Greg Duffee : Citation Profile


Are you Greg Duffee?

Johns Hopkins University

11

H index

12

i10 index

772

Citations

RESEARCH PRODUCTION:

11

Articles

23

Papers

RESEARCH ACTIVITY:

   22 years (1990 - 2012). See details.
   Cites by year: 35
   Journals where Greg Duffee has often published
   Relations with other researchers
   Recent citing documents: 128.    Total self citations: 7 (0.9 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pdu249
   Updated: 2020-07-04    RAS profile: 2013-10-08    
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Relations with other researchers


Works with:

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

Is cited by:

Sousa, Ricardo (11)

Chernov, Mikhail (10)

Marques-Ibanez, David (9)

Christoffersen, Peter (9)

Rudebusch, Glenn (9)

Wu, Jing Cynthia (8)

Sarno, Lucio (7)

Ongena, Steven (6)

Caporale, Guglielmo Maria (6)

Jarrow, Robert (6)

Singleton, Kenneth (6)

Cites to:

Campbell, John (14)

Ang, Andrew (11)

Piazzesi, Monika (10)

Rudebusch, Glenn (9)

Shiller, Robert (8)

Diebold, Francis (7)

Bekaert, Geert (6)

Zin, Stanley (5)

Hodrick, Robert (4)

Christensen, Jens (4)

Dewachter, Hans (4)

Main data


Where Greg Duffee has published?


Journals with more than one article published# docs
Journal of Financial Economics2
Journal of Finance2
Review of Financial Studies2
Journal of Monetary Economics2

Working Papers Series with more than one paper published# docs
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)12
Economics Working Paper Archive / The Johns Hopkins University,Department of Economics5

Recent works citing Greg Duffee (2018 and 2017)


YearTitle of citing document
2019Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19106.

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2017Quantitative Easing and Long-Term Yields in Small Open Economies. (2017). Shamloo, Maral ; Diez de los Rios, Antonio. In: Staff Working Papers. RePEc:bca:bocawp:17-26.

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2017Fund Volatility Index using equity market state prices. (2017). O'Neill, Michael J ; Smith, Tom ; Liu, Zhangxin. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:3:p:837-853.

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2017The role of managerial risk-taking in the ‘rise and fall’ of the CDS market. (2017). Dias, Roshanthi . In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i::p:117-145.

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2018Growth options and firm valuation. (2018). Kraft, Holger ; Weiss, Farina ; Schwartz, Eduardo . In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:2:p:209-238.

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2019Securitization and credit quality in the European market. (2019). Marques-Ibanez, David ; Ongena, Steven ; MARQUESIBANEZ, DAVID ; Kara, Alper. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:2:p:407-434.

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2018Effects of Brexit on Corporate Yield Spreads: Evidence from UK and Eurozone Corporate Bond Markets. (2018). Kadiric, Samir ; Korus, Arthur. In: EIIW Discussion paper. RePEc:bwu:eiiwdp:disbei251.

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2017Updating the Ultimate Forward Rate over Time: A Possible Approach. (2017). Zigraiova, Diana ; Jakubík, Petr ; Jakubik, Petr . In: Working Papers. RePEc:cnb:wpaper:2017/03.

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2018Multihorizon Currency Returns and Purchasing Power Parity. (2018). Creal, Drew ; Chernov, Mikhail. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12893.

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2018International yield curves and currency puzzles. (2018). Chernov, Mikhail ; Creal, Drew. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13252.

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2019The Banking View of Bond Risk Premia. (2019). Sraer, David ; Haddad, Valentin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14207.

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2017Securitization and credit quality. (2017). Ongena, Steven ; Marques-Ibanez, David ; Marques-Ibaez, David ; Kara, Alper. In: Working Paper Series. RePEc:ecb:ecbwps:20172009.

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2017Safe assets: a review. (2017). Perotti, Enrico ; Golec, Pascal . In: Working Paper Series. RePEc:ecb:ecbwps:20172035.

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2019From cash- to securities-driven euro area repo markets: the role of financial stress and safe asset scarcity. (2019). Brand, Claus ; Hubert, Antoine ; Ferrante, Lorenzo. In: Working Paper Series. RePEc:ecb:ecbwps:20192232.

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2017Why and how do banks lay off credit risk? The choice between retention, loan sales and credit default swaps. (2017). Beyhaghi, Mehdi ; Saunders, Anthony ; Massoud, Nadia. In: Journal of Corporate Finance. RePEc:eee:corfin:v:42:y:2017:i:c:p:335-355.

