Pierluigi Balduzzi : Citation Profile


Are you Pierluigi Balduzzi?

Boston College
Boston College

11

H index

12

i10 index

1031

Citations

RESEARCH PRODUCTION:

18

Articles

17

Papers

RESEARCH ACTIVITY:

   30 years (1990 - 2020). See details.
   Cites by year: 34
   Journals where Pierluigi Balduzzi has often published
   Relations with other researchers
   Recent citing documents: 64.    Total self citations: 7 (0.67 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba469
   Updated: 2020-09-22    RAS profile: 2012-02-18    
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Relations with other researchers


Works with:

Brianti, Marco (2)

Schiantarelli, Fabio (2)

Brancati, Emanuele (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Pierluigi Balduzzi.

Is cited by:

Campbell, John (18)

Guidolin, Massimo (15)

Bartolini, Leonardo (14)

Prati, Alessandro (14)

Mitchell, Olivia (13)

Thornton, Daniel (13)

GUPTA, RANGAN (11)

Vega, Clara (10)

Sodini, Paolo (10)

Bollerslev, Tim (9)

Strasser, Georg (8)

Cites to:

Campbell, John (16)

Hansen, Lars (13)

Gilchrist, Simon (9)

bloom, nicholas (9)

Gertler, Mark (8)

Zakrajšek, Egon (8)

Constantinides, George (7)

Jagannathan, Ravi (7)

Link, Sebastian (6)

Shiller, Robert (6)

Harvey, Campbell (5)

Main data


Where Pierluigi Balduzzi has published?


Journals with more than one article published# docs
Economics Letters3
Journal of Finance2
Journal of Monetary Economics2
Journal of Financial and Quantitative Analysis2

Working Papers Series with more than one paper published# docs
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta3
Boston College Working Papers in Economics / Boston College Department of Economics2

Recent works citing Pierluigi Balduzzi (2020 and 2019)


YearTitle of citing document
2020Limits to Arbitrage in Markets with Stochastic Settlement Latency. (2018). Hautsch, Nikolaus ; Voigt, Stefan ; Scheuch, Christoph. In: Papers. RePEc:arx:papers:1812.00595.

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2019Co-jumping of Treasury Yield Curve Rates. (2019). Baruník, Jozef ; Fiser, Pavel. In: Papers. RePEc:arx:papers:1905.01541.

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2019Hedging Climate Change News. (2019). Engle, Robert ; Strobel, Johannes ; Lee, Heebum ; Kelly, Bryan ; Giglio, Stefano W. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13730.

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2020Gender Discrimination in Lending: Evidence from Bankers in the Lab. (2020). de Haas, Ralph ; Brock, Michelle. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14340.

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2020Household Finance. (2020). Gomes, Francisco J ; Haliassos, Michael ; Ramadorai, Tarun. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14502.

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2020Is Monetary Policy Gender Neutral? Evidence from the Stock Market. (2020). Kim, Chi Hyun ; Grazzini, Caterina Forti . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1841.

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2020Demand shocks for public debt in the Eurozone. (2020). Giuliodori, Massimo ; Lengyel, Andras. In: DNB Working Papers. RePEc:dnb:dnbwpp:674.

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2019Can more public information raise uncertainty? The international evidence on forward guidance. (2019). Strasser, Georg ; Gaballo, Gaetano ; Ehrmann, Michael ; Hoffmann, Peter. In: Working Paper Series. RePEc:ecb:ecbwps:20192263.

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2019The impact of top executive gender on asset prices: Evidence from stock price crash risk. (2019). Zeng, Yeqin ; Li, Yiwei. In: Journal of Corporate Finance. RePEc:eee:corfin:v:58:y:2019:i:c:p:528-550.

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2019Optimal execution with regime-switching market resilience. (2019). Elliott, Robert J ; Zhu, Song-Ping ; Guo, Ivan ; Siu, Chi Chung. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:17-40.

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2019The relationship between trading activity and stock market volatility: Does the volume threshold matter?. (2019). Slim, Skander ; Koubaa, Yosra. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:168-184.

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2020Optimal investment and consumption with return predictability and execution costs. (2020). Zhu, Song-Ping ; Siu, Chi Chung ; Ma, Guiyuan. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:408-419.

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2020Positional momentum and liquidity management; a bivariate rank approach. (2020). Panahidargahloo, Akram. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302232.

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2019Dynamic portfolio choice with return predictability and transaction costs. (2019). Siu, Chi Chung ; Ma, Guiyuan ; Zhu, Song-Ping. In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:3:p:976-988.

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2019Bond and option prices with permanent shocks. (2019). Al-Zoubi, Haitham A. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:272-290.

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2019Regulated equity returns: A puzzle. (2019). Fischbeck, Paul S ; Rode, David C. In: Energy Policy. RePEc:eee:enepol:v:133:y:2019:i:c:s0301421519304690.

