Expectation puzzles, time-varying risk premia, and affine models of the term structure

By Qiang Dai, Kenneth J. Singleton. 2002

691 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c58932027c927f56cfa3864945326491680721a5

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Kenneth J. Singleton
2. Jessica A. Wachter
3. Geert Bekaert
4. John Y. Campbell
5. Sydney C. Ludvigson
6. Andrew Ang
7. Allan G. Timmermann
8. Qiang Dai

In Finance

1. Geert Bekaert
2. Jessica A. Wachter
3. Kenneth J. Singleton
4. John Y. Campbell
5. Andrew Ang
6. Sydney C. Ludvigson
7. Allan G. Timmermann
8. Ralph S. J. Koijen

Citations in the corpus

• The term structures of equity and interest rates (2011, background): “Because the SDF is a quadratic function of xt, the model is in the essentially affine class (Dai and Singleton (2002), Duffee (2002)).”
• Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors (2005, positive): “Thus, the model is in the “essentially affine” class proposed by Duffee (2002) and shown by Dai and Singleton (2002) to capture the pattern of bond predictability in the data.”
• Appendix: Monetary Policy Drivers of Bond and Equity Risks (2020, positive): “…literature has proceeded in a similar spirit, building on the no-arbitrage restrictions of affine term structure models 2 (Duffie and Kan 1996, Dai and Singleton 2000, 2002, Duffee 2002) to estimate multifactor term structure models with both macroeconomic and latent factors (Ang and Piazzesi…”
• International Bond Risk Premia (2013, neutral): “Moreover, the literature on no-arbitrage term-structure models is vast (see, e.g., Dai and Singleton, 2000, Duffee, 2002, and Dai and Singleton, 2002).”
• Term Structure Estimation with Survey Data on Interest Rate Forecasts (2005, methodology): “As highlighted by Duffee (2002) and Dai and Singleton (2002), these models have shown considerable promise for capturing the dynamic behavior of the term structure while retaining analytical tractability.”
• No-arbitrage macroeconomic determinants of the yield curve (2010, neutral): “Following Dai and Singleton (2002) (DS2 henceforth), we restricted some of the insignificant parameters to zero, if such a restriction did not lead to a notable decline in the value of the log-likelihood function.”