24
H index
41
i10 index
3182
Citations
University of California-Los Angeles (UCLA) | 24 H index 41 i10 index 3182 Citations RESEARCH PRODUCTION: 17 Articles 87 Papers 1 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Hanno Lustig. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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American Economic Review | 4 |
The Review of Financial Studies | 3 |
Journal of the European Economic Association | 2 |
Review of Economic Dynamics | 2 |
Year ![]() | Title of citing document ![]() | |
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2023 | . Full description at Econpapers || Download paper | |
2023 | Sustainable Investing and the Cross-Section of Maximum Drawdown. (2019). Mouti, Saad ; Goldberg, Lisa R. In: Papers. RePEc:arx:papers:1905.05237. Full description at Econpapers || Download paper | |
2023 | Dynamic Networks in Large Financial and Economic Systems. (2020). BarunÃÂk, Jozef ; Ellington, Michael. In: Papers. RePEc:arx:papers:2007.07842. Full description at Econpapers || Download paper | |
2023 | Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962. Full description at Econpapers || Download paper | |
2023 | Railroad Bailouts in the Great Depression. (2022). Verdickt, Gertjan ; Moore, Lyndon. In: Papers. RePEc:arx:papers:2205.13025. Full description at Econpapers || Download paper | |
2024 | Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267. Full description at Econpapers || Download paper | |
2023 | Labor Income Risk and the Cross-Section of Expected Returns. (2023). Pinchuk, Mykola. In: Papers. RePEc:arx:papers:2301.09173. Full description at Econpapers || Download paper | |
2023 | Government Guarantees and Banks Income Smoothing. (2023). , Felipe ; Merkley, Kenneth J ; Dantas, Manuela M. In: Papers. RePEc:arx:papers:2303.03661. Full description at Econpapers || Download paper | |
2023 | Reconstructing firm-level input-output networks from partial information. (2023). Austudillo-Estevez, Pablo ; Bacilieri, Andrea. In: Papers. RePEc:arx:papers:2304.00081. Full description at Econpapers || Download paper | |
2023 | Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419. Full description at Econpapers || Download paper | |
2023 | Common Firm-level Investor Fears: Evidence from Equity Options. (2023). Baruník, Jozef ; Ellington, Michael ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:2309.03968. Full description at Econpapers || Download paper | |
2023 | Stochastic volatility models with skewness selection. (2023). Lopes, Hedibert Freitas ; Batista, Igor Ferreira. In: Papers. RePEc:arx:papers:2312.00282. Full description at Econpapers || Download paper | |
2024 | What events matter for exchange rate volatility ?. (2024). Ferreira Batista Martins, Igor ; Lopes, Hedibert Freitas. In: Papers. RePEc:arx:papers:2411.16244. Full description at Econpapers || Download paper | |
2023 | Crypto carry. (2023). Schrimpf, Andreas ; Todorov, Karamfil ; Schmeling, Maik. In: BIS Working Papers. RePEc:bis:biswps:1087. Full description at Econpapers || Download paper | |
2023 | The cumulant risk premium. (2023). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:1128. Full description at Econpapers || Download paper | |
2024 | Exchange rates and political uncertainty: the Brexit case. (2024). Moramarco, Graziano ; Manasse, Paolo ; Trigilia, Giulio. In: Economica. RePEc:bla:econom:v:91:y:2024:i:362:p:621-652. Full description at Econpapers || Download paper | |
2023 | Macroeconomic fundamentals and cryptocurrency prices: A common trend approach. (2023). Rodriguez, Ivan ; Zhang, Qianying ; Jiang, Xiaoquan. In: Financial Management. RePEc:bla:finmgt:v:52:y:2023:i:1:p:181-198. Full description at Econpapers || Download paper | |
2023 | Belief aggregation for representative agent models. (2023). Zimper, Alexander. In: International Journal of Economic Theory. RePEc:bla:ijethy:v:19:y:2023:i:2:p:309-342. Full description at Econpapers || Download paper | |
2023 | Risk and return in the foreign exchange market: Measurement without VARs. (2023). Luo, Shaowen. In: International Finance. RePEc:bla:intfin:v:26:y:2023:i:1:p:64-81. Full description at Econpapers || Download paper | |
2024 | Aggregate uncertainty, information acquisition, and analyst stock recommendations. (2024). Welagedara, Venura ; Singh, Harminder. In: International Review of Finance. RePEc:bla:irvfin:v:24:y:2024:i:4:p:604-640. Full description at Econpapers || Download paper | |