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2019The EIA WPSR release, OVX and crude oil internet interest. (2019). Nikkinen, Jussi ; Rothovius, Timo . In: Energy. RePEc:eee:energy:v:166:y:2019:i:c:p:131-141.

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2019Intraday volume-volatility nexus in the FX markets: Evidence from an emerging market. (2019). Sensoy, Ahmet ; Serdengeti, Suleyman. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:1-12.

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2019Suboptimal investment behavior and welfare costs: A simulation based approach. (2019). Reus, Lorenzo ; Castaeda, Pablo . In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:170-180.

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2020Monetary policy rate expectation and energy prices during the FOMC announcement period. (2020). Ki, Byoung ; Jang, Hyeonung. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318305725.

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2019Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market. (2019). Skiadopoulos, George ; Neumann, Michael ; Konstantinidi, Eirini ; Kapetanios, George. In: Journal of Financial Markets. RePEc:eee:finmar:v:46:y:2019:i:c:s1386418118300168.

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2019Central bank announcements and realized volatility of stock markets in G7 countries. (2019). Molnár, Peter ; Lyócsa, Štefan ; Plihal, Toma ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:117-135.

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2019Macroeconomic news and market reaction: Surprise indexes meet nowcasting. (2019). Caruso, Alberto. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1725-1734.

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2019Endogenous asymmetric money illusion. (2019). Saporito, Yuri F ; Duarte, Diogo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:109:y:2019:i:c:s0378426619302559.

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2019Social interactions in asset allocation decisions: Evidence from 401(k) pension plan investors. (2019). Tang, Ning ; Lu, Timothy. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:159:y:2019:i:c:p:1-14.

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2019Boys will still be boys: Gender differences in trading activity are not due to differences in (over)confidence. (2019). Ponti, Giovanni ; Iturbe-Ormaetxe, Inigo ; Tomas, Josefa ; Cueva, Carlos . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:160:y:2019:i:c:p:100-120.

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2019Information and Inequality. (2019). Lei, Xiaowen. In: Journal of Economic Theory. RePEc:eee:jetheo:v:184:y:2019:i:c:s002205311830317x.

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2020Show me the money: The monetary policy risk premium. (2020). Ozdagli, Ali ; Velikov, Mihail. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:2:p:320-339.

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2020Liquidity regimes and optimal dynamic asset allocation. (2020). Salam, Mehmet ; Daniel, Kent ; Collin-Dufresne, Pierre. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:2:p:379-406.

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2019The response of multinationals’ foreign exchange rate exposure to macroeconomic news. (2019). Boudt, Kris ; Wauters, Marjan ; Sercu, Piet ; Neely, Christopher J. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:94:y:2019:i:c:p:32-47.

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2019The response of different investor types to macroeconomic news. (2019). Holmes, Phil ; Ikizlerli, Deniz ; Anderson, Keith. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:50:y:2019:i:c:p:13-28.

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2019Assessing the relationship between dependence and volume in stock markets: A dynamic analysis. (2019). Ferreira, Paulo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:516:y:2019:i:c:p:90-97.

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2019Board gender diversity and the capital structure of microfinance institutions: A global analysis. (2019). Takyiwah, Emmanuella Yaa ; Adusei, Michael. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:71:y:2019:i:c:p:258-269.

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2019Slopes, spreads, and depth: Monetary policy announcements and liquidity provision in the energy futures market. (2019). Smales, L A. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:234-252.

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2019Stock return predictability: Evidence from a structural model. (2019). Dladla, Pholile ; Malikane, Christopher. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:412-424.

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2019The cost of trading during Federal Funds Rate announcements: Evidence from cross-listed stocks. (2019). Frijns, Bart ; Tourani-Rad, Alireza ; Otsubo, Yoichi ; Indriawan, Ivan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:176-187.

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2019The economic value of Bitcoin: A portfolio analysis of currencies, gold, oil and stocks. (2019). Chalvatzis, Konstantinos J ; Symitsi, Efthymia. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:97-110.

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2020The fair value of a token: How do markets price cryptocurrencies?. (2020). Guo, Yike ; Nadler, Philip. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919300601.

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2019Retirement Plan Wealth Inequality: Measurement and Trends. (2019). Radpour, Siavash ; Webb, Anthony ; Ghilarducci, Teresa. In: SCEPA working paper series. SCEPA's main areas of research are macroeconomic policy, inequality and poverty, and globalization.. RePEc:epa:cepawp:2019-01.

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2019Value Premium and Technical Analysis: Evidence from the China Stock Market. (2019). Yu, BO ; Dong, Liang. In: Economies. RePEc:gam:jecomi:v:7:y:2019:i:3:p:92-:d:265650.