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2018Tax avoidance and cost of debt: The case for loan-specific risk mitigation and public debt financing. (2018). Isin, Adnan Anil. In: Journal of Corporate Finance. RePEc:eee:corfin:v:49:y:2018:i:c:p:344-378.

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2019A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US. (2019). Fernandes, Marcelo ; Vieira, Fausto. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:106:y:2019:i:c:4.

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2019Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:1.

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2017Leverage versus volatility: Evidence from the capital structure of European firms. (2017). Masih, Abul ; EL Alaoui, AbdelKader ; Asutay, Mehmet ; Bacha, Obiyathulla Ismath. In: Economic Modelling. RePEc:eee:ecmode:v:62:y:2017:i:c:p:145-160.

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2017Ratings based Inference and Credit Risk: Detecting likely-to-fail Banks with the PC-Mahalanobis Method. (2017). Pompella, Maurizio ; Dicanio, Antonio. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:34-44.

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2019Valuation of collateralized debt obligations: An equilibrium model. (2019). Park, Jason ; Hu, May. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:119-135.

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2017Fair valuation of mortgage insurance under stochastic default and interest rates. (2017). Wu, Yang-Che ; Chuang, Ming-Che ; Lin, Shih-Kuei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:433-447.

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2017Scenario generation for long run interest rate risk assessment. (2017). Roussellet, Guillaume ; Engle, Robert ; Siriwardane, Emil. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:333-347.

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2018Exit dynamics of start-up firms: Structural estimation using indirect inference. (2018). Golombek, Rolf ; Raknerud, Arvid. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:204-225.

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2019Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2019). Winkelmann, Lars ; Neely, Christopher ; Bibinger, Markus. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:158-184.

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2020GMM estimation of affine term structure models. (2020). Hlouskova, Jaroslava ; Sogner, Leopold. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:2-15.

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2017Mutual funds and stock market volatility: An empirical analysis of Asian emerging markets. (2017). Kutan, Ali ; Chan, Sok-Gee ; Gee, Chan Sok ; Ismail, Izlin ; Qureshi, Fiza. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:176-192.

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2017Forecasting the term structure of government bond yields in unstable environments. (2017). Korobilis, Dimitris ; Cao, Shuo ; Byrne, Joseph. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:209-225.

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2018The decomposition of jump risks in individual stock returns. (2018). Xiao, Xiao ; Zhou, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:207-228.

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2018Macroeconomic uncertainty and the distant forward-rate slope. (2018). Connolly, Robert ; Stivers, Chris ; Dubofsky, David. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:140-161.

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2018Testing for leverage effects in the returns of US equities. (2018). Chorro, Christophe ; Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306.

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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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2018The re-pricing of sovereign risks following the Global Financial Crisis. (2018). Migiakis, Petros ; Malliaropulos, Dimitris. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:39-56.

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

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2017Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models. (2017). Tunaru, Diana . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:119-129.

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2019Securitization, bank behaviour and financial stability: A systematic review of the recent empirical literature. (2019). Deku, Solomon ; Zhou, Yifan ; Kara, Alper. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:245-254.

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2017Liquidity measures throughout the lifetime of the U.S. Treasury bond. (2017). Diaz, Antonio ; Escribano, Ana . In: Journal of Financial Markets. RePEc:eee:finmar:v:33:y:2017:i:c:p:42-74.

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2017The impact of central clearing on banks’ lending discipline. (2017). Arnold, Maik. In: Journal of Financial Markets. RePEc:eee:finmar:v:36:y:2017:i:c:p:91-114.

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2018How sensitive is corporate debt to swings in commodity prices?. (2018). Donders, Pablo ; Wagner, Rodrigo ; Jara, Mauricio. In: Journal of Financial Stability. RePEc:eee:finsta:v:39:y:2018:i:c:p:237-258.

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2017Predicting risk premium under changes in the conditional distribution of stock returns. (2017). Sousa, Ricardo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:204-218.

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2018Stock options and credit default swaps in risk management. (2018). Al-Own, Bassam ; Gao, Simon ; Minhat, Marizah . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:200-214.

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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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2020A functional time series analysis of forward curves derived from commodity futures. (2020). Wang, Shixuan ; Horvath, Lajos ; Liu, Zhenya ; Rice, Gregory. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:646-665.

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2019The decline in idiosyncratic values of US Treasury securities. (2019). Zhou, Lei ; Wu, Yanbin ; Livingston, Miles. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:107:y:2019:i:c:8.

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2017Investor sentiment, flight-to-quality, and corporate bond comovement. (2017). Bethke, Sebastian ; Kempf, Alexander ; Gehde-Trapp, Monika. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:112-132.

