Hanno Lustig : Citation Profile

University of California-Los Angeles (UCLA) (50% share)
National Bureau of Economic Research (NBER) (50% share)

24

H index

42

i10 index

3453

Citations

RESEARCH PRODUCTION:

17

Articles

92

Papers

2

Chapters

RESEARCH ACTIVITY:

   36 years (1990 - 2026). See details.
   Cites by year: 95
   Journals where Hanno Lustig has often published
   Relations with other researchers
   Recent citing documents: 222.    Total self citations: 38 (1.09 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/plu17
   Updated: 2026-06-06    RAS profile: 2025-04-24    
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Relations with other researchers

Works with:

Van Nieuwerburgh, Stijn (6)

Xiaolan, Mindy (5)

KRISHNAMURTHY, ARVIND (3)

Chien, YiLi (2)

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

Is cited by:

Sarno, Lucio (64)

Van Nieuwerburgh, Stijn (44)

Nitschka, Thomas (43)

Coeurdacier, Nicolas (41)

Schrimpf, Andreas (39)

Weber, Michael (35)

Sakemoto, Ryuta (34)

Chien, YiLi (30)

Chernov, Mikhail (30)

Maggiori, Matteo (29)

Schmeling, Maik (29)

Cites to:

Campbell, John (123)

Cochrane, John (47)

Hansen, Lars (40)

Verdelhan, Adrien (33)

Jermann, Urban (30)

Alvarez, Fernando (30)

Gabaix, Xavier (29)

Lettau, Martin (29)

Kehoe, Patrick (28)

Lucas, Robert (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
Journal of the European Economic Association2
Review of Economic Dynamics2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc51
Boston University - Department of Economics - Working Papers Series / Boston University - Department of Economics4
CEPR Discussion Papers / Centre for Economic Policy Research4
2004 Meeting Papers / Society for Economic Dynamics3
GSIA Working Papers / Carnegie Mellon University, Tepper School of Business2
2008 Meeting Papers / Society for Economic Dynamics2
2011 Meeting Papers / Society for Economic Dynamics2
Working Papers / Federal Reserve Bank of St. Louis2

Recent works citing Hanno Lustig (2026 and 2025)

YearTitle of citing document
2025Internationalizing Like China. (2025). Maggiori, Matteo ; Schreger, Jesse ; Santos, Amanda Dos ; Clayton, Christopher. In: American Economic Review. RePEc:aea:aecrev:v:115:y:2025:i:3:p:864-902.

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2025The Decline of Too Big to Fail. (2025). Duffie, Darrell ; Zhu, Yichao ; Berndt, Antje. In: American Economic Review. RePEc:aea:aecrev:v:115:y:2025:i:3:p:945-74.

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2025Reconstructing firm-level input-output networks from partial information. (2025). Bacilieri, Andrea ; Astudillo-Estvez, Pablo. In: INET Oxford Working Papers. RePEc:amz:wpaper:2023-05.

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2025Firm-level production networks: what do we (really) know?. (2025). Lafond, François ; Hoefer, Mads ; Borsos, Andrs ; Bacilieri, Andrea ; Astudillo-Estvez, Pablo. In: INET Oxford Working Papers. RePEc:amz:wpaper:2025-14.

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2025Inelastic Demand Meets Optimal Supply of Risky Sovereign Bonds. (2025). Williams, Tomas ; Schmukler, Sergio ; Pandolfi, Lorenzo ; Villegas-Bauer, German ; Moretti, Matias. In: Mo.Fi.R. Working Papers. RePEc:anc:wmofir:192.

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2026Currency Network Risk. (2021). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2101.09738.

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2026Common Idiosyncratic Quantile Risk. (2024). Baruník, Jozef ; Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2025SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: Papers. RePEc:arx:papers:2401.06249.

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2025The Dynamic, the Static, and the Weak factor models and the analysis of high-dimensional time series. (2025). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2407.10653.

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2025Estimating Spillovers from Sampled Connections. (2024). Marray, Kieran. In: Papers. RePEc:arx:papers:2410.17154.

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2026Quasi maximum likelihood estimation of high-dimensional approximate dynamic matrix factor models via the EM algorithm. (2025). Barigozzi, Matteo ; Trapin, Luca. In: Papers. RePEc:arx:papers:2502.04112.

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2025Time-Varying Factor-Augmented Models for Volatility Forecasting. (2025). Chen, Elynn ; Mo, Junyi ; Li, Jiayu ; Zhang, Duo. In: Papers. RePEc:arx:papers:2508.01880.

