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Working Papers

Learning and Risk Premiums in an Arbitrage-free Term Structure Model, (with Marco Giacoletti and Kristoffer Laursen). Working Paper, May 20, 2018.
The Structure of Risks in Equilibrium Affine Models of Bond Yields, (with Anh Le). Working Paper, April 2013.
The Asymptotic Distribution of Reduced-Rank Regression Estimators (with Anh Le). Working Paper, November 2010.
Simulating Correlated Defaults, (with D. Duffie). Working Paper, April 1999.
Ratings-Based Term Structures of Credit Spreads (with D. Duffie). Working Paper, September 1998.