Greg Duffee : Citation Profile

Are you Greg Duffee?

Johns Hopkins University

15

H index

18

i10 index

1894

Citations

RESEARCH PRODUCTION:

14

Articles

29

Papers

3

Chapters

RESEARCH ACTIVITY:

   31 years (1990 - 2021). See details.
   Cites by year: 61
   Journals where Greg Duffee has often published
   Relations with other researchers
   Recent citing documents: 87.    Total self citations: 10 (0.53 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pdu249
   Updated: 2024-12-03    RAS profile: 2021-10-13    
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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 (34)

Christensen, Jens (30)

Wu, Jing Cynthia (30)

Creal, Drew (23)

Hördahl, Peter (19)

Diebold, Francis (19)

Crump, Richard (17)

Moench, Emanuel (16)

Spencer, Peter (16)

Almeida, Caio (15)

Cites to:

Campbell, John (24)

Singleton, Kenneth (17)

Piazzesi, Monika (17)

Ang, Andrew (15)

Rudebusch, Glenn (12)

Cochrane, John (10)

Zin, Stanley (9)

Shiller, Robert (9)

Diebold, Francis (8)

Bekaert, Geert (8)

Fama, Eugene (7)

Main data

Where Greg Duffee has published?

Journals with more than one article published# docs
Journal of Finance4
The Review of Financial Studies2
Journal of Financial Economics2
Journal of Monetary 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 (2024 and 2023)

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

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2023Valuation Duration of the Stock Market. (2023). Wang, Chen ; Li, YE. In: Papers. RePEc:arx:papers:2310.07110.

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2023A robust model for the term structure of interest rates: some applications in Colombia. (2023). Rodríguez-Novoa, Daniela ; Sanchez-Quinto, Camilo Eduardo ; Rodriguez-Novoa, Daniela ; Cabrera-Rodriguez, Wilmar Alexander. In: Borradores de Economia. RePEc:bdr:borrec:1255.

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2023Money market funds and the pricing of near-money assets. (2023). Doerr, Sebastian ; Malamud, Semyon ; Eren, Sebastian Egemen. In: BIS Working Papers. RePEc:bis:biswps:1096.

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2023Default risk and earnings expectations: The role of contract maturity in the credit default swap market. (2023). Taylor, Gary K ; Hill, Mary S. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:4:p:4275-4298.

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2024Risk?Sharing and the Term Structure of Interest Rates. (2022). Schneider, Andres. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:4:p:2331-2374.

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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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2023Macroeconomic News in Asset Pricing and Reality. (2023). Duffee, Gregory R. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1499-1543.

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2023Clear(ed) Decision: The Effect of Central Clearing on Firms Financing Decision. (2023). Zadow, Frederick ; Jager, Maximilian. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2023_445.

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

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2023Are bond returns predictable with real-time macro data?. (2023). Li, Kunpeng ; Jiang, Fuwei ; Huang, Dashan ; Zhou, Guofu ; Tong, Guoshi. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001161.

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2023Maximum likelihood estimation of the Hull–White model. (2023). Rus, Toma ; Kladivko, Kamil. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:227-247.

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2023Term premia and short rate expectations in the euro area. (2023). Berardi, Andrea. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000919.

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2023Herding in the Chinese renewable energy market: Evidence from a bootstrapping time-varying coefficient autoregressive model. (2023). Lucey, Brian ; Ren, Boru. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000245.

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

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2023Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds. (2023). Chernov, Mikhail ; Hordahl, Peter ; Creal, Drew. In: Journal of International Economics. RePEc:eee:inecon:v:140:y:2023:i:c:s0022199622001246.

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2023Pricing extreme mortality risk in the wake of the COVID-19 pandemic. (2023). Yuan, Zhongyi ; Tang, Qihe ; Liu, Haibo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:84-106.

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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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2023A shadow rate without a lower bound constraint. (2023). Ristiniemi, Annukka ; de Rezende, Rafael B. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002667.

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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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2023Asset holders’ consumption risk and tests of conditional CCAPM. (2023). Jo, Chanik ; Elkamhi, Redouane. In: Journal of Financial Economics. RePEc:eee:jfinec:v:148:y:2023:i:3:p:220-244.

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2023Market power in wholesale funding: A structural perspective from the triparty repo market. (2023). Huber, Amy Wang. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:2:p:235-259.

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2023Return predictability with endogenous growth. (2023). Tamoni, Andrea ; Bretscher, Lorenzo ; Bandi, Federico M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:3:s0304405x23001642.

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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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2023Central bank credibility during COVID-19: Evidence from Japan. (2023). Spiegel, Mark M. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:131:y:2023:i:c:s0261560622001917.

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2023The information in joint term structures of bond yields. (2023). Spencer, Peter ; Raczko, Marek ; Meldrum, Andrew. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:134:y:2023:i:c:s0261560623000293.

