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
Publications
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks, (with Scott Joslin and Marcel Priebsch). Journal of Finance, Vol. 69, no. 3, June 2014, 1197–1233.
- Type: Published Papers
- Topic(s): Credit Risk, Econometric Methods, Fixed Income
Investor Flows and the 2008 Boom/Bust in Oil Prices, (with ). Management Science, Vol. 60, No. 2, February 2014, 300-318.
- Type: Published Papers
- Topic(s): Econometric Methods, Equilibrium Asset Pricing
Gaussian Macro-Finance Term Structure Models with Lags, (with Scott Joslin and Anh Lee). Journal of Financial Econometrics, Vol. 11, No. 4, Fall 2013, 581-609.
- Type: Published Papers
- Topic(s): Econometric Methods, Fixed Income
Why Gaussian Macro-Finance Term Structure Models are (Nearly) Unconstrained Factor-VARs, (with Scott Joslin and Anh Le). Journal of Financial Economics, Vol. 109, No. 3, September 2013, 604–622.
- Type: Published Papers
- Topic(s): 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
Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields, (with Don Kim). Journal of Econometrics, Vol. 170, No. 1, September 2012, 32–49.
- Type: Published Papers
- Topic(s): Econometric Methods, Fixed Income
Estimation and Evaluation of Conditional Asset Pricing Models, (with Stefan Nagel). Journal of Finance, Vol. 66, No. 3, June 2011, 873–909. Supplement
- Type: Published Papers
- Topic(s): Econometric Methods, Equilibrium Asset Pricing
How Sovereign Is Sovereign Credit Risk?, (with Francis Longstaff, Jun Pan, and Lasse Pedersen). American Economic Journal: Macroeconomics, Vol. 3, No. 2, April 2011, 75-103.
- Type: Published Papers
- Topic(s): Credit Risk
A New Perspective on Gaussian Dynamic Term Structure Models, (with Scott Joslin and Haoxiang Zhu). Review of Financial Studies, Vol. 24, 2011, 926-970. Supplement
- Type: Published Papers
- Topic(s): Econometric Methods, Fixed Income
Research by Topic
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