Luca Benzoni : Citation Profile


Are you Luca Benzoni?

Federal Reserve Bank of Chicago

10

H index

10

i10 index

447

Citations

RESEARCH PRODUCTION:

10

Articles

25

Papers

RESEARCH ACTIVITY:

   17 years (2001 - 2018). See details.
   Cites by year: 26
   Journals where Luca Benzoni has often published
   Relations with other researchers
   Recent citing documents: 94.    Total self citations: 11 (2.4 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbe1008
   Updated: 2020-05-23    RAS profile: 2019-11-26    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Chyruk, Olena (4)

Bassetto, Marco (2)

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

Is cited by:

Christoffersen, Peter (15)

Chernov, Mikhail (12)

Shephard, Neil (10)

Bollerslev, Tim (10)

Andersen, Torben (9)

Kaplan, Greg (7)

Diebold, Francis (7)

Huggett, Mark (7)

Guiso, Luigi (7)

Campbell, John (6)

Backus, David (6)

Cites to:

Andersen, Torben (34)

Bollerslev, Tim (31)

Diebold, Francis (21)

Duffie, Darrell (17)

Tauchen, George (15)

Campbell, John (14)

Gallant, A. (14)

Zeldes, Stephen (12)

Singleton, Kenneth (11)

Viceira, Luis (10)

Cao, Charles (9)

Main data


Where Luca Benzoni has published?


Journals with more than one article published# docs
Economic Perspectives2
Journal of Finance2

Working Papers Series with more than one paper published# docs
Working Paper Series / Federal Reserve Bank of Chicago16

Recent works citing Luca Benzoni (2019 and 2018)


YearTitle of citing document
2020Epstein-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

2020Optimal portfolio choice with path dependent labor income: the infinite horizon case. (2020). Gozzi, Fausto ; Prosdocimi, Cecilia ; Biffis, Enrico. In: Papers. RePEc:arx:papers:2002.00201.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Mortality 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

2020Asymptotically Optimal Management of Heterogeneous Collectivised Investment Funds. (2020). Buescu, Cristin ; Armstrong, John. In: Papers. RePEc:arx:papers:2004.01506.

Full description at Econpapers || Download paper

2020A New Indicator of Bank Funding Cost. (2020). Sahuc, Jean-Guillaume ; Mojon, Benoit ; Jondeau, Eric. In: BIS Working Papers. RePEc:bis:biswps:854.

Full description at Econpapers || Download paper

2018Financial risk exposure of returns to education: Panel evidence from Korea*. (2018). Lee, Jaeram ; Ihm, Jungjoon . In: Asian Economic Journal. RePEc:bla:asiaec:v:32:y:2018:i:1:p:83-97.

Full description at Econpapers || Download paper

2017Dynamic Asset Allocation with Liabilities. (2017). Giamouridis, Daniel ; Tessaromatis, Nikolaos ; Sakkas, Athanasios. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:2:p:254-291.

Full description at Econpapers || Download paper

2019Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data. (2019). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:952.

Full description at Econpapers || Download paper

2018Forced Retirement Risk and Portfolio Choice. (2018). Lee, Minjoon ; Nam, Tong-Yob ; Chen, Guodong. In: Carleton Economic Papers. RePEc:car:carecp:18-06.

Full description at Econpapers || Download paper

2017Generalized Disappointment Aversion, Learning, and Asset Prices. (2017). Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp606.

Full description at Econpapers || Download paper

2018Central Bank Policies and Financial Markets: Lessons from the Euro Crisis. (2018). Nedeljkovic, Milan ; Mody, Ashoka. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7400.

Full description at Econpapers || Download paper

2017Dispersed Information and Sovereign Risk Premia. (2017). Becerra, Sebastian ; Margaretic, Paula. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:808.

Full description at Econpapers || Download paper

2017Systematic Monetary Policy and the Macroeconomic Effects of Shifts in Loan-to-Value Ratios. (2017). Rüth, Sebastian ; Bachmann, Ruediger ; Rueth, Sebastian . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12024.

Full description at Econpapers || Download paper

2018Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads. (2018). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12857.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018Optimal risk-sharing in pension funds when stock and labor markets are co-integrated. (2018). Mehlkopf, Roel ; Boelaars, Ilja. In: DNB Working Papers. RePEc:dnb:dnbwpp:595.

Full description at Econpapers || Download paper

2018Bank to sovereign risk spillovers across borders: evidence from the ECB’s Comprehensive Assessment. (2018). Schwaab, Bernd ; Breckenfelder, Johannes. In: Working Paper Series. RePEc:ecb:ecbwps:20182193.

