This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Citations of
David Chapman

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

| Working papers | Articles | Access and download statistics

Working papers

  1. David A. Chapman & John B. Long Jr. & Neil D. Pearson, 1998. "Using Proxies for the Short Rate: When are Three Months Like an Instant?," Finance 9808004, EconWPA, revised 07 Oct 1998. [Downloadable!]
    Published as:

    Cited by:

    1. Driffill, John & Kenc, Turalay & Sola, Martin & Spagnolo, Fabio, 2004. "On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts," CEPR Discussion Papers 4165, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    2. Andrew Jeffrey & Oliver Linton & Thong Nguyen, 2006. "Flexible Term Structure Estimation: Which Method is Preferred?," Metrika, Springer, vol. 63(1), pages 99-122, February. [Downloadable!] (restricted)
      Other versions:
    3. Hao Zhou, 2001. "Jump-diffusion term structure and Ito conditional moment generator," Finance and Economics Discussion Series 2001-28, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    4. Dennis Kristensen & Antonio Mele, 2009. "Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models," CREATES Research Papers 2009-14, School of Economics and Management, University of Aarhus. [Downloadable!]
    5. Jun Liu & Francis A. Longstaff & Ravit E. Mandell, 2002. "The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads," NBER Working Papers 8990, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    6. Konstantijn Maes, 2004. "Modeling the Term Structure of Interest Rates: Where Do We Stand?," Research series 200402, National Bank of Belgium. [Downloadable!]
      Other versions:
    7. Ram Bhar & Carl Chiarella & Wolfgang Runggaldier, 2001. "Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm," Research Paper Series 68, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    8. A. Mele, 2000. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," THEMA Working Papers 2000-39, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
      Other versions:
    9. Jin-Chuan Duan & Kris Jacobs, 2001. "Short and Long Memory in Equilibrium Interest Rate Dynamics," CIRANO Working Papers 2001s-22, CIRANO. [Downloadable!]
    10. Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2005. "Indirect Robust Estimation of the Short-term Interest Rate Process;," Cahiers du Département d'Econométrie 2005.02, Département d'Econométrie, Université de Genève. [Downloadable!]
      Other versions:
    11. Ram Bhar & Carl Chiarella & Thuy-Duong To, 2004. "Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets," Finance 0409003, EconWPA. [Downloadable!]
    12. Hideyuki Takamizawa, 2007. "A Simple Measure for Examining the Proxy Problem of the Short-Rate," Asia-Pacific Financial Markets, Springer, vol. 14(4), pages 341-361, December. [Downloadable!] (restricted)
    13. Thuy-Duong To, 2004. "A Note on the Bias of using Futures Rates as a Proxy for the Instantaneous Forward Rate," Research Paper Series 149, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    14. Roberto Reno', 2004. "Nonparametric Estimation of the Diffusion Coefficient via Fourier Analysis, with Aplication to Short Rate Modeling," Department of Economics University of Siena 440, Department of Economics, University of Siena. [Downloadable!]
    15. Carl Chiarella & Sara Pasquali & Wolfgang Runggaldier, 2001. "On Filtering in Markovian Term Structure Models (An Approximation Approach)," Research Paper Series 65, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    16. J. Benson Durham, 2005. "Jump-diffusion processes and affine term structure models: additional closed-form approximate solutions, distributional assumptions for jumps, and parameter estimates," Finance and Economics Discussion Series 2005-53, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    17. Torben G. Andersen & Luca Benzoni, 2007. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," CREATES Research Papers 2007-25, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    18. Ram Bhar & Carl Chiarella & Hing Hung & Wolfgang Runggaldier, 2004. "The Volatility of the Instantaneous Spot Interest Rate Implied by Arbitrage Pricing - A Dynamic Bayesian Approach," Finance 0409002, EconWPA. [Downloadable!]
    19. Ram Bhar & Carl Chiarella & Thuy Duong To, 2002. "A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models," Research Paper Series 80, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    20. Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2005. "Indirect Robust Estimation of the Short-term Interest Rate Process," Working Paper Series 2005-4, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]

  2. David A. Chapman & Neil D. Pearson, 1998. "Is the Short Rate Drift Actually Nonlinear?," Finance 9808005, EconWPA. [Downloadable!]

