Luca Benzoni : Citation Profile

Are you Luca Benzoni?

Federal Reserve Bank of Chicago

11

H index

11

i10 index

901

Citations

RESEARCH PRODUCTION:

13

Articles

28

Papers

RESEARCH ACTIVITY:

   21 years (2001 - 2022). See details.
   Cites by year: 42
   Journals where Luca Benzoni has often published
   Relations with other researchers
   Recent citing documents: 80.    Total self citations: 12 (1.31 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbe1008
   Updated: 2023-03-25    RAS profile: 2022-09-06    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Ying, Chao (2)

Timmer, Yannick (2)

Ajello, Andrea (2)

Chyruk, Olena (2)

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

Is cited by:

Bollerslev, Tim (18)

Chernov, Mikhail (16)

Andersen, Torben (14)

Meddahi, Nour (11)

Diebold, Francis (10)

Maheu, John (10)

Renò, Roberto (9)

Sévi, Benoît (9)

Shephard, Neil (8)

Nicodano, Giovanna (8)

Wu, Liuren (7)

Cites to:

Andersen, Torben (35)

Bollerslev, Tim (31)

Diebold, Francis (25)

Campbell, John (23)

Duffie, Darrell (19)

Tauchen, George (15)

Gallant, A. (14)

Zeldes, Stephen (14)

Shephard, Neil (11)

Singleton, Kenneth (11)

merton, robert (10)

Main data

Where Luca Benzoni has published?

Journals with more than one article published# docs
Journal of Finance3
Review of Financial Studies2
Chicago Fed Letter2
Economic Perspectives2

Working Papers Series with more than one paper published# docs
Working Paper Series / Federal Reserve Bank of Chicago18
NBER Working Papers / National Bureau of Economic Research, Inc4

Recent works citing Luca Benzoni (2022 and 2021)

YearTitle of citing document
2021The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11.

Full description at Econpapers || Download paper

2022Long memory self-exciting jump diffusion for asset prices modeling. (2022). Hainaut, Donatien ; Njike, Charles G. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022003.

Full description at Econpapers || Download paper

2022Epstein-Zin Utility Maximization on Random Horizons. (2019). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:1903.08782.

Full description at Econpapers || Download paper

2021Bayesian prediction of jumps in large panels of time series data. (2019). Papaspiliopoulos, Omiros ; Dellaportas, Petros ; Alexopoulos, Angelos. In: Papers. RePEc:arx:papers:1904.05312.

Full description at Econpapers || Download paper

2021An analytical perturbative solution to the Merton Garman model using symmetries. (2019). Shaw, Nathaniel Wiesendanger ; Calmet, Xavier. In: Papers. RePEc:arx:papers:1909.01413.

Full description at Econpapers || Download paper

2021Modelling volatility with v-transforms. (2020). McNeil, Alexander J. In: Papers. RePEc:arx:papers:2002.10135.

Full description at Econpapers || Download paper

2021Mortality and Healthcare: a Stochastic Control Analysis under Epstein-Zin Preferences. (2020). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:2003.01783.

Full description at Econpapers || Download paper

2021Optimal Investing after Retirement Under Time-Varying Risk Capacity Constraint. (2020). Zhu, Zimu ; Tian, Weidong. In: Papers. RePEc:arx:papers:2005.13741.

Full description at Econpapers || Download paper

2022A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312.

Full description at Econpapers || Download paper

2021A Numerical Approach to Pricing Exchange Options under Stochastic Volatility and Jump-Diffusion Dynamics. (2021). , Gerald ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2106.07362.

Full description at Econpapers || Download paper

2022Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints. (2021). Tian, Dejian ; Feng, Zixin. In: Papers. RePEc:arx:papers:2111.09032.

Full description at Econpapers || Download paper

2022Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation. (2022). Vladimirov, Evgenii ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2210.06217.

Full description at Econpapers || Download paper

2022Change of measure in a Heston-Hawkes stochastic volatility model. (2022). Font, Oriol Zamora ; Ortiz-Latorre, Salvador ; Banos, David R. In: Papers. RePEc:arx:papers:2210.15343.