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2023The effects of Trump’s trade war on U.S. financial markets. (2023). Liu, Dingming ; Fang, Jing ; Chen, Yong. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:134:y:2023:i:c:s0261560623000438.

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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). Mussche, Paul L ; Lopez, Jose A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:141:y:2024:i:c:s0261560623002103.

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2023The relative pricing of WTI and Brent crude oil futures: Expectations or risk premia?. (2023). Liu, Rui ; Gao, Xin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000319.

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2023Decomposing the yield curve with linear regressions and survey information. (2023). Halberstadt, Arne. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:91:y:2023:i:c:p:25-39.

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2023Does fear spur default risk?. (2023). Visaltanachoti, Nuttawat ; Nguyen, Nhut H ; Thakerngkiat, Narongdech. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:879-899.

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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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2023The impact of central bank digital currency variation on firms implied volatility. (2023). Chen, Wen-Ling ; Hsieh, Hsin-Yi ; Wang, Chih-Wei ; Lee, Chien-Chiang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000041.

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

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

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2023Options 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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2024The Use of Economic Indicators as Early Signals of Stock Market Progress: Perspectives from Market Potential Index. (2024). Said, Yasmeen ; Fouad, Mostafa ; Azzam, Islam ; Eldomiaty, Tarek. In: IJFS. RePEc:gam:jijfss:v:12:y:2024:i:1:p:21-:d:1346456.

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2023Term Premia in Norwegian Interest Rate Swaps. (2023). Westgaard, Sjur ; Semmen, Kristian ; Risstad, Morten ; de Lange, Petter Eilif. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:3:p:188-:d:1093268.

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2023.

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2023.

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2023Machine-Learning-Based Return Predictors and the Spanning Controversy in Macro-Finance. (2023). Shi, Zhan ; Huang, Jing-Zhi. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:3:p:1780-1804.

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

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2023A comparison of multi-factor term structure models for interbank rates. (2023). Tunaru, Diana ; Fabozzi, Francesco A. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01147-2.

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2023Correcting estimation bias in regime switching dynamic term structure models. (2023). Liu, Liu ; Cho, Sungjun. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:3:d:10.1007_s11156-023-01182-z.

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2023Decomposing Long Bond Returns: A Decentralized Theory*. (2023). Wu, Liuren ; Carr, Peter. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:3:p:997-1026..

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2023Macroeconomic News and Stock–Bond Comovement*. (2023). Duffee, Gregory R. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:5:p:1859-1882..

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2023Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!. (2023). Haque, Qazi ; Hambur, Jonathan. In: RBA Research Discussion Papers. RePEc:rba:rbardp:rdp2023-04.

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2023Dynamic Nelson–Siegel model for market risk estimation of bonds: Practical implementation. (2023). Lapshin, Victor ; Makushkin, Mikhail. In: Applied Econometrics. RePEc:ris:apltrx:0462.

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2023Hedging longevity risk in defined contribution pension schemes. (2023). Wang, Yongjie ; Ewald, Christian-Oliver ; Agarwal, Ankush. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00440-8.

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2023Trust, social capital, and the bond market benefits of ESG performance. (2023). Servaes, Henri ; Tamayo, Ane ; Lins, Karl V ; Amiraslani, Hami. In: Review of Accounting Studies. RePEc:spr:reaccs:v:28:y:2023:i:2:d:10.1007_s11142-021-09646-0.

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2023Does prior stock return correlation predict future stock return correlation?. (2023). Ross, Jonathan. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:9:d:10.1007_s43546-023-00551-z.

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2023The Canadian macroeconomy and the yield curve: an equilibrium‐based approach. (2007). Luger, Richard ; Garcia, René. In: Canadian Journal of Economics/Revue canadienne d'économique. RePEc:wly:canjec:v:40:y:2007:i:2:p:561-583.

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2023A Preferred?Habitat Model of the Term Structure of Interest Rates. (2021). Vayanos, Dimitri ; Vila, Jeanluc. In: Econometrica. RePEc:wly:emetrp:v:89:y:2021:i:1:p:77-112.

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2023The role of time?varying risk premia in international interbank markets. (2021). Karouzakis, Nikolaos. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5720-5745.

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2023Forecasting term structure of the Japanese bond yields in the presence of a liquidity trap. (2023). Zheng, Zhongxi ; Zhang, Zhaoyong ; Wu, Junxiang ; Tsui, Albert K. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:5:p:1205-1227.

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2023Unspanned macro risks in VIX futures. (2023). Yang, Xinglin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1305-1328.

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2023Accounting for a Shift in Term Structure Behavior with No‐Arbitrage and Macro‐Finance Models. (2007). Rudebusch, Glenn ; Wu, Tao. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:39:y:2007:i:2-3:p:395-422.

