The Asymptotic Distribution of Reduced-Rank Regression Estimators, (with Anh Le). Working Paper, November 2010.
- Type: Working Papers
- Topic(s): Econometric Methods
Publications
An Equilibrium Term Structure Model with Recursive Preferences, (with Anh Le). American Economic Review, Papers and Proceedings, May 2010.
- Type: Published Papers
- Topic(s): Econometric Methods, Fixed Income
Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk, (with Anh Le and Qiang Dai). Review of Financial Studies, Vol. 23, No. 5, 2010, 2184-2227.
- Type: Published Papers
- Topic(s): Credit Risk, Econometric Methods, 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.
- Type: Published Papers
- Topic(s): Fixed Income
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.
- Type: Published Papers
- Topic(s): Econometric Methods, Fixed Income
Interpreting Recent Changes in the Credit Spreads of Japanese Banks (with Jun Pan). In Monetary and Economic Studies, Bank of Japan, 2006.
- Type: Book Chapters
- Topic(s): Credit Risk
Fixed Income Pricing (with Qiang Dai). In Handbook of Economics and Finance, ed. C. Constantinides, M. Harris, and R. Stulz, North Holland, 2003.
- Type: Book Chapters
- Topic(s): Fixed Income
Term Structure Modeling in Theory and Reality, (with Qiang Dai). Review of Financial Studies, Vol. 16, No. 3, 2003, 631-678.
- Type: Published Papers
- Topic(s): Econometric Methods, Fixed Income
Research by Topic
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