Stefano Giglio : Citation Profile


Are you Stefano Giglio?

Yale University

15

H index

18

i10 index

957

Citations

RESEARCH PRODUCTION:

15

Articles

47

Papers

RESEARCH ACTIVITY:

   14 years (2006 - 2020). See details.
   Cites by year: 68
   Journals where Stefano Giglio has often published
   Relations with other researchers
   Recent citing documents: 170.    Total self citations: 14 (1.44 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgi162
   Updated: 2021-03-01    RAS profile: 2020-09-10    
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Relations with other researchers


Works with:

Stroebel, Johannes (13)

Maggiori, Matteo (8)

Dew-Becker, Ian (7)

Engle, Robert (4)

Berger, David (2)

Campbell, John (2)

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

Is cited by:

Eisenbach, Thomas (13)

Baruník, Jozef (12)

Schmalz, Martin (11)

Chernov, Mikhail (11)

Andries, Marianne (10)

Amromin, Gene (10)

Ben-David, Itzhak (10)

Agarwal, Sumit (9)

Boyarchenko, Nina (9)

yao, vincent (9)

Gollier, Christian (8)

Cites to:

Campbell, John (34)

Shanken, Jay (10)

Diebold, Francis (10)

Bai, Jushan (9)

Barro, Robert (9)

Epstein, Larry (9)

Dew-Becker, Ian (8)

Shiller, Robert (8)

Cochrane, John (8)

Ng, Serena (7)

Hou, Kewei (7)

Main data


Where Stefano Giglio has published?


Journals with more than one article published# docs
Review of Financial Studies3
Journal of Financial Economics3
The Quarterly Journal of Economics2
Econometrica2

Working Papers Series with more than one paper published# docs
CESifo Working Paper Series / CESifo4
Working Paper / Harvard University OpenScholar2
Scholarly Articles / Harvard University Department of Economics2

Recent works citing Stefano Giglio (2021 and 2020)


YearTitle of citing document
2020Systemic Risk: a Network Approach. (2020). Hasse, Jean-Baptiste. In: AMSE Working Papers. RePEc:aim:wpaimx:2025.

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2020Tail Risks, Asset prices, and Investment Horizons. (2018). Baruník, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148.

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2020A General Weighted Average Representation of the Ordinary and Two-Stage Least Squares Estimands. (2018). Sloczy, Tymon. In: Papers. RePEc:arx:papers:1810.01576.

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2020Factor Investing: Hierarchical Ensemble Learning. (2019). Feng, Guanhao ; He, Jingyu. In: Papers. RePEc:arx:papers:1902.01015.

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2021Estimation and HAC-based Inference for Machine Learning Time Series Regressions. (2019). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:1912.06307.

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2020Inside the Mind of Investors During the COVID-19 Pandemic: Evidence from the StockTwits Data. (2020). Fallahgoul, Hasan. In: Papers. RePEc:arx:papers:2004.11686.

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2021Mortgage Contracts and Selective Default. (2020). Robertson, Scott ; Kitapbayev, Yerkin. In: Papers. RePEc:arx:papers:2005.03554.

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2020Dynamic Network Risk. (2020). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639.

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2020Horseshoe Prior Bayesian Quantile Regression. (2020). Kohns, David ; Szendrei, Tibor. In: Papers. RePEc:arx:papers:2006.07655.

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2020A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312.

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2020Neural Network-based Automatic Factor Construction. (2020). Liu, Xiang ; Xia, Zhikang ; Jiang, Yong ; Lin, Jianwu ; Fang, Jie. In: Papers. RePEc:arx:papers:2008.06225.

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2020Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

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2020Investing with Cryptocurrencies -- evaluating their potential for portfolio allocation strategies. (2020). Elendner, Hermann ; Hardle, Wolfgang Karl ; Trimborn, Simon ; Petukhina, Alla. In: Papers. RePEc:arx:papers:2009.04461.