Full description at Econpapers || Download paper

2021Intra?industry spill?over effect of default: Evidence from the Chinese bond market. (2021). Li, Jiang ; Xu, Zijin ; Luo, Haoyi ; Hu, Xiaolu. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4703-4740.

Full description at Econpapers || Download paper

2021Leverage Dynamics without Commitment. (2021). He, Zhiguo ; DeMarzo, Peter. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:3:p:1195-1250.

Full description at Econpapers || Download paper

2021Growth Uncertainty, Rational Learning, and Option Prices. (2021). Kozhan, Roman ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp682.

Full description at Econpapers || Download paper

2021Childrens Patience and School-Track Choices Several Years Later: Linking Experimental and Field Data. (2021). Glatzle-Rutzler, Daniela ; Bolvashenkova, Jana ; Angerer, Silvia ; Sutter, Matthias ; Lergetporer, Philipp. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9110.

Full description at Econpapers || Download paper

2021An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution. (2021). Li, Handong ; Tian, Fei ; Song, Shijia. In: Journal of Asian Economics. RePEc:eee:asieco:v:74:y:2021:i:c:s1049007821000439.

Full description at Econpapers || Download paper

2021Credit risk spillovers and cash holdings. (2021). Qiu, Jiaping ; Lei, Jin ; Yu, Fan ; Wan, Chi. In: Journal of Corporate Finance. RePEc:eee:corfin:v:68:y:2021:i:c:s0929119921000869.

Full description at Econpapers || Download paper

2021Optimal capital structure and simultaneous bankruptcy of firms in corporate networks. (2021). Shibata, Takashi ; Nishihara, Michi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921001998.

Full description at Econpapers || Download paper

2021Dynamic portfolio choice and information trading with recursive utility. (2021). Ruan, Xinfeng ; Chen, Xingjiang ; Zhang, Wenjun. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:154-167.

Full description at Econpapers || Download paper

2021A closed-form exact solution for pricing fixed-income variance swaps with affine-jump model. (2021). Zhu, Chunhui ; Zhang, Yuanyuan ; Li, Shaoyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001479.

Full description at Econpapers || Download paper

2021Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk. (2021). Clare, Andrew ; Jang, Chul ; Owadally, Iqbal. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:3:p:1132-1146.

Full description at Econpapers || Download paper

2022Managerial commitment and heterogeneity in target-date funds. (2022). Wong, Ching Hin ; Mao, Mike Qinghao . In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:1-19.

Full description at Econpapers || Download paper

2021How sub-optimal are age-based life-cycle investment products?. (2021). Warren, Geoffrey J ; Steffensen, Mogens ; Khemka, Gaurav. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302623.

Full description at Econpapers || Download paper

2021Ambiguity on uncertainty and the equity premium. (2021). Zhang, Jin E ; Ruan, Xinfeng. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319312176.

Full description at Econpapers || Download paper

2022Cross country linkages and transmission of sovereign risk: Evidence from China’s credit default swaps. (2022). Helwege, Jean ; Zhang, Gaiyan. In: Journal of Financial Stability. RePEc:eee:finsta:v:58:y:2022:i:c:s1572308920301418.

Full description at Econpapers || Download paper

2022Sovereign risk spillovers: A network approach. (2022). Le, Anh ; Dickinson, David. In: Journal of Financial Stability. RePEc:eee:finsta:v:60:y:2022:i:c:s1572308922000341.

Full description at Econpapers || Download paper

2021Volatility forecasting in European government bond markets. (2021). Ozbekler, Ali Gencay ; Triantafyllou, Athanasios ; Kontonikas, Alexandros. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1691-1709.

Full description at Econpapers || Download paper

2021Unspanned stochastic volatility from an empirical and practical perspective. (2021). Backwell, Alex. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:122:y:2021:i:c:s0378426620302557.

Full description at Econpapers || Download paper

2021The cost of diversification over time, and a simple way to improve target-date funds. (2021). Levy, Moshe. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:122:y:2021:i:c:s0378426620302570.