Full description at Econpapers || Download paper

2020Intra-industry transfer effects of credit risk news: Rated versus unrated rivals. (2020). Abad, Pilar ; Robles, M D ; Ferreras, R. In: The British Accounting Review. RePEc:eee:bracre:v:52:y:2020:i:1:s0890838918300830.

Full description at Econpapers || Download paper

2019Hedging recessions. (2019). Munk, Claus ; Larsen, Linda Sandris ; Branger, Nicole. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:2.

Full description at Econpapers || Download paper

2017International endogenous growth, macro anomalies, and asset prices. (2017). Grüning, Patrick ; Gruning, Patrick. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:78:y:2017:i:c:p:118-148.

Full description at Econpapers || Download paper

2018Level and slope of volatility smiles in long-run risk models. (2018). Branger, Nicole ; Schlag, Christian ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:95-122.

Full description at Econpapers || Download paper

2018Permanent shocks, signal extraction, and portfolio selection. (2018). Nazliben, Korhan K ; Rodriguez, Juan Carlos. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:47-68.

Full description at Econpapers || Download paper

2018Equilibrium variance risk premium in a cost-free production economy. (2018). Ruan, Xinfeng ; Zhang, Jin E. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:96:y:2018:i:c:p:42-60.

Full description at Econpapers || Download paper

2017Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift☆. (2017). Li, Shaoyu ; Zheng, Tingguo . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:200-221.

Full description at Econpapers || Download paper

2017From bond yield to macroeconomic instability: A parsimonious affine model. (2017). Tedeschi, Gabriele ; Recchioni, Maria Cristina . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:3:p:1116-1135.

Full description at Econpapers || Download paper

2018Macroeconomic determinants of the term structure: Long-run and short-run dynamics. (2018). Doshi, Hitesh ; Liu, Rui ; Jacobs, Kris. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:99-122.

Full description at Econpapers || Download paper

2018Bank to sovereign risk spillovers across borders: Evidence from the ECB’s Comprehensive Assessment. (2018). Schwaab, Bernd ; Breckenfelder, Johannes. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:247-262.

Full description at Econpapers || Download paper

2017The market for lemmings: The herding behavior of pension funds. (2017). Zinna, Gabriele ; Sarno, Lucio ; Blake, David. In: Journal of Financial Markets. RePEc:eee:finmar:v:36:y:2017:i:c:p:17-39.

Full description at Econpapers || Download paper

2017Time varying contagion in EMU government bond spreads. (2017). Leschinski, Christian ; Bertram, Philip . In: Journal of Financial Stability. RePEc:eee:finsta:v:29:y:2017:i:c:p:72-91.

Full description at Econpapers || Download paper

2017Does realized volatility help bond yield density prediction?. (2017). Shin, Minchul ; Zhong, Molin. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:373-389.

Full description at Econpapers || Download paper

2019Individual pension risk preference elicitation and collective asset allocation with heterogeneity. (2019). dellaert, benedict ; Swinkels, Laurens. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:206-225.

Full description at Econpapers || Download paper

2017Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives. (2017). Nguyen, Duc Khuong ; Paltalidis, Nikos ; Gounopoulos, Dimitrios ; Boubaker, Sabri. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:35-52.

Full description at Econpapers || Download paper

2018Sovereign credit spreads under good/bad governance. (2018). Jeanneret, Alexandre. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:230-246.

Full description at Econpapers || Download paper

2019How persistent are the effects of experience sampling on investor behavior?. (2019). , Meike ; Zeisberger, Stefan ; Hens, Thorsten. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:98:y:2019:i:c:p:61-79.

Full description at Econpapers || Download paper

2018One size fits all? Tailoring retirement plan defaults. (2018). Thorp, Susan ; Warren, Geoffrey J ; Foster, Douglas F ; Donald, Scott M ; Butt, Adam. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:145:y:2018:i:c:p:546-566.

Full description at Econpapers || Download paper

2018Pricing long-lived securities in dynamic endowment economies. (2018). Tsai, Jerry ; Wachter, Jessica A. In: Journal of Economic Theory. RePEc:eee:jetheo:v:177:y:2018:i:c:p:848-878.

Full description at Econpapers || Download paper

2018Interest rate volatility, the yield curve, and the macroeconomy. (2018). Joslin, Scott ; Konchitchki, Yaniv. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:2:p:344-362.

Full description at Econpapers || Download paper

2018Exploring the sources of default clustering. (2018). Azizpour, S ; Schwenkler, G ; Giesecke, K. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:1:p:154-183.

Full description at Econpapers || Download paper

2019Should Long-Term Investors Time Volatility?. (2019). Muir, Tyler ; Moreira, Alan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:507-527.

