Greg Duffee : Citation Profile


Are you Greg Duffee?

Johns Hopkins University

15

H index

18

i10 index

1674

Citations

RESEARCH PRODUCTION:

14

Articles

29

Papers

3

Chapters

RESEARCH ACTIVITY:

   31 years (1990 - 2021). See details.
   Cites by year: 54
   Journals where Greg Duffee has often published
   Relations with other researchers
   Recent citing documents: 149.    Total self citations: 9 (0.53 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pdu249
   Updated: 2022-07-02    RAS profile: 2021-10-13    
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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:

Rudebusch, Glenn (42)

Chernov, Mikhail (28)

Christensen, Jens (26)

Wu, Jing Cynthia (24)

Diebold, Francis (19)

Crump, Richard (16)

Almeida, Caio (14)

Sousa, Ricardo (14)

Spencer, Peter (14)

Creal, Drew (14)

Wright, Jonathan (14)

Cites to:

Campbell, John (21)

Piazzesi, Monika (17)

Ang, Andrew (15)

Singleton, Kenneth (15)

Rudebusch, Glenn (11)

Cochrane, John (10)

Zin, Stanley (9)

Shiller, Robert (9)

Bekaert, Geert (8)

Diebold, Francis (8)

French, Kenneth (7)

Main data


Where Greg Duffee has published?


Journals with more than one article published# docs
Journal of Finance4
Journal of Financial Economics2
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.)15
Economics Working Paper Archive / The Johns Hopkins University,Department of Economics5
Working Paper Series / Federal Reserve Bank of San Francisco2

Recent works citing Greg Duffee (2021 and 2020)


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

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2020Interest Rates under Falling Stars. (2020). Rudebusch, Glenn ; Bauer, Michael. In: American Economic Review. RePEc:aea:aecrev:v:110:y:2020:i:5:p:1316-54.

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2020Machine Learning Treasury Yields. (2020). Yu, Willie ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:2003.05095.

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2020The Gauss2++ Model -- A Comparison of Different Measure Change Specifications for a Consistent Risk Neutral and Real World Calibration. (2020). Pfeiffer, Julian ; Berninger, Christoph. In: Papers. RePEc:arx:papers:2006.08004.

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2020Equity Tail Risk in the Treasury Bond Market. (2020). Rubin, Mirco ; Ruzzi, Dario. In: Papers. RePEc:arx:papers:2007.05933.

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2020Affine Pricing and Hedging of Collateralized Debt Obligations. (2020). Filipovi, Damir ; Eksi, Zehra. In: Papers. RePEc:arx:papers:2011.10101.

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2021Debt-Secular Economic Changes and Bond Yields. (2021). Fontaine, Jean-Sebastien ; Feunou, Bruno. In: Staff Working Papers. RePEc:bca:bocawp:21-14.

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2021Discount Rates, Debt Maturity, and the Fiscal Theory. (2021). Morales, Gonzalo ; Kung, Howard ; Kind, Thilo ; Corhay, Alexandre. In: Staff Working Papers. RePEc:bca:bocawp:21-58.

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2020Efficient Solutions for Pricing and Hedging Interest Rate Asian Options. (). Machado, Jose Valentim ; Baczynski, Jack ; da Silva, Allan Jonathan . In: Working Papers Series. RePEc:bcb:wpaper:513.

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2021A Non-Knotty Inflation Risk Premium Model. (2021). Machado, Jose Valentim. In: Working Papers Series. RePEc:bcb:wpaper:543.

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2020Break-even inflation rates: the Italian case. (2020). Fanari, Marco ; di Iorio, Alberto. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_578_20.

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2020Equity tail risk in the treasury bond market. (2020). Ruzzi, Dario ; Rubin, Mirco. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1311_20.

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2020Treasury Inconvenience Yields during the COVID-19 Crisis. (2020). He, Zhiguo ; Nagel, Stefan ; Song, Zhaogang. In: Working Papers. RePEc:bfi:wpaper:2020-79.

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2021Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds. (2021). Hördahl, Peter ; Creal, Drew ; Chernov, Mikhail ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:918.

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2022Monetary policy expectation errors. (2022). Schrimpf, Andreas ; Schmeling, Maik. In: BIS Working Papers. RePEc:bis:biswps:996.

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2021Securitization of assets and risk transfer in a large emerging market: Evidence from Brazil. (2021). de Mendonça, Helder ; Barcelos, Vivian Iris ; de Mendona, Helder Ferreira ; deMendona, Helder Ferreira . In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:4:p:580-605.

