Luca Benzoni : Citation Profile

Are you Luca Benzoni?

Federal Reserve Bank of Chicago

11

H index

11

i10 index

976

Citations

RESEARCH PRODUCTION:

16

Articles

30

Papers

RESEARCH ACTIVITY:

   23 years (2001 - 2024). See details.
   Cites by year: 42
   Journals where Luca Benzoni has often published
   Relations with other researchers
   Recent citing documents: 58.    Total self citations: 13 (1.31 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbe1008
   Updated: 2024-11-04    RAS profile: 2024-07-25    
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Relations with other researchers

Works with:

Bassetto, Marco (2)

Ying, Chao (2)

Ajello, Andrea (2)

Timmer, Yannick (2)

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

Is cited by:

Bollerslev, Tim (18)

Chernov, Mikhail (16)

Andersen, Torben (14)

Meddahi, Nour (11)

Diebold, Francis (10)

Maheu, John (10)

Renò, Roberto (9)

Nicodano, Giovanna (9)

Sévi, Benoît (9)

Meinerding, Christoph (8)

Shephard, Neil (8)

Cites to:

Andersen, Torben (36)

Bollerslev, Tim (32)

Diebold, Francis (25)

Campbell, John (23)

Duffie, Darrell (21)

Leland, Hayne (16)

Zeldes, Stephen (15)

Tauchen, George (15)

Gallant, A. (14)

Viceira, Luis (12)

He, Zhiguo (12)

Main data

Where Luca Benzoni has published?

Journals with more than one article published# docs
Journal of Finance3
Journal of Financial Economics2
The Review of Financial Studies2
Chicago Fed Letter2
Economic Perspectives2

Working Papers Series with more than one paper published# docs
Working Paper Series / Federal Reserve Bank of Chicago20
NBER Working Papers / National Bureau of Economic Research, Inc4

Recent works citing Luca Benzoni (2024 and 2023)

YearTitle of citing document
2023Epstein-Zin Utility Maximization on Random Horizons. (2019). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:1903.08782.

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2023Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints. (2021). Tian, Dejian ; Feng, Zixin. In: Papers. RePEc:arx:papers:2111.09032.

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2023Optimal Mix Among PAYGO, EET and Individual Savings. (2023). Song, Yilun ; Ren, Zhaojie ; Liang, Zongxia ; He, Lin. In: Papers. RePEc:arx:papers:2302.09218.

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2023Closed-form approximations of moments and densities of continuous-time Markov models. (2023). Kristensen, Dennis ; Mele, Antonio ; Lee, Young Jun. In: Papers. RePEc:arx:papers:2308.09009.

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2023Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061.

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2023ROC and PRC Approaches to Evaluate Recession Forecasts. (2023). Lahiri, Kajal ; Yang, Cheng. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10449.

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2023Estimation of heuristic switching in behavioral macroeconomic models. (2023). Sacht, Stephen ; Kukacka, Jiri. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002883.

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2023A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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2024Systematic staleness. (2024). Reno, Roberto ; Pirino, Davide ; Bandi, Federico M. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002385.

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2023Health insurance, portfolio choice, and retirement incentives. (2023). Marazzina, Daniele ; Biffis, Enrico ; Barucci, Emilio. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:2:p:910-921.

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2023Limit order revisions across investor sophistication. (2023). Chen, Chin-Ho ; Chiu, Junmao. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:74-90.

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2023Estimation with mixed data frequencies: A bias-correction approach. (2023). Linton, Oliver ; Ghosh, Anisha. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000701.

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2023Portfolio allocation over the life cycle with multiple late-in-life saving motives. (2023). Lee, Minjoon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000865.

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2024Time-varying jump intensity and volatility forecasting of crude oil returns. (2024). Bouri, Elie ; Chen, Yan ; Zhang, Lei. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s014098832300734x.

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2023Sustainability and sovereign credit risk. (2023). Lonarski, Igor ; Vanpee, Rosanne ; Anand, Arsh. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000108.