Full description at Econpapers || Download paper

2019Should investors learn about the timing of equity risk?. (2019). Khapko, Mariana ; Hasler, Michael ; Marfe, Roberto. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:3:p:182-204.

Full description at Econpapers || Download paper

2019Gold, platinum, and expected stock returns. (2019). Kilic, Mete ; Huang, Darien. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:3:p:50-75.

Full description at Econpapers || Download paper

2019Time-varying ambiguity, credit spreads, and the levered equity premium. (2019). Shi, Zhan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:3:p:617-646.

Full description at Econpapers || Download paper

2017Macroeconomic announcements and price discovery in the foreign exchange market. (2017). Gau, Yin-Feng ; Wu, Zhen-Xing . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:79:y:2017:i:c:p:232-254.

Full description at Econpapers || Download paper

2019Credit crunch and timing of initial public offerings. (2019). Uchida, Konari ; Fan, Pengda. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:53:y:2019:i:c:p:22-39.

Full description at Econpapers || Download paper

2017Invariance, observational equivalence, and identification: Some implications for the empirical performance of affine term structure models. (2017). Juneja, Januj. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:292-305.

Full description at Econpapers || Download paper

2017Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection. (2017). Santanna, Leonardo R ; Caldeira, Joo F ; Filomena, Tiago P. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:65:y:2017:i:c:p:146-157.

Full description at Econpapers || Download paper

2018Interest rate volatility and risk management: Evidence from CBOE Treasury options. (2018). Markellos, Raphael N ; Psychoyios, Dimitris. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:190-202.

Full description at Econpapers || Download paper

2018Sovereign bond spreads and extra-financial performance: An empirical analysis of emerging markets. (2018). Margaretic, Paula ; Pouget, Sebastien. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:340-355.

Full description at Econpapers || Download paper

2018Estimating spot volatility in the presence of infinite variation jumps. (2018). Liu, Qiang. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:6:p:1958-1987.

Full description at Econpapers || Download paper

2017A Portfolio Approach to Assessing an Auto-Enrolment Pension Scheme for Ireland. (2017). Gallagher, Liam ; Ryan, Fionnuala . In: The Economic and Social Review. RePEc:eso:journl:v:48:y:2017:i:4:p:515-548.

Full description at Econpapers || Download paper

2018Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement. (2018). Lopez, Jose ; Christensen, Jens ; Mussche, Paul . In: Working Paper Series. RePEc:fip:fedfwp:2018-09.

Full description at Econpapers || Download paper

2017Macro Risks and the Term Structure of Interest Rates. (2017). Bekaert, Geert ; Ermolov, Andrey ; Engstrom, Eric. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-58.

Full description at Econpapers || Download paper

2017Liquidity Traps and Monetary Policy: Managing a Credit Crunch. (2017). Nicolini, Juan Pablo ; Buera, Francisco. In: Staff Report. RePEc:fip:fedmsr:540.

Full description at Econpapers || Download paper

2019Wealth Effects with Endogenous Retirement. (2019). Grochulski, Borys ; Zhang, Yuzhe. In: Economic Quarterly. RePEc:fip:fedreq:00069.

Full description at Econpapers || Download paper

2019Risk Taking and Fiscal Smoothing with Sovereign Wealth Funds in Advanced Economies. (2019). Lindset, Snorre ; Mork, Knut Anton. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:7:y:2019:i:1:p:4-:d:196279.

Full description at Econpapers || Download paper

2020Portfolio Choice for a Resource-Based Sovereign Wealth Fund: An Analysis of Cash Flows. (2020). Eap, Hanna Marisela ; Mork, Knut Anton ; Haraldsen, Magnus Eskedal. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:8:y:2020:i:1:p:14-:d:329849.

Full description at Econpapers || Download paper

2018Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis. (2018). Maheu, John ; Jensen, Mark. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:52-:d:167993.

Full description at Econpapers || Download paper

2019The Effect of Systematic Default Risk on Credit Risk Premiums. (2019). Kim, Jungmu. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:21:p:6039-:d:281911.

Full description at Econpapers || Download paper

2020Sovereign Credit Spread Spillovers in Asia. (2020). Guo, Biao ; Han, Qian ; Yu, Jinyoung ; Ryu, Doojin ; Liang, Jufang. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:4:p:1472-:d:321357.

Full description at Econpapers || Download paper

2018Financial decisions of the financially literate. (2018). Aubert, Nicolas ; Bekrar, Yacine ; Kammoun, Niaz. In: Post-Print. RePEc:hal:journl:halshs-01850997.