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2021LENDING COMPETITION AND LOAN SALES: A MACROECONOMIC ANALYSIS UNDER DIRECTED SEARCH. (2021). Li, Zhe ; Huang, Kevin ; Sun, Jianfei. In: Economic Inquiry. RePEc:bla:ecinqu:v:59:y:2021:i:2:p:648-661.

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2020Consumption, asset wealth, equity premium, term spread, and flight to quality. (2020). Sousa, Ricardo ; Costantini, Mauro. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:778-807.

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2022Credit derivatives and loan yields. (2022). Tannous, George F ; Mamun, Abdullah ; Azam, Nimita. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:1:p:205-241.

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2020The Banking View of Bond Risk Premia. (2020). Sraer, David ; Haddad, Valentin. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2465-2502.

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2020Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy. (2020). Pflueger, Carolin E ; Du, Wenxin ; Schreger, Jesse. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:6:p:3097-3138.

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2021Learning From Disagreement in the U.S. Treasury Bond Market. (2021). Singleton, Kenneth J ; Laursen, Kristoffer T ; Giacoletti, Marco. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:1:p:395-441.

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2021Presidential Address: How Much “Rationality” Is There in Bond?Market Risk Premiums?. (2021). Singleton, Kenneth J. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:4:p:1611-1654.

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2020Market Price of Longevity Risk for a Multi‐Cohort Mortality Model With Application to Longevity Bond Option Pricing. (2020). Ziveyi, Jonathan ; Sherris, Michael ; Xu, Yajing. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:3:p:571-595.

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2020The effects of conventional and unconventional monetary policy : identification through the yield curve. (2020). Nelimarkka, Jaakko ; Kortela, Tomi . In: Research Discussion Papers. RePEc:bof:bofrdp:2020_003.

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2020Bonds, Currencies and Expectational Errors. (2020). Sihvonen, Markus ; Granziera, Eleonora. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_007.

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2021What model for the target rate. (2021). Feunou, Bruno ; Bruno, Feunou ; Jianjian, Jin ; Jean-Sebastien, Fontaine. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:23:n:1.

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2021A Segmented and Observable Yield Curve for Colombia. (2021). Castro-Iragorri, Carlos ; Rodriguez, Cristhian ; Pea, Juan Felipe. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:10:y:2021:i:2:p:179-200.

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2020Corporate Acquisitions and Firm-Level Uncertainty: Domestic Versus Cross-Border Deals. (2020). Riaño, Alejandro ; Riao, Alejandro ; Girma, Sourafel ; Bai, YE. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8079.

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2021Circular Economy Approach: The benefits of a new business model for European Firms. (2021). Cannas, Claudia ; Pellegrini, Laura. In: DISCE - Quaderni del Dipartimento di Politica Economica. RePEc:ctc:serie5:dipe0018.

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20201. (2020). . In: Working Papers. RePEc:cty:dpaper:20/09.

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2020Volatility Asymmetry of Scale Indexes - Taking China as an Example. (2020). Gan, Su-Mei ; Lin, Li-Wei ; Cheng, Jao-Hong ; Wei, Shih-Yung. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-04-19.

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

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2020Time-Varying Consumer Disagreement and Future Inflation. (2020). Tsiaplias, Sarantis. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300713.

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2020Time to build and bond risk premia. (2020). Li, Kai ; Huang, Fuzhe ; Guo, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301925.

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2021MoNK: Mortgages in a New-Keynesian model. (2021). Ustek, Roman ; Kydland, Finn E ; Garriga, Carlos. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:123:y:2021:i:c:s016518892030227x.

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2022Time to build and bond risk premia. (2022). Li, Kai ; Huang, Fuzhe ; Guo, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:136:y:2022:i:c:s0165188921000154.

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2021Interest rate trends in a global context. (2021). Tesar, Linda L ; Stolyarov, Dmitriy. In: Economic Modelling. RePEc:eee:ecmode:v:101:y:2021:i:c:s0264999321001218.

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2021Forecasting U.S. Yield Curve Using the Dynamic Nelson–Siegel Model with Random Level Shift Parameters. (2021). Xu, Jiawen ; Pang, Tao ; Luo, Deqing. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:340-350.

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2020Modeling non-normal corporate bond yield spreads by copula. (2020). Jung, Hojin ; Kim, Dong H. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301078.

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2020Japan’s impactful augmentation of quantitative easing sovereign-bond purchases. (2020). Inaba, Kei-Ichiro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301492.

