Luca Benzoni : Citation Profile


Are you Luca Benzoni?

Federal Reserve Bank of Chicago

9

H index

8

i10 index

489

Citations

RESEARCH PRODUCTION:

10

Articles

23

Papers

RESEARCH ACTIVITY:

   16 years (2001 - 2017). See details.
   Cites by year: 30
   Journals where Luca Benzoni has often published
   Relations with other researchers
   Recent citing documents: 43.    Total self citations: 10 (2 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbe1008
   Updated: 2018-07-21    RAS profile: 2018-03-21    
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Relations with other researchers


Works with:

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 (22)

Bollerslev, Tim (16)

Andersen, Torben (13)

Shephard, Neil (11)

Meddahi, Nour (10)

Chernov, Mikhail (9)

Renò, Roberto (7)

Huggett, Mark (7)

Guiso, Luigi (7)

Wu, Liuren (7)

Diebold, Francis (7)

Cites to:

Bollerslev, Tim (31)

Andersen, Torben (31)

Diebold, Francis (20)

Campbell, John (14)

Duffie, Darrell (14)

Zeldes, Stephen (12)

Viceira, Luis (9)

Singleton, Kenneth (8)

Chen, Zhiwu (8)

Cao, Charles (8)

Ait-Sahalia, Yacine (8)

Main data


Where Luca Benzoni has published?


Journals with more than one article published# docs
Journal of Finance3
Economic Perspectives2

Working Papers Series with more than one paper published# docs
Working Paper Series / Federal Reserve Bank of Chicago14

Recent works citing Luca Benzoni (2018 and 2017)


YearTitle of citing document
2018Short-Term Market Risks Implied by Weekly Options. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-08.

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2018The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2018). Christensen, Kim ; Veliyev, Bezirgen ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2018-19.

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2018VIX-linked fees for GMWBs via Explicit Solution Simulation Methods. (2018). Kouritzin, Michael A ; MacKay, Anne . In: Papers. RePEc:arx:papers:1708.06886.

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2017Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models. (2017). Feunou, Bruno ; Okou, Cedric . In: Staff Working Papers. RePEc:bca:bocawp:17-55.

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2018Stochastic volatility and leverage effect in energy markets: evidence from high frequency data with VaR and CVaR risk analysis. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:952.

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

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

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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.

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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.

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2018Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility. (2018). Zeng, Yan ; Yang, Zhou ; Chen, Zheng ; Li, Danping. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:88:y:2018:i:c:p:70-103.

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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.

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2017Testing for non-correlation between price and volatility jumps. (2017). Jacod, Jean ; Muller, Gernot ; Kluppelberg, Claudia. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:284-297.

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2018Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity. (2018). Hwang, Eunju ; Shin, Dong Wan. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:178-195.

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2018Testing for jumps and jump intensity path dependence. (2018). Corradi, Valentina ; Swanson, Norman R ; Silvapulle, Mervyn J. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:248-267.

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

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2017Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. (2017). Zu, Yang ; Boswijk, Peter H. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:53-75.

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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.

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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.

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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.

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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.

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2017Equity index variance: Evidence from flexible parametric jump–diffusion models. (2017). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:85-103.

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2017The market price of risk of the variance term structure. (2017). Dotsis, George. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:41-52.

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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.

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2017Explaining the negative returns to volatility claims: An equilibrium approach. (2017). Eraker, Bjorn ; Wu, Yue. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:1:p:72-98.

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2017Systemic co-jumps. (2017). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Aleksey . In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:3:p:563-591.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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

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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.

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

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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.

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

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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.

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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.

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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.

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

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

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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.
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paper29
2010Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models.(2010) In: Journal of Finance.
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This paper has another version. Agregated cites: 29
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.
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This paper has another version. Agregated cites: 29
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.
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This paper has another version. Agregated cites: 29
paper
2010Stochastic Volatility In: CREATES Research Papers.
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paper35
2009Stochastic volatility.(2009) In: Working Paper Series.
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This paper has another version. Agregated cites: 35
paper
2015The Value and Risk of Human Capital In: Annual Review of Financial Economics.
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article1
2015The Value and Risk of Human Capital.(2015) In: Working Paper Series.
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This paper has another version. Agregated cites: 1
paper
2002An Empirical Investigation of Continuous-Time Equity Return Models In: Journal of Finance.
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article207
2001An Empirical Investigation of Continuous-Time Equity Return Models.(2001) In: NBER Working Papers.
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This paper has another version. Agregated cites: 207
paper
2007Portfolio Choice over the Life-Cycle when the Stock and Labor Markets Are Cointegrated In: Journal of Finance.
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article105
2007Portfolio choice over the life-cycle when the stock and labor markets are cointegrated.(2007) In: Working Paper Series.
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This paper has another version. Agregated cites: 105
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.
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paper1
2011Explaining asset pricing puzzles associated with the 1987 market crash In: Journal of Financial Economics.
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article30
2010Explaining asset pricing puzzles associated with the 1987 market crash.(2010) In: Working Paper Series.
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This paper has another version. Agregated cites: 30
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2010Conflict of interest and certification in the U.S. IPO market In: Journal of Financial Intermediation.
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article2
2007Conflict of interest and certification in the U.S. IPO market.(2007) In: Working Paper Series.
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This paper has another version. Agregated cites: 2
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2010Lifecycle investment decisions and labor income risk In: FRBSF Economic Letter.
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article0
2009Investing over the life cycle with long-run labor income risk In: Economic Perspectives.
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article3
2012No-arbitrage restrictions and the U.S. Treasury market In: Economic Perspectives.
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article2
2008Realized volatility In: Working Paper Series.
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paper23
2011Can standard preferences explain the prices of out-of-the-money S&P 500 put options? In: Working Paper Series.
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paper7
2005Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options.(2005) In: NBER Working Papers.
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This paper has another version. Agregated cites: 7
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2012Modeling credit contagion via the updating of fragile beliefs In: Working Paper Series.
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paper10
2015Modeling Credit Contagion via the Updating of Fragile Beliefs.(2015) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 10
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2013Human Capital and Long-Run Labor Income Risk In: Working Paper Series.
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2012Core and Crust: Consumer Prices and the Term Structure of Interest Rates In: Working Paper Series.
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paper9
2012Core and `Crust: Consumer Prices and the Term Structure of Interest Rates.(2012) In: 2012 Meeting Papers.
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This paper has another version. Agregated cites: 9
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2016The Interplay Between Financial Conditions and Monetary Policy Shocks In: Working Paper Series.
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2017The Interplay Between Financial Conditions and Monetary Policy Shocks.(2017) In: 2017 Meeting Papers.
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This paper has another version. Agregated cites: 0
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2017Estimating the Tax and Credit-Event Risk Components of Credit Spreads In: Working Paper Series.
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2017Selecting Primal Innovations in DSGE models In: Working Paper Series.
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2005Portfolio Choice over the Life-Cycle in the Presence of Trickle Down Labor Income In: NBER Working Papers.
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paper24

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