Greg Duffee : Citation Profile

Johns Hopkins University

15

H index

18

i10 index

1961

Citations

RESEARCH PRODUCTION:

16

Articles

29

Papers

3

Chapters

RESEARCH ACTIVITY:

   33 years (1990 - 2023). See details.
   Cites by year: 59
   Journals where Greg Duffee has often published
   Relations with other researchers
   Recent citing documents: 82.    Total self citations: 12 (0.61 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pdu249
   Updated: 2025-12-20    RAS profile: 2024-12-10    
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Relations with other researchers

Works with:

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

Is cited by:

Rudebusch, Glenn (42)

Chernov, Mikhail (35)

Christensen, Jens (30)

Wu, Jing Cynthia (30)

Creal, Drew (23)

Diebold, Francis (20)

Hördahl, Peter (19)

Dewachter, Hans (17)

Crump, Richard (17)

Spencer, Peter (16)

Moench, Emanuel (16)

Cites to:

Campbell, John (35)

Singleton, Kenneth (18)

Piazzesi, Monika (17)

Ang, Andrew (15)

Cochrane, John (14)

Rudebusch, Glenn (12)

Zin, Stanley (10)

Shiller, Robert (9)

Bekaert, Geert (8)

Schwert, G. (8)

Diebold, Francis (8)

Main data

Where Greg Duffee has published?

Journals with more than one article published# docs
Journal of Finance5
Journal of Monetary Economics2
The Review of Financial Studies2
Journal of Financial Economics2

Working Papers Series with more than one paper published# docs
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)15
Economics Working Paper Archive / The Johns Hopkins University,Department of Economics5
Working Paper Series / Federal Reserve Bank of San Francisco2

Recent works citing Greg Duffee (2025 and 2024)

YearTitle of citing document
2025From constant to rough: A survey of continuous volatility modeling. (2023). Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Papers. RePEc:arx:papers:2309.01033.

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2025Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching. (2024). Diebold, Francis ; Bie, Siyu ; Li, Junye ; He, Jingyu. In: Papers. RePEc:arx:papers:2408.12863.

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2024Financial Stochastic Models Diffusion: From Risk-Neutral to Real-World Measure. (2024). Sarr, Djibril ; Kebaier, Ahmed ; ben Alaya, Mohamed. In: Papers. RePEc:arx:papers:2409.12783.

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2025A multi-factor model for improved commodity pricing: Calibration and an application to the oil market. (2025). Ballestra, Luca Vincenzo ; Tezza, Christian. In: Papers. RePEc:arx:papers:2501.15596.

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2025Pricing American options with exogenous and endogenous transaction costs. (2025). He, Xin-Jiang ; Yan, Dong ; Huang, Xin-Jie ; Ma, Guiyuan. In: Papers. RePEc:arx:papers:2509.00485.

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2025Deep learning CAT bond valuation. (2025). Sester, Julian ; Xu, Huansang. In: Papers. RePEc:arx:papers:2509.25899.

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2025Money Talks: How Foreign and Domestic Monetary Policy Communications Move Financial Markets. (2025). Zhang, Xu ; Sekkel, Rodrigo ; Stern, Henry. In: Staff Working Papers. RePEc:bca:bocawp:25-33.

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2025German Inflation-Linked Bonds: Overpriced, yet Undervalued. (2025). Mouabbi, Sarah ; Paulson, Caroline ; Christensen, Jens. In: Working papers. RePEc:bfr:banfra:1012.

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2024Can we Use High‐Frequency Data to Better Understand the Effects of Monetary Policy and its Communication? Yes and No!. (2024). Haque, Qazi ; Hambur, Jonathan. In: The Economic Record. RePEc:bla:ecorec:v:100:y:2024:i:328:p:3-43.

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2024Why do banks use credit default swaps (CDS)? A systematic review. (2024). , Tabassum ; Yameen, Mohammad. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:1:p:201-231.

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2024Interest Rate Skewness and Biased Beliefs. (2024). Chernov, Mikhail ; Bauer, Michael. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:1:p:173-217.

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2024What 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.

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2024Treasury Richness. (2024). Longstaff, Francis A ; Fleckenstein, Matthias. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:4:p:2797-2844.