    Cited by:

    1. Javier Gil-Bazo & Gonzalo Rubio, 2003. "A Non-Parametric Dimension Test of the Term Structure," DFAEII Working Papers 200201, University of the Basque Country - Department of Foundations of Economic Analysis II. [Downloadable!]
    2. Orazio Di Miscia, 2005. "Nonparametric estimation of diffusion process: a closer look," Finance 0504016, EconWPA. [Downloadable!]
    3. Philip A. Shively, 2005. "The nonlinear dynamics of interest rates," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(2), pages 71-74, March. [Downloadable!] (restricted)
    4. Peter C.B. Phillips & Jun Yu, 2007. "Simulation-based Estimation of Contingent-claims Prices," Cowles Foundation Discussion Papers 1596, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    5. Charlotte Christiansen, 2008. "Mean Reversion in US and International Short Rates," CREATES Research Papers 2008-47, School of Economics and Management, University of Aarhus. [Downloadable!]
    6. Markus Leippold & Liuren Wu, 2002. "Asset Pricing Under The Quadratic Class," Finance 0207015, EconWPA. [Downloadable!]
      Other versions:
    7. Javier Gil-Bazo & Gonzalo Rubio, 2001. "A Nonparametric Dimension Test Of The Term Structure," Business Economics Working Papers wb012106, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
    8. Konstantijn Maes, 2004. "Modeling the Term Structure of Interest Rates: Where Do We Stand?," Research series 200402, National Bank of Belgium. [Downloadable!]
      Other versions:
    9. Li, Minqiang, 2008. "A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation," MPRA Paper 11185, University Library of Munich, Germany. [Downloadable!]
    10. J. Jimenez & R. Biscay & T. Ozaki, 2005. "Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview," Asia-Pacific Financial Markets, Springer, vol. 12(2), pages 109-141, June. [Downloadable!] (restricted)
    11. Ingrid Lo, 2005. "An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate," Working Papers 05-45, Bank of Canada. [Downloadable!]
    12. Jacob Boudoukh & Matthew Richardson & Richard Stanton & Robert Whitelaw, 1999. "A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-042, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    13. Rosario Dell'Aquila & Elvezio Ronchetti, 2004. "Resistant Nonparametric Analysis of the Short Term Rate," Cahiers du Département d'Econométrie 2004.06, Département d'Econométrie, Université de Genève. [Downloadable!]
    14. Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2005. "Indirect Robust Estimation of the Short-term Interest Rate Process;," Cahiers du Département d'Econométrie 2005.02, Département d'Econométrie, Université de Genève. [Downloadable!]
      Other versions:
    15. Sirimon Treepongkaruna, 2003. "Quasi-maximum likelihood estimates of Kiwi short-term interest rate," Applied Economics Letters, Taylor and Francis Journals, vol. 10(15), pages 937-942, December. [Downloadable!] (restricted)
    16. Monica Gentile & Roberto Renò, 2002. "Which Model for the Italian Interest Rates?," LEM Papers Series 2002/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    17. Gao, Jiti & King, Maxwell, 2003. "Estimation and model specification testing in nonparametric and semiparametric econometric models," MPRA Paper 11989, University Library of Munich, Germany, revised Feb 2006. [Downloadable!]
    18. Jianqing Fan, 2004. "A selective overview of nonparametric methods in financial econometrics," Quantitative Finance Papers math/0411034, arXiv.org. [Downloadable!]
    19. Jun Yu & Peter C.B. Phillips, 2001. "Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate," Cowles Foundation Discussion Papers 1309, Cowles Foundation, Yale University. [Downloadable!]
    20. Arapis, Manuel & Gao, Jiti, 2004. "Empirical comparisons in short-term interest rate models using nonparametric methods," MPRA Paper 11974, University Library of Munich, Germany, revised 23 Dec 2005. [Downloadable!]
      Other versions:
    21. Michael W. Brandt & Pedro Santa-Clara, 2001. "Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets," NBER Technical Working Papers 0274, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    22. Joshua Rosenberg, 1999. "Option-Based Tests of Interest Rate Diffusion Functions," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-026, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    23. Qiang Dai & Kenneth J. Singleton & Wei Yang, 2004. "Regime shifts in a dynamic term structure model of U.S. Treasury bond yields," Proceedings, Federal Reserve Bank of San Francisco, issue Mar. [Downloadable!]
    24. Roberto Reno', 2004. "Nonparametric Estimation of the Diffusion Coefficient via Fourier Analysis, with Aplication to Short Rate Modeling," Department of Economics University of Siena 440, Department of Economics, University of Siena. [Downloadable!]
    25. Jacob Boudoukh & Matthew Richardson, 1999. "A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility," NBER Working Papers 7213, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    26. Roberto Reno' & Antonio Roma & Stephen Schaefer, 2004. "A Comparison of Alternative Nonparametric Estimators of the Short Rate Diffusion Coefficient," Department of Economics University of Siena 445, Department of Economics, University of Siena. [Downloadable!]
    27. Adam Clements & Michael E. Drew, 2007. "Institutional Homogeneity and Choice in Superannuation," School of Economics and Finance Discussion Papers and Working Papers Series 218, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    28. Christopher T. Downing, 1999. "Nonparametric Estimation of Multifactor Continuous Time Interest-Rate Models," Computing in Economics and Finance 1999 111, Society for Computational Economics. [Downloadable!]
    29. Robert J Bianchi & Adam E Clements & Michael E Drew, 2009. "HACking at Non-linearity: Evidence from Stocks and Bonds," School of Economics and Finance Discussion Papers and Working Papers Series 244, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    30. Gao, Jiti & Gijbels, Irene, 2005. "Bandwidth selection for nonparametric kernel testing," MPRA Paper 11982, University Library of Munich, Germany, revised Jun 2007. [Downloadable!]
    31. Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2005. "Indirect Robust Estimation of the Short-term Interest Rate Process," Working Paper Series 2005-4, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]

