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Publications by Kenneth J. Singleton

Expectation Puzzles, Time-Varying Risk Premia, and Affine Models of the Term Structure

Journal of Financial Economics

English

Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads

SSRN Electronic Journal

English

Related publications

Time-Varying Risk Aversion and the Predictability of Bond Premia

Finance Research Letters

English

Time Varying Risk Premia in Corporate Bond Markets

SSRN Electronic Journal

English

Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models

SSRN Electronic Journal

English

Sources of Time Varying Risk and Risk Premia in U.S. Stock and Bond Markets

SSRN Electronic Journal

English

Alternative Term Structure Models for Reviewing Expectations Puzzles

SSRN Electronic Journal

English

Identification and Estimation of Gaussian Affine Term Structure Models

SSRN Electronic Journal

English

Change-Points in Affine Arbitrage-Free Term Structure Models

Journal of Financial Econometrics

English

Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying

Journal of Political Economy

English

Valuation of Guaranteed Annuity Options in Affine Term Structure Models

SSRN Electronic Journal

English