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2023Good volatility, bad volatility, and the cross section of cryptocurrency returns. (2023). Zhao, Ran ; Zhang, Zehua. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002284.

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2024A consumption-based term structure model of bonds and equity. (2024). Suzuki, Masataka. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002424.

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2023Do yield curve inversions predict recessions in the euro area?. (2023). Sahuc, Jean-Guillaume ; Sabes, David. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005931.

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2023Underwriter reputation and asset-backed securitization pricing. (2023). Dong, Peng ; Xu, Runguo. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323007833.

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2024Effects of incomplete information on risk management. (2024). Kim, Hwa-Sung. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004665.

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2023A Bayesian analysis of time-varying jump risk in S&P 500 returns and options. (2023). Luo, Dan ; Carverhill, Andrew. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000751.

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2024Temporal networks and financial contagion. (2024). Nocciola, Luca ; Vouldis, Angelos ; Franch, Fabio. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000093.

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2023Volatility analysis for the GARCH–Itô–Jumps model based on high-frequency and low-frequency financial data. (2023). Hao, Hong-Xia ; Lin, Jin-Guan ; Fu, Jin-Yu. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1698-1712.

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2024Predicting recessions using VIX–yield curve cycles. (2024). Hansen, Anne Lundgaard. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:409-422.

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2023The Pricing of Skewness Over Different Return Horizons. (2023). Arisoy, Eser Y ; Aretz, Kevin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s037842662200293x.

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2023The incremental information in the yield curve about future interest rate risk. (2023). Christensen, Bent Jesper ; Veliyev, Bezirgen ; Kjar, Mads Markvart. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:155:y:2023:i:c:s0378426623001711.

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2024Central bank policies and financial markets: Lessons from the euro crisis. (2024). Nedeljkovic, Milan ; Mody, Ashoka. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002248.

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2023Portfolio Choice with Endogenous Donations - Modeling University Endowments. (2023). Stoughton, Neal M ; Franz, Richard ; Cejnek, Georg. In: Journal of Economics and Business. RePEc:eee:jebusi:v:125-126:y:2023:i::s014861952300022x.

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2023Schumpeterian competition in a Lucas economy. (2023). Carlin, Bruce I ; Andrei, Daniel. In: Journal of Economic Theory. RePEc:eee:jetheo:v:208:y:2023:i:c:s0022053123000091.

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2023Treasury option returns and models with unspanned risks. (2023). Gao, Xiaohui ; Crosby, John ; Bakshi, Gurdip ; Hansen, Jorge W. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:3:s0304405x23001769.

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2024Financial returns to household inventory management. (2024). Baker, Scott ; Johnson, Stephanie ; Kueng, Lorenz. In: Journal of Financial Economics. RePEc:eee:jfinec:v:151:y:2024:i:c:s0304405x23001988.

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2024Robo advisors and access to wealth management. (2024). Sokolinski, Stanislav ; Reher, Michael. In: Journal of Financial Economics. RePEc:eee:jfinec:v:155:y:2024:i:c:s0304405x24000527.

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2024Why do rational investors like variance at the peak of a crisis? A learning-based explanation. (2024). Seo, Sang Byung ; Kilic, Mete ; Ghaderi, Mohammad. In: Journal of Monetary Economics. RePEc:eee:moneco:v:142:y:2024:i:c:s0304393223001009.

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2023The intra-regional spillover effects of bond defaults: Evidence from the Chinese corporate debt market. (2023). Yang, Bowen ; Watson, John ; Huang, Yuqin ; Wang, Wenlong. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x22001822.

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2023Assessing jump and cojumps in financial asset returns with applications in futures markets. (2023). Yun, Mu-Shu ; Yeh, Jin-Huei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x23002287.

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2023Children’s patience and school-track choices several years later: Linking experimental and field data. (2023). Sutter, Matthias ; Lergetporer, Philipp ; Glatzle-Rutzler, Daniela ; Bolvashenkova, Jana ; Angerer, Silvia. In: Journal of Public Economics. RePEc:eee:pubeco:v:220:y:2023:i:c:s0047272723000191.

