Specification Analysis of Affine Term Structure Models (1997)

by Qiang Dai , Kenneth J. Singleton
Citations:336 - 30 self

Documents Related by Co-Citation

1211 A theory of the term structure of interest rates – J Cox, J Ingersoll, S Ross - 1985
383 A yield-factor model of interest rates – Darrell Duffie - 1996
249 Term Premia and Interest Rate Forecasts in Affine Models – Gregory R. Duffee, Jonathan Berk, Rob Bliss, Qiang Dai, Darrell Duffie - 2001
279 Yield Spreads and Interest Rate Movements: A Bird’s Eye View,” Review of Economic Studies, LVIII – John Y. Campbell, Robert J. Shiller, John Y. Campbell, Robert J. Shiller - 1991
173 Maximum Likelihood Estimation for a Multi-factor Equilibrium Model of the Term Structure of Interest Rates – R R Chen, L Scott - 1993
180 The Information in Long-Maturity Forward Rates – E F Fama, R R Bliss - 1987
224 Common Factors Affecting Bond Returns – B Litterman, J Sheinkman - 1991
197 An Econometric Model of the Term Structure of InterestRate Swap Yields – Darrell Duffie, Kenneth J Singleton - 1997
385 Transform Analysis and Asset Pricing for Affine Jump-Diffusions – Darrell Duffie, Jun Pan, Kenneth Singleton - 2000
251 A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables – Andrew Ang, Monika Piazzesi - 2002
79 Expectation puzzles, time-varying risk premia, and affine models of the term structure – Qiang Dai, Kenneth J. Singleton - 2002
202 Modeling the conditional distribution of interest rates as a regimeswitching process – Steplien F Gray - 1996
603 AN EQUILIBRIUM CHARACTERIZATION OF THE TERM STRUCTURE – Oldrich Vasicek - 1977
426 Modeling Term Structures of Defaultable Bonds – Darrell Duffie, Kenneth J. Singleton - 1999
236 On cox processes and credit risky securities – D Lando - 1998
117 Exploiting the conditional density in estimating the term structure: An application to the cox, ingersoll, and ross mode17 – N D Pearson, T-S Sun - 1994
243 Which moments to match? ,Econometric Theory – A R Gallant, G Tauchen - 1996
17 Expectation puzzles, time-varying risk premia and dynamic models of the term structure. forthcoming – Q Dai, K Singleton - 2002
1261 Large Sample Properties of Generalized Method of Moment Models – L Hansen - 1982