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2020Stochastic interest rates under rational inattention. (2020). Wu, Ting ; Niu, Yingjie ; Zhang, Yuhua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301558.

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2021Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration. (2021). Zhou, LI ; Huang, Yilong ; Xiao, Binuo ; Tan, Zhengxun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000115.

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2021Estimating yield spreads volatility using GARCH-type models. (2021). Kim, Dong H ; Jung, Hojin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000310.

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2021Applications of machine learning for corporate bond yield spread forecasting. (2021). Jung, Hojin ; Kim, Dong H. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001510.

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2020Noncausal vector AR processes with application to economic time series. (2020). Song, LI ; Davis, Richard A. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:246-267.

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2020A general white noise test based on kernel lag-window estimates of the spectral density operator. (2020). Rice, Gregory ; Characiejus, Vaidotas. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:175-196.

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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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2020Investment risk, CDS insurance, and firm financing. (2020). Matta, Rafael ; Campello, Murillo. In: European Economic Review. RePEc:eee:eecrev:v:125:y:2020:i:c:s0014292120300568.

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2022Why are fiscal multipliers moderate even under monetary accommodation?. (2022). Schabert, Andreas ; Juessen, Falko ; Bredemeier, Christian. In: European Economic Review. RePEc:eee:eecrev:v:141:y:2022:i:c:s0014292121002531.

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2020Structural recovery of face value at default. (2020). Tarelli, Andrea ; Sbuelz, Alessandro ; Guha, Rajiv. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:3:p:1148-1171.

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2020Unifying Gaussian dynamic term structure models from a Heath–Jarrow–Morton perspective. (2020). Yu, Fan ; Ye, Xiaoxia ; Li, Haitao. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:3:p:1153-1167.

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2021Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?. (2021). Zou, Yihan ; Ewald, Christian. In: European Journal of Operational Research. RePEc:eee:ejores:v:294:y:2021:i:2:p:801-815.

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2020Modeling CDS spreads: A comparison of some hybrid approaches. (2020). Radi, Davide ; Pacelli, Graziella ; Ballestra, Luca Vincenzo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:57:y:2020:i:c:p:107-124.

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2021Can interest rate factors explain exchange rate fluctuations?. (2021). Yung, Julieta. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:34-56.

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2021What does a term structure model imply about very long-term interest rates?. (2021). Schotman, Peter C ; Pelsser, Antoon ; Balter, Anne G. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:202-219.

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2021The predictive power of Nelson–Siegel factor loadings for the real economy. (2021). Ma, Jun ; Jiao, Anqi ; Han, Yang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:64:y:2021:i:c:p:95-127.

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2022The time-varying bond risk premia in China. (2022). Liu, Lanbiao ; Guo, Bin ; Zhang, Han. In: Journal of Empirical Finance. RePEc:eee:empfin:v:65:y:2022:i:c:p:51-76.

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2020Does proprietary day trading provide liquidity at a cost to investors?. (2020). Lim, Kian-Ping ; Goh, Kim-Leng ; Liew, Ping-Xin. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919304764.

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2020The economic importance of rare earth elements volatility forecasts. (2020). Schweizer, Denis ; Proelss, Juliane ; Seiler, Volker. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521918306148.

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2020Arbitrage-free relative Nelson–Siegel model. (2020). Ishii, Hokuto. In: Finance Research Letters. RePEc:eee:finlet:v:37:y:2020:i:c:s1544612319304507.

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2021Do market participants’ forecasts of financial variables outperform the random-walk benchmark?. (2021). Österholm, Pär ; Osterholm, Par ; Kladivko, Kamil. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612319313443.

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2021Global bond risk premia under falling stars. (2021). Zhu, Xiaoneng ; Zhang, Yugui. In: Finance Research Letters. RePEc:eee:finlet:v:42:y:2021:i:c:s154461232031730x.

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2021Credit Derivatives and Bank Systemic Risk: Risk Enhancing or Reducing?. (2021). Fenech, Jean-Pierre ; Contessi, Silvio ; Halili, Alba. In: Finance Research Letters. RePEc:eee:finlet:v:42:y:2021:i:c:s1544612321000118.

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2021When central banks buy corporate bonds: Target selection and impact of the European Corporate Sector Purchase Program. (2021). Lugo, Stefano ; Galema, Rients. In: Journal of Financial Stability. RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000413.

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2020Unhedgeable inflation risk within pension schemes. (2020). van Wijnbergen, Sweder ; van Wijnbergen, S. J. G., ; Beetsma, R. M. W. J., ; Chen, D. H. J., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:90:y:2020:i:c:p:7-24.

