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NBER Working Papers and Publications
|March 2006||Testing Portfolio Efficiency with Conditioning Information|
with Wayne E. Ferson: w12098
"Testing Portfolio Efficiency with Conditioning Information," with Andrew F. Siegel, 2009, Review of Financial Studies (forthcoming).
|January 2005||Mimicking Portfolios with Conditioning Information|
with Wayne E. Ferson, Pisun (Tracy) Xu: w11020
Published: Ferson, Wayne, Andrew F. Siegel and Pisun Xu. "Mimicking Portfolios With Conditional Information," Journal of Financial and Quantitative Analysis, 2006, v41(3,Sep), 607-635.
|February 2002||Stochastic Discount Factor Bounds with Conditioning Information|
with Wayne E. Ferson: w8789
Published: Ferson, Wayne E. and Andrew F. Siegel. "Stochastic Discount Factor Bounds With Conditioning Information," Review of Financial Studies, 2003, v16(2,Summer), 567-595. citation courtesy of
|1986||Long-Term Behavior of Yield Curves|
with Charles R. Nelson: w1789
Published: Nelson, Charles R. and Andrew F. Seigel. "Long-Term Behavior of Yield Curves," Journal of Financial and Quantitative Analysis, Vol. 23, No. 1, March 1988, pp. 105-110. citation courtesy of
|March 1985||Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills|
with Charles R. Nelson: w1594
Published: Nelson, Charles R. and Andrew F. Seigel. "Parsimonious Modeling of Yield Curves," Journal of Business, Vol. 60, No. 3, pp. 473-489, (October 1987).