Hanno Lustig : Citation Profile


Are you Hanno Lustig?

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

24

H index

40

i10 index

3092

Citations

RESEARCH PRODUCTION:

17

Articles

87

Papers

1

Chapters

RESEARCH ACTIVITY:

   34 years (1990 - 2024). See details.
   Cites by year: 90
   Journals where Hanno Lustig has often published
   Relations with other researchers
   Recent citing documents: 202.    Total self citations: 38 (1.21 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/plu17
   Updated: 2024-07-05    RAS profile: 2023-03-11    
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Relations with other researchers


Works with:

Van Nieuwerburgh, Stijn (6)

Xiaolan, Mindy (5)

KRISHNAMURTHY, ARVIND (4)

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 (63)

Van Nieuwerburgh, Stijn (42)

Nitschka, Thomas (42)

Coeurdacier, Nicolas (41)

Schrimpf, Andreas (39)

Weber, Michael (35)

Schmeling, Maik (29)

Chernov, Mikhail (29)

Hassan, Tarek (28)

Chien, YiLi (28)

Lettau, Martin (28)

Cites to:

Campbell, John (122)

Cochrane, John (47)

Hansen, Lars (40)

Verdelhan, Adrien (33)

Alvarez, Fernando (30)

Jermann, Urban (30)

Lettau, Martin (29)

Gabaix, Xavier (29)

Lucas, Robert (28)

Kehoe, Patrick (28)

Van Nieuwerburgh, Stijn (27)

Main data


Where Hanno Lustig has published?


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

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc46
CEPR Discussion Papers / C.E.P.R. Discussion Papers4
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 (2024 and 2023)


YearTitle of citing document
2023.

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2023Sustainable 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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2023Dynamic Networks in Large Financial and Economic Systems. (2020). Baruník, Jozef ; Ellington, Michael. In: Papers. RePEc:arx:papers:2007.07842.

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2023Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962.

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2023Railroad Bailouts in the Great Depression. (2022). Verdickt, Gertjan ; Moore, Lyndon. In: Papers. RePEc:arx:papers:2205.13025.

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2023Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2023Labor Income Risk and the Cross-Section of Expected Returns. (2023). Pinchuk, Mykola. In: Papers. RePEc:arx:papers:2301.09173.

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2023Government Guarantees and Banks Income Smoothing. (2023). , Felipe ; Merkley, Kenneth J ; Dantas, Manuela M. In: Papers. RePEc:arx:papers:2303.03661.

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2023Reconstructing firm-level input-output networks from partial information. (2023). Austudillo-Estevez, Pablo ; Bacilieri, Andrea. In: Papers. RePEc:arx:papers:2304.00081.

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2023Graph 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.

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2023Common Firm-level Investor Fears: Evidence from Equity Options. (2023). Baruník, Jozef ; Ellington, Michael ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:2309.03968.

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2023Stochastic volatility models with skewness selection. (2023). Lopes, Hedibert Freitas ; Batista, Igor Ferreira. In: Papers. RePEc:arx:papers:2312.00282.

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2023Crypto carry. (2023). Schrimpf, Andreas ; Todorov, Karamfil ; Schmeling, Maik. In: BIS Working Papers. RePEc:bis:biswps:1087.

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2023The cumulant risk premium. (2023). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:1128.

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2024Exchange rates and political uncertainty: the Brexit case. (2024). Moramarco, Graziano ; Manasse, Paolo ; Trigilia, Giulio. In: Economica. RePEc:bla:econom:v:91:y:2024:i:362:p:621-652.

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2023Macroeconomic 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.

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2023.

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2023Belief 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.

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2023Risk 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.

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2023Optimal 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.

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2023International 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.

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2023Small 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.

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2023Pricing 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.

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2023Uncertainty 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.

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2023Carry 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.

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2023Commitment 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.

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2023Exchange 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.

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2023Capital 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.

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2024Fiscal Policy and the Balance Sheet of the Private Sector. (2024). von Thadden, Ernst-Ludwig ; Rochet, Jean-Charles ; Gersbach, Hans. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2024_544.

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2023The 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.

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2023Global 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.

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2024Unpacking Economic Uncertainty — Measuring the Firm, Sector and Aggregate Components. (2024). Treibich, Tania ; Piccillo, Giulia ; Mohades, Siavash. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10974.

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2024Exchange Rates and Sovereign Risk: A Nonlinear Approach Based on Local Gaussian Correlations. (2024). Legrenzi, Gabriella Deborah ; Heinlein, Reinhold. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11019.

