers (1986) View citations (3) (1986)
33. Econometric issues in the analysis of equilibrium business cycle models
    Journal of Monetary Economics, 1988, 21, (2-3), 361-386 View citations (75)

1987

34. Speculation and the volatility of foreign currency exchange rates
    Carnegie-Rochester Conference Series on Public Policy, 1987, 26, (1), 9-56 View citations (11)

1986

35. Modeling the term structure of interest rates under non-separable utility and durability of goods
    Journal of Financial Economics, 1986, 17, (1), 27-55 View citations (122)
    See also Working Paper Modeling the Term Structure of Interest Rates Under Nonseparable Utilityand Duriability of Goods, NBER Working Papers (1984) View citations (4) (1984)

1985

36. Adjustment Costs and Capital Asset Pricing: Discussion
    Journal of Finance, 1985, 40, (3), 705-09
37. Testing specifications of economic agents' intertemporal optimum problems in the presence of alternative models
    Journal of Econometrics, 1985, 30, (1-2), 391-413 View citations (25)

1983

38. An Empirical Analysis of the Pricing of Mortgage-Backed Securities
    Journal of Finance, 1983, 38, (2), 612-23 View citations (12)
39. Rational Expectations and the Volatility of Floating Exchange Rates
    International Economic Review, 1983, 24, (3), 721-33 View citations (8)
40. Real and nominal factors in the cyclical behavior of interest rates, output, and money
    Journal of Economic Dynamics and Control, 1983, 5, (1), 289-309 View citations (4)
41. Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns
    Journal of Political Economy, 1983, 91, (2), 249-65 View citations (769)

1982

42. Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
    Econometrica, 1982, 50, (5), 1269-86 View citations (1120)
43. On Unit Roots and the Empirical Modeling of Exchange Rates
    Journal of Finance, 1982, 37, (4), 1029-35 View citations (130)

1981

44. Extracting measures of ex ante real interest rates from ex post rates: A comment
    Carnegie-Rochester Conference Series on Public Policy, 1981, 15, (1), 201-212
45. Latent variable models for time series: A frequency domain approach with an application to the permanent income hypothesis
    Journal of Econometrics, 1981, 17, (3), 287-304 View citations (12)
46. Maximum Likelihood "Confirmatory" Factor Analysis of Economic Time Series
    International Economic Review, 1981, 22, (1), 37-54 View citations (48)
47. Multinational Inflation under Fixed Exchange Rates: Some Empirical Evidence from Latent Variable Models
    The Review of Economics and Statistics, 1981, 63, (1), 11-19 View citations (1)

1980

48. A Latent Time Series Model of the Cyclical Behavior of Interest Rates
    International Economic Review, 1980, 21, (3), 559-75 View citations (20)
49. Expectations Models of the Term Structure and Implied Variance Bounds
    Journal of Political Economy, 1980, 88, (6), 1159-76 View citations (35)
50. Maturity-Specific Disturbances and the Term Structure of Interest Rates
    Journal of Money, Credit and Banking, 1980, 12, (4), 603-14 View citations (1)

Books

1993

1. Japanese Monetary Policy
   NBER Books, National Bureau of Economic Research, Inc View citations (74)

Edited books

2009

1. New Approaches to Monetary Economics
   Cambridge Books, Cambridge University Press View citations (2)

1993

2. Japanese Monetary Policy
   National Bureau of Economic Research Books, University of Chicago Press View citations (74)

Chapters

2003

1. Fixed-income pricing
   Chapter 20 in Handbook of the Economics of Finance, 2003, vol. 1, Part 2, pp 1207-1246 View citations (2)

1996

2. Institutional and Regulatory Influences on Price Discovery in Cash and Futures Bond Markets
   A chapter in The Industrial Organization and Regulation of the Securities Industry, 1996, pp 243-274 View citations (1)

1993

3. Introduction to "Japanese Monetary Policy"
   A chapter in Japanese Monetary Policy, 1993, pp 1-6 View citations (3)
4. Japanese Corporate Investment and Bank of Japan Guidance of Commercial Bank Lending
   A chapter in Japanese Monetary Policy, 1993, pp 63-94 View citations (40)

1990

5. Specification and estimation of intertemporal asset pricing models
   Chapter 12 in Handbook of Monetary Economics, 1990, vol. 1, pp 583-626 View citations (18)

1987

6. Erratum: Do Equilibrium Real Business Cycle Theories Explain Postwar US Business Cycles?
   A chapter in NBER Macroeconomics Annual 1987, Volume 2, 1987, pp 317-321

1986

7. Do Equilibrium Real Business Cycle Theories Explain Postwar US Business Cycles?
   A chapter in NBER Macroeconomics Annual 1986, Volume 1, 1986, pp 91-146 View citations (63)
   See also Working Paper Do Equilibrium Real Business Cycle Theories Explain Post-War U.S. Business Cycles?, National Bureau of Economic Research, Inc (1986) View citations (62) (1986)