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2026Deep Learning in the Sequence Space. (2025). Vzemlivcka, Jan ; Azinovic-Yang, Marlon. In: Papers. RePEc:arx:papers:2509.13623.

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2026Beyond Carr Madan: A Projection Approach to Risk-Neutral Moment Estimation. (2026). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2601.14852.

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2026A stochastic SIR model for cyber contagion: application to granular growth of firms and to insurance portfolio. (2026). Sopgoui, Lionel ; Lopez, Olivier ; Hillairet, Caroline. In: Papers. RePEc:arx:papers:2603.15369.

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2026Risk Capacity and Optimal Monetary Policy. (2026). Sun, Rui. In: Papers. RePEc:arx:papers:2603.21044.

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2026The Co-Pricing Factor Zoo. (2026). Mueller, Philippe ; Julliard, Christian ; Dickerson, Alexander. In: Papers. RePEc:arx:papers:2604.04430.

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2026Interpretable Systematic Risk around the Clock. (2026). He, Songrun. In: Papers. RePEc:arx:papers:2604.13458.

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2025Demand-Driven Risk Premia in Foreign Exchange and Bond Markets. (2025). Yang, Jun ; Uthemann, Andreas ; Vala, Rishi ; Krohn, Ingomar. In: Staff Working Papers. RePEc:bca:bocawp:25-29.

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2025Money Talks: Transaction Costs, the Value of Convenience, and the Cross-Section of Safe Asset Returns. (2025). Nenov, Plamen ; Schneider, Fabienne ; Syrstad, Olav ; Juelsrud, Ragnar. In: Staff Working Papers. RePEc:bca:bocawp:25-34.

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2024Housing and Fertility. (2024). Van Doornik, Bernardus ; Ramadorai, Tarun ; Skrastins, Janis ; Fazio, Dimas. In: Working Papers Series. RePEc:bcb:wpaper:612.

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2025Capital Inflow Shocks and Convenience Yields. (2025). ben Zeev, Nadav ; Nathan, Daniel ; Ben-Zeev, Noam. In: Working Papers. RePEc:bgu:wpaper:2503.

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2026Financial stability limits on fiscal space. (2026). Zampolli, Fabrizio. In: BIS Working Papers. RePEc:bis:biswps:1339.

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2024The impact of organisation capital on inventory efficiency. (2024). Li, Tongxia ; Lu, Chun ; Xu, Lei. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:4:p:3751-3779.

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2024Aggregate uncertainty, information acquisition, and analyst stock recommendations. (2024). Welagedara, Venura ; Singh, Harminder. In: International Review of Finance. RePEc:bla:irvfin:v:24:y:2024:i:4:p:604-640.

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2024Countercyclical Income Risk and Portfolio Choices: Evidence from Sweden. (2024). Zhang, Yapei ; Sodini, Paolo ; Catherine, Sylvain. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:1755-1788.

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2024Modeling Conditional Factor Risk Premia Implied by Index Option Returns. (2024). Orowski, Piotr ; Jacobs, Kris ; Fournier, Mathieu. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:2289-2338.

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2026Sub-Gaussian Estimation of the Scatter Matrix in Ultra-High Dimensional Elliptical Factor Models with 2 + eth Moment. (2025). Zheng, Xinghua ; Ding, YI. In: Working Papers. RePEc:boa:wpaper:202529.

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2026Tails of Cross-Sectional Return Distributions at High Frequencies. (2025). Todorov, Viktor ; Ding, YI ; Andersen, Torben G. In: Working Papers. RePEc:boa:wpaper:202530.

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2025May Tax Evasion Help Control Public Debt?. (2025). LEVAGGI, ROSELLA ; Menoncin, Francesco ; Modena, Andrea. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2025_623.

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2025When Does Household Heterogeneity Matter for Aggregate Fluctuations?. (2025). Gong, Zheng. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2025_624v2.

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2025Dominant Currency Pricing and Currency Risk Premia. (2025). Ozhan, Galip Kemal ; Dalgic, Husnu C. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2025_717.

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2025When Is Liquidity Bad?. (2025). Dalgic, Husnu C. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2025_723.

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2024Dynamic Equity Slope. (2024). Colonnello, Stefano ; Marfe, Roberto ; Breugem, Matthijs ; Zucchi, Francesca. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:713.

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2026Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle? Redux. (2026). Singh, Sanjay ; Marin, Emile A ; Kozliakov, Gleb. In: Working Papers. RePEc:cda:wpaper:377.

