This paper describes a method for estimating and testing nonlinear rational expectations
models directly from stochastic Euler equations. The estimation procedure makes sample …

… Masterfully applying theory to practice, Darrell Duffie and Kenneth Singleton model credit
risk for … Duffie and Singleton offer critical assessments of alternative approaches to credit-risk …

Modeling Term Structures of Defaultable Bonds | The Review of Financial Studies | Oxford
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This paper explores the structural differences and relative goodness‐of‐fits of affine term
structure models (ATSMs). Within the family of ATSMs there is a trade‐off between flexibility in …

This paper studies the time-series behavior of asset returns and aggregate consumption.
Using a representative consumer model and imposing restrictions on preferences and the joint …

… Third, we apply the affine sovereign credit model of Pan and Singleton (2008) to the term
structure of sovereign CDS spreads. This approach allows us to decompose the CDS spreads …

… However, Marcet and Singleton (1989) have extended the results in this paper to a class of
nondifferentiable payoff functions which includes this function. Also, this application is limited …

This paper explores the nature of default arrival and recovery implicit in the term structures
of sovereign CDS spreads. We argue that term structures of spreads reveal not only the …

This article develops a multi‐factor econometric model of the term structure of interest‐rate
swap yields. The model accommodates the possibility of counterparty default, and any …

Linear projections of returns on the slope of the yield curve have contradicted the implications
of the traditional “expectations theory”. This paper shows that these findings are not …