An Econometric Model of the Term Structure of Interest Rate Swap Yields, (with Darrell Duffie). Journal of Finance, Vol. 52, No. 4, September 1997, 1287-1323.
- Type: Published Papers
- Topic(s): Econometric Methods, Fixed Income
Econometric Methods
Efficient Estimation of Linear Asset Pricing Models with Moving Average Errors, (with L. Hansen). Journal of Business and Economic Statistics, Vol. 114, No. 1, January 1996, 53-68.
- Type: Published Papers
- Topic(s): Econometric Methods, Equilibrium Asset Pricing
Modeling the Term Structure of Interest Rates in Japan., (with T. Kikugawa). Journal of Fixed Income, Vol. 4, September 1994, 7-16.
- Type: Published Papers
- Topic(s): Econometric Methods, Fixed Income
Japanese Corporate Investment and Bank of Japan Guidance of Commercial Bank Lending (with T. Hoshi and D. Scharfstein). In Japanese Monetary Policy, ed. K. Singleton, Chicago: University of Chicago Press, 1993.
- Type: Book Chapters
- Topic(s): Econometric Methods
Simulated Moments Estimation of Markov Models of Asset Prices, (with D. Duffie). Econometrica, Vol. 61, No. 4, July 1993, 929-952.
- Type: Published Papers
- Topic(s): Econometric Methods, Equilibrium Asset Pricing
Econometric Implications of Consumption-Based Asset Pricing Models. In Advances in Econometrics, Sixth World Congress, eds. J. J. Laffont and C. A. Sims, Cambridge: Cambridge University Press, 1993.
- Type: Book Chapters
- Topic(s): Econometric Methods, Equilibrium Asset Pricing
Computing Semiparametric Efficiency Bounds for Linear Time Series Models with Moving Average Errors (with L. Hansen). In Nonparametric and Seminonparametric Methods in Econometrics and Statistics, eds. W. Barnett, J. Powell, and G. Tauchen, Cambridge: Cambridge University Press, 1990.
- Type: Book Chapters
- Topic(s): Econometric Methods
Specification and Estimation of Intertemporal Asset Pricing Models. In Handbook of Monetary Economics, eds. B. Friedman and F. Hahn, Amsterdam: North Holland, 1990.
- Type: Book Chapters
- Topic(s): Econometric Methods, Equilibrium Asset Pricing
Modeling the Term Structure of Interest Rates in General Equilibrium. In Theory of Valuation: Frontiers of Modern Financial Theory, Vol. 1, eds. S. Bhattacharya and G. Constantinides, Rowan and Allenheld Publishers, 1989.
- Type: Book Chapters
- Topic(s): Econometric Methods, Fixed Income
Econometric Issues in the Analysis of Equilibrium Business Cycle models, (with ). Journal of Monetary Economics, Vol. 21, Issues 2–3, March–May 1988, 361–386.
- Type: Published Papers
- Topic(s): Econometric Methods
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