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2025Deep Learning in the Sequence Space. (2025). Zemlicka, Jan ; Azinovic-Yang, Marlon. In: CERGE-EI Working Papers. RePEc:cer:papers:wp802.

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2024Interest Rate Risk in Banking. (2024). Nagel, Stefan ; Krishnamurthy, Arvind ; Demarzo, Peter. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11581.

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2025An In-Sample Evaluation of Exchange Rate Models: In Search of Scapegoats. (2025). Cheung, Yin-Wong ; Westermann, Frank ; Wang, Wenhao. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11852.

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2024Government Debt Management and Inflation with Real and Nominal Bonds. (2024). Valaitis, Vytautas ; Schmid, Lukas ; Villa, Alessandro T. In: Discussion Papers. RePEc:cfm:wpaper:2413.

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

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2024Loan guarantee and portfolio greening: evidence from European credit registers. (2024). Reghezza, Alessio ; Perdichizzi, Salvatore ; Miquel-Flores, Ixart ; Buchetti, Bruno. 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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2025Falling interest rates and credit reallocation: lessons from general equilibrium. (2025). Martin, Alberto ; Asriyan, Vladimir ; Vanasco, Victoria ; van der Ghote, Alejandro ; Laeven, Luc. In: Working Paper Series. RePEc:ecb:ecbwps:20253070.

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2025Asset prices, wealth inequality, and welfare: safe assets as a solution. (2025). Hui, Xitong. In: Working Paper Series. RePEc:ecb:ecbwps:20253162.

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2026Private money and public debt. U.S. Stablecoins and the global safe asset channel. (2026). Minesso, Massimo Ferrari ; Siena, Daniele. In: Working Paper Series. RePEc:ecb:ecbwps:20263174.

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2026Fiscal seigniorage and price level determination in a currency union. (2026). Schmidt, Sebastian. In: Working Paper Series. RePEc:ecb:ecbwps:20263183.

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2025Trade policy uncertainty and market diversification by risk-averse firms. (2025). Zhu, Ting ; Wang, Zhihao ; Chen, Zhiyuan ; Gu, Kejian ; Tang, Ying. In: China Economic Review. RePEc:eee:chieco:v:91:y:2025:i:c:s1043951x25000586.

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2024Unveiling investors substitution behavior: Stock trading decisions in response to housing market dynamics. (2024). Lu, Yiqing ; Zhu, Ning ; Zhao, Bin. In: Journal of Corporate Finance. RePEc:eee:corfin:v:86:y:2024:i:c:s092911992400052x.

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2025Does government ownership differently impact expected left-tail and volatility risk of bank stock? Evidence from options market. (2025). Srivastava, Pranjal ; Saurav, Sumit ; Mishra, Abinash. In: Journal of Corporate Finance. RePEc:eee:corfin:v:94:y:2025:i:c:s0929119925001002.

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2024Nominal exchange rates and heterogeneous beliefs. (2024). Lu, Lei ; Jiao, Feng ; Croitoru, Benjamin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:166:y:2024:i:c:s0165188924000964.

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2025The stochastic implications of autonomous creation and destruction. (2025). Huffman, Gregory W. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:171:y:2025:i:c:s0165188924002148.

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2025Regime-specific exchange rate predictability. (2025). Beckmann, Joscha ; Kruse-Becher, Robinson ; Kerkemeier, Marco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:176:y:2025:i:c:s0165188925000612.

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2025Optimal N-state endogenous Markov-switching model for currency liquidity timing. (2025). Wang, Luqi ; Urga, Giovanni. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:177:y:2025:i:c:s0165188925001034.

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2025The impact of VAT input tax refund policy on firms’ labor income share: Evidence from China. (2025). Si, Deng-Kui ; Yang, Guang-Zhao. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:86:y:2025:i:c:p:2233-2246.

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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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2024The return on everything and the business cycle in production economies. (2024). Fehrle, Daniel ; Heiberger, Christopher. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324000981.

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2025Measuring the monetary services of US treasury securities. (2025). Keinsley, Andrew. In: Economic Modelling. RePEc:eee:ecmode:v:143:y:2025:i:c:s0264999324003043.

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2025Subjective income risk and precautionary saving. (2025). Tirelli, Mario ; Castaldo, Stefano. In: Economic Modelling. RePEc:eee:ecmode:v:143:y:2025:i:c:s0264999324003225.