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2023Dash for Dollars. (2023). Czech, Robert ; Eguren-Martin, Fernando ; Cesa-Bianchi, Ambrogio. In: Discussion Papers. RePEc:cfm:wpaper:2314.

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2023Global Risk and the Dollar. (2023). Müller, Gernot ; Georgiadis, Georgios ; Schumann, Ben. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2057.

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2023Dollar Trinity and the Global Financial Cycle. (2023). Müller, Gernot ; Georgiadis, Georgios ; Schumann, Ben. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2058.

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2024Insurance against Aggregate Shocks. (2024). Shibata, Akihisa ; Kunieda, Takuma. In: ISER Discussion Paper. RePEc:dpr:wpaper:1239.

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2023Monetary policy and local industry structure. (2023). Steininger, Lea ; Popov, Alexander. In: Working Paper Series. RePEc:ecb:ecbwps:20232778.

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2023Loan guarantees, bank underwriting policies and financial fragility. (2023). Marquez, Robert ; Leonello, Agnese ; Carletti, Elena. In: Working Paper Series. RePEc:ecb:ecbwps:20232782.

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2024Public guarantees, private banks’ incentives, and corporate outcomes: evidence from the COVID-19 crisis. (2024). Laeven, Luc ; Jimenez, Gabriel ; Peydro, Jose-Luis ; Martinez-Miera, David. In: Working Paper Series. RePEc:ecb:ecbwps:20242913.

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2024Greening the economy: how public-guaranteed loans influence firm-level resource allocation. (2024). Reghezza, Alessio ; Perdichizzi, Salvatore ; Buchetti, Bruno ; Miquel-Flores, Ixart. In: Working Paper Series. RePEc:ecb:ecbwps:20242916.

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2024Mutual funds and safe government bonds: do returns matter?. (2024). Graziano, Marco ; Habib, Maurizio Michael. In: Working Paper Series. RePEc:ecb:ecbwps:20242931.

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2023FDI 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.

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2023Regional redistribution through SBA guaranteed loan programs. (2023). Lee, Munseob. In: Journal of Corporate Finance. RePEc:eee:corfin:v:78:y:2023:i:c:s0929119922001870.

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2023What 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.

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2024How does currency risk impact firms? New evidence from bank loan contracts. (2024). Hunter, Delroy M ; Francis, Bill B ; Bergbrant, Mikael C. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s092911992400004x.

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2023Interest 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.

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2024Bonds, currencies and expectational errors. (2024). Sihvonen, Markus ; Granziera, Eleonora. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s0165188923001963.

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2024Dynamic industry uncertainty networks and the business cycle. (2024). faff, robert ; Baruník, Jozef ; Bevilacqua, Mattia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923001999.

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2023Currency 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.

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2023Does digital transformation reduce the labor income share in enterprises?. (2023). Ning, Guang-Jie ; Si, Deng-Kui ; Yang, Guang-Zhao. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:80:y:2023:i:c:p:1526-1538.

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2023Do 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.

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2023Risk-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.

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2024Public debt management announcements: A welfare-theoretic analysis. (2024). Rossi, Enzo ; Dentler, Alexander. In: Economic Modelling. RePEc:eee:ecmode:v:131:y:2024:i:c:s0264999323003735.

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2023Forecasting 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.

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2023US 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.

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2023Spillover 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.

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2023Cross-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.

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2023Business-cycle consumption risk and asset prices. (2023). Tamoni, Andrea ; Bandi, Federico M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001410.

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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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2024Common volatility shocks driven by the global carbon transition. (2024). Hendry, David F ; Campos-Martins, Susana. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623001665.

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2023Do 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.

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2023The 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.

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2023Consumer 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.

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2024Persistence in financial connectedness and systemic risk. (2024). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:393-407.

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2024Are FX communications effective? Evidence from emerging markets. (2024). Parra-Polanía, Julián ; Sanchez-Jabba, Andres ; Parra-Polania, Julian ; Sarmiento, Miguel. In: Emerging Markets Review. RePEc:eee:ememar:v:59:y:2024:i:c:s1566014123000961.

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2023Disagreement, 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.

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2023Cross-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.

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2023Global 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.

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2023On the driving forces of real exchange rates: Is the Japanese Yen different?. (2023). Zeng, Ming ; Maio, Paulo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000907.

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2023Does 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.

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2023Factor 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.

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2023Exchange rate co-movements and corporate foreign exchange exposures: A study on RMB. (2023). Yu, Jishuang ; Wang, Wenqing ; He, Qing. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003472.

