Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads, (with Jun Pan). Journal of Finance, Vol. 63, No. 5, October 2008, 2345-2384.
- Type: Published Papers
- Topic(s): Fixed Income
Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads, (with Jun Pan). Journal of Finance, Vol. 63, No. 5, October 2008, 2345-2384.
Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yield, (with Qiang Dai and Wei Yang). Review of Financial Studies, Vol. 20, No. 5, 2007, 1669-1706.
Term Structure Modeling in Theory and Reality, (with Qiang Dai). Review of Financial Studies, Vol. 16, No. 3, 2003, 631-678.
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt, (with Darrell Duffie and Lasse Pedersen). Journal of Finance, Vol. 58, No. 1, February 2003, 119–159.
Pricing Coupon-Bond Options and Swaptions in Affine Term Structure Models, (with Len Umantsev). Mathematical Finance, Vol. 12, No. 4, October 2002, 427–446.
Expectation Puzzles, Time-varying Risk Premia, and Affine Models of the Term Structure, (with Qiang Dai). Journal of Financial Economics, Vol. 63, No. 3, March 2002, 415–441.
Estimation of Affine Asset Pricing Models Using the Empirical Characteristic Function, (with ). Journal of Econometrics, Vol. 102, No. 1, May 2001, 111-141.
Transform Analysis and Asset Pricing for Affine Jump-Diffusions, (with Darrell Duffie and Jun Pan). Econometrica, Vol. 68, No. 6, November 2000, 1343-1376.
Specification Analysis of Affine Term Structure Models, (with Qiang Dai). Journal of Finance, Vol. 55, No. 5, October 2000, 1943-1978.
Modeling Term Structure Models of Defaultable Bonds, (with Darrell Duffie). Review of Financial Studies, Vol.12, No. 4, 1999, 687-720.