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2025Housing rare disaster events and asset prices. (2025). Poncet, Patrice ; Chibane, Messaoud. In: Economic Modelling. RePEc:eee:ecmode:v:147:y:2025:i:c:s0264999325000653.

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2025Global financial risk and uncovered interest parity premia in Central and Eastern Europe. (2025). Janus, Jakub. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000732.

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2025Should economic theories guide the machine learning model in forecasting exchange rate?. (2025). Liu, Tao ; Vincent, Kendro ; Lin, Chien-Hsiu. In: Economic Modelling. RePEc:eee:ecmode:v:151:y:2025:i:c:s0264999325002196.

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2025Does the supply network shape the firm size distribution? The Japanese case. (2025). Di Guilmi, Corrado ; Fujiwara, Yoshi. In: Economic Modelling. RePEc:eee:ecmode:v:152:y:2025:i:c:s0264999325002330.

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2025Liquidity returns, global risk, and exchange rates: An explanation based on scapegoat theory. (2025). Park, Cheolbeom. In: Economic Modelling. RePEc:eee:ecmode:v:153:y:2025:i:c:s0264999325003426.

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2025Common risk factors in REIT Returns: New insights. (2025). Con, Alain ; Guardiola, Philippe. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825000877.

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2025Managing government debt, taxes and public investment. (2025). Yang, Jinqiang ; Peng, Juan ; Zhang, Zhanhao ; Tang, Zian. In: Economics Letters. RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176525000291.

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2025Spanning latent and observable factors. (2025). Gagliardini, P ; Ghysels, E ; Rubin, M ; Andreou, E. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624000897.

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2025Multiplicative factor model for volatility. (2025). Engle, Robert ; Ding, Yi ; Zheng, Xinghua ; Li, Yingying. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000132.

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2025Cross-sectional dependence in idiosyncratic volatility. (2025). Kalnina, Ilze ; Tewou, Kokouvi. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000570.

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2025Factor and idiosyncratic VAR volatility matrix models for heavy-tailed high-frequency financial observations. (2025). Wang, Yazhen ; Shin, Minseok ; Fan, Jianqing ; Kim, Donggyu. In: Journal of Econometrics. RePEc:eee:econom:v:252:y:2025:i:pa:s0304407625001836.

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2025Convenient but risky government bonds. (2025). Kaldorf, Matthias ; Rttger, Joost. In: European Economic Review. RePEc:eee:eecrev:v:180:y:2025:i:c:s0014292125002028.

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2025Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects. (2025). Cheng, Mingmian ; Luo, Jiawen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:80:y:2025:i:c:s0927539824001099.

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2025On the profitability of influential carry-trade strategies: Data-snooping bias and post-publication performance. (2025). Taylor, Mark ; HSU, Po-Hsuan ; Wang, Zigan ; Li, Yan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:83:y:2025:i:c:s0927539825000623.

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2025The stock return predictability of treasury bond yield in China. (2025). Xiong, Xiong ; Zhang, Han ; Guo, Bin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:84:y:2025:i:c:s0927539825000763.

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2025Optimal path of Chinas economic structure and energy demand to carbon neutrality. (2025). Wang, Fangzhi ; Liao, Hua ; Peng, Ying ; Ye, Huiying. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324007552.

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2025Have the Chinese crude oil futures prices made a progress towards becoming the regional oil pricing benchmark? Empirical analysis from the asset pricing perspective. (2025). Xu, Zhiwei ; Zhang, Teng ; Gou, Xinyi. In: Energy Economics. RePEc:eee:eneeco:v:145:y:2025:i:c:s0140988325002336.

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2025The world’s first global safe asset: British public debt, 1718-1913. (2025). Mathy, Gabriel ; Gomez-Gonzalez, Patricia. In: Explorations in Economic History. RePEc:eee:exehis:v:97:y:2025:i:c:s0014498325000269.

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2025The informational role of forex option volume. (2025). Wang, Muhan ; Stan, Raluca ; Papakroni, Erlina ; Gu, Chen ; Chen, Denghui ; Bao, Kun. In: International Review of Financial Analysis. RePEc:eee:finana:v:100:y:2025:i:c:s1057521925000651.

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2025Local government debt and corporate labor decisions: Evidence from China. (2025). Lin, QI ; Chan, Kam C ; Zhang, Guanglong. In: International Review of Financial Analysis. RePEc:eee:finana:v:106:y:2025:i:c:s1057521925006210.