2023 | Optimal public debt composition during debt crises: A review of theoretical literature. (2023). Goeminne, Stijn ; Naert, Frank ; Elberry, Nada Azmy. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:2:p:351-376. Full description at Econpapers || Download paper | |
2023 | International Yield Curves and Currency Puzzles. (2023). Creal, Drew ; Chernov, Mikhail. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:209-245. Full description at Econpapers || Download paper | |
2023 | Small Business Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market. (2023). Longstaff, Francis A ; Fleckenstein, Matthias. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:389-425. Full description at Econpapers || Download paper | |
2023 | Pricing Currency Risks. (2023). Chernov, Mikhail ; Lochstoer, Lars ; Dahlquist, Magnus. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:2:p:693-730. Full description at Econpapers || Download paper | |
2024 | Foreign Exchange Fixings and Returns around the Clock. (2024). Mueller, Philippe ; Whelan, Paul ; Krohn, Ingomar. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:1:p:541-578. Full description at Econpapers || Download paper | |
2024 | A Portfolio Approach to Global Imbalances. (2024). Zhang, Tony ; Richmond, Robert J ; Jiang, Zhengyang. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:2025-2076. Full description at Econpapers || Download paper | |
2024 | The Term Structure of Covered Interest Rate Parity Violations. (2024). Song, Dongho ; Chernov, Mikhail ; Schmid, Lukas ; Augustin, Patrick. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:2077-2114. Full description at Econpapers || Download paper | |
2024 | Modeling Conditional Factor Risk Premia Implied by Index Option Returns. (2024). Orowski, Piotr ; Jacobs, Kris ; Fournier, Mathieu. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:2289-2338. Full description at Econpapers || Download paper | |
2024 | What Drives Variation in the U.S. Debt‐to‐Output Ratio? The Dogs that Did not Bark. (2024). Van Nieuwerburgh, Stijn ; Xiaolan, Mindy Z ; Lustig, Hanno ; Jiang, Zhengyang. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:4:p:2603-2665. Full description at Econpapers || Download paper | |
2023 | Uncertainty premia in REIT returns. (2023). Strobel, Johannes ; Ruf, Daniel ; Lotz, Marton. In: Real Estate Economics. RePEc:bla:reesec:v:51:y:2023:i:2:p:372-407. Full description at Econpapers || Download paper | |
2023 | Industrial tail exposure risk and asset price: Evidence from US REITs. (2023). Liow, Kim ; Song, Jeongseop. In: Real Estate Economics. RePEc:bla:reesec:v:51:y:2023:i:5:p:1209-1245. Full description at Econpapers || Download paper | |
2023 | Carry trade and forward premium puzzle from the perspective of a safe?haven currency. (2020). Nitschka, Thomas ; Haab, David R. In: Review of International Economics. RePEc:bla:reviec:v:28:y:2020:i:2:p:376-394. Full description at Econpapers || Download paper | |
2023 | Carry trades and US monetary policy. (2023). Falconio, Andrea. In: Review of International Economics. RePEc:bla:reviec:v:31:y:2023:i:1:p:237-248. Full description at Econpapers || Download paper | |
2023 | Commitment and discretion in contracts: theory and evidence from retirement plans. (2023). Vikander, Nick ; Kim, Jinhyuk. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:125:y:2023:i:2:p:461-488. Full description at Econpapers || Download paper | |
2023 | Exchange Rate Disconnect Redux. (2021). Valchev, Rosen ; Guerron, Pablo ; De Leo, Pierre ; Cormun, Vito ; Chahrour, Ryan ; Guerron-Quintana, Pablo. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:1041. Full description at Econpapers || Download paper | |
2023 | Capital Risk, Fiscal Policy, and the Distribution of Wealth. (2023). Regis, Luca ; Modena, Andrea. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2023_454. Full description at Econpapers || Download paper | |
2024 | Fiscal Policy and the Balance Sheet of the Private Sector. (2024). von Thadden, Ernst-Ludwig ; Rochet, Jean-Charles ; Gersbach, Hans. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2024_544. Full description at Econpapers || Download paper | |
2023 | The U.S. Dollar as an International Currency and Its Economic Effects: Working Paper 2023-04. (2023). Fried, Daniel. In: Working Papers. RePEc:cbo:wpaper:58764. Full description at Econpapers || Download paper | |
