Hanno Lustig : Citation Profile


Are you Hanno Lustig?

University of California-Los Angeles (UCLA)
National Bureau of Economic Research (NBER)

20

H index

30

i10 index

1706

Citations

RESEARCH PRODUCTION:

17

Articles

79

Papers

1

Chapters

RESEARCH ACTIVITY:

   30 years (1990 - 2020). See details.
   Cites by year: 56
   Journals where Hanno Lustig has often published
   Relations with other researchers
   Recent citing documents: 200.    Total self citations: 33 (1.9 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/plu17
   Updated: 2020-09-22    RAS profile: 2015-07-16    
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Relations with other researchers


Works with:

Chien, YiLi (3)

Van Nieuwerburgh, Stijn (2)

Naknoi, Kanda (2)

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

Is cited by:

Sarno, Lucio (41)

Nitschka, Thomas (35)

Weber, Michael (29)

Schrimpf, Andreas (27)

Van Nieuwerburgh, Stijn (24)

Schmeling, Maik (20)

Chien, YiLi (20)

Sousa, Ricardo (19)

Pasten, Ernesto (17)

Chernov, Mikhail (17)

Coeurdacier, Nicolas (16)

Cites to:

Campbell, John (96)

Hansen, Lars (30)

Cochrane, John (27)

Alvarez, Fernando (25)

Jermann, Urban (24)

Shiller, Robert (23)

Lucas, Robert (23)

Levine, David (23)

Kehoe, Patrick (22)

Lettau, Martin (20)

Rogoff, Kenneth (20)

Main data


Where Hanno Lustig has published?


Journals with more than one article published# docs
American Economic Review4
Review of Financial Studies3
Journal of the European Economic Association2
Review of Economic Dynamics2

Working Papers Series with more than one paper published# docs
Boston University - Department of Economics - Working Papers Series / Boston University - Department of Economics4
2004 Meeting Papers / Society for Economic Dynamics3
2011 Meeting Papers / Society for Economic Dynamics2
2008 Meeting Papers / Society for Economic Dynamics2
Working Papers / Federal Reserve Bank of St. Louis2
GSIA Working Papers / Carnegie Mellon University, Tepper School of Business2

Recent works citing Hanno Lustig (2020 and 2019)


YearTitle of citing document
2020Search for Yield in Large International Corporate Bonds: Investor Behavior and Firm Responses. (2020). Williams, Tomas ; Schmukler, Sergio ; Larrain, Mauricio ; Calomiris, Charles. In: Mo.Fi.R. Working Papers. RePEc:anc:wmofir:165.

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2019Macro and Micro Prudential Policies: Sweet and Lowdown in a Credit Network Agent Based Model. (2019). Giri, Federico ; Gallegati, Mauro ; Catullo, Ermanno. In: Working Papers. RePEc:anc:wpaper:434.

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2019Sustainable Investing and the Cross-Section of Maximum Drawdown. (2019). Mouti, Saad ; Goldberg, Lisa R. In: Papers. RePEc:arx:papers:1905.05237.

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2019Large Volatility Matrix Prediction with High-Frequency Data. (2019). Song, Xinyu. In: Papers. RePEc:arx:papers:1907.01196.

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2019iCurrency?. (2019). Yu, Willie ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:1911.01272.

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2019Quantile Factor Models. (2019). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang. In: Papers. RePEc:arx:papers:1911.02173.

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2020Coronavirus: Case for Digital Money?. (2020). Liew, Jim Kyung-Soo ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:2005.10154.

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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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2020Heterogeneity and the Dynamic Effects of Aggregate Shocks. (2020). Tryphonides, Andreas. In: Papers. RePEc:arx:papers:2007.14022.

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2019Sentiment Risk Premia in the Cross-Section of Global Equity and Currency Returns. (2019). Guidolin, Massimo ; Füss, Roland ; Koeppel, Christian ; Fuess, Roland. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19116.

