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
Fixed Income
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
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
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
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
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