2023 | Global Production Linkages and Stock Market Comovement. (2023). Auer, Raphael A ; Wagner, Alexander F ; Schrimpf, Andreas ; Iwadate, Bruce. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10492. Full description at Econpapers || Download paper | |
2024 | Unpacking Economic Uncertainty — Measuring the Firm, Sector and Aggregate Components. (2024). Treibich, Tania ; Piccillo, Giulia ; Mohades, Siavash. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10974. Full description at Econpapers || Download paper | |
2024 | Exchange Rates and Sovereign Risk: A Nonlinear Approach Based on Local Gaussian Correlations. (2024). Legrenzi, Gabriella Deborah ; Heinlein, Reinhold. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11019. Full description at Econpapers || Download paper | |
2023 | Dash for Dollars. (2023). Czech, Robert ; Eguren-Martin, Fernando ; Cesa-Bianchi, Ambrogio. In: Discussion Papers. RePEc:cfm:wpaper:2314. Full description at Econpapers || Download paper | |
2024 | Government Debt Management and Inflation with Real and Nominal Bonds. (2024). Valaitis, Vytautas ; Villa, Alessandro T ; Schmid, Lukas. In: Discussion Papers. RePEc:cfm:wpaper:2413. Full description at Econpapers || Download paper | |
2023 | Global Risk and the Dollar. (2023). Müller, Gernot ; Georgiadis, Georgios ; Schumann, Ben. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2057. Full description at Econpapers || Download paper | |
2023 | Dollar Trinity and the Global Financial Cycle. (2023). Müller, Gernot ; Georgiadis, Georgios ; Schumann, Ben. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2058. Full description at Econpapers || Download paper | |
2024 | Interest Rates, Convenience Yields, and Inflation Expectations: Drivers of US Dollar Exchange Rates. (2024). Bernoth, Kerstin ; Herwartz, Helmut ; Trienens, Lasse. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2100. Full description at Econpapers || Download paper | |
2024 | Insurance against Aggregate Shocks. (2024). Shibata, Akihisa ; Kunieda, Takuma. In: ISER Discussion Paper. RePEc:dpr:wpaper:1239. Full description at Econpapers || Download paper | |
2023 | Monetary policy and local industry structure. (2023). Steininger, Lea ; Popov, Alexander. In: Working Paper Series. RePEc:ecb:ecbwps:20232778. Full description at Econpapers || Download paper | |
2023 | Loan guarantees, bank underwriting policies and financial fragility. (2023). Marquez, Robert ; Leonello, Agnese ; Carletti, Elena. In: Working Paper Series. RePEc:ecb:ecbwps:20232782. Full description at Econpapers || Download paper | |
2024 | Public guarantees, private banks’ incentives, and corporate outcomes: evidence from the COVID-19 crisis. (2024). Laeven, Luc ; Jimenez, Gabriel ; Peydro, Jose-Luis ; Martinez-Miera, David. In: Working Paper Series. RePEc:ecb:ecbwps:20242913. Full description at Econpapers || Download paper | |
2024 | Greening the economy: how public-guaranteed loans influence firm-level resource allocation. (2024). Reghezza, Alessio ; Perdichizzi, Salvatore ; Buchetti, Bruno ; Miquel-Flores, Ixart. In: Working Paper Series. RePEc:ecb:ecbwps:20242916. Full description at Econpapers || Download paper | |
2024 | Mutual funds and safe government bonds: do returns matter?. (2024). Graziano, Marco ; Habib, Maurizio Michael. In: Working Paper Series. RePEc:ecb:ecbwps:20242931. Full description at Econpapers || Download paper | |
2024 | The geography of capital allocation in the euro area. (2024). Beck, Roland ; Lewis, Angus ; Maggiori, Matteo ; Schreger, Jesse ; Coppola, Antonio ; Schmitz, Martin. In: Working Paper Series. RePEc:ecb:ecbwps:20243007. Full description at Econpapers || Download paper | |
2023 | FDI commitments increase when uncertainty is resolved: Evidence from Asia. (2023). Naknoi, Kanda ; Hornstein, Abigail S. In: Journal of Asian Economics. RePEc:eee:asieco:v:87:y:2023:i:c:s1049007823000490. Full description at Econpapers || Download paper | |
2023 | Regional redistribution through SBA guaranteed loan programs. (2023). Lee, Munseob. In: Journal of Corporate Finance. RePEc:eee:corfin:v:78:y:2023:i:c:s0929119922001870. Full description at Econpapers || Download paper | |
2023 | What went wrong? The Puerto Rican debt crisis, the “Treasury Put,” and the failure of market discipline. (2023). Chirinko, Bob. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000585. Full description at Econpapers || Download paper | |