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2020Empirical analysis and forecasting of multiple yield curves. (2020). Lutkebohmert, Eva ; Gerhart, Christoph. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:59-78.

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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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2020Estimating nominal interest rate expectations: Overnight indexed swaps and the term structure. (2020). Lloyd, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620301771.

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

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2021No-Arbitrage pricing of GDP-Linked bonds. (2021). Eguren Martin, Fernando ; Yan, Wen ; Meldrum, Andrew. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:126:y:2021:i:c:s0378426621000339.

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

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2022Dissecting the yield curve: The international evidence. (2022). Plazzi, Alberto ; Berardi, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002429.

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2022Credit derivatives and corporate default prediction. (2022). Zhao, Ran ; Yu, Fan ; Ye, Xiaoxia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000188.

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2020Social media, news media and the stock market. (2020). Walther, Ansgar ; Veiga, Andre ; Jiao, Peiran. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:176:y:2020:i:c:p:63-90.

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2021Term structure of interest rates: Modelling the risk premium using a two horizons framework. (2021). Uctum, Remzi ; Prat, Georges. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:182:y:2021:i:c:p:421-436.

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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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2020The US Treasury floating rate note puzzle: Is there a premium for mark-to-market stability?. (2020). Longstaff, Francis A ; Fleckenstein, Matthias. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:3:p:637-658.

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2020Fiscal policy driven bond risk premia. (2020). Tamoni, Andrea ; Hsu, Alex ; Bretscher, Lorenzo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:1:p:53-73.

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2020The term structure and inflation uncertainty. (2020). Orphanides, Athanasios ; Breach, Tomas ; Damico, Stefania. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:2:p:388-414.

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2021Procyclicality of the comovement between dividend growth and consumption growth. (2021). Xu, Nancy R. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:1:p:288-312.

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

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2021Intraday arbitrage between ETFs and their underlying portfolios. (2021). Lynch, Andrew ; Evans, Richard ; Davis, Ryan ; Box, Travis. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:3:p:1078-1095.

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2021Asset mispricing. (2021). Petrasek, Lubomir ; Longstaff, Francis A ; Lewis, Kurt F. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:3:p:981-1006.

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

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2021Reconstructing the yield curve. (2021). Wu, Jing Cynthia ; Liu, Yan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:3:p:1395-1425.

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2022Treasury inconvenience yields during the COVID-19 crisis. (2022). Nagel, Stefan ; He, Zhiguo ; Song, Zhaogang. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:1:p:57-79.

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2021Bond flows and liquidity: Do foreigners matter?. (2021). Shultz, Patrick J ; Fischer, Eric. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:117:y:2021:i:c:s0261560621000462.

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2022What uncertainty does to euro area sovereign bond markets: Flight to safety and flight to quality. (2022). Sousa, Ricardo ; Costantini, Mauro. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:122:y:2022:i:c:s0261560621002254.

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2021Commodity index risk premium. (2021). Schwartz, Eduardo S ; Rojas, Maximiliano ; Ortega, Hector ; Cortazar, Gonzalo. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:22:y:2021:i:c:s2405851320300337.

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2020Expected prices, futures prices and time-varying risk premiums: The case of copper. (2020). Schwartz, Eduardo S ; Ortega, Hector ; Cortazar, Gonzalo ; Cifuentes, Sebastian. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308576.

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2021Monetary policy surprises and their transmission through term premia and expected interest rates. (2021). Ustek, Roman ; Mumtaz, Haroon ; Kaminska, Iryna. In: Journal of Monetary Economics. RePEc:eee:moneco:v:124:y:2021:i:c:p:48-65.

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2021The influence of real interest rates and risk premium effects on the ability of the nominal term structure to forecast inflation. (2021). Tzavalis, Elias ; Argyropoulos, Efthymios. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:785-796.

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2021Forecasting bond returns in a macro model. (2021). Wu, Ting ; Li, Zeguang ; Hou, Keqiang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:524-545.

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2021Systemic risk measures and distribution forecasting of macroeconomic shocks. (2021). Zhang, YU ; Liu, Yanzhen ; Chen, Guojin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:178-196.

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2021The reinvestment risk premium in the valuation of British and Russian government bonds. (2021). Rodina, Victoria A ; Teplova, Tamara V. In: Research in International Business and Finance. RePEc:eee:riibaf:v:55:y:2021:i:c:s0275531919307718.

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2020Limited Household Risk Sharing: General Equilibrium Implications for the Term Structure of Interest Rates. (2020). Xu, Yu ; Mitra, Indrajit . In: FRB Atlanta Working Paper. RePEc:fip:fedawp:89452.

