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Cited by 366

The DOI matches its Crossref record; 85 of the 85 references it cites were found in a registry or an index.

Term Structure Dynamics in Theory and Reality

Open access
Dai, Qiang, Singleton, Kenneth·2003·Review of Financial Studies
DOI 10.1093/rfs/hhg010
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Abstract

This article is a critical survey of models designed for pricing fixed-income securities and their associated term structures of market yields. Our primary focus is on the interplay between the theoretical specification of dynamic term structure models and their empirical fit to historical changes in the shapes of yield curves. We begin by overviewing the dynamic term structure models that have been fit to treasury or swap yield curves and in which the risk factors follow diffusions, jump-diffusion, or have “switching regimes.” Then the goodness-of-fit of these models is assessed relative to their abilities to (i) match linear projections of changes in yields onto the slope of the yield curve; (ii) match the persistence of conditional volatilities, and the shapes of term structures of unconditional volatilities, of yields; and (iii) to reliably price caps, swaptions, and other fixed-income derivatives. For the case of defaultable securities we explore the relative fits to historical yield spreads.

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Metadata

Authors
Dai, Q., & Singleton, K.
Venue
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
2003-07
Volume
16
Issue
3
Pages
631-678
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/rfs/hhg010
OpenAlex
W2103313816
Cited by
366
References
85
FWCI
38.64
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: Term Structure Dynamics in Theory and Reality. https://app.cochat.ai/papers/10.1093/rfs/hhg010
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Dai, Q., & Singleton, K. (2003). Term Structure Dynamics in Theory and Reality. Review of Financial Studies. https://doi.org/10.1093/rfs/hhg010

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.