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2020Regularization Approach for Network Modeling of German Power Derivative Market. (2020). L'Opez, Brenda ; Hardle, Wolfgang Karl ; Chen, Shi. In: Papers. RePEc:arx:papers:2009.09739.

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2021Uncertainty Network Risk and Currency Returns. (2021). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2101.09738.

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2020The Term Structures of Loss and Gain Uncertainty. (2020). Feunou, Bruno ; Xu, Lai ; Tedongap, Romeo ; Aliouchkin, Ricardo Lopez. In: Staff Working Papers. RePEc:bca:bocawp:20-19.

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2020Housing Collateral Reform and Economic Reallocation. (2020). Silva, Thiago ; Fazio, Dimas. In: Working Papers Series. RePEc:bcb:wpaper:522.

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2020The benefits are at the tail: uncovering the impact of macroprudential policy on growth-at-risk. (2020). Galan, Jorge. In: Working Papers. RePEc:bde:wpaper:2007.

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2020Climate-Related Scenarios for Financial Stability Assessment: an Application to France. (2020). Lisack, Noëmie ; Dees, Stephane ; CLERC, Laurent ; CAICEDO, Mateo ; Vernet, Lucas ; Svartzman, Romain ; Allen, Thomas ; Rabate, Marie ; Pegoraro, Fulvio ; Diot, Sebastien ; Devulder, Antoine ; de Gaye, Annabelle ; Chouard, Valerie ; Boissinot, Jean. In: Working papers. RePEc:bfr:banfra:774.

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2020Too Connected to Fail? Evidence from a Chinese Financial Risk Spillover Network. (2020). Hu, Jie ; Chen, YU ; Zhang, Weiping. In: China & World Economy. RePEc:bla:chinae:v:28:y:2020:i:6:p:78-100.

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2020ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS. (2020). Boudt, Kris ; Algaba, Andres ; Borms, Samuel ; Bluteau, Keven ; Ardia, David. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:34:y:2020:i:3:p:512-547.

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2020Option Profit and Loss Attribution and Pricing: A New Framework. (2020). Wu, Liuren ; Carr, Peter. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2271-2316.

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2020Low‐Risk Anomalies?. (2020). Zechner, Josef ; Wagner, Christian ; Schneider, Paul. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2673-2718.

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2020The Dog that Did Not Bark: Limited Price Efficiency and Strategic Nondisclosure. (2020). Zhou, Frank S. In: Journal of Accounting Research. RePEc:bla:joares:v:58:y:2020:i:1:p:155-197.

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2020Tail Risk Networks of Insurers Around the Globe: An Empirical Examination of Systemic Risk for G‐SIIs vs Non‐G‐SIIs. (2020). Sun, Tao ; Chen, Hua. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:2:p:285-318.

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2020Climate Risk and Commodity Currencies. (2020). Larsen, Vegard ; Kapfhammer, Felix ; Thorsrud, Leif Anders. In: Working Papers. RePEc:bny:wpaper:0093.

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2020Frequency-domain information for active portfolio management. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_002.

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2020Time-frequency forecast of the equity premium. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_006.

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2021Global Uncertainty. (2021). Castelnuovo, Efrem ; Caggiano, Giovanni. In: Research Discussion Papers. RePEc:bof:bofrdp:2021_001.

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2020How Does Climate Change Interact with the Financial System? A Survey. (2020). Shiraki, Noriyuki ; Ichiue, Hibiki ; Furukawa, Kakuho. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp20e08.

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2020The Hard Problem of Prediction for Conflict Prevention. (2020). Mueller, Hannes ; Rauh, C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2015.

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2021The Hard Problem of Prediction for Conflict Prevention. (2021). Mueller, Hannes ; Rauh, C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2103.

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2020Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp677.

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2020Measurement of Factor Strenght: Theory and Practice. (2020). Bailey, Natalia ; Kapetanios, George ; Pesaran, Hashem M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8146.

