24
H index
40
i10 index
3039
Citations
University of California-Los Angeles (UCLA) | 24 H index 40 i10 index 3039 Citations RESEARCH PRODUCTION: 17 Articles 87 Papers 1 Chapters RESEARCH ACTIVITY: 34 years (1990 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/plu17 |
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 |
Review of Economic Dynamics | 2 |
Journal of the European Economic Association | 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 | |
2023 | 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 | |
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 | |
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 | . 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 | |
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 | |
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 | 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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
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 | 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 | |
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 | |
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 | |
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 | |
2023 | Does the substitution effect lead to feedback effect linkage between ethanol, crude oil, and soft agricultural commodities?. (2023). Rao, Sandeep ; Singh, Vipul Kumar ; Kumar, Pawan. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000725. Full description at Econpapers || Download paper | |
2023 | Factor investing and currency portfolio management. (2023). Cerrato, Mario ; Zhang, Zhekai ; Li, Danyang. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001424. Full description at Econpapers || Download paper | |
2023 | The moment restrictions for the durable consumption model with recursive utility revisited. (2023). Okubo, Masakatsu. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006304. Full description at Econpapers || Download paper | |
2023 | Outside of a sole globally risk averse agent, all other agents in markets are risk seeking agents. (2023). Obrimah, Oghenovo A. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000892. Full description at Econpapers || Download paper | |
2023 | On the predictability of bonds. (2023). Tka, Michal ; Verner, Robert. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005536. Full description at Econpapers || Download paper | |
2023 | Net buying pressure and the information in bitcoin option trades. (2023). Wan, Huning ; Feng, Jianfen ; Deng, Jun ; Alexander, Carol. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000544. Full description at Econpapers || Download paper | |
2023 | Profitability anomaly and aggregate volatility risk. (2023). Barinov, Alexander. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000714. Full description at Econpapers || Download paper | |
2023 | Equity premium prediction: The role of information from the options market. (2023). Voukelatos, Nikolaos ; Panopoulou, Ekaterini ; Apergis, Iraklis ; Alexandridis, Antonios K. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000908. Full description at Econpapers || Download paper | |
2023 | Options-based systemic risk, financial distress, and macroeconomic downturns. (2023). Vioto, Davide ; Tunaru, Radu ; Bevilacqua, Mattia. In: Journal of Financial Markets. RePEc:eee:finmar:v:65:y:2023:i:c:s1386418123000320. Full description at Econpapers || Download paper | |
2023 | The open-economy ELB: Contractionary monetary easing and the trilemma. (2023). Sandri, Damiano ; Cavallino, Paolo. In: Journal of International Economics. RePEc:eee:inecon:v:140:y:2023:i:c:s0022199622001234. Full description at Econpapers || Download paper | |
2023 | Forecasting the U.S. Dollar in the 21st Century. (2023). Engel, Charles ; Yeung, Steve Pak. In: Journal of International Economics. RePEc:eee:inecon:v:141:y:2023:i:c:s0022199623000016. Full description at Econpapers || Download paper | |
2023 | Sovereign debt responses to the COVID-19 pandemic. (2023). Zheng, Huanhuan. In: Journal of International Economics. RePEc:eee:inecon:v:143:y:2023:i:c:s0022199623000521. Full description at Econpapers || Download paper | |
2023 | Average tail risk and aggregate stock returns. (2023). , Richard ; Dai, Yingtong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001718. Full description at Econpapers || Download paper | |
2023 | Carry and conditional value at risk trend: Capturing the short-, intermediate-, and long-term trends of left-tail risk forecasts. (2023). Hertrich, Daniel. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001822. Full description at Econpapers || Download paper | |
2023 | Deviations from covered interest parity in the emerging markets after the global financial crisis. (2023). Geyikçi, Utku ; Ozyildirim, Suheyla ; Geyiki, Utku Bora. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000331. Full description at Econpapers || Download paper | |
2023 | Political connections and short sellers. (2023). Feng, Hongrui ; Simkins, Betty ; Jia, Yuecheng. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002837. Full description at Econpapers || Download paper | |