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2024Political risks, excess and carry trade returns in global markets. (2024). Blenman, Lloyd P ; Kesse, Kwabena. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004222.

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2024Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic. (2024). Al-Faryan, Mamdouh Abdulaziz Sa ; Ur, Mobeen ; Kashif, Muhammad ; Palwishah, Rana. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004350.

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2024Is downside risk priced in cryptocurrency market?. (2024). Dobrynskaya, Victoria. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004635.

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2024The sources of portfolio volatility and mutual fund performance. (2024). Rakowski, David ; Vafai, Nima. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s105752192300501x.

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2023The 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.

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2023Outside 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.

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2023On the predictability of bonds. (2023). Tka, Michal ; Verner, Robert. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005536.

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2023Conversion risk on 19th century French consols and embedded options: A simple exercise. (2023). Vaslin, Jacques-Marie ; Ureche-Rangau, Loredana. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s154461232300747x.

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2024The impact of the war in Ukraine on the idiosyncratic risk and the market risk. (2024). le Saout, Erwan ; Soliman, Alain. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012679.

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2023Net 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.

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2023Profitability anomaly and aggregate volatility risk. (2023). Barinov, Alexander. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000714.

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2023Equity 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.

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2023Options-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.

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2023Attention based dynamic graph neural network for asset pricing. (2023). Yu, Dantong ; Tao, Xinyuan ; Uddin, Ajim. In: Global Finance Journal. RePEc:eee:glofin:v:58:y:2023:i:c:s1044028323000959.

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2023The 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.

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2023Forecasting 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.

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2023Sovereign 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.

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2023Making sovereign debt safe with a financial stability fund. (2023). Liu, Yan ; Marimon, Ramon ; Wicht, Adrien. In: Journal of International Economics. RePEc:eee:inecon:v:145:y:2023:i:c:s0022199623001204.

