Research areas
- Dynamic term structure models (DTSMs) and the no-arbitrage pricing of fixed-income securities
- Affine and quadratic term structure models — classification, identification, and estimation
- Regime-switching DTSMs and the pricing of regime-shift risk
- Empirical asset pricing, GMM estimation, and consumption-based asset pricing
- Credit risk and corporate bond pricing
- markov-switching-term-structure-models
Key papers
- dai-singleton-yang-2007-regime-shifts-term-structure — Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields. Review of Financial Studies, 2007. Canonical no-arbitrage Gaussian DTSM with state-dependent Markov transitions and priced regime-shift risk.
Recent work
(not tracked here yet)
Collaborators
- qiang-dai — multiple joint papers on affine and regime-switching DTSMs
- wei-yang — co-author on the 2007 RFS regime-shifts paper
My notes
Kenneth Singleton is one of the foundational figures in empirical fixed-income asset pricing. The Dai–Singleton classification of affine term structure models (JoF 2000) is the standard reference for the admissible / canonical parametrizations of the affine class, and the DSY 2007 RFS paper extends that framework to regime switching with priced regime-shift risk. For the current CRE asset pricing project, Singleton is the most directly relevant living expert: the regime-switching, priced-regime-risk machinery the project depends on traces back to his work, and the paper’s gotcha about state-dependent transitions vs RBPF tractability is exactly the kind of trade-off his framework makes explicit.
Importance: 5 (seminal — multiple foundational papers in DTSM literature; the closest published predecessor framework for this project’s regime-switching no-arbitrage pricing).