  3. Chapman, D.A., 1996. "Approximating the Asset Pricing Kernel," Papers 96-02, Rochester, Business - Financial Research and Policy Studies.

    Cited by:

    1. Hanno Lustig, 2004. "Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective (joint with Stijn Van Nieuwerburgh), forthcoming Journal of Finance," UCLA Economics Online Papers 300, UCLA Department of Economics. [Downloadable!]
    2. Yu Ren & Katsumi Shimotsu, 2007. "Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test," Working Papers 1126, Queen's University, Department of Economics. [Downloadable!]
      Other versions:
    3. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2005. "Estimating the Stochastic Discount Factor without a Utility Function," Economics Working Papers (Ensaios Economicos da EPGE) 583, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    4. Thierry Post & Haim Levy, 2002. "Does Risk Seeking drive Asset Prices?," Tinbergen Institute Discussion Papers 02-070/2, Tinbergen Institute. [Downloadable!]
    5. Joshua Rosenberg & Robert F. Engle, 2000. "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-014, New York University, Leonard N. Stern School of Business-. [Downloadable!]
      Other versions:
    6. Han, Bin, 2004. "Limits of Arbitrage, Sentiment and Pricing Kernal: Evidences from Index Options," Working Paper Series 2004-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    7. Michael W. Brandt & Amir Yaron, 2003. "Time-Consistent No-Arbitrage Models of the Term Structure," NBER Working Papers 9458, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    8. Joshua Rosenberg, 1999. "Empirical Tests of Interest Rate Model Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-015, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    9. Fousseni Chabi-Yo & Eric Ghysels & Eric Renault, 2008. "On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk," Working Papers 08-16, Bank of Canada. [Downloadable!]
    10. Fousseni Chabi-Yo, 2006. "Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence," Working Papers 06-38, Bank of Canada. [Downloadable!]
    11. Robert E. Hall, 2003. "Dynamics of corporate earnings," Proceedings, Federal Reserve Bank of San Francisco, issue Mar. [Downloadable!]
    12. Joshua Rosenberg, 2000. "Asset Pricing Puzzles: Evidence from Options Markets," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-025, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    13. Gomes, Joao F & Yaron, Amir & Zhang, Lu, 2002. "Asset Pricing Implications of Firms' Financing Constraints," CEPR Discussion Papers 3495, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    14. Jakša Cvitanić & Vassilis Polimenis & Fernando Zapatero, 2008. "Optimal portfolio allocation with higher moments," Annals of Finance, Springer, vol. 4(1), pages 1-28, January. [Downloadable!] (restricted)
    15. Xiaoxian Ma & Qingzhen Zhao & Jilin Qu, 2008. "Robust portfolio optimization with a generalized expected utility model under ambiguity," Annals of Finance, Springer, vol. 4(4), pages 431-444, October. [Downloadable!] (restricted)
    16. Post, G.T. & Levy, H., 2002. "Does Risk Seeking Drive Asset Prices? A stochastic dominance analysis of aggregate investor preferences," Research Paper ERS-2002-50-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]