Full description at Econpapers || Download paper

2018Integration and Disintegration of EMU Government Bond Markets. (2018). Sibbertsen, Philipp ; Leschinski, Christian ; Voges, Michelle. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-625.

Full description at Econpapers || Download paper

2018Estimating the Volatility of Asset Pricing Factors. (2018). Leschinski, Christian ; Becker, Janis. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-631.

Full description at Econpapers || Download paper

2017A Term Structure Model of Interest Rates with Quadratic Volatility. (2017). Takamizawa, Hideyuki. In: Working Paper Series. RePEc:hit:hcfrwp:g-1-18.

Full description at Econpapers || Download paper

2017Household Portfolio Choice, Reference Dependence, and the Marriage Market. (2017). Yi, Junjian ; Li, Wenchao ; Xu, Shu ; Song, Changcheng. In: IZA Discussion Papers. RePEc:iza:izadps:dp10528.

Full description at Econpapers || Download paper

2018The pricing kernel puzzle: survey and outlook. (2018). Cuesdeanu, Horatio ; Jackwerth, Jens Carsten. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9.

Full description at Econpapers || Download paper

2018The pricing kernel puzzle in forward looking data. (2018). Cuesdeanu, Horatio ; Jackwerth, Jens Carsten. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:3:d:10.1007_s11147-017-9140-8.

Full description at Econpapers || Download paper

2017Background risk in consumption and the equity risk premium. (2017). Semenov, Andrei . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:2:d:10.1007_s11156-016-0556-2.

Full description at Econpapers || Download paper

2018Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling. (2018). Hansen, Anne Lundgaard. In: Discussion Papers. RePEc:kud:kuiedp:1812.

Full description at Econpapers || Download paper

2018The True Cost of Social Security. (2018). Blocker, Alexander W ; Vallenas, Sergio Villar ; Ross, Stephen A ; Kotlikoff, Laurence J. In: NBER Chapters. RePEc:nbr:nberch:14183.

Full description at Econpapers || Download paper

2018The Macroeconomic Announcement Premium. (2018). Wachter, Jessica ; Zhu, Yicheng. In: NBER Working Papers. RePEc:nbr:nberwo:24432.

Full description at Econpapers || Download paper

2018Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads. (2018). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick. In: NBER Working Papers. RePEc:nbr:nberwo:24506.

Full description at Econpapers || Download paper

2020The Murder-Suicide of the Rentier: Population Aging and the Risk Premium. (2020). Taylor, Alan ; Kopecky, Joseph. In: NBER Working Papers. RePEc:nbr:nberwo:26943.

Full description at Econpapers || Download paper

2019Portfolio Choice for a Resource-based Sovereign Wealth Fund: An analysis of Cash Flows. (2019). Haraldsen, Magnus Eskedal ; Eap, Hanna Marisela ; Mork, Knut Anton. In: Working Paper Series. RePEc:nst:samfok:17919.

Full description at Econpapers || Download paper

2017Reference-Dependent Preferences and the Empirical Pricing Kernel Puzzle. (2017). Härdle, Wolfgang ; Kratschmer, Volker ; Hardle, Wolfgang K ; Grith, Maria . In: Review of Finance. RePEc:oup:revfin:v:21:y:2017:i:1:p:269-298..

Full description at Econpapers || Download paper

2020Asset Pricing and Decarbonization: Diversification versus Climate Action. (2020). van der Ploeg, Frederick (Rick) ; Kraft, Holger ; Hambel, Christoph ; VAN DERPLOEG, RICK . In: Economics Series Working Papers. RePEc:oxf:wpaper:901.

Full description at Econpapers || Download paper

2017Dealing with Misspecification in DSGE Models: A Survey. (2017). Paccagnini, Alessia. In: MPRA Paper. RePEc:pra:mprapa:82914.

Full description at Econpapers || Download paper

2018Central Bank Policies and Financial Markets: Lessons from the Euro Crisis. (2018). Nedeljkovic, Milan ; Mody, Ashoka. In: Working Papers. RePEc:pri:cepsud:253.

Full description at Econpapers || Download paper

2017Lending relationships and the real economy: evidence in the context of the euro area sovereign debt crisis. (2017). Barbosa, Luciana. In: Working Papers. RePEc:ptu:wpaper:w201708.

Full description at Econpapers || Download paper

2019Accounting for the Slow Recovery from the Great Recession: The Role of Credit Constraints.. (2019). Nicolini, Juan Pablo ; Buera, Francisco. In: 2019 Meeting Papers. RePEc:red:sed019:492.