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2017Doing good and doing bad: The impact of corporate social responsibility and irresponsibility on firm performance. (2017). Price, Joseph M ; Sun, Wenbin . In: Journal of Business Research. RePEc:eee:jbrese:v:80:y:2017:i:c:p:82-97.

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2017Stochastic idiosyncratic cash flow risk and real options: Implications for stock returns. (2017). Bhamra, Harjoat ; Shim, Kyung Hwan . In: Journal of Economic Theory. RePEc:eee:jetheo:v:168:y:2017:i:c:p:400-431.

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2017The term structure of returns: Facts and theory. (2017). van Binsbergen, Jules. In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:1:p:1-21.

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2017The advantages of using excess returns to model the term structure. (2017). Golinski, Adam ; Spencer, Peter ; Goliski, Adam . In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:1:p:163-181.

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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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2019An asset pricing approach to testing general term structure models. (2019). van der Wel, Michel ; Christensen, Bent Jesper. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:1:p:165-191.

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2019Average skewness matters. (2019). Zhu, Xiaoneng ; Zhang, Qunzi ; Jondeau, Eric. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:1:p:29-47.

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2019Notes on the yield curve. (2019). Martin, Ian ; Ross, Stephen A ; Ian, . In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:3:p:689-702.

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2020Pricing structured products with economic covariates. (2020). Jacobs, Kris ; Doshi, Hitesh ; Choi, Yongseok ; Turnbull, Stuart M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:3:p:754-773.

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2018Near-money premiums, monetary policy, and the integration of money markets: Lessons from deregulation. (2018). Wheelock, David ; Carlson, Mark. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:33:y:2018:i:c:p:16-32.

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2017Housing market stability, mortgage market structure, and monetary policy: Evidence from the euro area. (2017). Zhu, Bing ; Sebastian, Steffen ; Betzinger, Michael . In: Journal of Housing Economics. RePEc:eee:jhouse:v:37:y:2017:i:c:p:1-21.

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2017Short-term safety or long-term failure? Empirical evidence of the impact of securitization on bank risk. (2017). Chen, Zhizhen ; Zhou, Mingming ; Opong, Kwaku ; Liu, Frank Hong. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:72:y:2017:i:c:p:48-74.

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2018Factors of the term structure of sovereign yield spreads. (2018). Trueck, Stefan ; Truck, Stefan ; Wellmann, Dennis. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:56-75.

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2019Bond risk premia in a small open economy with volatile capital flows: The case of Korea. (2019). Yun, Jaeho. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:93:y:2019:i:c:p:223-243.

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2018What does the yield curve imply about investor expectations?. (2018). Gaus, Eric ; Sinha, Arunima. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:57:y:2018:i:c:p:248-265.

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2019The short rate disconnect in a monetary economy. (2019). Schneider, Martin ; Piazzesi, Monika ; Lenel, Moritz. In: Journal of Monetary Economics. RePEc:eee:moneco:v:106:y:2019:i:c:p:59-77.

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2019Real option, idiosyncratic risk, and corporate investment: Evidence from Taiwan family firms. (2019). Wang, David K ; Chen, I-Ju ; I-Ju Chen, . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x17303256.

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2018Time–frequency wavelet analysis of the interrelationship between the global macro assets and the fear indexes. (2018). Kaffel, Bilel ; Abid, Fathi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1028-1045.

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2018Intraday and interday distribution of stock returns and their asymmetric conditional volatility: Firm-level evidence. (2018). Balaban, Ercan ; Karidis, Socrates ; Ozgen, Tolga. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:905-915.

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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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2017Market states and the risk-return tradeoff. (2017). Wang, Zijun ; Khan, Moosa M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:65:y:2017:i:c:p:314-327.

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2017Time-varying return-volatility relation in international stock markets. (2017). Jin, Xiaoye. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:157-173.

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2017Firm-specific stock and bond predictability: New evidence from Canada. (2017). Gubellini, S ; Cao, N ; Galvani, V. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:174-192.

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2019Is CEO pay disparity relevant to seasoned bondholders?. (2019). Lee, Chun I ; Huang, Henry H. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:271-289.

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2017Volatility measures as predictors of extreme returns. (2017). Switzer, Lorne N ; Zhao, Yun ; Tahaoglu, Cagdas . In: Review of Financial Economics. RePEc:eee:revfin:v:35:y:2017:i:c:p:1-10.

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2017How Germany benefits the most from its Eurozone membership. (2017). Juneja, Januj. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1074-1088.