Full description at Econpapers || Download paper

2021Federal reserve intervention and systemic risk during financial crises. (2021). Sedunov, John. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621001692.

Full description at Econpapers || Download paper

2021Stocks versus bonds for the long run when a riskless asset is available. (2021). Levy, Moshe. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002314.

Full description at Econpapers || Download paper

2021Modeling persistent interest rates with double-autoregressive processes. (2021). Hansen, Anne Lundgaard. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002545.

Full description at Econpapers || Download paper

2022Life-cycle portfolio choice with imperfect predictors. (2022). Zhang, Yuxin ; Michaelides, Alexander. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:135:y:2022:i:c:s0378426621003083.

Full description at Econpapers || Download paper

2022Why have target-date funds performed better in the COVID-19 selloff than the 2008 selloff?. (2022). Wong, Ching Hin ; Mao, Mike Qinghao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:135:y:2022:i:c:s0378426621003186.

Full description at Econpapers || Download paper

2022Political corruption, trust, and household stock market participation. (2022). Liao, Yin ; Hanspal, Tobin ; Bu, DI. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000425.

Full description at Econpapers || Download paper

2022Monetary policy reaction function and the financial cycle. (2022). Rungcharoenkitkul, Phurichai ; Hubert, Paul ; Filardo, Andrew. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:142:y:2022:i:c:s0378426622001303.

Full description at Econpapers || Download paper

2022Quasi-hyperbolic discounting under recursive utility and consumption–investment decisions. (2022). Shigeta, Yuki. In: Journal of Economic Theory. RePEc:eee:jetheo:v:204:y:2022:i:c:s0022053122001089.

Full description at Econpapers || Download paper

2021Windfall gains and stock market participation. (2021). Lindqvist, Erik ; Cesarini, David ; Ostling, Robert ; Briggs, Joseph. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:1:p:57-83.

Full description at Econpapers || Download paper

2021Systematic risk, debt maturity, and the term structure of credit spreads. (2021). Yang, Jun ; Xu, YU ; Chen, Hui. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:3:p:770-799.

Full description at Econpapers || Download paper

2021Macro risks and the term structure of interest rates. (2021). Bekaert, Geert ; Ermolov, Andrey ; Engstrom, Eric. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:2:p:479-504.

Full description at Econpapers || Download paper

2021Common shocks in stocks and bonds. (2021). Pang, Hao ; Cieslak, Anna. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:2:p:880-904.

Full description at Econpapers || Download paper

2022Learning, slowly unfolding disasters, and asset prices. (2022). Seo, Sang Byung ; Kilic, Mete ; Ghaderi, Mohammad. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:1:p:527-549.

Full description at Econpapers || Download paper

2022The maturity premium. (2022). Zechner, Josef ; Weiss, Patrick ; Chaderina, Maria. In: Journal of Financial Economics. RePEc:eee:jfinec:v:144:y:2022:i:2:p:670-694.

Full description at Econpapers || Download paper

2022A unified model of distress risk puzzles. (2022). Strebulaev, Ilya A ; Hackbarth, Dirk ; Chen, Zhiyao. In: Journal of Financial Economics. RePEc:eee:jfinec:v:146:y:2022:i:2:p:357-384.

Full description at Econpapers || Download paper

2022Fire-sale risk in the leveraged loan market. (2022). Nozawa, Yoshio ; Elkamhi, Redouane. In: Journal of Financial Economics. RePEc:eee:jfinec:v:146:y:2022:i:3:p:1120-1147.

Full description at Econpapers || Download paper

2022The impact of the minimum housing scale constraint on life-cycle risky asset and housing investment. (2022). He, Zhechun ; Simmons, Peter. In: Journal of Housing Economics. RePEc:eee:jhouse:v:55:y:2022:i:c:s1051137721000644.

Full description at Econpapers || Download paper

2022The impact of the Chilean pension withdrawals during the Covid pandemic on the future savings rate. (2022). Madeira, Carlos. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:126:y:2022:i:c:s0261560622000535.