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2024Life-cycle risk-taking with personal disaster risk. (2024). Bagliano, Fabio ; Fugazza, Carolina ; Nicodano, Giovanna. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:378-396.

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2024Corporate bond defaults and spillover effects on bank risk: Evidence from city commercial banks in China. (2024). Wang, Yaxin ; Ouyang, Yiling ; Gao, Haoyu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000448.

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2023Debt Maturity and Commitment on Firm Policies. (2023). Saretto, Alessio ; Gamba, Andrea. In: Working Papers. RePEc:fip:feddwp:96046.

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2023Recession Signals and Business Cycle Dynamics: Tying the Pieces Together. (2023). Kiley, Michael T. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-08.

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2023Extreme Inflation and Time-Varying Expected Consumption Growth. (2023). Schlag, Christian ; Meinerding, Christoph ; Dergunov, Ilya. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2972-3002.

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2023Stated Product Choices of Heterogeneous Agents are Largely Consistent with Standard Models. (2023). Soest, Arthur ; Nijman, Theo ; Dees, Bart. In: De Economist. RePEc:kap:decono:v:171:y:2023:i:3:d:10.1007_s10645-023-09424-0.

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2024Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle. (2024). Sibbertsen, Philipp ; Krupski, Jan ; Dierkes, Maik ; Schroen, Sebastian. In: Review of Derivatives Research. RePEc:kap:revdev:v:27:y:2024:i:1:d:10.1007_s11147-023-09197-3.

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2024Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility. (2024). Zhang, Fengtong. In: Review of Derivatives Research. RePEc:kap:revdev:v:27:y:2024:i:1:d:10.1007_s11147-023-09198-2.

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2023Long-Horizon Stock Returns Are Positively Skewed. (2023). Hjalmarsson, Erik ; Farago, Adam. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:2:p:495-538..

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2023Text-Based Recession Probabilities. (2023). Mezo, Helena ; Lebastard, Laura ; Minesso, Massimo Ferrari. In: IMF Economic Review. RePEc:pal:imfecr:v:71:y:2023:i:2:d:10.1057_s41308-022-00177-5.

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2023Stock Market Participation: The Role of Human Capital. (). Neelakantan, Urvi ; Ionescu, Felicia ; Athreya, Kartik. In: Review of Economic Dynamics. RePEc:red:issued:18-378.

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2023A tale of two recession-derivative indicators. (2023). Yang, Cheng ; Lahiri, Kajal. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-023-02361-6.

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2023Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7.

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2023Public pension fund investments into hedge funds during the Great Recession: a network analysis. (2023). Koizumi, Naoru ; Siddique, Abu Bakkar ; Li, Meng-Hao ; Listokin, Siona. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:7:d:10.1007_s43546-023-00503-7.

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Works by Luca Benzoni:

