NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Kenneth J. Singleton

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

Working Papers and Chapters

October 2010Estimation and Evaluation of Conditional Asset Pricing Models
with Stefan Nagel: w16457

Published: Stefan Nagel & Kenneth J. Singleton, 2011. "Estimation and Evaluation of Conditional Asset Pricing Models," Journal of Finance, American Finance Association, vol. 66(3), pages 873-909, 06. citation courtesy of

December 2007How Sovereign is Sovereign Credit Risk?
with Francis A. Longstaff, Jun Pan, Lasse H. Pedersen: w13658

Published: Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2011. "How Sovereign Is Sovereign Credit Risk?," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 75-103, April. citation courtesy of

March 2001Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure
with Qiang Dai: w8167

Published: Dai, Qiang and Kenneth J. Singleton. "Expectation Puzzles, Time-Varying Risk Premia, And Affine Models Of The Term Structure," Journal of Financial Economics, 2002, v63(3,Mar), 415-441.

April 1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions
with Darrell Duffie, Jun Pan: w7105

Published: Duffie, Darrell, Jun Pan and Kenneth Singleton. "Transform Analysis And Asset Pricing For Affine Jump-Diffusions," Econometrica, 2000, v68(6,Nov), 1343-1376. citation courtesy of

August 1997Specification Analysis of Affine Term Structure Models
with Qiang Dai: w6128

Published: Dai, Qiang and Kenneth J. Singleton. "Specification Analysis Of Affine Term Structure Models," Journal of Finance, 2000, v55(5,Oct), 1943-1978.

March 1997Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors
with Lars Peter Hansen: t0086

Published: Journal of Business & Economic Statistics, vol. 14, no. 1, pp. 53-68, January 1996.

January 1993Introduction to "Japanese Monetary Policy"
in Japanese Monetary Policy, Kenneth Singleton, editor
Front matter "Japanese Monetary Policy"
in Japanese Monetary Policy, Kenneth Singleton, editor
Japanese Corporate Investment and Bank of Japan Guidance of Commercial Bank Lending
with Takeo Hoshi, David S. Scharfstein
in Japanese Monetary Policy, Kenneth Singleton, editor
March 1990Simulated Moments Estimation of Markov Models of Asset Prices
with Darrell Duffie: t0087

Published: econometrica, vol. 61, no. 4. july 1993, 929-952.

1987Erratum, Do Equilibrium Real Business Cycle Theories Explain Postwar U.S. Business Cycles?
with Martin Eichenbaum
in NBER Macroeconomics Annual 1987, Volume 2, Stanley Fischer, editor
July 1986A Time Series Analysis of Representative Agent Models of Consumption andLeisure Choice Under Uncertainty
with Martin S. Eichenbaum, Lars Peter Hansen: w1981

Published: Quarterly Journal of Economics, February 1988. citation courtesy of

May 1986Do Equilibrium Real Business Cycle Theories Explain Post-War U.S. Business Cycles?
with Martin S. Eichenbaum: w1932

Published:

April 1986Asset Prices in a Time Series Model with Disparately Informed, Competative Traders
w1897

Published: Singleton, Kenneth J. "Asset Prices in a Time Series Model with Disparately Informed, Competitive Traders," New Approaches to Monetary Economics, eds. W. Barnett and K.J. Singleton. Cambridge, MA: Cambridge University Press, 1987.

August 1984Modeling the Term Structure of Interest Rates Under Nonseparable Utilityand Duriability of Goods
with Kenneth B. Dunn: w1415

Published: Dunn, Kenneth B. and Kenneth J. Singleton. "Modeling the Term Structure of Interest Rates Under Nonseparable Utility and Durability of Goods," Journal of Financial Economics, Vol. 17, pp. 27-55, 1986.

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

 
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