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2024Treasury Bill Shortages and the Pricing of Short‐Term Assets. (2024). Vandeweyer, Quentin ; D'Avernas, Adrien. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:6:p:4083-4141.

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2024Asymmetric expectations of monetary policy. (2024). Busetto, Filippo. In: Bank of England working papers. RePEc:boe:boeewp:1058.

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2025A Survey-Based Shifting-Endpoint Dynamic Term Structure Model of Interest Rates: Working Paper 2025-03. (2025). McGrane, Michael. In: Working Papers. RePEc:cbo:wpaper:60888.

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2025Stock and Sovereign Returns Linkages: Time-Varying Causality and Extreme-Quantile Determinants. (2025). Afonso, Antonio ; Monteiro, Sofia ; Grabowski, Wojciech ; Alves, Jos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11667.

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2024Measuring market-based core inflation expectations. (2024). Jorgensen, Kasper ; Schupp, Fabian ; Gronlund, Asger Munch. In: Working Paper Series. RePEc:ecb:ecbwps:20242908.

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2024A statistical approach to identifying ECB monetary policy. (2024). Fonseca, Luís ; Brand, Claus ; Bitter, Lea ; Akkaya, Yildiz. In: Working Paper Series. RePEc:ecb:ecbwps:20242994.

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2025Real options and CEO social connections: The role of financial flexibility. (2025). Hasan, Md Nazmul ; Garca-Feijo, Luis ; Rajkovic, Tijana. In: Journal of Corporate Finance. RePEc:eee:corfin:v:91:y:2025:i:c:s0929119925000173.

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2024Risks and risk premia in the US Treasury market. (2024). Sarno, Lucio ; Li, Junye ; Zinna, Gabriele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s016518892300194x.

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2024Yield curve trading strategies exploiting sentiment data. (2024). Serwart, Jan ; Audrino, Francesco. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001517.

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2024Estimating option pricing models using a characteristic function-based linear state space representation. (2024). Laeven, Roger ; Vladimirov, Evgenii ; Boswijk, Peter H. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624002094.

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2025Bond risk premiums at the zero lower bound. (2025). Meldrum, Andrew ; Jrgensen, Kasper ; Andreasen, Martin M. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002902.

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2025The term structure of macroeconomic risks at the effective lower bound. (2025). Roussellet, Guillaume. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407623000143.

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2024Instantaneous volatility of the yield curve, variance risk premium and bond return predictability. (2024). Yin, Ximing ; Yang, GE. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000252.

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2024Time-varying variance decomposition of macro-finance term structure models. (2024). Hansen, Anne Lundgaard. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000975.

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2024Fundamental characteristics, machine learning, and stock price crash risk. (2024). Ma, Tian ; Jiang, Fuwei ; Zhu, Feifei. In: Journal of Financial Markets. RePEc:eee:finmar:v:69:y:2024:i:c:s1386418124000260.

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2025Coarse pricing in QE auctions. (2025). Tsujimoto, Yusuke. In: Journal of Financial Markets. RePEc:eee:finmar:v:73:y:2025:i:c:s1386418124000776.

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2024Stock price crash risk and firms’ operating leverage. (2024). Chang, Xin ; Kwok, Wing Chun ; Wong, George. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000044.

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2024Global natural rates in the long run: Postwar macro trends and the market-implied r∗ in 10 advanced economies. (2024). Huetsch, Leon ; Davis, Josh ; Fuenzalida, Cristian ; Mills, Benjamin ; Taylor, Alan M. In: Journal of International Economics. RePEc:eee:inecon:v:149:y:2024:i:c:s0022199624000436.

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2024Inflation expectations and risk premia in emerging bond markets: Evidence from Mexico. (2024). Zhu, Simon ; Beauregard, Remy ; Fischer, Eric. In: Journal of International Economics. RePEc:eee:inecon:v:151:y:2024:i:c:s0022199624000886.

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2025Term premia and credit risk in emerging markets: The role of U.S. monetary policy. (2025). Sols, Pavel. In: Journal of International Economics. RePEc:eee:inecon:v:154:y:2025:i:c:s0022199625000017.

