Research areas
- Regime-switching dynamic term structure models
- No-arbitrage bond pricing under priced regime-shift risk
- 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. Joint work with Dai and Singleton on a no-arbitrage Gaussian DTSM with state-dependent Markov transitions and priced regime-shift risk.
Recent work
(not tracked here yet)
Collaborators
- kenneth-singleton — co-author on the 2007 RFS regime-shifts paper
- qiang-dai — co-author on the 2007 RFS regime-shifts paper
My notes
Wei Yang is the third author on the canonical DSY 2007 RFS regime-shifts paper. The paper is a load-bearing reference for the current CRE asset pricing project’s compound-regime no-arbitrage machinery.
Importance: 4 (influential — co-author on the closest published predecessor framework to the current project).