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2019Risky bank guarantees. (2019). Sarno, Lucio ; Mäkinen, Taneli ; Zinna, Gabriele ; Mikinen, Taneli . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1232_19.

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2020Optimal Fiscal Policy without Commitment: Revisiting Lucas-Stokey. (2020). Yared, Pierre ; Nunes, Ricardo ; Debortoli, Davide. In: Working Papers. RePEc:bge:wpaper:1144.

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2019Asset mispricing in loan secondary markets. (2019). Talavera, Oleksandr ; Pham, Tho ; Xiong, Xiong ; Caglayan, Mustafa. In: Discussion Papers. RePEc:bir:birmec:19-07.

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2019Exchange rate puzzles: evidence from rigidly fixed nominal exchange rate systems. (2019). Zhu, Feng ; Engel, Charles. In: BIS Working Papers. RePEc:bis:biswps:805.

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2020Debt De-risking. (2020). Schrimpf, Andreas ; Parise, Gianpaolo ; Cutura, Jannic. In: BIS Working Papers. RePEc:bis:biswps:868.

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2020Input–Output Linkages and Sectoral Volatility. (2020). OLABISI, MICHAEL. In: Economica. RePEc:bla:econom:v:87:y:2020:i:347:p:713-746.

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2020Consumption Fluctuations and Expected Returns. (2020). Priestley, Richard ; Moller, Stig V ; Atanasov, Victoria. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1677-1713.

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2020Low Mortgage Rates and Securitization: A Distinct Perspective on the US Housing Boom. (2020). Xu, Fang ; Herwartz, Helmut. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:122:y:2020:i:1:p:164-190.

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2020From carry trades to curvy trades. (2020). Kostka, Thomas ; Gräb, Johannes ; Grab, Johannes ; Dreher, Ferdinand. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:3:p:758-780.

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2019Back to the real economy: the effects of risk perception shocks on the term premium and bank lending. (2019). Yung, Julieta ; Bluwstein, Kristina. In: Bank of England working papers. RePEc:boe:boeewp:0806.

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2020Workers, capitalists, and the government: fiscal policy and income (re)distribution. (2020). Freund, Lukas ; Cantore, Cristiano. In: Bank of England working papers. RePEc:boe:boeewp:0858.

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

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2020Exchange Rates and Political Uncertainty: The Brexit Case. (2020). Trigilia, G ; Moramarco, G ; Manasse, P. In: Working Papers. RePEc:bol:bodewp:wp1141.

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2019Union Debt Management. (2019). Oikonomou, Rigas ; Faraglia, Elisa ; Equiza-Goñi, Juan ; Equiza-Goni, J. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1890.

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2019Money Market Funds and Unconventional Monetary Policy. (2019). Dunne, Peter ; Sorbo, Jacopo ; Bua, Giovanna. In: Research Technical Papers. RePEc:cbi:wpaper:7/rt/19.

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2019What went wrong?: The Puerto Rican debt crisis, the Treasury Put, and the failure of market discipline. (2019). Chirinko, Bob ; Henderson, Shaina ; Chiu, Ryan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7558.

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2019Net Capital Flows and Portfolio Diversification. (2019). Bürgi, Constantin ; Bürgi, Constantin ; Bürgi, Constantin ; Wu, Min ; Bobic, Vida. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7883.

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2020Retaining Alpha: The Effect of Trade Size and Rebalancing Frequency on FX Strategy Returns. (2020). Melvin, Michael ; Pan, Wenqiang ; Wikstrom, Petra. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8143.

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2020Chinese Exchange Rate Policy: Lessons for Global Investors. (2020). Westermann, Frank ; Melvin, Michael. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8493.

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2019The Propagation of Monetary Policy Shocks in a Heterogeneous Production Economy. (2019). Weber, Michael ; Schoenle, Raphael ; Pasten, Ernesto. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:842.

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2019Prudential Policies and Bailouts - A Delicate Interaction. (2019). Pasten, Ernesto. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:853.

