- Full text PDF available (42)
- This year (2)
- Last 5 years (9)
- Last 10 years (21)
Journals and Conferences
It may be downloaded, printed and reproduced only for personal or classroom use. Absolutely no downloading or copying may be done for, or on behalf of, any for‐profit commercial firm or other commercial purpose without the explicit permission of the Econometric Society. For this purpose, contact Claire Sashi, General Manager, at… (More)
This article presents a new approach to modeling term structures of bonds and other contingent claims that are subject to default risk. As in previous “reduced-form” models, we treat default as an unpredictable event governed by a hazard-rate process.1 Our approach is distinguished by the parameterization of losses at default in terms of the fractional… (More)
Though linear projections of returns on the slope of the yield curve have contradicted the implications of the traditional “expectations theory,” we show that these findings are not puzzling relative to a large class of richer dynamic term structure models. Specifically, we are able to match all of the key empirical findings reported by Fama and Bliss and… (More)
This paper explores the nature of default arrival and recovery implicit in the term structures of sovereign CDS spreads. We argue that term structures of spreads reveal not only the arrival rates of credit events (λ), but also the loss rates given credit events. Applying our framework to Mexico, Turkey, and Korea, we show that a single-factor model with λ… (More)
extensive discussions; Andrew Ang, Mark Ferguson, and Yael Hochberg for their thoughtful and careful research assistance, three referees for their constructive comments, and the Financial Research Initiative and Gifford Fong Associates Fund of the Graduate School of Business at Stanford University for financial support.
In any canonical Gaussian dynamic term structure model (GDTSM), the conditional forecasts of the pricing factors are invariant to the imposition of no-arbitrage restrictions. This invariance is maintained even in the presence of a variety of restrictions on the factor structure of bond yields. To establish these results, we develop a novel canonical GDTSM… (More)
The fourth Stephen A. Ross Prize in Financial Economics has been awarded to “Transform Analysis and Asset Pricing for Affine Jump-Diffusions” published in Econometrica in 2000, by Darrell Duffie of Stanford University, Jun Pan of Massachusetts Institute of Technology, and Kenneth Singleton of Stanford University. The prize committee chose this paper for its… (More)
for useful criticisms of earlier drafts. We are grateful to Wen-Fang Liu for excellent research assistance. We thank two referees of an earlier draft for comments that prompted an extensive reorientation of our research.
This article is a critical survey of models designed for pricing fixed-income securities and their associated term structures of market yields. Our primary focus is on the interplay between the theoretical specification of dynamic term structure models and their empirical fit to historical changes in the shapes of yield curves. We begin by overviewing the… (More)
This paper develops and empirically implements an arbitrage-free, dynamic term structure model with “priced” factor and regime-shift risks. The risk factors are assumed to follow a discrete-time Gaussian process, and regime shifts are governed by a discrete-time Markov process with state-dependent transition probabilities. This model gives closed-form… (More)