Full description at Econpapers || Download paper

2022It’s not time to make a change: Sovereign fragility and the corporate credit risk. (2022). Zaghini, Andrea ; Fornari, Fabio. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:128:y:2022:i:c:s0261560622001061.

Full description at Econpapers || Download paper

2021Time-varying uncertainty and variance risk premium. (2021). Zhang, Jin E ; Ruan, Xinfeng. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:69:y:2021:i:c:s0164070421000471.

Full description at Econpapers || Download paper

2022Spillovers beyond the variance: Exploring the higher order risk linkages between commodity markets and global financial markets. (2022). Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose E. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:28:y:2022:i:c:s2405851322000162.

Full description at Econpapers || Download paper

2021Pension insurance schemes and moral hazard: The Pension Benefit Guaranty Corporation should restrict the insured pension plans’ portfolio policy. (2021). Romaniuk, Katarzyna. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:82:y:2021:i:c:p:37-43.

Full description at Econpapers || Download paper

2022Do markets value ESG risks in sovereign credit curves?. (2022). Hubel, Benjamin. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:85:y:2022:i:c:p:134-148.

Full description at Econpapers || Download paper

2021Ambiguity, long-run risks, and asset prices in continuous time. (2021). Ruan, Xinfeng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:115-126.

Full description at Econpapers || Download paper

2022How arbitrage-free is the Nelson–Siegel model under stochastic volatility?. (2022). Takamizawa, Hideyuki. In: International Review of Economics & Finance. RePEc:eee:reveco:v:79:y:2022:i:c:p:205-223.

Full description at Econpapers || Download paper

2022Optimal portfolio choice with path dependent benchmarked labor income: A mean field model. (2022). Zanella, Margherita ; Zanco, Giovanni ; Gozzi, Fausto ; Djehiche, Boualem. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:145:y:2022:i:c:p:48-85.

Full description at Econpapers || Download paper

2021Corporate legacy debt, inflation, and the efficacy of monetary policy. (2021). Tsomocos, Dimitrios ; Wang, Xuan ; Peiris, M U ; Goodhart, C. A. E., . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:112955.

Full description at Econpapers || Download paper

2023Recession Signals and Business Cycle Dynamics: Tying the Pieces Together. (2023). Kiley, Michael T. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-08.

Full description at Econpapers || Download paper

2021Modelling Volatile Time Series with V-Transforms and Copulas. (2021). McNeil, Alexander J. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:1:p:14-:d:474998.

Full description at Econpapers || Download paper

2021Towards Personal Financial Sustainability Based on Human Capital Analysis in Korea. (2021). Ho, Jang ; Lee, Gunyoung ; Yu, Jaeyong. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:5:p:2700-:d:509299.

Full description at Econpapers || Download paper

2022Arbitrage constraints and behaviour of volatility components: Evidence from a natural experiment. (2022). Jacob, Joshy ; Srivastava, Pranjal. In: IIMA Working Papers. RePEc:iim:iimawp:14685.

Full description at Econpapers || Download paper

2021Childrens patience and school-track choices several years later: Linking experimental and field data. (2021). Sutter, Matthias ; Bolvashenkova, Jana ; Angerer, Silvia ; Lergetporer, Philipp ; Glatzle-Rutzler, Daniela. In: Working Papers. RePEc:inn:wpaper:2021-17.

Full description at Econpapers || Download paper

2021Childrens Patience and School-Track Choices Several Years Later: Linking Experimental and Field Data. (2021). Sutter, Matthias ; Bolvashenkova, Jana ; Angerer, Silvia ; Lergetporer, Philipp ; Glatzle-Rutzler, Daniela. In: IZA Discussion Papers. RePEc:iza:izadps:dp14401.

Full description at Econpapers || Download paper

2022A portfolio choice problem under risk capacity constraint. (2022). Zhu, Zimu ; Tian, Weidong. In: Annals of Finance. RePEc:kap:annfin:v:18:y:2022:i:3:d:10.1007_s10436-021-00404-5.