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2024Pricing guaranteed annuity options in a linear-rational Wishart mortality model. (2024). DA FONSECA, José. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:122-131.

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2024The efficiency of the Estr overnight index swap market. (2024). Realdon, Marco. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s104244312400009x.

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2025The short-run impact of investor expectations’ past volatility on current predictions: The case of VIX. (2025). Ioan, Roxana ; Dima, Tefana Maria. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:98:y:2025:i:c:s1042443124001501.

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2025Ex ante bond returns and time-varying monotonicity. (2025). Yahyaei, Hamid ; Singh, Abhay ; Smith, Tom. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:99:y:2025:i:c:s1042443125000046.

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2025Forecasting interest rates with shifting endpoints: The role of the functional demographic age distribution. (2025). Niu, Linlin ; Hong, Zhiwu ; Chen, Jiazi. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:153-174.

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2025News flow as a determinant of the voting premium of dual-class shares. (2025). de la Bruslerie, Hubert. In: International Review of Law and Economics. RePEc:eee:irlaec:v:82:y:2025:i:c:s0144818825000262.

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2025Modeling and pricing credit risk with a focus on recovery risk. (2025). Liu, Haibo ; Tang, Qihe. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002310.

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2025Unspanned stochastic volatility in the linear-rational square-root model: Evidence from the Treasury market. (2025). Hansen, Jorge Wolfgang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002681.

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2024How do Treasury dealers manage their positions?. (2024). Fleming, Michael ; Rosenberg, Joshua ; Nguyen, Giang. In: Journal of Financial Economics. RePEc:eee:jfinec:v:158:y:2024:i:c:s0304405x24001089.

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2024Concealed carry. (2024). Andrews, Spencer ; Colacito, Riccardo ; Croce, Mariano M ; Gavazzoni, Federico. In: Journal of Financial Economics. RePEc:eee:jfinec:v:159:y:2024:i:c:s0304405x24000977.

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2024Modeling volatility in dynamic term structure models. (2024). Liu, Rui ; Jacobs, Kris ; Doshi, Hitesh. In: Journal of Financial Economics. RePEc:eee:jfinec:v:161:y:2024:i:c:s0304405x24001491.

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2024The risk and return of equity and credit index options. (2024). Seo, Sang Byung ; Fournier, Mathieu ; Ericsson, Jan ; Doshi, Hitesh. In: Journal of Financial Economics. RePEc:eee:jfinec:v:161:y:2024:i:c:s0304405x24001557.

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2025Back to the 1980s or not? The drivers of inflation and real risks in Treasury bonds. (2025). Pflueger, Carolin. In: Journal of Financial Economics. RePEc:eee:jfinec:v:167:y:2025:i:c:s0304405x25000352.

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2024Corporate acquisitions and firm-level uncertainty: Domestic versus cross-border deals. (2024). Girma, Sourafel ; Bai, YE ; Riao, Alejandro. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001894.

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2024International evidence on extending sovereign debt maturities. (2024). Lopez, Jose ; Mussche, Paul L. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:141:y:2024:i:c:s0261560623002103.

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2025A post-pandemic new normal for interest rates in emerging bond markets? Evidence from Chile. (2025). Romero, Damian ; Ceballos, Luis. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:150:y:2025:i:c:s0261560624002213.

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2024Expected returns on commodity ETFs and their underlying assets. (2024). Ortega, Hector ; Cortazar, Gonzalo ; Schwartz, Eduardo S ; Maria, Joaquin Santa. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000588.

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2025Equilibrium yield curves with imperfect information. (2025). Tanaka, Hiroatsu. In: Journal of Monetary Economics. RePEc:eee:moneco:v:149:y:2025:i:c:s0304393224000746.

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2024What drives jumps in the secured Overnight Financing Rate? Evidence from the arbitrage-free Nelson–Siegel model with jump diffusion. (2024). Yeh, Zong-Wei ; Lin, Shih-Kuei ; He, Jie-Cao ; Fang, Dong-Jie. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24001434.

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2024How far can the long-run risk model with durable goods explain the variation of the yield curve?. (2024). Igarashi, Yoske ; Ikeda, Ryoichi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:444-459.