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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]
article17
2011The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply In: American Economic Review.
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article34
2008The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply.(2008) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 34
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2012Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing? In: American Economic Review.
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article59
2009Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing?.(2009) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 59
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2007The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk In: American Economic Review.
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article432
2006The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk..(2006) In: Working papers.
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This paper has nother version. Agregated cites: 432
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2005THE CROSS-SECTION OF FOREIGN CURRENCY RISK PREMIA AND CONSUMPTION GROWTH RISK.(2005) In: Boston University - Department of Economics - Working Papers Series.
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This paper has nother version. Agregated cites: 432
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2006The 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: 432
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2004The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk.(2004) In: 2004 Meeting Papers.
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This paper has nother version. Agregated cites: 432
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2012How Does the US Government Finance Fiscal Shocks? In: American Economic Journal: Macroeconomics.
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1990How does the U.S. government finance fiscal shocks?.(1990) In: GSIA Working Papers.
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This paper has nother version. Agregated cites: 26
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2010How Does the U.S. Government Finance Fiscal Shocks?.(2010) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 26
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2005Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective In: Journal of Finance.
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article276
2003Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective.(2003) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 276
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2005Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution. In: Boston University - Department of Economics - Working Papers Series.
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paper19
2006Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution.(2006) In: Journal of the European Economic Association.
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This paper has nother version. Agregated cites: 19
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2007The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models¤ In: Boston University - Department of Economics - Working Papers Series.
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paper20
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This paper has nother version. Agregated cites: 20
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2007The Wealth-Consumption Ratio: A Litmus Test for Consumption-Based Asset Pricing Models.(2007) In: 2007 Meeting Papers.
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This paper has nother version. Agregated cites: 20
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2004The Market Price of Aggregate Risk and the Wealth Distribution In: UCLA Economics Online Papers.
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paper113
2005The Market Price of Aggregate Risk and the Wealth Distribution.(2005) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 113
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2010The 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
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2001The Market Price of Aggregate Risk and the Wealth Distribution.(2001) In: Finance.
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This paper has nother version. Agregated cites: 113
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2004Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective (joint with Stijn Van Nieuwerburgh), forthcoming Journal of Finance In: UCLA Economics Online Papers.
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paper2
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paper0
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paper0
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paper0
2005The 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.
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paper11
2005Fiscal Hedging and the Yield Curve(joint with Chris Sleet, CMU, and Sevin Yeltekin (CMU)) In: UCLA Economics Online Papers.
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paper0
2005Does the US government Hedge against Defense Expenditure Risk? (joint with Chris Sleet and Sevin Yeltekin) In: UCLA Economics Online Papers.
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paper0
2005Investing 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.
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paper60
2008Fiscal hedging with nominal assets.(2008) In: Journal of Monetary Economics.
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This paper has nother version. Agregated cites: 60
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2006The Irrelevance of Market Incompleteness for the Price of Aggregate Risk In: CEPR Discussion Papers.
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paper0
2012The Wealth-Consumption Ratio In: CEPR Discussion Papers.
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paper59
2008The Wealth-Consumption Ratio.(2008) In: NBER Working Papers.
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2012Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees In: CEPR Discussion Papers.
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paper125
2011Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees.(2011) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 125
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2011Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees.(2011) In: 2011 Meeting Papers.
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2012The Cross-Section and Time-Series of Stock and Bond Returns In: CEPR Discussion Papers.
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paper86
2010The Cross-Section and Time-Series of Stock and Bond Returns.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 86
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2010When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)? In: Journal of Economic Theory.
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article67
2006When 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: 67
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2011Technological change and the growing inequality in managerial compensation In: Journal of Financial Economics.
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article46
2009Technological Change and the Growing Inequality in Managerial Compensation.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
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2014Implications of heterogeneity in preferences, beliefs and asset trading technologies for the macroeconomy In: Working Papers.
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paper0
2014Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy.(2014) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 0
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2015Why Are Exchange Rates So Smooth? A Household Finance Explanation In: Working Papers.
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paper8
2017Why 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
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2009Comment on Carry Trades and Currency Crashes In: NBER Chapters.
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chapter1
2004How Much Does Household Collateral Constrain Regional Risk Sharing? In: NBER Working Papers.
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paper74
2010How Much Does Household Collateral Constrain Regional Risk Sharing?.(2010) In: Review of Economic Dynamics.
[Full Text][Citation analysis]
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2004A Theory of Housing Collateral, Consumption Insurance and Risk Premia In: NBER Working Papers.
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2005The Cross-Section of Currency Risk Premia and US Consumption Growth Risk In: NBER Working Papers.
[Full Text][Citation analysis]
paper17
2005The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street In: NBER Working Papers.
[Full Text][Citation analysis]
paper92
2008The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street.(2008) In: The Review of Financial Studies.
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2005Fiscal Hedging and the Yield Curve In: NBER Working Papers.
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2006Can Housing Collateral Explain Long-Run Swings in Asset Returns? In: NBER Working Papers.
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paper24
2007A Multiplier Approach to Understanding the Macro Implications of Household Finance In: NBER Working Papers.
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paper78
2011A Multiplier Approach to Understanding the Macro Implications of Household Finance.(2011) In: The Review of Economic Studies.
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2007Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data In: NBER Working Papers.
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2008Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data.(2008) In: Journal of the European Economic Association.
[Full Text][Citation analysis]
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2008Common Risk Factors in Currency Markets In: NBER Working Papers.
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paper515
2011Common Risk Factors in Currency Markets.(2011) In: The Review of Financial Studies.
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2008Common Risk Factors in Currency Markets.(2008) In: 2008 Meeting Papers.
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2011Why Does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle.(2011) In: 2011 Meeting Papers.
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2013Deflation Risk In: NBER Working Papers.
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2013Firm Volatility in Granular Networks In: NBER Working Papers.
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2013The Term Structure of Currency Carry Trade Risk Premia In: NBER Working Papers.
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2014The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications In: NBER Working Papers.
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2016Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates? In: NBER Working Papers.
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2016Equity is Cheap for Large Financial Institutions: The International Evidence In: NBER Working Papers.
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2017Complex Asset Markets In: NBER Working Papers.
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2018Foreign Safe Asset Demand and the Dollar Exchange Rate In: NBER Working Papers.
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2018Post-FOMC Announcement Drift in U.S. Bond Markets In: NBER Working Papers.
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2019The U.S. Public Debt Valuation Puzzle In: NBER Working Papers.
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2020Spending Less After (Seemingly) Bad News In: NBER Working Papers.
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2016Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies in an Endowment Economy In: Review of Economic Dynamics.
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2004Does the US government hedge against government expenditure risk? In: 2004 Meeting Papers.
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2004Housing Collateral and Consumption Insurance Across US Regions In: 2004 Meeting Papers.
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2005The Returns on Human Wealth: Good News on Wall Street is Bad News on Main Street In: 2005 Meeting Papers.
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2006Optimal Debt Maturity Management In: 2006 Meeting Papers.
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