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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


Jump to Journal Articles Books Edited books Chapters

Working Papers

2010

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

2007

  1. How Sovereign is Sovereign Credit Risk?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (29)
    See also Journal Article in American Economic Journal: Macroeconomics (2011)

2001

  1. Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

1999

  1. Transform Analysis and Asset Pricing for Affine Jump-Diffusions
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Journal Article in Econometrica (2000)

1998

  1. 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 Downloads View citations (20)
    See also Journal Article in Macroeconomic Dynamics (1999)
  2. 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) Downloads View citations (12)

    See also Journal Article in Journal of Finance (2000)

1997

  1. Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Journal of Business & Economic Statistics (1996)

1990

  1. Simulated Moments Estimation of Markov Models of Asset Prices
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article in Econometrica (1993)

1986

  1. A Time Series Analysis of Representative Agent Models of Consumption andLeisure Choice Under Uncertainty
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article in The Quarterly Journal of Economics (1988)
  2. Asset Prices in a Time Series Model with Disparately Informed, Competative Traders
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  3. Do Equilibrium Real Business Cycle Theories Explain Post-War U.S. Business Cycles?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (40)
    See also Chapter (1986)

1984

  1. Modeling the Term Structure of Interest Rates Under Nonseparable Utilityand Duriability of Goods
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)

1980

  1. 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.) Downloads 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 Downloads

2015

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

2014

  1. Investor Flows and the 2008 Boom/Bust in Oil Prices
    Management Science, 2014, 60, (2), 300-318 Downloads View citations (31)
  2. Report of the Editor of the Journal of Finance for the Year 2013
    Journal of Finance, 2014, 69, (4), 1827-1842 Downloads
  3. Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
    Journal of Finance, 2014, 69, (3), 1197-1233 Downloads View citations (70)

2013

  1. JFEC Invited Paper: Gaussian Macro-Finance Term Structure Models with Lags
    Journal of Financial Econometrics, 2013, 11, (4), 581-609 Downloads View citations (10)
  2. Report of the Editor of The Journal of Finance for the Year 2012
    Journal of Finance, 2013, 68, (4), 1691-1705 Downloads
  3. Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs
    Journal of Financial Economics, 2013, 109, (3), 604-622 Downloads View citations (23)

2012

  1. Term structure models and the zero bound: An empirical investigation of Japanese yields
    Journal of Econometrics, 2012, 170, (1), 32-49 Downloads View citations (70)

2011

  1. A New Perspective on Gaussian Dynamic Term Structure Models
    Review of Financial Studies, 2011, 24, (3), 926-970 Downloads View citations (122)
  2. Estimation and Evaluation of Conditional Asset Pricing Models
    Journal of Finance, 2011, 66, (3), 873-909 View citations (24)
    See also Working Paper (2010)
  3. How Sovereign Is Sovereign Credit Risk?
    American Economic Journal: Macroeconomics, 2011, 3, (2), 75-103 Downloads View citations (288)
    See also Working Paper (2007)

2010

  1. An Equilibrium Term Structure Model with Recursive Preferences
    American Economic Review, 2010, 100, (2), 557-61 Downloads View citations (3)
  2. Discrete-Time Affine-super-ℚ Term Structure Models with Generalized Market Prices of Risk
    Review of Financial Studies, 2010, 23, (5), 2184-2227 Downloads View citations (19)

2008

  1. Default and Recovery Implicit in the Term Structure of Sovereign "CDS" Spreads
    Journal of Finance, 2008, 63, (5), 2345-2384 Downloads View citations (246)

2007

  1. Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields
    Review of Financial Studies, 2007, 20, (5), 1669-1706 Downloads View citations (61)
    Also in Proceedings, 2004, (Mar) (2004) Downloads

2006

  1. Interpreting Recent Changes in the Credit Spreads of Japanese Banks
    Monetary and Economic Studies, 2006, 24, (S1), 129-141 Downloads View citations (3)

2003

  1. Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
    Journal of Finance, 2003, 58, (1), 119-159 Downloads View citations (137)
  2. Term Structure Dynamics in Theory and Reality
    Review of Financial Studies, 2003, 16, (3), 631-678 Downloads View citations (108)

2002

  1. Expectation puzzles, time-varying risk premia, and affine models of the term structure
    Journal of Financial Economics, 2002, 63, (3), 415-441 Downloads View citations (134)
  2. PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
    Mathematical Finance, 2002, 12, (4), 427-446 Downloads View citations (20)

2001

  1. Estimation of affine asset pricing models using the empirical characteristic function
    Journal of Econometrics, 2001, 102, (1), 111-141 Downloads View citations (120)

2000

  1. Specification Analysis of Affine Term Structure Models
    Journal of Finance, 2000, 55, (5), 1943-1978 Downloads View citations (410)
    See also Working Paper (1998)
  2. Transform Analysis and Asset Pricing for Affine Jump-Diffusions
    Econometrica, 2000, 68, (6), 1343-1376 View citations (677)
    See also Working Paper (1999)
  3. Yield Curve Risk in Japanese Government Bond Markets
    International Review of Finance, 2000, 1, (2), 97-121 Downloads View citations (2)