2023 | Currency carry trades and global funding risk. (2023). Suominen, Matti ; Nissinen, Juuso ; Filipe, Sara Ferreira. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426623000158. Full description at Econpapers || Download paper | |
2023 | Human capital quality and stock returns. (2023). Kang, Jangkoo ; Bae, Jaewan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:152:y:2023:i:c:s037842662300081x. Full description at Econpapers || Download paper | |
2023 | International capital markets with interdependent preferences: Theory and empirical evidence. (2023). Curatola, Giuliano ; Dergunov, Ilya. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:212:y:2023:i:c:p:403-421. Full description at Econpapers || Download paper | |
2023 | Doubts about the model and optimal policy. (2023). Karantounias, Anastasios. In: Journal of Economic Theory. RePEc:eee:jetheo:v:210:y:2023:i:c:s002205312300039x. Full description at Econpapers || Download paper | |
2023 | Foreseen risks. (2023). Wachter, Jessica A ; Grotteria, Marco ; Gomes, Joo F. In: Journal of Economic Theory. RePEc:eee:jetheo:v:212:y:2023:i:c:s0022053123001023. Full description at Econpapers || Download paper | |
2023 | Origins of international factor structures. (2023). Richmond, Robert J ; Jiang, Zhengyang. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:1:p:1-26. Full description at Econpapers || Download paper | |
2023 | Institutional investors, the dollar, and U.S. credit conditions. (2023). Schmidt-Eisenlohr, Tim ; Niepmann, Friederike. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:1:p:198-220. Full description at Econpapers || Download paper | |
2023 | What are the events that shake our world? Measuring and hedging global COVOL. (2023). Campos-Martins, Susana ; Engle, Robert F. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:1:p:221-242. Full description at Econpapers || Download paper | |
2023 | Institutional investors, heterogeneous benchmarks and the comovement of asset prices. (2023). Hodor, Idan ; Buffa, Andrea M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:2:p:352-381. Full description at Econpapers || Download paper | |
2023 | The global factor structure of exchange rates. (2023). Vedolin, Andrea ; Trojani, Fabio ; Korsaye, Sofonias Alemu. In: Journal of Financial Economics. RePEc:eee:jfinec:v:148:y:2023:i:1:p:21-46. Full description at Econpapers || Download paper | |
2023 | Asset holders’ consumption risk and tests of conditional CCAPM. (2023). Jo, Chanik ; Elkamhi, Redouane. In: Journal of Financial Economics. RePEc:eee:jfinec:v:148:y:2023:i:3:p:220-244. Full description at Econpapers || Download paper | |
2023 | Why is dollar debt Cheaper? Evidence from Peru. (2023). Salomao, Juliana ; Ivashina, Victoria ; Gutierrez, Bryan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:148:y:2023:i:3:p:245-272. Full description at Econpapers || Download paper | |
2023 | Reaching for yield and the housing market: Evidence from 18th-century Amsterdam. (2023). Korevaar, Matthijs. In: Journal of Financial Economics. RePEc:eee:jfinec:v:148:y:2023:i:3:p:273-296. Full description at Econpapers || Download paper | |
2023 | Micro uncertainty and asset prices. (2023). Kind, Thilo ; Herskovic, Bernard ; Kung, Howard. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:1:p:27-51. Full description at Econpapers || Download paper | |
2023 | Loan guarantees, bank underwriting policies and financial stability. (2023). leonello, agnese ; Marquez, Robert ; Carletti, Elena. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:2:p:260-295. Full description at Econpapers || Download paper | |
2023 | A credit-based theory of the currency risk premium. (2023). , Ella ; Jeanneret, Alexandre ; della Corte, Pasquale. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:3:p:473-496. Full description at Econpapers || Download paper | |
2023 | International trade and the risk in bilateral exchange rates. (2023). Loualiche, Erik ; Hassan, Ramin ; Ward, Colin ; Pecora, Alexandre R. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:2:s0304405x23001435. Full description at Econpapers || Download paper | |
2023 | Dynamics of subjective risk premia. (2023). Xu, Zhengyang ; Nagel, Stefan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:2:s0304405x23001459. Full description at Econpapers || Download paper | |
2023 | Union debt management. (2023). Oikonomou, Rigas ; Faraglia, Elisa ; Equiza-Goi, Juan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:130:y:2023:i:c:s0261560622001504. Full description at Econpapers || Download paper | |
2023 | Forecasting real activity using cross-sectoral stock market information. (2023). Stalla-Bourdillon, Arthur ; Chinn, Menzie D ; Chatelais, Nicolas. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:131:y:2023:i:c:s0261560623000013. Full description at Econpapers || Download paper | |
