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