Research areas
- markov-switching-term-structure-models
- Asset pricing under regime switching
- Factor investing and the cross-section of returns
- Bond return predictability and term premia
Key papers
Recent work
(to be filled by subsequent ingests)
Collaborators
My notes
Ang is one of the central figures in the regime-switching term structure literature and a long-time collaborator of Bekaert. His work bridges the no- arbitrage affine bond pricing tradition (Duffie-Kan, Dai-Singleton) and the Hamilton-style regime-switching macro tradition. For this project, the relevant contribution is the demonstration that regime-switching affine models can identify economically distinct components of the nominal yield curve from publicly available data alone.