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2020International Trade and Social Connectedness. (2020). Richmond, Robert ; Stroebel, Johannes ; Kuchler, Theresa ; Hillenbrand, Sebastian ; Gupta, Abhinav ; Bailey, Michael. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8248.

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2020Climate Risk and Commodity Currencies. (2020). Larsen, Vegard ; Kapfhammer, Felix ; Thorsrud, Leif Anders. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8788.

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2020Inference in Weak Factor Models. (2020). Yamagata, Takashi ; Uematsu, Yoshimasa. In: ISER Discussion Paper. RePEc:dpr:wpaper:1080.

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2020Forecasting macroeconomic risk in real time: Great and Covid-19 Recessions. (2020). van der Veken, Wouter ; de Santis, Roberto A. In: Working Paper Series. RePEc:ecb:ecbwps:20202436.

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2020Macroeconomic risks across the globe due to the Spanish Flu. (2020). van der Veken, Wouter ; de Santis, Roberto A. In: Working Paper Series. RePEc:ecb:ecbwps:20202466.

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2020Can systemic risk measures predict economic shocks? Evidence from China. (2020). Zhang, YU ; Liu, Yanzhen ; Chen, Guojin. In: China Economic Review. RePEc:eee:chieco:v:64:y:2020:i:c:s1043951x20301541.

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2020Mean-variance analysis and the Modified Market Portfolio. (2020). Wenzelburger, Jan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919302167.

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2020Factor Investing for the Long Run. (2020). Tarelli, Andrea ; Lioui, Abraham. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301287.

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2021Market stability with machine learning agents. (2021). Pereira, Javier ; Georges, Christophre . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:122:y:2021:i:c:s0165188920302001.

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2020Dynamic frequency connectedness between oil and natural gas volatilities. (2020). Perez-Laborda, Alejandro ; Lovcha, Yuliya. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:181-189.

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2020Expectile CAPM. (2020). Zheng, Zhenlong ; Hu, Wei. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:386-397.

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2020The macroeconomic drivers in hedge fund beta management. (2020). Platania, Federico ; Lambert, Marie. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:65-80.

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2020Monetary policy and systemic risk-taking in the euro area banking sector. (2020). Kabundi, Alain ; de Simone, Francisco Nadal . In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:736-758.

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2021A consumption-based asset pricing model with disappointment aversion and uncertainty shocks. (2021). Guo, Zhaoxuan ; Xia, Bobo ; Li, Kaifeng. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:235-243.

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2021Further tests of asset pricing models: Liquidity risk matters. (2021). Zhang, Xindong ; Ma, Xiuli ; Liu, Weimin. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:255-273.

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2021A model-based index for systemic risk contribution measurement in financial networks. (2021). Zhang, Ziqing ; Deng, Yang ; Zhu, LI. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:35-48.

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2020Variance risk: A bird’s eye view. (2020). Simen, Chardin Wese ; Hollstein, Fabian. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:517-535.

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2020Dynamics of variance risk premia: A new model for disentangling the price of risk. (2020). Violante, Francesco ; Stentoft, Lars. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:312-334.

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2020The term structure of equity and variance risk premia. (2020). Ait-Sahalia, Yacine ; Mancini, Loriano ; Karaman, Mustafa. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:204-230.

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2020Variance swap payoffs, risk premia and extreme market conditions. (2020). Violante, Francesco ; Stentoft, Lars. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:106-124.

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2020Frictional unemployment with stochastic bubbles. (2020). Wasmer, Etienne ; Vuillemey, Guillaume. In: European Economic Review. RePEc:eee:eecrev:v:122:y:2020:i:c:s0014292119302132.

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2020Forecasting stock returns: A predictor-constrained approach. (2020). Wang, Yudong ; Pettenuzzo, Davide ; Pan, Zhiyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:200-217.