1999

  1. EQUILIBRIUM ASSET PRICES AND SAVINGS OF HETEROGENEOUS AGENTS IN THE PRESENCE OF INCOMPLETE MARKETS AND PORTFOLIO CONSTRAINTS
    Macroeconomic Dynamics, 1999, 3, (02), 243-277 Downloads View citations (22)
    See also Working Paper (1998)
  2. Modeling Term Structures of Defaultable Bonds
    Review of Financial Studies, 1999, 12, (4), 687-720 View citations (538)

1997

  1. An Econometric Model of the Term Structure of Interest-Rate Swap Yields
    Journal of Finance, 1997, 52, (4), 1287-1321 Downloads View citations (181)

1996

  1. Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors
    Journal of Business & Economic Statistics, 1996, 14, (1), 53-68 View citations (44)
    See also Working Paper (1997)

1993

  1. Simulated Moments Estimation of Markov Models of Asset Prices
    Econometrica, 1993, 61, (4), 929-52 Downloads View citations (348)
    See also Working Paper (1990)

1990

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

1988

  1. 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 Downloads View citations (245)
    See also Working Paper (1986)
  2. Econometric issues in the analysis of equilibrium business cycle models
    Journal of Monetary Economics, 1988, 21, (2-3), 361-386 Downloads View citations (61)

1987

  1. Speculation and the volatility of foreign currency exchange rates
    Carnegie-Rochester Conference Series on Public Policy, 1987, 26, (1), 9-56 Downloads View citations (6)

1986

  1. Modeling the term structure of interest rates under non-separable utility and durability of goods
    Journal of Financial Economics, 1986, 17, (1), 27-55 Downloads View citations (83)

1985

  1. Adjustment Costs and Capital Asset Pricing: Discussion
    Journal of Finance, 1985, 40, (3), 705-09 Downloads
  2. Testing specifications of economic agents' intertemporal optimum problems in the presence of alternative models
    Journal of Econometrics, 1985, 30, (1-2), 391-413 Downloads View citations (23)

1983

  1. An Empirical Analysis of the Pricing of Mortgage-Backed Securities
    Journal of Finance, 1983, 38, (2), 612-23 View citations (6)
  2. Rational Expectations and the Volatility of Floating Exchange Rates
    International Economic Review, 1983, 24, (3), 721-33 Downloads View citations (6)
  3. 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 Downloads View citations (2)
  4. Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns
    Journal of Political Economy, 1983, 91, (2), 249-65 Downloads View citations (508)

1982

  1. Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
    Econometrica, 1982, 50, (5), 1269-86 Downloads View citations (769)
  2. On Unit Roots and the Empirical Modeling of Exchange Rates
    Journal of Finance, 1982, 37, (4), 1029-35 Downloads View citations (106)

1981

  1. 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 Downloads
  2. 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 Downloads View citations (8)
  3. Maximum Likelihood "Confirmatory" Factor Analysis of Economic Time Series
    International Economic Review, 1981, 22, (1), 37-54 Downloads View citations (33)
  4. Multinational Inflation under Fixed Exchange Rates: Some Empirical Evidence from Latent Variable Models
    The Review of Economics and Statistics, 1981, 63, (1), 11-19 Downloads View citations (1)

1980

  1. A Latent Time Series Model of the Cyclical Behavior of Interest Rates
    International Economic Review, 1980, 21, (3), 559-75 Downloads View citations (17)
  2. Expectations Models of the Term Structure and Implied Variance Bounds
    Journal of Political Economy, 1980, 88, (6), 1159-76 Downloads View citations (30)
  3. Maturity-Specific Disturbances and the Term Structure of Interest Rates
    Journal of Money, Credit and Banking, 1980, 12, (4), 603-14 Downloads View citations (1)

Books

1993

  1. Japanese Monetary Policy
    NBER Books, National Bureau of Economic Research, Inc View citations (3)

Edited books

2009

  1. New Approaches to Monetary Economics
    Cambridge Books, Cambridge University Press

1993

  1. Japanese Monetary Policy
    National Bureau of Economic Research Books, University of Chicago Press View citations (1)

Chapters

2003

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

1996

  1. 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 Downloads View citations (1)

1993

  1. Introduction to "Japanese Monetary Policy"
    A chapter in Japanese Monetary Policy, 1993, pp 1-6 Downloads View citations (2)
  2. Japanese Corporate Investment and Bank of Japan Guidance of Commercial Bank Lending
    A chapter in Japanese Monetary Policy, 1993, pp 63-94 Downloads View citations (29)

1990

  1. Specification and estimation of intertemporal asset pricing models
    Chapter 12 in Handbook of Monetary Economics, 1990, vol. 1, pp 583-626 Downloads View citations (15)

1987

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

1986

  1. Do Equilibrium Real Business Cycle Theories Explain Postwar U.S. Business Cycles?
    A chapter in NBER Macroeconomics Annual 1986, Volume 1, 1986, pp 91-146 Downloads View citations (16)
    See also Working Paper (1986)
 
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