YearTitleTypeCited
2007Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper68
2010Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models.(2010) In: Journal of Finance.
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This paper has nother version. Agregated cites: 68		article
2006Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models.(2006) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 68		paper
2007Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 68		paper
2010Stochastic Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper67
2009Stochastic volatility.(2009) In: Working Paper Series.
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This paper has nother version. Agregated cites: 67		paper
2015The Value and Risk of Human Capital In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article15
2015The Value and Risk of Human Capital.(2015) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2002An Empirical Investigation of Continuous-Time Equity Return Models In: Journal of Finance.
[Full Text][Citation analysis]		article317
2001An Empirical Investigation of Continuous-Time Equity Return Models.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 317		paper
2007Portfolio Choice over the Life-Cycle when the Stock and Labor Markets Are Cointegrated In: Journal of Finance.
[Full Text][Citation analysis]		article201
2007Portfolio choice over the life-cycle when the stock and labor markets are cointegrated.(2007) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 201		paper
2004Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature In: Econometric Society 2004 North American Winter Meetings.
[Citation analysis]		paper1
2011Explaining asset pricing puzzles associated with the 1987 market crash In: Journal of Financial Economics.
[Full Text][Citation analysis]		article81
2010Explaining asset pricing puzzles associated with the 1987 market crash.(2010) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 81		paper
2022Debt dynamics with fixed issuance costs In: Journal of Financial Economics.
[Full Text][Citation analysis]		article3
2022Debt Dynamics with Fixed Issuance Costs.(2022) In: Working Paper Series.
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This paper has nother version. Agregated cites: 3		paper
2010Conflict of interest and certification in the U.S. IPO market In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article5
2007Conflict of interest and certification in the U.S. IPO market.(2007) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2010Lifecycle investment decisions and labor income risk In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article0
2022Monetary Policy, Inflation Outlook, and Recession Probabilities In: FEDS Notes.
[Full Text][Citation analysis]		paper3
2009Investing over the life cycle with long-run labor income risk In: Economic Perspectives.
[Full Text][Citation analysis]		article7
2012No-arbitrage restrictions and the U.S. Treasury market In: Economic Perspectives.
[Full Text][Citation analysis]		article2
2018Why Does the Yield-Curve Slope Predict Recessions? In: Chicago Fed Letter.
[Full Text][Citation analysis]		article9
2018Why Does the Yield-Curve Slope Predict Recessions?.(2018) In: Working Paper Series.
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This paper has nother version. Agregated cites: 9		paper
2022Sources of Fluctuation in Short-Term Yields and Recession Probabilities In: Chicago Fed Letter.
[Full Text][Citation analysis]		article0
2020Optimal Debt Dynamics, Issuance Costs, and Commitment In: Working Paper Series.
[Full Text][Citation analysis]		paper4
2023What does the CDS market imply for a U.S. default? In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2024On the Mechanics of Fiscal Inflations In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2024On the Mechanics of Fiscal Inflations.(2024) In: Quarterly Review.
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This paper has nother version. Agregated cites: 0		article
2008Realized volatility In: Working Paper Series.
[Full Text][Citation analysis]		paper49
2011Can standard preferences explain the prices of out-of-the-money S&P 500 put options? In: Working Paper Series.
[Full Text][Citation analysis]		paper21
2005Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options.(2005) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 21		paper
2012Modeling credit contagion via the updating of fragile beliefs In: Working Paper Series.
[Full Text][Citation analysis]		paper61
2015Modeling Credit Contagion via the Updating of Fragile Beliefs.(2015) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 61		article
2013Human Capital and Long-Run Labor Income Risk In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2012Core and Crust: Consumer Prices and the Term Structure of Interest Rates In: Working Paper Series.
[Full Text][Citation analysis]		paper22
2020Core and ‘Crust’: Consumer Prices and the Term Structure of Interest Rates.(2020) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 22		article
2012Core and `Crust: Consumer Prices and the Term Structure of Interest Rates.(2012) In: 2012 Meeting Papers.
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This paper has nother version. Agregated cites: 22		paper
2016The Interplay Between Financial Conditions and Monetary Policy Shocks In: Working Paper Series.
[Full Text][Citation analysis]		paper8
2017The Interplay Between Financial Conditions and Monetary Policy Shocks.(2017) In: 2017 Meeting Papers.
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This paper has nother version. Agregated cites: 8		paper
2015Estimating the Tax and Credit-Event Risk Components of Credit Spreads In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2017Selecting Primal Innovations in DSGE models In: Working Paper Series.
[Full Text][Citation analysis]		paper3
2019Asymmetric Information, Dynamic Debt Issuance, and the Term Structure of Credit Spreads In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2023Incomplete Information, Debt Issuance, and the Term Structure of Credit Spreads In: Management Science.
[Full Text][Citation analysis]		article1
2005Portfolio Choice over the Life-Cycle in the Presence of Trickle Down Labor Income In: NBER Working Papers.
[Full Text][Citation analysis]		paper28

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