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2020Forced retirement risk and portfolio choice. (2020). Lee, Minjoon ; Chen, Guodong ; Nam, Tong-Yob. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:293-315.

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2020The beauty contest between systemic and systematic risk measures: Assessing the empirical performance. (2020). Roggi, Oliviero ; Menchetti, Fiammetta ; Giannozzi, Alessandro ; Cipollini, Fabrizio. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:316-332.

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2020Cash-flow or return predictability at long horizons? The case of earnings yield. (2020). Xu, Danielle ; Maio, Paulo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:172-192.

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2020Frequency dynamics of volatility spillovers among crude oil and international stock markets: The role of the interest rate. (2020). Wang, Xunxiao. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302401.

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2020Spillover among financial, industrial and consumer uncertainties. The case of EU member states. (2020). Åšmiech, SÅ‚awomir ; Hussain, Syed Jawad ; Papie, Monika. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301411.

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2020Do measures of systemic risk predict U.S. corporate bond default rates?. (2020). Kanas, Angelos ; Molyneux, Philip. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301976.

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2020Financial network linkages to predict economic output. (2020). Wang, Dan ; Huang, Wei-qiang . In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319301746.

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2020The yield curve and the stock market: Mind the long run. (2020). Verona, Fabio ; Faria, Gonalo. In: Journal of Financial Markets. RePEc:eee:finmar:v:50:y:2020:i:c:s138641811930134x.

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2020Predicting the equity premium with the implied volatility spread. (2020). Simin, Timothy ; Cao, Charles ; Xiao, Han. In: Journal of Financial Markets. RePEc:eee:finmar:v:51:y:2020:i:c:s1386418119303611.

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2020Uncertainty matters: Evidence from close elections. (2020). Redl, Chris. In: Journal of International Economics. RePEc:eee:inecon:v:124:y:2020:i:c:s0022199620300155.

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2020The rating spillover from banks to sovereigns: An empirical investigation across the European Union. (2020). Trautwein, Hans-Michael ; Shi, Yukun ; Prokop, Jorg ; Hu, Haoshen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s1042443119302690.

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2021Data snooping in equity premium prediction. (2021). Wendt, Viktoria-Sophie ; Neuhierl, Andreas ; Drobetz, Wolfgang ; Dichtl, Hubert. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:72-94.

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2020Moment risk premia and the cross-section of stock returns in the European stock market. (2020). Elyasiani, Elyas ; Muzzioli, Silvia ; Gambarelli, Luca. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s037842661930305x.

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2020Back to the future: Backtesting systemic risk measures during historical bank runs and the great depression. (2020). Kurz, Christopher ; Ghysels, Eric ; Chabot, Ben ; Brownlees, Christian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426620300030.

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2020Bank-based versus market-based financing: Implications for systemic risk. (2020). Houben, Aerdt ; Bats, Joost. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:114:y:2020:i:c:s0378426620300443.

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2021Pricing kernel monotonicity and term structure: Evidence from China. (2021). Guo, Shuxin ; Liu, Qiang ; Jiao, Yuhan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s0378426620302983.

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2020Dynamic interventions and informational linkages. (2020). Cong, Lin William ; Hu, Yunzhi ; Grenadier, Steven R. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:1:p:1-15.

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2020Measuring skewness premia. (2020). Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:2:p:399-424.

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2020Real effects of workers’ financial distress: Evidence from teacher spillovers. (2020). Nickerson, Jordan ; Maturana, Gonzalo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:1:p:137-151.

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2020Time-varying inflation risk and stock returns. (2020). Duarte, Fernando ; Szymanowska, Marta ; De Roon, Frans ; Boons, Martijn. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:2:p:444-470.

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2020Is the credit spread puzzle a myth?. (2020). Yang, Fan ; Goldstein, Robert S ; Bai, Jennie. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:2:p:297-319.

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2020Why do discount rates vary?. (2020). Santosh, Shrihari ; Kozak, Serhiy. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:3:p:740-751.