Full description at Econpapers || Download paper

2018Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector. (2018). Hecq, Alain ; Cubadda, Gianluca ; Riccardo, Antonio. In: CEIS Research Paper. RePEc:rtv:ceisrp:445.

Full description at Econpapers || Download paper

2017Consumption–investment optimization with Epstein–Zin utility in incomplete markets. (2017). Xing, Hao. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:1:d:10.1007_s00780-016-0297-z.

Full description at Econpapers || Download paper

2018Stock prices and GDP in the long run. (2018). Alexius, Annika ; Spang, Daniel. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:8:y:2018:i:4:f:8_4_7.

Full description at Econpapers || Download paper

2019The Topology of Time Series: Improving Recession Forecasting from Yield Spreads. (2019). Rudkin, Simon ; Dlotko, Pawel. In: Working Papers. RePEc:swn:wpaper:2019-02.

Full description at Econpapers || Download paper

2019Extreme inflation and time-varying consumption growth. (2019). Meinerding, Christoph ; Schlag, Christian ; Dergunov, Ilya . In: Discussion Papers. RePEc:zbw:bubdps:162019.

Full description at Econpapers || Download paper

2018Equilibrium asset pricing in directed networks. (2018). Meinerding, Christoph ; Schlag, Christian ; Konermann, Patrick ; Branger, Nicole. In: Discussion Papers. RePEc:zbw:bubdps:372018.

Full description at Econpapers || Download paper

2019Quantifying the transmission of European sovereign default risk. (2019). Holden, Tom ; DUMITRU, ANA-MARIA. In: EconStor Preprints. RePEc:zbw:esprep:193632.

Full description at Econpapers || Download paper

2018Zero-coupon interest rates: Evaluating three alternative datasets. (2018). Jareño, Francisco ; Navarro, Eliseo ; Jareo, Francisco ; Diaz, Antonio. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201867.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017Innovation dynamics and fiscal policy: Implications for growth, asset prices, and welfare. (2017). Grüning, Patrick ; Donadelli, Michael ; Gruning, Patrick. In: SAFE Working Paper Series. RePEc:zbw:safewp:171.

Full description at Econpapers || Download paper

2017Level and slope of volatility smiles in Long-Run Risk Models. (2017). Schlag, Christian ; Rodrigues, Paulo ; Branger, Nicole. In: SAFE Working Paper Series. RePEc:zbw:safewp:186.

Full description at Econpapers || Download paper

2019Optimists and pessimists in (in)complete markets. (2019). Schlag, Christian ; Konermann, Patrick ; Branger, Nicole. In: SAFE Working Paper Series. RePEc:zbw:safewp:252.

Full description at Econpapers || Download paper

2017Eurozone exit risk. (2017). , Ingmarrovekamp ; Rovekamp, Ingmar ; Eichler, Stefan. In: CEPIE Working Papers. RePEc:zbw:tudcep:0717.

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]
paper44
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: 44
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: 44
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: 44
paper
2010Stochastic Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]
paper53
2009Stochastic volatility.(2009) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 53
paper
2015The Value and Risk of Human Capital In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article2
2015The Value and Risk of Human Capital.(2015) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2007Portfolio Choice over the Life‐Cycle when the Stock and Labor Markets Are Cointegrated In: Journal of Finance.
[Full Text][Citation analysis]
article133
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: 133
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]
article51
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: 51
paper
2010Conflict of interest and certification in the U.S. IPO market In: Journal of Financial Intermediation.
[Full Text][Citation analysis]
article3
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: 3
paper
2010Lifecycle investment decisions and labor income risk In: FRBSF Economic Letter.
[Full Text][Citation analysis]
article0
2009Investing over the life cycle with long-run labor income risk In: Economic Perspectives.
[Full Text][Citation analysis]
article5
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]
article2
2018Why Does the Yield-Curve Slope Predict Recessions?.(2018) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2008Realized volatility In: Working Paper Series.
[Full Text][Citation analysis]
paper33
2011Can standard preferences explain the prices of out-of-the-money S&P 500 put options? In: Working Paper Series.
[Full Text][Citation analysis]
paper13
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: 13
paper
2012Modeling credit contagion via the updating of fragile beliefs In: Working Paper Series.
[Full Text][Citation analysis]
paper27
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: 27
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]
paper11
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: 11
paper
2016The Interplay Between Financial Conditions and Monetary Policy Shocks In: Working Paper Series.
[Full Text][Citation analysis]
paper1
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: 1
paper
2017Estimating 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]
paper1
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]
paper27
2001An Empirical Investigation of Continuous-Time Equity Return Models In: NBER Working Papers.
[Full Text][Citation analysis]
paper38

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated May, 3 2020. Contact: CitEc Team