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2020Intraday Jumps, Liquidity, and U.S. Macroeconomic News: Evidence from Exchange Traded Funds. (2020). Jurdi, Doureige J. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:118-:d:367863.

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2020Prediction of Stock Returns: Sum-of-the-Parts Method and Economic Constraint Method. (2020). Zhou, Huiting ; Dai, Zhifeng. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:2:p:541-:d:307513.

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2020Financial Crises and Climate Change. (2020). Jalles, Joao ; Cevik, Serhan. In: Working Papers REM. RePEc:ise:remwps:wp01322020.

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2019The Effects of Macroeconomic, Fiscal and Monetary Policy Announcements on Sovereign Bond Spreads: An Event Study from the EMU. (2019). Jalles, Joao ; Afonso, Antonio ; Kazemi, Mina. In: Working Papers REM. RePEc:ise:remwps:wp0672019.

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2019Anatomy of a Sovereign Debt Crisis: CDS Spreads and Real-Time Macroeconomic Data. (2019). Savona, Roberto ; Balduzzi, Pierluigi ; Alessi, Lucia. In: Working Papers. RePEc:jrs:wpaper:201903.

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2019The Role of Happiness in Financial Decisions: Evidence from Financial Portfolio Choice and Five European Countries. (2019). Apergis, Nicholas ; Saeed, Tareq ; Hayat, Tasawar. In: Atlantic Economic Journal. RePEc:kap:atlecj:v:47:y:2019:i:3:d:10.1007_s11293-019-09629-2.

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2019How Unemployment Affects Bond Prices: A Mixed Frequency Google Nowcasting Approach. (2019). Dimpfl, Thomas ; Langen, Tobias . In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:2:d:10.1007_s10614-018-9840-7.

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2020Female management, overconfidence and debt maturity: European evidence. (2020). Neha, Neha ; Rocca, Maurizio . In: Journal of Management & Governance. RePEc:kap:jmgtgv:v:24:y:2020:i:3:d:10.1007_s10997-019-09479-9.

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2020Gender-based price discrimination in the annuity market: Evidence from Chile. (2020). Bello, Piera. In: IdEP Economic Papers. RePEc:lug:wpidep:2002.

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2019Fully Closed: Individual Responses to Realized Gains and Losses. (2019). Pagel, Michaela ; Meyer, Steffen. In: NBER Working Papers. RePEc:nbr:nberwo:25542.

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2019Naïve *Buying* Diversification and Narrow Framing by Individual Investors. (2019). Hirshleifer, David ; Gathergood, John ; Stewart, Neil ; Sakaguchi, Hiroaki ; Leake, David. In: NBER Working Papers. RePEc:nbr:nberwo:25567.

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2019Hedging Climate Change News. (2019). Giglio, Stefano ; Engle, Robert ; Lee, Heebum ; Kelly, Bryan T ; Stroebel, Johannes. In: NBER Working Papers. RePEc:nbr:nberwo:25734.

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2020Target Date Funds and Portfolio Choice in 401(k) Plans. (2020). Mitchell, Olivia ; Utkus, Stephen. In: NBER Working Papers. RePEc:nbr:nberwo:26684.

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2020Portfolio Delegation and 401(k) Plan Participant Responses to COVID-19. (2020). Reuter, Jonathan ; Finke, Michael S ; Blanchett, David. In: NBER Working Papers. RePEc:nbr:nberwo:27438.

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2020Out of Sight No More? The Effect of Fee Disclosures on 401(k) Investment Allocations. (2020). Sialm, Clemens ; Kronlund, Mathias ; Stefanescu, Irina ; Pool, Veronika K. In: NBER Working Papers. RePEc:nbr:nberwo:27573.

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2020.

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2019Behavior of volatility persistence in 10-year sovereign bond yields of India and China: evidence from component-GARCH model of Engle and Lee (1999). (2019). Dar, Qaiser Farooq ; Bhat, Shariq Ahmad. In: DECISION: Official Journal of the Indian Institute of Management Calcutta. RePEc:spr:decisn:v:46:y:2019:i:3:d:10.1007_s40622-019-00206-9.

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2019The puzzling relationship between stocks return and inflation: a review article. (2019). Asgari, Mohsen ; Madadpour, Somayeh. In: International Review of Economics. RePEc:spr:inrvec:v:66:y:2019:i:2:d:10.1007_s12232-019-00317-w.

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2019The impacts of public news announcements on intraday implied volatility dynamics. (2019). Ryu, Doojin ; Lee, Jieun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:6:p:656-685.

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2019The quantile dependence of commodity futures markets on news sentiment. (2019). Todorova, Neda ; Omura, Akihiro. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:7:p:818-837.

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2019The evolution of price discovery in us equity and derivatives markets. (2019). Lian, Guanhua ; Kalev, Petko S ; Wallace, Damien. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:9:p:1122-1136.