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2019Risky Bank Guarantees. (2019). Sarno, Lucio ; Zinna, Gabriele ; Makinen, Taneli. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13709.

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2019Bank Risk Dynamics and Distance to Default. (2019). Nagel, Stefan ; Purnanandam, Amiyatosh. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13715.

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2019Do Fundamentals Drive Cryptocurrency Prices?. (2019). Korniotis, George ; Delikouras, Stefanos ; Bhambhwani, Siddharth. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13724.

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2019The Maturity of Sovereign Debt Issuance in the Euro Area. (2019). Beetsma, Roel ; Hanson, Jesper ; Giuliodori, Massimo ; de Jong, Frank. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13729.

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2019Forward-Looking Policy Rules and Currency Premia. (2019). Taylor, Mark P ; Filippou, Ilias . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13835.

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2019Persistent Government Debt and Aggregate Risk Distribution. (2019). Raymond, Steve ; Nguyen, Thien ; Croce, Mariano Massimiliano. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13922.

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2019Uncertainty-Induced Reallocations and Growth. (2019). Rosen, Samuel ; Liao, Wenxi ; Croce, Mariano Massimiliano ; Bansal, Ravi. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13964.

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2019Business Cycles and Currency Returns. (2019). Sarno, Lucio ; Riddiough, Steven ; Colacito, Ric. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14015.

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2019How the Wealth Was Won: Factor Shares as Market Fundamentals. (2019). Ludvigson, Sydney ; Lettau, Martin ; Greenwald, Daniel L. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14200.

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2020Global Macro-Financial Cycles and Spillovers. (2020). Ha, Jongrim ; Kose, Ayhan ; Otrok, Christopher ; Prasad, Eswar. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14404.

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2020The Non-U.S. Bank Demand for U.S. Dollar Assets. (2020). Adrian, Tobias ; Xie, Peichu. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14437.

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2019R* and the Global Economy. (2019). Glick, Reuven. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2019_013.

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2019Dominant-currency pricing and the global output spillovers from US dollar appreciation. (2019). Georgiadis, Georgios ; Schumann, Ben. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2019_021.

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2019Safe U.S. Assets and U.S. Capital Flows. (2019). Engel, Charles. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2019_025.

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2020Currency Futures Risk Premia and Risk Factors. (2020). Bernoth, Kerstin ; de Vries, Casper G ; Vonhagen, Jurgen ; von Hagen, Jurgen. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1866.

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2019Dominant-currency pricing and the global output spillovers from US dollar appreciation. (2019). Georgiadis, Georgios ; Schumann, Ben. In: Working Paper Series. RePEc:ecb:ecbwps:20192308.

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2020Attention to the tail(s): global financial conditions and exchange rate risks. (2020). Sokol, Andrej ; Eguren-Martin, Fernando. In: Working Paper Series. RePEc:ecb:ecbwps:20202387.

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2019Can skewness predict currency excess returns?. (2019). Yin, Libo ; Han, Liyan ; Jiang, Xue. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:628-641.

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2020A much robust and updated evidences of the alternative real-estate based asset pricing. (2020). Shi, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818303978.

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2020Predictability in international stock returns using currency fluctuations and forward rate forecasts. (2020). Yost-Bremm, Chris ; Huang, Emily J ; Han, Xue ; Wang, Jiexin . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819303195.

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2019Climate risks and market efficiency. (2019). Hong, Harrison ; Xu, Jiangmin ; Li, Frank Weikai. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:265-281.

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2019Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction. (2019). Fan, Jianqing ; Kim, Donggyu. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:395-417.

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2019Parameter regimes in partial functional panel regression. (2019). Walders, Fabian ; Liebl, Dominik . In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:105-115.

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2019Exchange rate effects of US government shutdowns: Evidence from both developed and emerging markets. (2019). Phan, Dinh ; Narayan, Paresh Kumar ; Bach, Dinh Hoang ; Sharma, Susan Sunila. In: Emerging Markets Review. RePEc:eee:ememar:v:40:y:2019:i:c:12.