2024 | How does currency risk impact firms? New evidence from bank loan contracts. (2024). Hunter, Delroy M ; Francis, Bill B ; Bergbrant, Mikael C. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s092911992400004x. Full description at Econpapers || Download paper | |
2023 | Interest rate changes and the cross-section of global equity returns. (2023). Long, Huaigang ; Bianchi, Robert J ; Cakici, Nusret ; Zaremba, Adam. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s0165188923000027. Full description at Econpapers || Download paper | |
2024 | Bonds, currencies and expectational errors. (2024). Sihvonen, Markus ; Granziera, Eleonora. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s0165188923001963. Full description at Econpapers || Download paper | |
2024 | Dynamic industry uncertainty networks and the business cycle. (2024). faff, robert ; Baruník, Jozef ; Bevilacqua, Mattia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923001999. Full description at Econpapers || Download paper | |
2024 | Financial decisions involving credit default swaps over the business cycle. (2024). Yang, Zhaojun ; Gan, Liu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:161:y:2024:i:c:s0165188924000228. Full description at Econpapers || Download paper | |
2024 | Nominal exchange rates and heterogeneous beliefs. (2024). Lu, Lei ; Jiao, Feng ; Croitoru, Benjamin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:166:y:2024:i:c:s0165188924000964. Full description at Econpapers || Download paper | |
2023 | Currency portfolio behavior in seven major Asian markets. (2023). Lin, Chinho ; Chang, Hao-Wen. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:540-559. Full description at Econpapers || Download paper | |
2023 | Does digital transformation reduce the labor income share in enterprises?. (2023). Ning, Guang-Jie ; Si, Deng-Kui ; Yang, Guang-Zhao. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:80:y:2023:i:c:p:1526-1538. Full description at Econpapers || Download paper | |
2023 | Do information spillovers across products aggravate product market monopoly? An examination with Chinese data. (2023). Dong, Jiemiao ; Mukhopadhaya, Pundarik ; Cheng, Jiajia ; Yu, Zhuangxiong. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001505. Full description at Econpapers || Download paper | |
2023 | Risk-return tradeoff and serial correlation in the Chinese stock market: A bailout-driven crash feedback hypothesis. (2023). Yang, Yiwen ; Yao, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003644. Full description at Econpapers || Download paper | |
2024 | Public debt management announcements: A welfare-theoretic analysis. (2024). Rossi, Enzo ; Dentler, Alexander. In: Economic Modelling. RePEc:eee:ecmode:v:131:y:2024:i:c:s0264999323003735. Full description at Econpapers || Download paper | |
2024 | The return on everything and the business cycle in production economies. (2024). Fehrle, Daniel ; Heiberger, Christopher. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324000981. Full description at Econpapers || Download paper | |
2023 | Forecasting stock return volatility in data-rich environment: A new powerful predictor. (2023). Li, Tingyu ; Zhang, Xiaotong ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001802. Full description at Econpapers || Download paper | |
2023 | US structural drivers of international portfolio returns. (2023). Tong, Eric ; So, Inhwan ; Jang, Bosung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002078. Full description at Econpapers || Download paper | |
2023 | Spillover shifts in the FX market: Implication for the behavior of a safe haven currency. (2023). Lee, Seojin ; Kim, Youngmin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000086. Full description at Econpapers || Download paper | |
2023 | Cross-sectional implications of dynamic asset pricing with stochastic volatility and ambiguity aversion. (2023). Alonso-Conde, Ana B ; Rojo-Suarez, Javier ; Lago-Balsalobre, Ruben. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000323. Full description at Econpapers || Download paper | |
2024 | The time-varying U.S. treasury bond demand elasticity. (2024). Yang, Bohan ; Wang, Bin. In: Economics Letters. RePEc:eee:ecolet:v:241:y:2024:i:c:s0165176524002908. Full description at Econpapers || Download paper | |
2023 | Business-cycle consumption risk and asset prices. (2023). Tamoni, Andrea ; Bandi, Federico M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001410. Full description at Econpapers || Download paper | |
