Learning and Risk Premiums in an Arbitrage-free Term Structure Model, (with Marco Giacoletti and Kristoffer Laursen). Working Paper, May 20, 2018. Type: Working Papers Topic(s): Credit Risk, Econometric Methods, Fixed Income
Learning and Risk Premiums in an Arbitrage-free Term Structure Model, (with Marco Giacoletti and Kristoffer Laursen). Working Paper, May 20, 2018. Type: Working Papers Topic(s): Credit Risk, Econometric Methods, Fixed Income
The Structure of Risks in Equilibrium Affine Models of Bond Yields, (with Anh Le). Working Paper, April 2013. Type: Working Papers Topic(s): Credit Risk, Econometric Methods, Fixed Income
The Structure of Risks in Equilibrium Affine Models of Bond Yields, (with Anh Le). Working Paper, April 2013. Type: Working Papers Topic(s): Credit Risk, Econometric Methods, Fixed Income
The Asymptotic Distribution of Reduced-Rank Regression Estimators, (with Anh Le). Working Paper, November 2010. Type: Working Papers Topic(s): Econometric Methods
The Asymptotic Distribution of Reduced-Rank Regression Estimators, (with Anh Le). Working Paper, November 2010. Type: Working Papers Topic(s): Econometric Methods
Simulating Correlated Defaults, (with D. Duffie). Working Paper, April 1999. Type: Working Papers Topic(s): Credit Risk
Simulating Correlated Defaults, (with D. Duffie). Working Paper, April 1999. Type: Working Papers Topic(s): Credit Risk
Ratings-Based Term Structures of Credit Spreads, (with D. Duffie). Working Paper, September 1998. Type: Working Papers Topic(s): Credit Risk
Ratings-Based Term Structures of Credit Spreads, (with D. Duffie). Working Paper, September 1998. Type: Working Papers Topic(s): Credit Risk