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2017Rating Migration and Bond Valuation: Decomposing Rating Migration Matrices from Market Data via Default Probability Term Structures. (2017). Barnard, Brian. In: Expert Journal of Finance. RePEc:exp:finnce:v:5:y:2017:i:1:p:49-72.

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2017Rating Migration and Bond Valuation: Decomposing Rating Migration Matrices from Market Data via Default Probability Term Structures. (2017). Barnard, Brian. In: Expert Journal of Finance. RePEc:exp:finnce:v:5:y:2017:i::p:49-72.

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2018Rating Migration and Bond Valuation: Ahistorical Interest Rate and Default Probability Term Structures. (2018). Barnard, Brian. In: Expert Journal of Finance. RePEc:exp:finnce:v:6:y:2018:i:1:p:16-30.

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2019Obtaining implied volatilities from interest rate differentials: New York from 1900 to 1934. (2019). Simon, Miguel Cantillo. In: Working Papers. RePEc:fcr:wpaper:201903.

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2017A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US. (2017). Fernandes, Marcelo ; Chague, Fernando ; Araujo, Fausto Jose . In: Textos para discussão. RePEc:fgv:eesptd:445.

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2019Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics. (2019). Watugala, Sumudu W ; Tran, Brigitte Roth ; Kruttli, Mathias S. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2019-54.

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2019Variance Risk Premium Components and International Stock Return Predictability. (2019). Xu, Nancy R ; Londono, Juan M. In: International Finance Discussion Papers. RePEc:fip:fedgif:1247.

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2018The Basel Accord and Financial Intermediation: The Impact of Policy. (2018). Zimmermann, Christian ; Berka, Martin. In: Review. RePEc:fip:fedlrv:00102.

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2017Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2017). Neely, Christopher ; Winkelmann, Lars ; Bibinger, Markus. In: Working Papers. RePEc:fip:fedlwp:2017-012.

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2017An index of Treasury Market liquidity: 1991-2017. (2017). Vogt, Erik ; Fleming, Michael ; Adrian, Tobias. In: Staff Reports. RePEc:fip:fednsr:827.

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2019Deconstructing the yield curve. (2019). Gospodinov, Nikolay ; Crump, Richard. In: Staff Reports. RePEc:fip:fednsr:884.

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2019The Impact of Financial Leverage on the Variance of Stock Returns. (2019). Yagil, Yossi ; Aharon, David Yechiam. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:7:y:2019:i:1:p:14-:d:211533.

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2018Bond Risk Premia and Restrictions on Risk Prices. (2018). Sola, Martin ; Hevia, Constantino. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:60-:d:173588.

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2020Realized Measures to Explain Volatility Changes over Time. (2020). Tsagkanos, Athanasios ; Konstantatos, Christoforos ; Gkillas, Konstantinos ; Floros, Christos. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:125-:d:371152.

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2018Alpha Beta Risk and Stock Returns—A Decomposition Analysis of Idiosyncratic Volatility with Conditional Models. (2018). Fu, Chengbo. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:124-:d:178727.

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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; GUEGAN, Dominique ; Chorro, Christophe. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-00973922.

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2017Testing for Leverage Effect in Financial Returns. (2014). Lalaharison, Hanjarivo ; Guegan, Dominique ; Chorro, Christophe ; Ielpo, Florian. In: Post-Print. RePEc:hal:journl:halshs-00973922.

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2018The Choice of Interest Rate Models and Its Effect on Bank Capital Requirements Regulation and Financial Stability. (2018). Lang, Sebastian ; Spremann, Klaus ; Signer, Reto. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:10:y:2018:i:1:p:74-92.

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2019Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson‐Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: Working Papers. RePEc:igi:igierp:639.

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2020.

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2018Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach. (2018). Andreoli, Alessandro ; Pacelli, Graziella ; Ballestra, Luca Vincenzo. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:3:d:10.1007_s10614-016-9608-x.

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2019The effects of Brexit on credit spreads: Evidence from UK and Eurozone corporate bond markets. (2019). Korus, Arthur ; Kadiric, Samir. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:16:y:2019:i:1:d:10.1007_s10368-018-00424-z.

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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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2018Credit Risk Research: Review and Agenda. (2018). Zamore, Stephen ; Hobdari, Bersant ; Alon, Ilan ; Djan, Kwame Ohene. In: Emerging Markets Finance and Trade. RePEc:mes:emfitr:v:54:y:2018:i:4:p:811-835.

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2019Interest Rate Trends in a Global Context. (2019). Tesar, Linda L ; Stolyarov, Dmitriy. In: Working Papers. RePEc:mrr:papers:wp402.

