Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment

By Kenneth J. Singleton. 2006

156 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/61f2b717d94c5d505dc7682ef8ba477ac7c5f891

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Citations in the corpus

• A Theoretical Foundation for the Nelson and Siegel Class of Yield Curve Models (2012, unknown): “Nevertheless, both identi…cations provide observationallyequivalent representations of the data, and are within an invariant a¢ ne transformation of each other (see Singleton (2006) pp.”
• Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function (2014, unknown): “Singleton (2001) and Singleton (2006) present a list of possible estimation strategies that can be applied to recover these parameters from financial time series, using the characteristic function of the process.”
• Expectations, Bond Yields and Monetary Policy (2005, methodology): “With a forward-looking spin, this model integrates the reaction functions proposed by Taylor (1993) with that of McCallum (1994), where the Federal Reserve reacts to future inflation, future output growth, a forward-looking “smoothing” component and information in the forecasted term spread.”