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2020No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates. (2020). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: Working Papers. RePEc:fip:fedcwq:88748.

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2021International Evidence on Extending Sovereign Debt Maturities. (2021). Lopez, Jose ; Christensen, Jens ; Mussche, Paul. In: Working Paper Series. RePEc:fip:fedfwp:92921.

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2021Central Bank Credibility During COVID-19: Evidence from Japan. (2021). Spiegel, Mark ; Christensen, Jens. In: Working Paper Series. RePEc:fip:fedfwp:93581.

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2020Are Shadow Rate Models of the Treasury Yield Curve Structurally Stable?. (2020). Priebsch, Marcel A ; Kim, Don H. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-61.

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

Works by Greg Duffee:


YearTitleTypeCited
2019Corporate bond use in Asia and the United States In: BIS Papers chapters.
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chapter0
2021Debt specialisation and diversification: International evidence In: BIS Working Papers.
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paper0
1996 Idiosyncratic Variation of Treasury Bill Yields. In: Journal of Finance.
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article109
1994Idiosyncratic variation of Treasury bill yields.(1994) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 109
paper
2002Term Premia and Interest Rate Forecasts in Affine Models In: Journal of Finance.
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article626
2000Term premia and interest rate forecasts in affine models.(2000) In: Working Paper Series.
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This paper has another version. Agregated cites: 626
paper
2005Time Variation in the Covariance between Stock Returns and Consumption Growth In: Journal of Finance.
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article46
2018Expected Inflation and Other Determinants of Treasury Yields In: Journal of Finance.
[Full Text][Citation analysis]
article20
1999Credit Derivatives in Banking: Useful Tools for Managing Risk? In: Research Program in Finance, Working Paper Series.
[Full Text][Citation analysis]
paper116
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: 116
article
1997Credit derivatives in banking: useful tools for managing risk?.(1997) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 116
paper
1999Credit Derivatives in Banking: Useful Tools for Managing Risk?.(1999) In: Research Program in Finance Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 116
paper
2013Forecasting Interest Rates In: Handbook of Economic Forecasting.
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chapter27
2012Forecasting interest rates.(2012) In: Economics Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27
paper
2013Bond Pricing and the Macroeconomy In: Handbook of the Economics of Finance.
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chapter33
2012Bond pricing and the macroeconomy.(2012) In: Economics Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33
paper
1996On measuring credit risks of derivative instruments In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article17
1994On measuring credit risks of derivative instruments.(1994) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has another version. Agregated cites: 17
paper
1995Stock returns and volatility A firm-level analysis In: Journal of Financial Economics.
[Full Text][Citation analysis]
article129
2006Term structure estimation without using latent factors In: Journal of Financial Economics.
[Full Text][Citation analysis]
article30
2005Term structure estimation without using latent factors.(2005) In: Computing in Economics and Finance 2005.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30
paper
2009Moral hazard and adverse selection in the originate-to-distribute model of bank credit In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article3
1996Whats good for GM...? Using auto industry stock returns to forecast business cycles and test the Q-theory of investment In: Working Papers.
[Full Text][Citation analysis]
paper2
2019Whats Good for GM...? Using Auto Industry Stock Returns to Forecast Business Cycles and Test the Q-Theory of Investment.(2019) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
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
2001Asymmetric cross-sectional dispersion in stock returns: evidence and implications In: Working Paper Series.
[Full Text][Citation analysis]
paper10
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
2019Treasury Yields and Corporate Bond Yield Spreads: An Empirical Analysis In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
paper14
1996Treasury yields and corporate bond yield spreads: an empirical analysis.(1996) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2019Estimating the Price of Default Risk In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
paper241
1996Estimating the price of default risk.(1996) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 241
paper
1999Estimating the Price of Default Risk..(1999) In: Review of Financial Studies.
[Citation analysis]
This paper has another version. Agregated cites: 241
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.
[Citation analysis]
paper0
2010Sharpe ratios in term structure models In: Economics Working Paper Archive.
[Full Text][Citation analysis]
paper31
2011Forecasting with the term structure: The role of no-arbitrage restrictions In: Economics Working Paper Archive.
[Full Text][Citation analysis]
paper47
2011Information in (and not in) the term structure In: Economics Working Paper Archive.
[Full Text][Citation analysis]
paper132
2011Information in (and not in) the Term Structure.(2011) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 132
article
2008Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
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
2012Estimation of Dynamic Term Structure Models In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]
article20

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