Empirical Dynamic Asset Pricing

By Kenneth J. Singleton. 2009

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Citations in the corpus

The Puzzle of Index Option Returns (2013, unknown): “Many of these models are critically discussed in Hull (2011), Jackwerth (2004), Lian (2011), McDonald (2006), and Singleton (2006).”
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models (2010, unknown): “Singleton (2006) imposes identifying restrictions under the Q -measure.”
MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS (2010, background): “Dai and Singleton (2000) and Singleton (2006) explain the econometric identification issues that motivate these conditions.”
The Risk Premia Embedded in Index Options (2015, methodology): “For concreteness, we initially explore a couple of specific models featuring a representative agent with Epstein-Zin preferences exposed to risks in real consumption growth, namely Wachter (2013) and Drechsler and Yaron (2011). In the one-factor model of Wachter (2013), the consumption growth is sub”
Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective (2010, unknown): “, Singleton, K. and Yang, W. (2004) Predictability of Bond Excess Returns and A¢ ne Term Structure Models, New York University and University of Stanford mimeo”
Asset Pricing with Second-Order Esscher Transforms (2010, background): “where the market price of variance risk α2t is made dependent not only on an affine function of the factor yt, like classically adopted in the continuous-time and discrete-time asset pricing literature [see Singleton (2006) and the references therein], but also on an extra term introducing a depende”
Investor Flows and the 2008 Boom/Bust in Oil Prices (2014, background): “This stands in contrast to the results from focusing on returns and conditioning variables over daily intervals as, for instance, in Buyuksahin and Harris (2009) and Stoll and Whaley (2009). Taken together, and viewed through the lens of the economic environments discussed in Section 2, this evidenc”
Tails, Fears and Risk Premia (2010, unknown): “Importantly, however, these and other leading studies have all constrained the wedge between the risk-neutral and statistical jump distributions to a negative shift in the mean jump size;35 see, e.g., the discussion in Singleton (2006) of these and other related studies.”
Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering (2007, background): “(6) Multivariate jump-diffusion models.”