2023 | Global financial cycles since 1880. (2023). Wolters, Maik ; Potjagailo, Galina. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:131:y:2023:i:c:s0261560623000025. Full description at Econpapers || Download paper | |
2023 | An investment-based explanation of currency excess returns. (2023). Smallwood, Aaron D ; Yamani, Ehab ; Jamali, Ibrahim. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000311. Full description at Econpapers || Download paper | |
2023 | Stock market evidence on the international transmission channels of US monetary policy surprises. (2023). Nitschka, Thomas ; Maurer, Tim D. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000670. Full description at Econpapers || Download paper | |
2023 | The network and own effects of global-systemically-important-bank designations. (2023). Egger, Peter ; Zhu, Jiaqing ; Li, Jie. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000803. 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 | 59 |
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: 59 | paper | |
2007 | The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk In: American Economic Review. [Full Text][Citation analysis] | article | 428 |
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: 428 | 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: 428 | 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: 428 | 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: 428 | paper | |
2012 | How Does the US Government Finance Fiscal Shocks? In: American Economic Journal: Macroeconomics. [Full Text][Citation analysis] | article | 26 |
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: 26 | 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: 26 | paper | |
2005 | Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective In: Journal of Finance. [Full Text][Citation analysis] | article | 276 |
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: 276 | 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 | 59 | |
2008 | Fiscal hedging with nominal assets.(2008) In: Journal of Monetary Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 59 | 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 | 59 |
2008 | The Wealth-Consumption Ratio.(2008) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 59 | paper | |
2012 | Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 124 |
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: 124 | 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: 124 | paper | |
2012 | The Cross-Section and Time-Series of Stock and Bond Returns In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 84 |
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: 84 | 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 | 64 |
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: 64 | paper | |
2011 | Technological change and the growing inequality in managerial compensation In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 46 |
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: 46 | 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 | 74 |
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: 74 | 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 | 92 |
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: 92 | 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 | 76 |
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: 76 | article | |
2007 | Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data In: NBER Working Papers. [Full Text][Citation analysis] | paper | 12 |
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: 12 | article | |
2008 | Common Risk Factors in Currency Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 503 |
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: 503 | article | |
2008 | Common Risk Factors in Currency Markets.(2008) In: 2008 Meeting Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 503 | paper | |
2010 | Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle In: NBER Working Papers. [Full Text][Citation analysis] | paper | 25 |
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: 25 | paper | |
2010 | Countercyclical Currency Risk Premia In: NBER Working Papers. [Full Text][Citation analysis] | paper | 156 |
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 | 112 |
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 | 134 |
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 | 35 |
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 | 90 |
2018 | Post-FOMC Announcement Drift in U.S. Bond Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 20 |
2019 | The U.S. Public Debt Valuation Puzzle In: NBER Working Papers. [Full Text][Citation analysis] | paper | 13 |
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 | 25 |
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 | 7 |
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 | 2 |
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 | 0 |
2024 | Convenience Yields and Exchange Rate Puzzles In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
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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