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2019Using extracted forward rate term structure information to forecast foreign exchange rates. (2019). Murphy, Finbarr ; Cummins, Mark ; Kearney, Fearghal. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:1-14.

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2019Cross-sectional return dispersion and currency momentum. (2019). Eriksen, Jonas. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:91-108.

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2019Estimation and model-based combination of causality networks among large US banks and insurance companies. (2019). Caporin, Massimiliano ; Panzica, Roberto ; Bonaccolto, Giovanni. In: Journal of Empirical Finance. RePEc:eee:empfin:v:54:y:2019:i:c:p:1-21.

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2020Can commodity prices forecast exchange rates?. (2020). Wang, Yudong ; Tan, Siming ; Liu, LI. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s014098832030058x.

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2019The global equity premium revisited: What human rights imply for assets purchasing power. (2019). Ronn, Ehud I ; Biakowski, Jdrzej. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:175-187.

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2019Currency carry trades and the conditional factor model. (2019). Sakemoto, Ryuta. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:198-208.

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2019Is there still a weather anomaly? An investigation of stock and foreign exchange markets. (2019). Zheng, Min ; Wang, Changyu ; Andrikopoulos, Athanasios. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:51-59.

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2019Tail risk and the consumption CAPM. (2019). Ho, JI. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:69-75.

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2019Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach. (2019). Guidolin, Massimo ; Hansen, Erwin ; Pedio, Manuela. In: Journal of Financial Markets. RePEc:eee:finmar:v:45:y:2019:i:c:p:83-114.

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2020Tales of tails: Jumps in currency markets. (2020). Wang, Minho ; Lee, Suzanne S. In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s138641811830243x.

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2019Global trends in interest rates. (2019). Giannone, Domenico ; Del Negro, Marco ; Tambalotti, Andrea ; Giannoni, Marc P. In: Journal of International Economics. RePEc:eee:inecon:v:118:y:2019:i:c:p:248-262.

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2020The role of carry trades on the effectiveness of Japans quantitative easing. (2020). Chuffart, Thomas ; Dell'Eva, Cyril. In: International Economics. RePEc:eee:inteco:v:161:y:2020:i:c:p:30-40.

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2019Unexploited currency carry trade profit opportunity. (2019). Suh, Sangwon. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:236-254.

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2019Out-of-sample exchange rate predictability in emerging markets: Fundamentals versus technical analysis. (2019). Yamani, Ehab ; Jamali, Ibrahim. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:241-263.

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2019Forecasting exchange rates using principal components. (2019). Ponomareva, Natalia ; Wang, Ben Zhe ; Sheen, Jeffrey. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:63:y:2019:i:c:s1042443118304517.

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2020The impact of sentiment and attention measures on stock market volatility. (2020). Audrino, Francesco ; Ballinari, Daniele ; Sigrist, Fabio. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:334-357.

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2019Predictors and portfolios over the life cycle. (2019). Weiss, Farina ; Munk, Claus ; Kraft, Holger. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:100:y:2019:i:c:p:1-27.

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2019A concave security market line. (2019). YalIn, Atakan ; Post, Thierry ; de Giorgi, Enrico G. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:65-81.

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2019Network origins of portfolio risk. (2019). Zareei, Abalfazl . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:109:y:2019:i:c:s0378426619302389.

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2019Stock vs. Bond yields and demographic fluctuations. (2019). Morin, Annaig ; Gozluklu, Arie . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:109:y:2019:i:c:s0378426619302572.

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2019Asset shortages, liquidity and speculative bubbles. (2019). Citanna, A ; Bloise, G. In: Journal of Economic Theory. RePEc:eee:jetheo:v:183:y:2019:i:c:p:952-990.

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2019The leverage effect and the basket-index put spread. (2019). Bai, Jennie ; Yang, Fan ; Goldstein, Robert S. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:1:p:186-205.