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2023Money Illusion and TIPS Demand. (2023). Tarelli, Andrea ; Lioui, Abraham. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:55:y:2023:i:1:p:171-214.

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2023Pricing the Bund term structure with linear regressions – without an observable short rate. (2023). Speck, Christian. In: Discussion Papers. RePEc:zbw:bubdps:082023.

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2023How should the long-term investor harvest variance risk premiums?. (2023). Korn, Olaf ; Dorries, Julian ; Power, Gabriel J. In: CFR Working Papers. RePEc:zbw:cfrwps:279557.

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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]		article111
1994Idiosyncratic variation of Treasury bill yields.(1994) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has nother version. Agregated cites: 111		paper
2002Term Premia and Interest Rate Forecasts in Affine Models In: Journal of Finance.
[Full Text][Citation analysis]		article712
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: 712		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]		article35
1999Credit Derivatives in Banking: Useful Tools for Managing Risk? In: Research Program in Finance, Working Paper Series.
[Full Text][Citation analysis]		paper126
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: 126		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: 126		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: 126		paper
2013Forecasting Interest Rates In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]		chapter33
2012Forecasting interest rates.(2012) In: Economics Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2013Bond Pricing and the Macroeconomy In: Handbook of the Economics of Finance.
[Full Text][Citation analysis]		chapter38
2012Bond pricing and the macroeconomy.(2012) In: Economics Working Paper Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		paper
1996On measuring credit risks of derivative instruments In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article17
1994On measuring credit risks of derivative instruments.(1994) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has nother version. Agregated cites: 17		paper
1995Stock returns and volatility A firm-level analysis In: Journal of Financial Economics.
[Full Text][Citation analysis]		article142
2006Term structure estimation without using latent factors In: Journal of Financial Economics.
[Full Text][Citation analysis]		article30
2005Term structure estimation without using latent factors.(2005) In: Computing in Economics and Finance 2005.
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This paper has nother version. Agregated cites: 30		paper
2009Moral hazard and adverse selection in the originate-to-distribute model of bank credit In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article3
1996Whats good for GM...? Using auto industry stock returns to forecast business cycles and test the Q-theory of investment In: Working Papers.
[Full Text][Citation analysis]		paper2
2019Whats Good for GM...? Using Auto Industry Stock Returns to Forecast Business Cycles and Test the Q-Theory of Investment.(2019) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
1996Whats good for GM...? Using auto industry stock returns to forecast business cycles and test the Q-theory of investment.(1996) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2001Asymmetric cross-sectional dispersion in stock returns: evidence and implications In: Working Paper Series.
[Full Text][Citation analysis]		paper11
1990A primer on program trading and stock price volatility: a survey of the issues and the evidence In: Finance and Economics Discussion Series.
[Citation analysis]		paper2
1990The importance of market psychology in the determination of stock market volatility In: Finance and Economics Discussion Series.
[Citation analysis]		paper0
1990A securities transactions tax: beyond the rhetoric, what can we really say? In: Finance and Economics Discussion Series.
[Citation analysis]		paper2
1991A new test for mean reversion in stock prices In: Finance and Economics Discussion Series.
[Citation analysis]		paper0
1992Reexamining the relationship between stock returns and stock return volatility In: Finance and Economics Discussion Series.
[Citation analysis]		paper0
1992Trading volume and return reversals In: Finance and Economics Discussion Series.
[Citation analysis]		paper7
2019Treasury Yields and Corporate Bond Yield Spreads: An Empirical Analysis In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper14
1996Treasury yields and corporate bond yield spreads: an empirical analysis.(1996) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2019Estimating the Price of Default Risk In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper259
1996Estimating the price of default risk.(1996) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 259		paper
1999Estimating the Price of Default Risk..(1999) In: The Review of Financial Studies.
[Citation analysis]
This paper has nother version. Agregated cites: 259		article
1995The variation of default risk with Treasury yields In: Proceedings.
[Citation analysis]		article3
1996Rethinking risk management for banks: lessons from credit derivatives In: Proceedings.
[Citation analysis]		paper1
2010Sharpe ratios in term structure models In: Economics Working Paper Archive.
[Full Text][Citation analysis]		paper39
2011Forecasting with the term structure: The role of no-arbitrage restrictions In: Economics Working Paper Archive.
[Full Text][Citation analysis]		paper55
2011Information in (and not in) the term structure In: Economics Working Paper Archive.
[Full Text][Citation analysis]		paper158
2011Information in (and not in) the Term Structure.(2011) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 158		article
2008Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article11
1996Banks and Credit Derivatives: Is It Always Good to Have More Risk Management Tools? In: Center for Financial Institutions Working Papers.
[Citation analysis]		paper1
2012Estimation of Dynamic Term Structure Models In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]		article34

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