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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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2020Financial intermediation and capital reallocation. (2020). Yang, Fang ; Li, Kai ; Ai, Hengjie. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:3:p:663-686.

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2021Sticking to your plan: The role of present bias for credit card paydown. (2021). Pagel, Michaela ; Kuchler, Theresa. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:2:p:359-388.

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2021Time-varying state variable risk premia in the ICAPM. (2021). Karehnke, Paul ; Boons, Martijn ; Barroso, Pedro. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:2:p:428-451.

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2021Long-term reversals in the corporate bond market. (2021). Wen, Quan ; Subrahmanyam, Avanidhar ; Bali, Turan G. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:2:p:656-677.

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2020Can regulation de-bias appraisers?. (2020). Ambrose, Brent ; Yao, Vincent W ; Agarwal, Sumit. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:44:y:2020:i:c:s104295731930035x.

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2020Housing supply elasticity, gasoline prices, and residential property values. (2020). Coulson, Edward N ; Neill, Helen R ; Morris, Adele C. In: Journal of Housing Economics. RePEc:eee:jhouse:v:48:y:2020:i:c:s1051137719301019.

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2020The effect of uncertainty on the precious metals market: New insights from Transfer Entropy and Neural Network VAR. (2020). Duc, Toan Luu. In: Resources Policy. RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719309365.

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2020Bank adaptation to neighborhood change: Mortgage lending and the Community Reinvestment Act. (2020). Lee, Hyojung ; Bostic, Raphael W. In: Journal of Urban Economics. RePEc:eee:juecon:v:116:y:2020:i:c:s0094119019300889.

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2020The Importance of Timing Attitudes in Consumption-Based Asset Pricing Models. (2020). Jorgensen, Kasper ; Andreasen, Martin M. In: Journal of Monetary Economics. RePEc:eee:moneco:v:111:y:2020:i:c:p:95-117.

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2020Expectation formation in a new environment: Evidence from the German reunification. (2020). Wohlfart, Johannes ; Goldfayn-Frank, Olga. In: Journal of Monetary Economics. RePEc:eee:moneco:v:115:y:2020:i:c:p:301-320.

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2020Listed zombie firms and top executive gender: Evidence from an emerging market. (2020). Gözgör, Giray ; Lau, Chi-Keung Marco ; Gozgor, Giray ; Fang, Jianchun ; Yan, Cheng ; Wu, Wanshan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x20300974.

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2021A study of systemic risk of global stock markets under COVID-19 based on complex financial networks. (2021). Hu, Yibo ; Lai, Yujie. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:566:y:2021:i:c:s0378437120309110.

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2020Economic uncertainty before and during the COVID-19 pandemic. (2020). Mizen, Paul ; Davis, Steven ; bloom, nicholas ; Barrero, Jose Maria ; Parker, Nicholas ; Mihaylov, Emil ; Meyer, Brent ; Leather, Julia ; Chen, Scarlet ; Bunn, Philip ; Thwaites, Gregory ; Baker, Scott ; Smietanka, Pawel ; Altig, Dave ; Renault, Thomas. In: Journal of Public Economics. RePEc:eee:pubeco:v:191:y:2020:i:c:s0047272720301389.

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2020Stress testing household balance sheets in Luxembourg. (2020). Ziegelmeyer, Michael ; Giordana, Gastón. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:115-138.

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2020Alternative mortgage contracts and affordability- overview by Mark J. Garmaise. (2020). Garmaise, Mark J. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:80:y:2020:i:c:s0166046217303150.

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2020Firm’s quality increases and the cross-section of stock returns: Evidence from China. (2020). Liao, Huiyi ; Yin, Libo. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:228-243.

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2020Spillover of sentiment in the European Union: Evidence from time- and frequency-domains. (2020). Tiwari, Aviral ; Plakandaras, Vasilios ; GUPTA, RANGAN ; Ji, Qiang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:105-130.