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2019The impact of jumps on carry trade returns. (2019). Wang, Minho ; Lee, Suzanne S. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:2:p:433-455.

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2019Private information in currency markets. (2019). Nishiotis, George ; Milidonis, Andreas ; Michaelides, Alexander. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:643-665.

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2019Variance risk in aggregate stock returns and time-varying return predictability. (2019). Pyun, Sungjune. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:1:p:150-174.

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2019Financing intangible capital. (2019). Xiaolan, Mindy Z ; Sun, QI. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:2:p:472-496.

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2019The cross-section of labor leverage and equity returns. (2019). Gourio, Francois ; Kehrig, Matthias ; Donangelo, Andres ; Palacios, Miguel. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:2:p:497-518.

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2019Government debt and the returns to innovation. (2019). Nguyen, Thien T ; Croce, M M ; Schmid, L ; Raymond, S. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:3:p:205-225.

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2019Government debt and corporate leverage: International evidence. (2019). Sialm, Clemens ; Huang, Jennifer ; Demirci, Irem . In: Journal of Financial Economics. RePEc:eee:jfinec:v:133:y:2019:i:2:p:337-356.

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2019Financing intangible capital. (2019). Xiaolan, Mindy Z ; Sun, QI. In: Journal of Financial Economics. RePEc:eee:jfinec:v:133:y:2019:i:3:p:564-588.

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2019A tale of two volatilities: Sectoral uncertainty, growth, and asset prices. (2019). Segal, Gill . In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:1:p:110-140.

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2019A large-scale approach for evaluating asset pricing models. (2019). Barras, Laurent. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:3:p:549-569.

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2020Anomalies across the globe: Once public, no longer existent?. (2020). Jacobs, Heiko ; Muller, Sebastian. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:1:p:213-230.

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2020Does size matter? Bailouts with large and small banks. (2020). Walther, Ansgar ; Davila, Eduardo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:1:p:1-22.

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2020Economic momentum and currency returns. (2020). Hasseltoft, Henrik ; Dahlquist, Magnus. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:1:p:152-167.

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2020International R&D spillovers and asset prices. (2020). Santacreu, Ana Maria ; Gavazzoni, Federico. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:2:p:330-354.

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2020Capital requirements, risk choice, and liquidity provision in a business-cycle model. (2020). Begenau, Juliane. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:2:p:355-378.

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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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2020Risky bank guarantees. (2020). Sarno, Lucio ; Mäkinen, Taneli ; Zinna, Gabriele ; Makinen, Taneli. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:2:p:490-522.

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2020The redistributive effects of bank capital regulation. (2020). Marquez, Robert ; Carletti, Elena ; Petriconi, Silvio. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:3:p:743-759.

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2020Global currency hedging with common risk factors. (2020). Riddiough, Steven J ; Opie, Wei. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:3:p:780-805.

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2020Safe U.S. Assets and U.S. Capital Flows. (2020). Engel, Charles. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:102:y:2020:i:c:s0261560619305819.

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2020r* and the global economy. (2020). Glick, Reuven. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:102:y:2020:i:c:s0261560619305881.

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

Works by Hanno Lustig:


YearTitleTypeCited
2010Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk In: American Economic Review.
[Full Text][Citation analysis]
article12
2011The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply In: American Economic Review.
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article21
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2009Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing?.(2009) In: NBER Working Papers.
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2006The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk..(2006) In: Working papers.
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2005The Market Price of Aggregate Risk and the Wealth Distribution.(2005) In: NBER Working Papers.
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2001The Market Price of Aggregate Risk and the Wealth Distribution.(2001) In: Finance.
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2011A Multiplier Approach to Understanding the Macro Implications of Household Finance.(2011) In: Review of Economic Studies.
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2008Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data.(2008) In: Journal of the European Economic Association.
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2011Common Risk Factors in Currency Markets.(2011) In: Review of Financial Studies.
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