2024 | Systematic staleness. (2024). Reno, Roberto ; Pirino, Davide ; Bandi, Federico M. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002385. Full description at Econpapers || Download paper | |
2024 | Common volatility shocks driven by the global carbon transition. (2024). Hendry, David F ; Campos-Martins, Susana. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623001665. Full description at Econpapers || Download paper | |
2023 | Do the carry trades respond to geopolitical risks? Evidence from BRICS countries. (2023). Yilmaz, Muhammed Hasan ; Guney, Ibrahim Ethem ; Emirmahmutoglu, Furkan ; Cepni, Oguzhan. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:2:s0939362522000620. Full description at Econpapers || Download paper | |
2023 | The global financial cycle and capital flows during the COVID-19 pandemic. (2023). Davis, Jonathan ; Zlate, Andrei. In: European Economic Review. RePEc:eee:eecrev:v:156:y:2023:i:c:s001429212300106x. Full description at Econpapers || Download paper | |
2023 | Consumer savings behaviour at low and negative interest rates. (2023). Friz, Roberta ; Kenny, Geoff ; Felici, Marco. In: European Economic Review. RePEc:eee:eecrev:v:157:y:2023:i:c:s0014292123001320. Full description at Econpapers || Download paper | |
2024 | Pension reform and wealth inequality: Theory and evidence. (2024). Grodecka-Messi, Anna ; Bhattacharya, Joydeep ; Andersen, Torben M ; Mann, Katja. In: European Economic Review. RePEc:eee:eecrev:v:165:y:2024:i:c:s0014292124000758. Full description at Econpapers || Download paper | |
2024 | Asset prices in a production network. (2024). Ruge-Murcia, Francisco. In: European Economic Review. RePEc:eee:eecrev:v:166:y:2024:i:c:s0014292124000801. Full description at Econpapers || Download paper | |
2024 | Persistence in financial connectedness and systemic risk. (2024). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:393-407. Full description at Econpapers || Download paper | |
2024 | Are FX communications effective? Evidence from emerging markets. (2024). Parra-Polanía, Julián ; Sanchez-Jabba, Andres ; Parra-Polania, Julian ; Sarmiento, Miguel. In: Emerging Markets Review. RePEc:eee:ememar:v:59:y:2024:i:c:s1566014123000961. Full description at Econpapers || Download paper | |
2023 | Disagreement, speculation, and the idiosyncratic volatility. (2023). Jiang, Ying ; Pan, Jiening ; Wu, KE ; Wang, Jianqiu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:232-250. Full description at Econpapers || Download paper | |
2023 | Cross-sectional uncertainty and expected stock returns. (2023). Huang, Difang ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:321-340. Full description at Econpapers || Download paper | |
2023 | Global political risk and international stock returns. (2023). Zenios, Stavros A ; Pagliardi, Giovanni ; Gala, Vito D. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:78-102. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year ![]() | Title ![]() | Type ![]() | Cited ![]() |
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2010 | Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk In: American Economic Review. [Full Text][Citation analysis] | article | 17 |
2011 | The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply In: American Economic Review. [Full Text][Citation analysis] | article | 34 |
2008 | The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply.(2008) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | paper | |
2012 | Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing? In: American Economic Review. [Full Text][Citation analysis] | article | 62 |
2009 | Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing?.(2009) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 62 | paper | |
2007 | The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk In: American Economic Review. [Full Text][Citation analysis] | article | 436 |
2006 | The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk..(2006) In: Working papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 436 | paper | |
2005 | THE CROSS-SECTION OF FOREIGN CURRENCY RISK PREMIA AND CONSUMPTION GROWTH RISK.(2005) In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] This paper has nother version. Agregated cites: 436 | paper | |
2006 | The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk.(2006) In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] This paper has nother version. Agregated cites: 436 | paper | |