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2024Spillover effects of multidimensional information in Fed statements on Chinas bond market. (2024). Chen, Xiaoli ; Liu, Chunzi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:712-741.

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2024Anatomy of sovereign yield behaviour using textual news. (2024). Sensoy, Ahmet ; Akhtaruzzaman, Md ; Dann, Susan ; Pradhan, H K ; Banerjee, Ameet Kumar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002514.

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2024Sequential learning and economic benefits from dynamic term structure models. (2024). Dubiel-Teleszynski, Tomasz ; Karouzakis, Nikolaos ; Kalogeropoulos, Konstantinos. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:123659.

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2024The Benefit of Inflation-Indexed Debt: Evidence from an Emerging Bond Market. (2023). Christensen, Jens. In: Working Paper Series. RePEc:fip:fedfwp:95617.

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2024Quantitative Easing and Safe Asset Scarcity: Evidence from International Bond Safety Premia. (2023). Zhang, Xin ; Christensen, Jens ; Mirkov, Nikola. In: Working Paper Series. RePEc:fip:fedfwp:96602.

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2024A Post-Pandemic New Normal for Interest Rates in Emerging Bond Markets? Evidence from Chile. (2024). Romero, Damian ; Christensen, Jens ; Ceballos, Luis. In: Working Paper Series. RePEc:fip:fedfwp:97796.

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2024Equilibrium Yield Curves with Imperfect Information. (2022). Tanaka, Hiroatsu. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2022-86.

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2025Options on Interbank Rates and Implied Disaster Risk. (2023). Seo, Sang Byung ; Kim, Hyung Joo ; Doshi, Hitesh. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-54.

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2025Asymmetry in Distributions of Accumulated Gains and Losses in Stock Returns. (2025). Farahani, Hamed ; Serota, Rostislav A. In: Economies. RePEc:gam:jecomi:v:13:y:2025:i:6:p:176-:d:1680603.

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2024The Use of Economic Indicators as Early Signals of Stock Market Progress: Perspectives from Market Potential Index. (2024). Said, Yasmeen ; Eldomiaty, Tarek ; Fouad, Mostafa ; Azzam, Islam. In: IJFS. RePEc:gam:jijfss:v:12:y:2024:i:1:p:21-:d:1346456.

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2025USV-Affine Models Without Derivatives: A Bayesian Time-Series Approach. (2025). van Vuuren, Gary ; Molibeli, Malefane. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:7:p:395-:d:1703364.

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2025Stock and sovereign returns linkages: time-varying causality and extreme-quantile determinants. (2025). Alves, José ; Afonso, Antonio ; Grabowski, Wojciech ; Monteiro, Sofia. In: Working Papers REM. RePEc:ise:remwps:wp03662025.

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2024A term structure interest rate model with the Brownian bridge lower bound. (2024). Kikuchi, Kentaro. In: Annals of Finance. RePEc:kap:annfin:v:20:y:2024:i:3:d:10.1007_s10436-024-00439-4.

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2024Stochastic Default Risk Estimation Evidence from the South African Financial Market. (2024). Alfeus, Mesias ; Lederer, Alessia ; Fitzhenry, Kirsty. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:3:d:10.1007_s10614-023-10481-5.

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2025What is the Effect of Restrictions Imposed by Principal Components Analysis on the Empirical Performance of Dynamic Term Structure Models?. (2025). Juneja, Januj. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10644-y.

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2024The impacts of political uncertainty on public financing costs: evidence from anti-corruption investigations in China. (2024). Ouyang, Yiling ; Gao, Haoyu ; Chen, Fukang. In: Public Choice. RePEc:kap:pubcho:v:198:y:2024:i:1:d:10.1007_s11127-023-01111-7.

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2024An affine model for short rates when monetary policy is path dependent. (2024). Al-Zoubi, Haitham A. In: Review of Derivatives Research. RePEc:kap:revdev:v:27:y:2024:i:2:d:10.1007_s11147-024-09202-3.

