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.
- Type: Published Papers
- Topic(s): Econometric Methods, Fixed Income
Publications
Pricing Coupon-Bond Options and Swaptions in Affine Term Structure Models, (with Len Umantsev). Mathematical Finance, Vol. 12, No. 4, October 2002, 427–446.
- Type: Published Papers
- Topic(s): Econometric Methods, Fixed Income
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.
- Type: Published Papers
- Topic(s): Credit Risk, Econometric Methods, Fixed Income
Estimation of Affine Asset Pricing Models Using the Empirical Characteristic Function, (with ). Journal of Econometrics, Vol. 102, No. 1, May 2001, 111-141.
- Type: Published Papers
- Topic(s): Econometric Methods, Equilibrium Asset Pricing
Transform Analysis and Asset Pricing for Affine Jump-Diffusions, (with Darrell Duffie and Jun Pan). Econometrica, Vol. 68, No. 6, November 2000, 1343-1376.
- Type: Published Papers
- Topic(s): Equilibrium Asset Pricing
Specification Analysis of Affine Term Structure Models, (with Qiang Dai). Journal of Finance, Vol. 55, No. 5, October 2000, 1943-1978.
- Type: Published Papers
- Topic(s): Econometric Methods, Fixed Income
Modeling Term Structure Models of Defaultable Bonds, (with Darrell Duffie). Review of Financial Studies, Vol.12, No. 4, 1999, 687-720.
- Type: Published Papers
- Topic(s): Econometric Methods, Fixed Income
Equilibrium Asset Prices and Savings of Heterogeneous Agents in the Presence of Portfolio Constraints, (with A. Marcet). Macroeconomic Dynamics, Vol. 3, No. 2, June 1999, 243-277.
- Type: Published Papers
- Topic(s): Equilibrium Asset Pricing
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
Research by Topic
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