2004 | The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk.(2004) In: 2004 Meeting Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 436 | paper | |
2012 | How Does the US Government Finance Fiscal Shocks? In: American Economic Journal: Macroeconomics. [Full Text][Citation analysis] | article | 30 |
1990 | How does the U.S. government finance fiscal shocks?.(1990) In: GSIA Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | paper | |
2010 | How Does the U.S. Government Finance Fiscal Shocks?.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | paper | |
2005 | Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective In: Journal of Finance. [Full Text][Citation analysis] | article | 281 |
2003 | Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective.(2003) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 281 | paper | |
2005 | Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution. In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 19 |
2006 | Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution.(2006) In: Journal of the European Economic Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | article | |
2007 | The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models¤ In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 20 |
The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models.() In: UCLA Economics Online Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | ||
2007 | The Wealth-Consumption Ratio: A Litmus Test for Consumption-Based Asset Pricing Models.(2007) In: 2007 Meeting Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
2004 | The Market Price of Aggregate Risk and the Wealth Distribution In: UCLA Economics Online Papers. [Full Text][Citation analysis] | paper | 113 |
2005 | The Market Price of Aggregate Risk and the Wealth Distribution.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 113 | paper | |
2010 | The Market Price of Aggregate Risk and the Wealth Distribution.(2010) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 113 | article | |
2001 | The Market Price of Aggregate Risk and the Wealth Distribution.(2001) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 113 | paper | |
2004 | Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective (joint with Stijn Van Nieuwerburgh), forthcoming Journal of Finance In: UCLA Economics Online Papers. [Full Text][Citation analysis] | paper | 2 |
2004 | How much Does Household Collateral Constrain Regional Risk Sharing? (joint with Stijn Van Nieuwerburgh) (updated February 2006) In: UCLA Economics Online Papers. [Full Text][Citation analysis] | paper | 0 |
2004 | The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk (joint with Adrien Verdelhan)(updated February 2006) In: UCLA Economics Online Papers. [Full Text][Citation analysis] | paper | 0 |
2004 | Can Housing Collateral Explain Long-Run Swings in Asset Returns? (joint with Stijn Van Nieuwerburgh) In: UCLA Economics Online Papers. [Full Text][Citation analysis] | paper | 0 |
2005 | The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street (joint with Stijn Van Nieuwerburgh) In: UCLA Economics Online Papers. [Full Text][Citation analysis] | paper | 11 |
2005 | Fiscal Hedging and the Yield Curve(joint with Chris Sleet, CMU, and Sevin Yeltekin (CMU)) In: UCLA Economics Online Papers. [Full Text][Citation analysis] | paper | 0 |
2005 | Does the US government Hedge against Defense Expenditure Risk? (joint with Chris Sleet and Sevin Yeltekin) In: UCLA Economics Online Papers. [Full Text][Citation analysis] | paper | 0 |
2005 | Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution (joint with Adrien Verdelhan, BU, forthcoming in Papers and Proceedings JEEA) In: UCLA Economics Online Papers. [Full Text][Citation analysis] | paper | 0 |
When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (joint with Dirk Krueger, UPenn) In: UCLA Economics Online Papers. [Full Text][Citation analysis] | paper | 0 | |
Exploring the Link between Housing and the Value Premium (joint with Stijn Van Nieuwerburgh) In: UCLA Economics Online Papers. [Full Text][Citation analysis] | paper | 0 | |
Macro Implications of Household Finance (joint with YiLi Chien and Harold Cole ) In: UCLA Economics Online Papers. [Full Text][Citation analysis] | paper | 0 | |
Fiscal Hedging with Nominal Assets In: GSIA Working Papers. [Full Text][Citation analysis] | paper | 61 | |