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2024A reduced-form model for lease contract valuation with embedded options. (2024). Yildirim, Yildiray ; Ho, Hsiao-Wei ; Huang, Henry Hongren ; Chang, Chuang-Chang. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:62:y:2024:i:2:d:10.1007_s11156-023-01222-8.

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2025The Information Cliff. (2025). Wang, Chen ; Li, YE. In: SocArXiv. RePEc:osf:socarx:bf8cx_v1.

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2024Decomposing Uncertainty in Macro-Finance Term Structure Models. (2024). Byrne, Joseph ; Cao, Shuo. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:14:y:2024:i:3:p:428-449..

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2025Tail risk and Flight-to-Safety. (2025). Li, Xinyang. In: Journal of Asset Management. RePEc:pal:assmgt:v:26:y:2025:i:4:d:10.1057_s41260-025-00407-1.

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2024Greenium of green securitization: Does external certification matter?. (2024). Li, Xiru ; Zhang, Yufei ; Zhu, BO. In: PLOS ONE. RePEc:plo:pone00:0306814.

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2025Estimating an affine term structure model of interest rates with correlated noise. (2025). Li, Rende ; Wu, Shu. In: PLOS ONE. RePEc:plo:pone00:0318076.

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2025Joint estimation of liquidity and credit risk premia in bond prices with an application. (2025). Steenkamp, Daan. In: Working Papers. RePEc:rbz:wpaper:11074.

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2024An Analysis of UK Households’ Directional Forecasts of Interest Rates. (2024). Österholm, Pär ; Kladvko, Kamil. In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:20:y:2024:i:3:d:10.1007_s41549-024-00103-w.

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2024The Valuation at Origination of Mortgages with Full Prepayment and Default Risks. (2024). Dong, Yinghui ; Wang, Pin ; Zhou, Congjin. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:26:y:2024:i:2:d:10.1007_s11009-024-10081-2.

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2025Sieve Bootstrap Approach to Robust Term Premia Analysis. (2025). Hwang, Jungbin. In: Working papers. RePEc:uct:uconnp:2025-10.

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2024The term structure of interest rates and economic activity: Evidence from the COVID‐19 pandemic. (2024). laopodis, nikiforos ; Kouretas, Georgios ; Salachas, Evangelos. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:4:p:1018-1041.

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2025Detangling Risk Premiums: Common and Idiosyncratic Components of Crude Oil, Corn, and Ethanol Futures. (2025). Liu, Rui ; Etienne, Xiaoli. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:9:p:1409-1427.

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Works by Greg Duffee:

YearTitleTypeCited
2019Corporate bond use in Asia and the United States In: BIS Papers chapters.
[Full Text][Citation analysis]		chapter0
2021Debt specialisation and diversification: International evidence In: BIS Working Papers.
[Full Text][Citation analysis]		paper0
1996 Idiosyncratic Variation of Treasury Bill Yields. In: Journal of Finance.
[Full Text][Citation analysis]		article114
1994Idiosyncratic variation of Treasury bill yields.(1994) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has nother version. Agregated cites: 114		paper
2002Term Premia and Interest Rate Forecasts in Affine Models In: Journal of Finance.
[Full Text][Citation analysis]		article741
2000Term Premia and Interest Rate Forecasts in Affine Models.(2000) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 741		paper
2005Time Variation in the Covariance between Stock Returns and Consumption Growth In: Journal of Finance.
[Full Text][Citation analysis]		article48
2018Expected Inflation and Other Determinants of Treasury Yields In: Journal of Finance.
[Full Text][Citation analysis]		article39
2023Macroeconomic News in Asset Pricing and Reality In: Journal of Finance.
[Full Text][Citation analysis]		article2
1999Credit Derivatives in Banking: Useful Tools for Managing Risk? In: Research Program in Finance, Working Paper Series.
[Full Text][Citation analysis]		paper129
2001Credit derivatives in banking: Useful tools for managing risk?.(2001) In: Journal of Monetary Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 129		article
1997Credit derivatives in banking: useful tools for managing risk?.(1997) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 129		paper
1999Credit Derivatives in Banking: Useful Tools for Managing Risk?.(1999) In: Research Program in Finance Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 129		paper
2013Forecasting Interest Rates In: Handbook of Economic Forecasting.
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