Specification Analysis of Affine Term Structure Models

By Qiang Dai, Kenneth J. Singleton. 2000

1,677 citations recorded by the source corpus.

Subfields: Finance

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Citations in the corpus

Macroeconomics and the Term Structure (2012, background): “…approach is to infer the factors Xt from the current cross-section of interest rates the factors are either yields, or they are unobserved latent variables (see for example Du¢ e and Kan (1996), Dai and Singleton (2000, 2002), Du¤ee (2002), Kim and Orphanides (2005) and Kim and Wright (2005)).”
Informed and Strategic Order Flow in the Bond Markets (2006, neutral): “[19] Dai, Q.”
Maximum-likelihood estimation for diffusion processes via closed-form density expansions (2013, methodology): “According to the classification in Dai and Singleton [24], the DMROU model is a multivariate affine diffusion process of the A0(2) type.”
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS (2005, background): “”2 Recent examples of this approach are the empirical works by Duffie and Singleton (1997), Duffee (1999), and Liu, Longstaff and Mandell (2001). The last paper proceeds a step further along the risk premium interpretation by computing the expected returns on defaultable bonds using these drift adju”
On changes of measure in stochastic volatility models (2006, background): “Following the work of Cox et al. [5], Heston [18] proposed the additional restriction (see also Dai and Singleton [6], Duffee [10] for a discussion in a related setting) γ1(t)= λ √ V(t), (3.4) with λ a constant.”
Appendix: Monetary Policy Drivers of Bond and Equity Risks (2020, neutral): “Endogenous responses of bond risk premia amplify these effects of monetary policy on bond risks.”
The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence (2000, neutral): “Important recent examples of this approach include Longstaff and Schwartz (1992), Chen and Scott (1993), Pearson and Sun (1994), Duffie and Singleton (1997), de Jong and Santa-Clara (1999), Dai and Singleton (2000), Duffee (2000), and many others.”
Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility (2014, methodology): “In this section, we use a three factor model with one spanned volatility factor A1(3) (in the Dai and Singleton (2000) notation) to demonstrate the performance of our method and to discuss the local maxima that arise in spanned non-Gaussian models.”
Forecasting the Yield Curve in a Data-Rich Environment: A No-Arbitrage Factor-Augmented VAR Approach (2008, neutral): “…factor models, FAVAR JEL codes: C13; C32; E43; E44; E52 ∗I would like to thank an anonymous referee, Filippo Altissimo, Theofanis Archontakis, Claus Brand, Sandra Eickmeier, Philipp Hartmann, Peter Hördahl, Manfred Kremer, Monika Piazzesi, Diego Rodriguez Palenzuela, Oreste Tristani, Harald…”
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models (2010, methodology): “We analyzed our models theoretically, relating them to the canonical (Dai and Singleton, 2000) representation of three-factor arbitrage-free affine models.”
Can oil prices help estimate commodity futures prices? The cases of copper and silver (2010, background): “These factors may be variables like spot price, convenience yield, interest rates, etc. or, alternatively, may lack any economic interpretation defining a state-space representation (Duffie and Kan, 1996; Dai and Singleton, 2000; Duffie et al., 2000; Cortazar et al., 2007).”
Restructuring Risk in Credit Default Swaps: An Empirical Analysis (2007, background): “Under the classical affine term structure models, the parameter μ1 is restricted to be zero, see Dai and Singleton (2000) for example.”
International Bond Risk Premia (2013, neutral): “Dai et al. (2004) emphasize that different ways of smoothing yield curves give rise to different patterns.”
Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates (2004, background): “To be specific, take the popular affine family of models (Dai and Singleton 2000; Duffie and Kan 1996) in which the instantaneous short rate is an affine function of an N-dimensional state vector of factors assumed to follow an N-dimensional affine diffusion process.”
Explaining and Forecasting Bond Risk Premiums (2010, methodology): “In our study, we used the essentially affine threefactor model estimated by Duffee (2002), Dai and Singleton (2002), Duarte (2004), and Kim and Orphanides (2005). The model consists of three main equations.”
Bias in the estimation of the mean reversion parameter in continuous time models (2012, methodology): “E-mail address: yujun@smu.edu.sg. include Chan et al. (1992), Aït-Sahalia (1996a,b), Dai and Singleton (2000), and Hong and Li (2005).”