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"Interpreting Changes in the Volatility of Yields on Japanese Long-Term Bonds," in Monetary and Economic Studies, Vol. 8 No. 1, Bank of Japan, January 1990.
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"Equilibrium Asset Prices and Savings of Heterogeneous Agents in the Presence of Portfolio Constraints," (with A. Marcet), Macroeconomic Dynamics , Vol. 3, No. 2, 1999, 243-277."Modeling Term Structure Models of Defaultable Bonds," (with Darrell Duffie), Review of Financial Studies , Vol.12, 1999, 687-720.
"Transform Analysis and Asset Pricing for Affine Jump-Diffusions," (with Darrell Duffie and Jun Pan), Econometrica , Vol. 68, 2000, 1343-1376.
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"Estimation of Affine Asset Pricing Models Using the Empirical Characteristic Function," Journal of Econometrics, Vol. 102, 2001, 111-141. postscript format pdf format
"Modeling Sovereign Yield Spreads: A Case Study of Russian Debt," (with Darrell Duffie and Lasse Pedersen) Journal of Finance, Vol. 55, 2003, 119-159. pdf format
"Expectation Puzzles, Time-varying Risk Premia, and Affine Models of the Term Structure," (with Qiang Dai) Journal of Financial Economics , Vol. 63, 2002, 415-441. postscript format pdf format
"Pricing Coupon-Bond Options and Swaptions in Affine Term Structure Models," (with Len Umantsev) Mathematical Finance . Vol. 12, 2003, 427-446.
"Term Structure Modeling in Theory and Reality," (with Qiang Dai) Review of Financial Studies . Vol. 16, 2003, 631-678. pdf format
"Fixed Income Pricing," (with Qiang Dai), Handbook of Economics and Finance , Chapter 20, C. Constantinides, M. Harris, and R. Stulz, eds, North Holland, 2003.
"Interpreting Recent Changes in the Credit Spreads of Japanese Banks," (with Jun Pan), Monetary and Economic Studies, Bank of Japan, Vol. 24, 2006, 129-150.
"Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields," (with Qiang Dai and Wei Yang) Review of Financial Studies . Vol. 20, 2007, 1669-1706. pdf format
"Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads," (with Jun Pan) Journal of Finance Vol. LXIII, 2008, 2345-2384. pdf format