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2019Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race. (2019). Jondeau, Eric ; Rockinger, Michael. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:51:y:2019:i:8:p:2239-2291.

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2020Official Demand for U.S. Debt: Implications for U.S. Real Rates. (2020). Zinna, Gabriele ; Kaminska, Iryna. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:52:y:2020:i:2-3:p:323-364.

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2020Household finance. (2020). Haliassos, Michael ; Gomes, Francisco J ; Ramadorai, Tarun. In: IMFS Working Paper Series. RePEc:zbw:imfswp:138.

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Works by Pierluigi Balduzzi:


YearTitleTypeCited
2003Portfolio Choice and Trading in a Large 401(k) Plan In: American Economic Review.
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article186
2008Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models In: Journal of Business & Economic Statistics.
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article24
2005Mimicking portfolios, economic risk premia, and tests of multi-beta models.(2005) In: FRB Atlanta Working Paper.
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This paper has another version. Agregated cites: 24
paper
1995 Asset Price Dynamics and Infrequent Feedback Trades. In: Journal of Finance.
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article11
1997 Risk Premia and Variance Bounds. In: Journal of Finance.
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article18
2020The Economic Effects of COVID-19 and Credit Constraints: Evidence from Italian Firms’ Expectations and Plans In: Boston College Working Papers in Economics.
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paper0
2020Populism, Political Risk and the Economy: Lessons from Italy In: Boston College Working Papers in Economics.
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paper0
1993Non-linearities in Asset Prices and Infrequent Noise Trading In: CEPR Financial Markets Paper.
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paper0
1992Nonlinearities in Asset Prices and Infrequent Noise Trading..(1992) In: Princeton, Department of Economics - Financial Research Center.
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This paper has another version. Agregated cites: 0
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1997Price Barriers and the Dynamics of Asset Prices in Equilibrium In: Journal of Financial and Quantitative Analysis.
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article9
1996Price Barriers and the Dynamics of Asset Prices in Equilibrium.(1996) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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2001Economic News and Bond Prices: Evidence from the U.S. Treasury Market In: Journal of Financial and Quantitative Analysis.
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article276
2007Money and asset prices in a continuous-time Lucas and Stokey cash-in-advance economy In: Journal of Economic Dynamics and Control.
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article4
1995Stock returns, inflation, and the proxy hypothesis: A new look at the data In: Economics Letters.
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article17
1996Minimal returns and the breakdown of the price-volume relation In: Economics Letters.
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article8
1996Inflation and asset prices in a monetary economy In: Economics Letters.
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article2
1997Yield-curve movements and fiscal retrenchments In: European Economic Review.
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article5
2010Asset pricing models and economic risk premia: A decomposition In: Journal of Empirical Finance.
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article5
2005Asset-pricing models and economic risk premia: a decomposition.(2005) In: FRB Atlanta Working Paper.
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1999Transaction costs and predictability: some utility cost calculations In: Journal of Financial Economics.
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article155
1997A model of target changes and the term structure of interest rates In: Journal of Monetary Economics.
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article94
1993A Model of Target Changes and the Term Structure of Interest Rates.(1993) In: NBER Working Papers.
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This paper has another version. Agregated cites: 94
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2007Testing heterogeneous-agent models: an alternative aggregation approach In: Journal of Monetary Economics.
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article18
1996Money, transactions and portfolio choice In: Ricerche Economiche.
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article0
2001Minimum-variance kernels, economic risk premia, and tests of multi-beta models In: FRB Atlanta Working Paper.
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paper5
1990STOCK RETURNS AND INFLATION: SOME EMPIRICAL EVIDENCE. In: California Los Angeles - Applied Econometrics.
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paper0
1996The Central Tendency: A Second Factor in Bond Yields In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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paper66
1997The Central Tendency: A Second Factor in Bond Yields.(1997) In: NBER Working Papers.
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This paper has another version. Agregated cites: 66
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1998The Central Tendency: A Second Factor In Bond Yields.(1998) In: The Review of Economics and Statistics.
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This paper has another version. Agregated cites: 66
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1996Economic News and the Yield Curve: Evidence From the U.S. Treasury Market In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Citation analysis]
paper78
1997Economic News and the Yield Curve: Evidence from the U.S. Treasury Market.(1997) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Citation analysis]
This paper has another version. Agregated cites: 78
paper
1998Predictability and Transaction Costs: The Impact on Rebalancing Rules and Behavior In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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paper4
1998Interest Rate Targeting and the Dynamics of Short-Term Rates. In: Journal of Money, Credit and Banking.
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article43
1997Interest Rate Targeting and the Dynamics of Short-Term Rates.(1997) In: NBER Working Papers.
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This paper has another version. Agregated cites: 43
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1999Minimum-Variance Kernels and Economic Risk Premia In: Computing in Economics and Finance 1999.
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paper3

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