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2020Dynamics of variance risk premium: Evidence from India. (2020). Ramachandran, Shankar ; Sankar, Ganesh ; Lukose, Jijo. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:321-334.

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2021Systemic risk in international stock markets: Role of the oil market. (2021). Han, Liyan ; Feng, Jiabao ; Yin, Libo. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:592-619.

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2020Systemic risk, economic policy uncertainty and firm bankruptcies: Evidence from multivariate causal inference. (2020). Shchepeleva, Maria ; Stolbov, Mikhail. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919302570.

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2020Firms profit instability and the cross-section of stock returns: Evidence from China. (2020). Wei, YA ; Yin, Libo ; Han, Liyan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919308256.

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2020A Crisis of Missed Opportunities? Foreclosure Costs and Mortgage Modification During the Great Recession. (2020). Iacoviello, Matteo ; Gabriel, Stuart ; Lutz, Chandler. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-53.

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

Works by Stefano Giglio:


YearTitleTypeCited
2011Forced Sales and House Prices In: American Economic Review.
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article316
2011Forced Sales and House Prices.(2011) In: Scholarly Articles.
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2009Forced Sales and House Prices.(2009) In: NBER Working Papers.
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2020Inside the Mind of a Stock Market Crash In: Papers.
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2020Inside the Mind of a Stock Market Crash.(2020) In: CESifo Working Paper Series.
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paper
2020Inside the Mind of a Stock Market Crash.(2020) In: NBER Working Papers.
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2020Taming the Factor Zoo: A Test of New Factors In: Journal of Finance.
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article31
2020Taming the Factor Zoo: A Test of New Factors.(2020) In: CEPR Discussion Papers.
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paper
2019Taming the Factor Zoo: A Test of New Factors.(2019) In: NBER Working Papers.
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paper
2015Climate Change and Long-Run Discount Rates: Evidence from Real Estate In: CESifo Working Paper Series.
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paper25
2015Climate Change and Long-Run Discount Rates: Evidence from Real Estate.(2015) In: CEPR Discussion Papers.
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paper
2015Climate Change and Long-Run Discount Rates: Evidence from Real Estate.(2015) In: NBER Working Papers.
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paper
2015Climate Change and Long-Run Discount Rates: Evidence from Real Estate.(2015) In: Working Paper.
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paper
2019Hedging climate change news In: CESifo Working Paper Series.
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paper11
2019Hedging Climate Change News.(2019) In: CEPR Discussion Papers.
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paper
2019Hedging Climate Change News.(2019) In: NBER Working Papers.
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paper
2020Hedging Climate Change News.(2020) In: Review of Financial Studies.
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article
2019Five facts about beliefs and portfolios In: CESifo Working Paper Series.
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paper17
2019Five Facts About Beliefs and Portfolios.(2019) In: CEPR Discussion Papers.
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paper
2019Five Facts about Beliefs and Portfolios.(2019) In: NBER Working Papers.
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paper
2011Intangible Capital, Relative Asset Shortages and Bubbles In: Levine's Working Paper Archive.
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paper19
2012Intangible capital, relative asset shortages and bubbles.(2012) In: Journal of Monetary Economics.
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This paper has another version. Agregated cites: 19
article
2015An Intertemporal CAPM with Stochastic Volatility In: CEPR Discussion Papers.
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paper86
2018An intertemporal CAPM with stochastic volatility.(2018) In: Journal of Financial Economics.
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article
2018An Intertemporal CAPM with stochastic volatility.(2018) In: LSE Research Online Documents on Economics.
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paper
2012An Intertemporal CAPM with Stochastic Volatility.(2012) In: NBER Working Papers.
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This paper has another version. Agregated cites: 86
paper
2006The Performance of Italian Family Firms In: CEPR Discussion Papers.
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paper10
2006Fiscal Policy and the Term Structure: Evidence from the Case of Italy in the EMS and the EMU Periods In: CEPR Discussion Papers.
