Luca Benzoni : Citation Profile


Are you Luca Benzoni?

Federal Reserve Bank of Chicago

10

H index

10

i10 index

654

Citations

RESEARCH PRODUCTION:

11

Articles

24

Papers

RESEARCH ACTIVITY:

   17 years (2001 - 2018). See details.
   Cites by year: 38
   Journals where Luca Benzoni has often published
   Relations with other researchers
   Recent citing documents: 106.    Total self citations: 12 (1.8 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbe1008
   Updated: 2019-10-15    RAS profile: 2019-07-04    
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Relations with other researchers


Works with:

Chyruk, Olena (2)

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 (26)

Bollerslev, Tim (19)

Andersen, Torben (15)

Chernov, Mikhail (15)

Meddahi, Nour (11)

Shephard, Neil (11)

Renò, Roberto (9)

Sévi, Benoît (8)

Diebold, Francis (8)

Maheu, John (8)

Kaplan, Greg (7)

Cites to:

Andersen, Torben (32)

Bollerslev, Tim (31)

Diebold, Francis (20)

Duffie, Darrell (14)

Campbell, John (14)

Zeldes, Stephen (12)

Viceira, Luis (9)

Ait-Sahalia, Yacine (8)

Chen, Zhiwu (8)

Singleton, Kenneth (8)

Cao, Charles (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 Chicago15

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). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim. 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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2019Epstein-Zin Utility Maximization on Random Horizons. (2019). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:1903.08782.

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

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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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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.

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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.

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2018Small†cost asymptotics for long†term growth rates in incomplete markets. (2018). Seifried, Frank Thomas ; Melnyk, Yaroslav . In: Mathematical Finance. RePEc:bla:mathfi:v:28:y:2018:i:2:p:668-711.

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2019Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:952.

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

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

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

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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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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.

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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.

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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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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.

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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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2018Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns. (2018). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:1-29.

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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.

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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.

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2019Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80.

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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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2019Large-dimensional factor modeling based on high-frequency observations. (2019). Pelger, Markus. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:23-42.

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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.

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

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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.

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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.

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2019Isolating the disaster risk premium with equity options. (2019). Horvath, Jaroslav. In: Journal of Empirical Finance. RePEc:eee:empfin:v:51:y:2019:i:c:p:138-148.

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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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2018VIX-linked fees for GMWBs via explicit solution simulation methods. (2018). Kouritzin, Michael A ; MacKay, Anne. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:1-17.

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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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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.

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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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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.

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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.

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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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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.

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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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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.

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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.

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2019Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets. (2019). Leippold, Markus ; Gourier, Elise ; Bardgett, Chris. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:593-618.

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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.

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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.

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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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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.

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2019Pricing formula for European currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients. (2019). Ri, Ju-Hyuang ; Kim, Nam-Ung ; Yun, Sim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:522:y:2019:i:c:p:215-231.

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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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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.

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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.

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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.

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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.

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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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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.

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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.

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

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2019A switching self-exciting jump diffusion process for stock prices. (2018). Hainaut, Donatien ; Moraux, Franck. In: Post-Print. RePEc:hal:journl:halshs-01909772.

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

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

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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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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.

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2019A switching self-exciting jump diffusion process for stock prices. (2019). Moraux, Franck ; Hainaut, Donatien. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:2:d:10.1007_s10436-018-0340-5.

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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.

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

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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.

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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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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..

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2017Econophysics and Capital Asset Pricing. (2017). Chen, James Ming. In: Quantitative Perspectives on Behavioral Economics and Finance. RePEc:pal:qpobef:978-3-319-63465-4.

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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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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.

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2019.

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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.

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2019Continuous and jump changes in prices processes in the selected stock markets. (2019). Kliber, Pawe . In: Collegium of Economic Analysis Annals. RePEc:sgh:annals:i:54:y:2019:p:333-344.

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

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2017A new generalized volatility proxy via the stochastic volatility model. (2017). Kim, Jong-Min ; Qin, LI ; Jung, Hojin. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:23:p:2259-2268.

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

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

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2018On the estimation of behavioral macroeconomic models via simulated maximum likelihood. (2018). Kukacka, Jiri ; Sacht, Stephen ; Jang, Tae-Seok . In: Economics Working Papers. RePEc:zbw:cauewp:201811.

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

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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.

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More than 100 citations found, this list is not complete...

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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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: 44
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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: 44
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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: 44
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2010Stochastic Volatility In: CREATES Research Papers.
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2009Stochastic volatility.(2009) In: Working Paper Series.
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This paper has another version. Agregated cites: 52
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2015The Value and Risk of Human Capital In: Annual Review of Financial Economics.
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2015The Value and Risk of Human Capital.(2015) In: Working Paper Series.
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This paper has another version. Agregated cites: 1
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2002An Empirical Investigation of Continuous-Time Equity Return Models In: Journal of Finance.
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article265
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: 265
paper
2007Portfolio Choice over the Life-Cycle when the Stock and Labor Markets Are Cointegrated In: Journal of Finance.
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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: 124
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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article47
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: 47
paper
2010Conflict of interest and certification in the U.S. IPO market In: Journal of Financial Intermediation.
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article3
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: 3
paper
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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article5
2012No-arbitrage restrictions and the U.S. Treasury market In: Economic Perspectives.
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article2
2018Why Does the Yield-Curve Slope Predict Recessions? In: Chicago Fed Letter.
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article1
2018Why Does the Yield-Curve Slope Predict Recessions?.(2018) In: Working Paper Series.
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This paper has another version. Agregated cites: 1
paper
2008Realized volatility In: Working Paper Series.
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paper33
2011Can standard preferences explain the prices of out-of-the-money S&P 500 put options? In: Working Paper Series.
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paper12
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: 12
paper
2012Modeling credit contagion via the updating of fragile beliefs In: Working Paper Series.
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paper24
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: 24
article
2013Human Capital and Long-Run Labor Income Risk In: Working Paper Series.
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paper0
2012Core and Crust: Consumer Prices and the Term Structure of Interest Rates In: Working Paper Series.
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paper11
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: 11
paper
2016The Interplay Between Financial Conditions and Monetary Policy Shocks In: Working Paper Series.
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paper1
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: 1
paper
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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paper1
2005Portfolio Choice over the Life-Cycle in the Presence of Trickle Down Labor Income In: NBER Working Papers.
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paper27

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