Term Structure Dynamics in Theory and Reality

By Qiang Dai, Kenneth J. Singleton. 2003

385 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/f2021725981bf94e159bc9ae0d503b8702f3cd0d

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Citations in the corpus

Comparing Multifactor Models of the Term Structure (2002, methodology): “Following Hansen (1982), the statistically optimal weighting matrix that yields the most efficient estimator is the inverse of the covariance matrix of the sample moments: W = {cov [GT ]}−1 , (15)”
Expectations, Bond Yields and Monetary Policy (2005, background): “For a survey of the empirical term structure literature see Dai and Singleton (2003) or Singleton (2006) for a textbook treatment.”
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013, neutral): “See, for example, Dai and Singleton (2003).”
CREDIT RISK MODELING AND VALUATION: AN INTRODUCTION (2004, neutral): “We refer to Dai & Singleton (2003) for an overview of available techniques.”
Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility (2004, methodology): “Given the resulting draw of f , we may invoke the simulation smoother of de Jong and Shephard (1995) to draw the entire multivariate time series X all at once from the density pðXjP;U;fÞ.”
LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING (2007, background): “If the underlying process is either AJD or QG under both measures, the quantity µP − µQ would only admit an affine specification (see Dai and Singleton 2003).”
Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004, neutral): “See Dai and Singleton (2003) for a more complete reference.”
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009, neutral): “See Pearson and Sun (1994) for an early example of multifactor term structure models, and Du¤ee (1999) and Dai and Singleton (2000, 2002, 2003) for further applications.”
Discrete-Time Affineℚ Term Structure Models with Generalized Market Prices of Risk (2010, background): “…can write, without loss of generality, H(z, *1, θ) = [ a(1)(λ(z)) + b(1)(λ(z))z ] + √ 3(z)*1, 37 Furthermore, under certain conditions analogous to those set forth in Dai and Singleton (2003) for continuoustime models, we preserve analytical bond pricing even in the presence of switching regimes.”
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models (2010, neutral): “Moreover, the hump in the ‘back’ of the snake appears less pronounced than what has been reported in some studies, including Dai and Singleton (2000, 2003).”
The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks (2004, background): “A few of these are Duffee (1999), He (2000), Duffie and Liu (2001), Collin-Dufresne and Solnik (2001), Duffie, Pedersen, and Singleton (2003), Huang and Huang (2003), Longstaff, Mithal, and Neis (2004), and Berndt, Douglas, Duffie, Ferguson, and Schranz (2004).”
Taylor Rules, McCallum Rules and the Term Structure of Interest Rates (2005, positive): “Dai and Singleton (2002, 2003) have shown that there is considerably more empirical support for term-structure models based on the Duffee (2002) model than the stochastic volatility model.”