  4. Chapman, D.A., 1992. "Cotrending and the Stationarity of the Real Interest Rate," RCER Working Papers 330, University of Rochester - Center for Economic Research (RCER).

    Cited by:

    1. Joseph E. Gagnon, 1997. "Inflation regimes and inflation expectations," International Finance Discussion Papers 581, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:

Articles

  1. David A. Chapman, 2002. "Does Intrinsic Habit Formation Actually Resolve the Equity Premium Puzzle?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 5(3), pages 618-645, July. [Downloadable!] (restricted)

    Cited by:

    1. Mary C. Daly & Daniel J. Wilson, 2006. "Keeping up with the Joneses and staying ahead of the Smiths: evidence from suicide data," Working Paper Series 2006-12, Federal Reserve Bank of San Francisco. [Downloadable!]
    2. Santiago Budría & Antonia Díaz, 2006. "Term and Equity Premium in Economies with Habit Formation," Working Papers 2006-23, FEDEA. [Downloadable!]
    3. Stefano Athanasoulis & Oren Sussman, 2007. "Habit formation and the equity–premium puzzle: a skeptical view," Annals of Finance, Springer, vol. 3(2), pages 193-212, March. [Downloadable!] (restricted)
    4. Santiago Budria & Antonia Diaz, 2006. "Term Premium And Equity Premium In Economies With Habit Formation," Economics Working Papers we065522, Universidad Carlos III, Departamento de Economía. [Downloadable!]
    5. Collard, Fabrice & Fève, Patrick & Ghattassi, Imen, 2003. "Solving Asset Pricing Models with Habit Persistence," IDEI Working Papers 245, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
    6. René Garcia & Richard Luger, 2009. "Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates," CIRANO Working Papers 2009s-20, CIRANO. [Downloadable!]
    7. Stefano G. Athanasoulis & Oren Sussman, 2004. "Habit Formation and the Equity-Premium Puzzle: a Skeptical View," OFRC Working Papers Series 2004fe12, Oxford Financial Research Centre. [Downloadable!]
    8. Arjen Siegmann, 2003. "Shortfall allowed: loss aversion and habit formation," WO Research Memoranda (discontinued) 741, Netherlands Central Bank, Research Department. [Downloadable!]

  2. Chapman, David A & Long, John B, Jr & Pearson, Neil D, 1999. "Using Proxies for the Short Rate: When Are Three Months Like an Instant?," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 12(4), pages 763-806.
    Other versions:

    See citations under working paper version above.

  3. David A. Chapman, 1998. "Habit Formation and Aggregate Consumption," Econometrica, Econometric Society, vol. 66(5), pages 1223-1230, September.

    Cited by:

    1. Francisco Gomes & Alexander Michaelides, 2003. "Portfolio Choice With Internal Habit Formation: A Life-Cycle Model With Uninsurable Labor Income Risk," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 729-766, October. [Downloadable!] (restricted)
      Other versions:
    2. Tahir Choulli & Christophe Stricker & Jia Li, 2007. "Minimal Hellinger martingale measures of order q," Finance and Stochastics, Springer, vol. 11(3), pages 399-427, July. [Downloadable!] (restricted)
    3. Arjen Siegmann, 2003. "Shortfall allowed: loss aversion and habit formation," WO Research Memoranda (discontinued) 741, Netherlands Central Bank, Research Department. [Downloadable!]
    4. Francis Longstaff & Monika Piazzesi, 2003. "Corporate Earnings and the Equity Premium," NBER Working Papers 10054, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

Did you know? You too can volunteer for RePEc, for example by providing information about publications in your institution.

This page was last updated on 2009-12-10.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.