2008 | Fiscal hedging with nominal assets.(2008) In: Journal of Monetary Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 61 | article | |
2006 | The Irrelevance of Market Incompleteness for the Price of Aggregate Risk In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2012 | The Wealth-Consumption Ratio In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 60 |
2008 | The Wealth-Consumption Ratio.(2008) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 60 | paper | |
2012 | Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 129 |
2011 | Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 129 | paper | |
2011 | Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees.(2011) In: 2011 Meeting Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 129 | paper | |
2012 | The Cross-Section and Time-Series of Stock and Bond Returns In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 86 |
2010 | The Cross-Section and Time-Series of Stock and Bond Returns.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 86 | paper | |
2010 | When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)? In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 68 |
2006 | When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and when is it not)?.(2006) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 68 | paper | |
2011 | Technological change and the growing inequality in managerial compensation In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 47 |
2009 | Technological Change and the Growing Inequality in Managerial Compensation.(2009) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | paper | |
2014 | Implications of heterogeneity in preferences, beliefs and asset trading technologies for the macroeconomy In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy.(2014) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2015 | Why Are Exchange Rates So Smooth? A Household Finance Explanation In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
2017 | Why Are Exchange Rates So Smooth? A Household Finance Explanation.(2017) In: Working papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2009 | Comment on Carry Trades and Currency Crashes In: NBER Chapters. [Full Text][Citation analysis] | chapter | 1 |
2004 | How Much Does Household Collateral Constrain Regional Risk Sharing? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 75 |
2010 | How Much Does Household Collateral Constrain Regional Risk Sharing?.(2010) In: Review of Economic Dynamics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 75 | article | |
2004 | A Theory of Housing Collateral, Consumption Insurance and Risk Premia In: NBER Working Papers. [Full Text][Citation analysis] | paper | 15 |
2005 | The Cross-Section of Currency Risk Premia and US Consumption Growth Risk In: NBER Working Papers. [Full Text][Citation analysis] | paper | 17 |
2005 | The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street In: NBER Working Papers. [Full Text][Citation analysis] | paper | 93 |
2008 | The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street.(2008) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 93 | article | |
2005 | Fiscal Hedging and the Yield Curve In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
2006 | Can Housing Collateral Explain Long-Run Swings in Asset Returns? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 24 |
2007 | A Multiplier Approach to Understanding the Macro Implications of Household Finance In: NBER Working Papers. [Full Text][Citation analysis] | paper | 77 |
2011 | A Multiplier Approach to Understanding the Macro Implications of Household Finance.(2011) In: The Review of Economic Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 77 | article | |
2007 | Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data In: NBER Working Papers. [Full Text][Citation analysis] | paper | 13 |
2008 | Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data.(2008) In: Journal of the European Economic Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
2008 | Common Risk Factors in Currency Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 531 |
2011 | Common Risk Factors in Currency Markets.(2011) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 531 | article | |
2008 | Common Risk Factors in Currency Markets.(2008) In: 2008 Meeting Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 531 | paper | |
2010 | Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle In: NBER Working Papers. [Full Text][Citation analysis] | paper | 24 |