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paper4
2006Fiscal Policy and the Term Structure: Evidence from the Case of Italy in the EMS and the EMU Periods.(2006) In: Working Papers.
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This paper has another version. Agregated cites: 4
paper
2014Very Long-Run Discount Rates In: CEPR Discussion Papers.
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paper23
2014Very long-run discount rates.(2014) In: Globalization Institute Working Papers.
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paper
2014Very Long-Run Discount Rates.(2014) In: NBER Working Papers.
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paper
2014Very Long Run Discount Rates.(2014) In: 2014 Meeting Papers.
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paper
2016Systemic risk and the macroeconomy: An empirical evaluation In: Journal of Financial Economics.
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article117
2015Systemic Risk and the Macroeconomy: An Empirical Evaluation.(2015) In: NBER Working Papers.
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paper
2017The price of variance risk In: Journal of Financial Economics.
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article60
2015The Price of Variance Risk.(2015) In: NBER Working Papers.
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This paper has another version. Agregated cites: 60
paper
2011Credit default swap spreads and systemic financial risk In: Proceedings.
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paper44
2016Credit default swap spreads and systemic financial risk.(2016) In: ESRB Working Paper Series.
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This paper has another version. Agregated cites: 44
paper
2013Hard Times In: Scholarly Articles.
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paper18
2010Hard Times.(2010) In: NBER Working Papers.
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This paper has another version. Agregated cites: 18
paper
2013Hard Times.(2013) In: Review of Asset Pricing Studies.
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This paper has another version. Agregated cites: 18
article
2013No News is News: Do Markets Underreact to Nothing? In: NBER Working Papers.
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paper2
2013Asset Pricing in the Frequency Domain: Theory and Empirics In: NBER Working Papers.
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paper52
2016Asset Pricing in the Frequency Domain: Theory and Empirics.(2016) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 52
article
2013Asset pricing in the frequency domain: theory and empirics.(2013) In: 2013 Meeting Papers.
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This paper has another version. Agregated cites: 52
paper
2014No-Bubble Condition: Model-free Tests in Housing Markets In: NBER Working Papers.
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paper28
No-Bubble Condition: Model-Free Tests in Housing Markets.() In: Working Paper.
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This paper has another version. Agregated cites: 28
paper
2016No‐Bubble Condition: Model‐Free Tests in Housing Markets.(2016) In: Econometrica.
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This paper has another version. Agregated cites: 28
article
2016Excess Volatility: Beyond Discount Rates In: NBER Working Papers.
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paper4
2018Excess Volatility: Beyond Discount Rates.(2018) In: The Quarterly Journal of Economics.
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article
2017Inference on Risk Premia in the Presence of Omitted Factors In: NBER Working Papers.
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paper7
2017Uncertainty Shocks as Second-Moment News Shocks In: NBER Working Papers.
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paper20
2020Uncertainty Shocks as Second-Moment News Shocks.(2020) In: Review of Economic Studies.
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article
2017Uncertainty Shocks as Second-Moment News Shocks.(2017) In: 2017 Meeting Papers.
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paper
2019Hedging Macroeconomic and Financial Uncertainty and Volatility In: NBER Working Papers.
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paper4
2020Cross-Sectional Uncertainty and the Business Cycle: Evidence from 40 Years of Options Data In: NBER Working Papers.
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paper1
2020Climate Finance In: NBER Working Papers.
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paper0
2015Editors Choice Very Long-Run Discount Rates In: The Quarterly Journal of Economics.
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article38
2014Editors Choice No News Is News: Do Markets Underreact to Nothing? In: Review of Financial Studies.
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article14
2016Contractionary Volatility or Volatile Contractions? In: 2016 Meeting Papers.
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paper4
2020Reply to “Rational Bubbles in UK Housing Markets” In: Econometrica.
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article0

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