Robert L. Kimmel

Nanyang Technological University — Singapore

Economics, Econometrics and Finance · Social Sciences

10h-index1.4kcitations19works0.02yr avg
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Research Topics

Stochastic processes and financial applications(17), Financial Risk and Volatility Modeling(9), Monetary Policy and Economic Impact(8), Financial Markets and Investment Strategies(6), Credit Risk and Financial Regulations(5)

Publications19 total

Evaluating asset pricing models with non-traded factors using the method of maximum-correlated portfolios
The North American Journal of Economics and Finance·2023· 5 cited
The Econometrics of Fixed‐Income Markets
2016· 1 cited
A NOTE ON THE DAI-SINGLETON CANONICAL REPRESENTATION OF AFFINE TERM STRUCTURE MODELS*
Mathematical Finance·2010· 35 citedOpen Access
Estimating affine multifactor term structure models using closed-form likelihood expansions☆
Journal of Financial Economics·2010· 171 cited
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions
SSRN Electronic Journal·2009· 39 citedOpen Access
Complex Times: Asset Pricing and Conditional Moments Under Non-Affine Diffusions
SSRN Electronic Journal·2009· 6 citedOpen Access
Changing Times: The Pricing Problem in Non-linear Models
RePEc: Research Papers in Economics·2008
Changing Times: The Pricing Problem in Non-Linear Models
SSRN Electronic Journal·2008· 1 citedOpen Access
A Note on the Dai-Singleton Canonical Representation of Affine Term Structure Models
SSRN Electronic Journal·2008· 14 citedOpen Access
Asset Prices and Conditional Moments in Multifactor Non-Affine Models
SSRN Electronic Journal·2008Open Access
Complex Times: Asset Pricing and Conditional Moments under Non-affine Diffusions
RePEc: Research Papers in Economics·2007· 1 cited
Affine Term Structure Models
RePEc: Research Papers in Economics·2006· 5 cited
Maximum likelihood estimation of stochastic volatility models
Journal of Financial Economics·2006· 566 cited
Market price of risk specifications for affine models: Theory and evidence☆
Journal of Financial Economics·2006· 345 citedOpen Access
Maximum Likelihood Estimation of Stochastic Volatility Models
RePEc: Research Papers in Economics·2004· 7 cited
Maximum Likelihood Estimation of Stochastic Volatility Models
2004· 71 citedOpen Access
Modeling the term structure of interest rates: A new approach
Journal of Financial Economics·2003· 35 cited
Market Price of Risk Specifications for Affine Models: Theory and Evidence
SSRN Electronic Journal·2003· 42 citedOpen Access
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions
2002· 25 cited

Frequent Co-authors

Yacine Aı̈t-Sahalia(7), Patrick Cheridito(5), Damir Filipović(5), Ge Yang(1), Ximing Yin(1)