2011 | Why Does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle.(2011) In: 2011 Meeting Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
2010 | Countercyclical Currency Risk Premia In: NBER Working Papers. [Full Text][Citation analysis] | paper | 170 |
2010 | Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation In: NBER Working Papers. [Full Text][Citation analysis] | paper | 16 |
2013 | Deflation Risk In: NBER Working Papers. [Full Text][Citation analysis] | paper | 6 |
2013 | Firm Volatility in Granular Networks In: NBER Working Papers. [Full Text][Citation analysis] | paper | 123 |
2013 | The Term Structure of Currency Carry Trade Risk Premia In: NBER Working Papers. [Full Text][Citation analysis] | paper | 16 |
2014 | The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications In: NBER Working Papers. [Full Text][Citation analysis] | paper | 148 |
2016 | Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 8 |
2016 | Equity is Cheap for Large Financial Institutions: The International Evidence In: NBER Working Papers. [Full Text][Citation analysis] | paper | 10 |
2016 | Capital Share Dynamics When Firms Insure Workers In: NBER Working Papers. [Full Text][Citation analysis] | paper | 36 |
2017 | Complex Asset Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 4 |
2017 | Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates In: NBER Working Papers. [Full Text][Citation analysis] | paper | 6 |
2018 | Foreign Safe Asset Demand and the Dollar Exchange Rate In: NBER Working Papers. [Full Text][Citation analysis] | paper | 112 |
2018 | Post-FOMC Announcement Drift in U.S. Bond Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 22 |
2019 | The U.S. Public Debt Valuation Puzzle In: NBER Working Papers. [Full Text][Citation analysis] | paper | 14 |
2020 | Spending Less After (Seemingly) Bad News In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2020 | Dollar Safety and the Global Financial Cycle In: NBER Working Papers. [Full Text][Citation analysis] | paper | 27 |
2020 | Manufacturing Risk-free Government Debt In: NBER Working Papers. [Full Text][Citation analysis] | paper | 6 |
2021 | Financial and Total Wealth Inequality with Declining Interest Rates In: NBER Working Papers. [Full Text][Citation analysis] | paper | 12 |
2021 | What Drives Variation in the U.S. Debt/Output Ratio? The Dogs that Didnt Bark In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Measuring U.S. Fiscal Capacity using Discounted Cash Flow Analysis In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2022 | Exorbitant Privilege Gained and Lost: Fiscal Implications In: NBER Working Papers. [Full Text][Citation analysis] | paper | 5 |
2022 | The Rest of the World’s Dollar-Weighted Return on U.S. Treasurys In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | What about Japan? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Implications of Asset Market Data for Equilibrium Models of Exchange Rates In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2024 | Convenience Yields and Exchange Rate Puzzles In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2016 | Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies in an Endowment Economy In: Review of Economic Dynamics. [Full Text][Citation analysis] | article | 10 |
2004 | Does the US government hedge against government expenditure risk? In: 2004 Meeting Papers. [Citation analysis] | paper | 6 |
2004 | Housing Collateral and Consumption Insurance Across US Regions In: 2004 Meeting Papers. [Citation analysis] | paper | 11 |
2005 | The Returns on Human Wealth: Good News on Wall Street is Bad News on Main Street In: 2005 Meeting Papers. [Full Text][Citation analysis] | paper | 21 |
2006 | Optimal Debt Maturity Management In: 2006 Meeting Papers. [Citation analysis] | paper | 0 |
2008 | IT, Corporate Payouts, and the Growing Inequality in Managerial Compensation In: 2008 Meeting Papers. [Full Text][Citation analysis] | paper | 6 |
2009 | The Bond Risk Premium and the Cross-Section of Equity Returns In: 2009 Meeting Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Size Anomalies in US Bank Stock Returns: Your Tax Dollars at Work? In: 2010 Meeting Papers. [Full Text][Citation analysis] | paper | 1 |
2002 | Housing Collateral, Consumption Insurance and Risk Premia In: Macroeconomics. [Full Text][Citation analysis] | paper | 25 |
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