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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique ; Chorro, Christophe. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:14022r.

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2018.

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2017What Information Drives Asset Prices?. (2017). Constantinides, George ; Ghosh, Anisha. In: NBER Working Papers. RePEc:nbr:nberwo:23689.

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2018Multihorizon Currency Returns and Purchasing Power Parity. (2018). Creal, Drew ; Chernov, Mikhail. In: NBER Working Papers. RePEc:nbr:nberwo:24563.

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2018International Yield Curves and Currency Puzzles. (2018). Creal, Drew ; Chernov, Mikhail. In: NBER Working Papers. RePEc:nbr:nberwo:25206.

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

Works by Greg Duffee:


YearTitleTypeCited
1996 Idiosyncratic Variation of Treasury Bill Yields. In: Journal of Finance.
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article86
1994Idiosyncratic variation of Treasury bill yields.(1994) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has another version. Agregated cites: 86
paper
2005Time Variation in the Covariance between Stock Returns and Consumption Growth In: Journal of Finance.
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article42
1999Credit Derivatives in Banking: Useful Tools for Managing Risk? In: Research Program in Finance, Working Paper Series.
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paper99
2001Credit derivatives in banking: Useful tools for managing risk?.(2001) In: Journal of Monetary Economics.
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This paper has another version. Agregated cites: 99
article
1997Credit derivatives in banking: useful tools for managing risk?.(1997) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 99
paper
1999Credit Derivatives in Banking: Useful Tools for Managing Risk?.(1999) In: Research Program in Finance Working Papers.
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This paper has another version. Agregated cites: 99
paper
1996On measuring credit risks of derivative instruments In: Journal of Banking & Finance.
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article16
1994On measuring credit risks of derivative instruments.(1994) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has another version. Agregated cites: 16
paper
1995Stock returns and volatility A firm-level analysis In: Journal of Financial Economics.
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article109
2006Term structure estimation without using latent factors In: Journal of Financial Economics.
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article29
2005Term structure estimation without using latent factors.(2005) In: Computing in Economics and Finance 2005.
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This paper has another version. Agregated cites: 29
paper
2009Moral hazard and adverse selection in the originate-to-distribute model of bank credit In: Journal of Monetary Economics.
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article3
1996Whats good for GM...? Using auto industry stock returns to forecast business cycles and test the Q-theory of investment In: Working Papers.
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paper2
1996Whats good for GM...? Using auto industry stock returns to forecast business cycles and test the Q-theory of investment.(1996) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
1990A primer on program trading and stock price volatility: a survey of the issues and the evidence In: Finance and Economics Discussion Series.
[Citation analysis]
paper2
1990The importance of market psychology in the determination of stock market volatility In: Finance and Economics Discussion Series.
[Citation analysis]
paper0
1990A securities transactions tax: beyond the rhetoric, what can we really say? In: Finance and Economics Discussion Series.
[Citation analysis]
paper1
1991A new test for mean reversion in stock prices In: Finance and Economics Discussion Series.
[Citation analysis]
paper0
1992Reexamining the relationship between stock returns and stock return volatility In: Finance and Economics Discussion Series.
[Citation analysis]
paper0
1992Trading volume and return reversals In: Finance and Economics Discussion Series.
[Citation analysis]
paper3
1996Treasury yields and corporate bond yield spreads: an empirical analysis In: Finance and Economics Discussion Series.
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paper14
1996Estimating the price of default risk In: Finance and Economics Discussion Series.
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paper211
1999Estimating the Price of Default Risk..(1999) In: Review of Financial Studies.
[Citation analysis]
This paper has another version. Agregated cites: 211
article
1995The variation of default risk with Treasury yields In: Proceedings.
[Citation analysis]
article3
1996Rethinking risk management for banks: lessons from credit derivatives In: Proceedings.
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paper0
2010Sharpe ratios in term structure models In: Economics Working Paper Archive.
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paper20
2011Forecasting with the term structure: The role of no-arbitrage restrictions In: Economics Working Paper Archive.
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paper36
2011Information in (and not in) the term structure In: Economics Working Paper Archive.
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paper80
2011Information in (and not in) the Term Structure.(2011) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 80
article
2012Bond pricing and the macroeconomy In: Economics Working Paper Archive.
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paper2
2012Forecasting interest rates In: Economics Working Paper Archive.
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paper2
2008Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation In: Journal of Financial Econometrics.
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article11
1996Banks and Credit Derivatives: Is It Always Good to Have More Risk Management Tools? In: Center for Financial Institutions Working Papers.
[Citation analysis]
paper1

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