Full description at Econpapers || Download paper

2021Geographic Heterogeneity in Housing Market Risk and Portfolio Choice. (2021). Nam, Tong-Yob. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:62:y:2021:i:4:d:10.1007_s11146-020-09762-9.

Full description at Econpapers || Download paper

2021Children’s patience and school-track choices several years later: Linking experimental and field data. (2021). Angerer, Silvia ; Sutter, Matthias ; Lergetporer, Philipp ; Glatzle-Rutzler, Daniela ; Bolvashenkova, Jana. In: Discussion Paper Series of the Max Planck Institute for Research on Collective Goods. RePEc:mpg:wpaper:2021_12.

Full description at Econpapers || Download paper

2022Spillovers from one country’s sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approach. (2022). Onder, Ozlem A ; Muradolu, Gulnur Y ; Kila, Gul Huyuguzel. In: Journal of Asset Management. RePEc:pal:assmgt:v:23:y:2022:i:4:d:10.1057_s41260-022-00263-3.

Full description at Econpapers || Download paper

2022A lifetime allocation with human capital: implications for target date fund. (2022). Fabozzi, Frank J ; Ha, Seokkeun. In: Journal of Asset Management. RePEc:pal:assmgt:v:23:y:2022:i:5:d:10.1057_s41260-022-00278-w.

Full description at Econpapers || Download paper

2023Stock Market Participation: The Role of Human Capital. (). Neelakantan, Urvi ; Ionescu, Felicia ; Athreya, Kartik. In: Review of Economic Dynamics. RePEc:red:issued:18-378.

Full description at Econpapers || Download paper

2021The safety premium of safe assets. (2021). Mirkov, Nikola ; Christensen, Jens. In: Working Papers. RePEc:snb:snbwpa:2021-02.

Full description at Econpapers || Download paper

2021A collective investment problem in a stochastic volatility environment: The impact of sharing rules. (2021). Rach, Manuel ; Nguyen, Thai ; Chen, AN. In: Annals of Operations Research. RePEc:spr:annopr:v:302:y:2021:i:1:d:10.1007_s10479-021-03983-8.

Full description at Econpapers || Download paper

2021Predicting Recessions in Germany Using the German and the US Yield Curve. (2021). Paick, Martin. In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:17:y:2021:i:3:d:10.1007_s41549-021-00061-7.

Full description at Econpapers || Download paper

2022Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation. (2022). Vladimirov, Evgenii ; Boswijk, Peter H. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220075.

Full description at Econpapers || Download paper

2022Preference for Wealth and Life Cycle Portfolio Choice. (2022). Carolina, Fugazza ; Claudio, Campanale. In: Working papers. RePEc:tur:wpapnw:075.

Full description at Econpapers || Download paper

2022The Behavioral Determinants of School Achievement: A Lab in the Field Experiment in Middle School. (2022). Penard, Thierry ; Masclet, David ; Dagorn, Etienne. In: Economics Working Paper Archive (University of Rennes 1 & University of Caen). RePEc:tut:cremwp:2022-05.

Full description at Econpapers || Download paper

2022Yield curve data choice and potential moral hazard: An empirical exercise on pricing callable bonds. (2022). Navarro, Eliseo ; Jareo, Francisco ; Diaz, Antonio. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2124-2145.

Full description at Econpapers || Download paper

2021Its not time to make a change: Sovereign fragility and the corporate credit risk. (2021). Zaghini, Andrea ; Fornari, Fabio. In: CFS Working Paper Series. RePEc:zbw:cfswop:652.

Full description at Econpapers || Download paper

2022Hot off the press: News-implied sovereign default risk. (2022). Zwart, Sanne ; Wolski, Marcin ; Koerner, Kevin ; Dim, Chukwuma. In: EIB Working Papers. RePEc:zbw:eibwps:202206.

Full description at Econpapers || Download paper

2022Extreme inflation and time-varying expected consumption growth. (2022). Schlag, Christian ; Meinerding, Christoph ; Dergunov, Ilya. In: SAFE Working Paper Series. RePEc:zbw:safewp:334.

Full description at Econpapers || Download paper

Works by Luca Benzoni:

YearTitleTypeCited
2007Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper61
2010Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models.(2010) In: Journal of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61		article
2006Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models.(2006) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61		paper
2007Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61		paper
2010Stochastic Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper67
2009Stochastic volatility.(2009) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 67		paper
2015The Value and Risk of Human Capital In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article14
2015The Value and Risk of Human Capital.(2015) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		paper
2002An Empirical Investigation of Continuous?Time Equity Return Models In: Journal of Finance.
[Full Text][Citation analysis]		article297
2001An Empirical Investigation of Continuous-Time Equity Return Models.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 297		paper
2007Portfolio Choice over the Life?Cycle when the Stock and Labor Markets Are Cointegrated In: Journal of Finance.
[Full Text][Citation analysis]		article189
2007Portfolio choice over the life-cycle when the stock and labor markets are cointegrated.(2007) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 189		paper
2004Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature In: Econometric Society 2004 North American Winter Meetings.
[Citation analysis]		paper1
2011Explaining asset pricing puzzles associated with the 1987 market crash In: Journal of Financial Economics.
[Full Text][Citation analysis]		article70
2010Explaining asset pricing puzzles associated with the 1987 market crash.(2010) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 70		paper
2010Conflict of interest and certification in the U.S. IPO market In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article5
2007Conflict of interest and certification in the U.S. IPO market.(2007) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2010Lifecycle investment decisions and labor income risk In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article0
2022Monetary Policy, Inflation Outlook, and Recession Probabilities In: FEDS Notes.
[Full Text][Citation analysis]		paper1
2009Investing over the life cycle with long-run labor income risk In: Economic Perspectives.
[Full Text][Citation analysis]		article6
2012No-arbitrage restrictions and the U.S. Treasury market In: Economic Perspectives.
[Full Text][Citation analysis]		article2
2018Why Does the Yield-Curve Slope Predict Recessions? In: Chicago Fed Letter.
[Full Text][Citation analysis]		article4
2018Why Does the Yield-Curve Slope Predict Recessions?.(2018) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2022Sources of Fluctuation in Short-Term Yields and Recession Probabilities In: Chicago Fed Letter.
[Full Text][Citation analysis]		article0
2020Optimal Debt Dynamics, Issuance Costs, and Commitment In: Working Paper Series.
[Full Text][Citation analysis]		paper4
2022Debt Dynamics with Fixed Issuance Costs In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2008Realized volatility In: Working Paper Series.
[Full Text][Citation analysis]		paper49
2011Can standard preferences explain the prices of out-of-the-money S&P 500 put options? In: Working Paper Series.
[Full Text][Citation analysis]		paper20
2005Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20		paper
2012Modeling credit contagion via the updating of fragile beliefs In: Working Paper Series.
[Full Text][Citation analysis]		paper52
2015Modeling Credit Contagion via the Updating of Fragile Beliefs.(2015) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52		article
2013Human Capital and Long-Run Labor Income Risk In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2012Core and Crust: Consumer Prices and the Term Structure of Interest Rates In: Working Paper Series.
[Full Text][Citation analysis]		paper21
2020Core and ‘Crust’: Consumer Prices and the Term Structure of Interest Rates.(2020) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		article
2012Core and `Crust: Consumer Prices and the Term Structure of Interest Rates.(2012) In: 2012 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
2016The Interplay Between Financial Conditions and Monetary Policy Shocks In: Working Paper Series.
[Full Text][Citation analysis]		paper7
2017The Interplay Between Financial Conditions and Monetary Policy Shocks.(2017) In: 2017 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2015Estimating the Tax and Credit-Event Risk Components of Credit Spreads In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2017Selecting Primal Innovations in DSGE models In: Working Paper Series.
[Full Text][Citation analysis]		paper3
2019Asymmetric Information, Dynamic Debt Issuance, and the Term Structure of Credit Spreads In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2005Portfolio Choice over the Life-Cycle in the Presence of Trickle Down Labor Income In: NBER Working Papers.
[Full Text][Citation analysis]		paper28

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2023. Contact: CitEc Team