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2025Multiscale dynamic linkages of Chinas financial markets under exchange rate shocks: An MJMD approach. (2025). Jiang, Yuanyuan ; Sun, Yadong ; Gao, Wang ; Liu, Mengyue ; Wei, Jiajia. In: International Review of Financial Analysis. RePEc:eee:finana:v:108:y:2025:i:pa:s1057521925007628.

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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 ; Palwishah, Rana ; Kashif, Muhammad ; Ur, Mobeen. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004350.

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2024Reforming the Eurozone financial system: A system-dynamics approach. (2024). van Egmond, N D ; de Vries, B. J. M., . In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001248.

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2024From macro to micro: Sparse macroeconomic risks and the cross-section of stock returns. (2024). Zhu, Lin ; Tang, Guohao ; Jiang, Fuwei ; Jin, Fujing. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s105752192400365x.

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2025Conditional currency momentum portfolios. (2025). Sakemoto, Ryuta ; Iwanaga, Yasuhiro. In: International Review of Financial Analysis. RePEc:eee:finana:v:99:y:2025:i:c:s1057521925000511.

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2024The impact of bank fintech on ESG greenwashing. (2024). Liu, Zhuang. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pb:s1544612324002290.

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2025Are cryptocurrencies priced in the cross-section? A portfolio approach. (2025). Ekponon, Adelphe ; Assamoi, Vincent K ; Guo, Zihan. In: Finance Research Letters. RePEc:eee:finlet:v:71:y:2025:i:c:s1544612324014661.

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2025Trade policy uncertainty, shipping risk, and commodity markets. (2025). Shang, Mengya ; Zhang, Lin ; Duan, Hongcheng ; Wang, Lizhi ; Xiao, Nanyun. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324016337.

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2025A profitable currency portfolio strategy: Learning from connectedness. (2025). Zhang, Qingyi ; Liu, Ruiqi ; Hong, Ziyi ; Cai, Feifei ; Wang, Wenhao. In: Finance Research Letters. RePEc:eee:finlet:v:76:y:2025:i:c:s1544612325002168.

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2025Twitter-based economic uncertainty and corporate bond credit spreads. (2025). Colak, Gonul ; Malik, Ali K. In: Finance Research Letters. RePEc:eee:finlet:v:85:y:2025:i:pe:s1544612325015211.

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2025A unified factor model for emerging market currency comovements. (2025). Ling, Yufan. In: Finance Research Letters. RePEc:eee:finlet:v:86:y:2025:i:pg:s1544612325022135.

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2024Do repeated government infusions help financial stability? Evidence from an emerging market. (2024). Morohunfolu, Olaleye ; Kalimipalli, Madhu ; Ramachandran, Shankar. In: Journal of Financial Stability. RePEc:eee:finsta:v:75:y:2024:i:c:s1572308924001190.

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2025Not just the news: Higher moments of macroeconomic variables and sovereign bond returns. (2025). Wang, Zijun ; Wald, John K ; Li, Yulin. In: Global Finance Journal. RePEc:eee:glofin:v:66:y:2025:i:c:s1044028325000407.

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2025Mean-variance optimization and the cross-section of stock returns. (2025). Lalwani, Vaibhav. In: Global Finance Journal. RePEc:eee:glofin:v:66:y:2025:i:c:s1044028325000572.

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2025How resilient are PE/VC returns to real shocks?. (2025). Masih, Rumi ; Mi, Michelle Xuan. In: Global Finance Journal. RePEc:eee:glofin:v:68:y:2025:i:c:s1044028325001334.

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2025An intertemporal international asset pricing model: Theory and evidence. (2025). Jacoby, Gady ; Liao, Rose C ; Wang, Yan ; Wu, Zhenyu. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:102:y:2025:i:c:s1042443125000526.

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2025The role of US bank liquidity and regulations in Covered Interest Parity deviations. (2025). Winkelried, Diego ; Terrones, Marco ; Ortiz, Marco ; Bazn-Palomino, Walter. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:102:y:2025:i:c:s1042443125000630.

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2025Risk and return spillovers among developed and emerging market currencies. (2025). Steenkamp, Daan ; Greenwood-Nimmo, Matthew ; van Jaarsveld, Rossouw. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:98:y:2025:i:c:s1042443124001525.

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2025Extractive institutions and banks’ implicit subsidies. (2025). Schiozer, Rafael. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:99:y:2025:i:c:s1042443125000095.

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2025Forecasting realized volatility with spillover effects: Perspectives from graph neural networks. (2025). Cucuringu, Mihai ; Dong, Xiaowen ; Zhang, Chao ; Pu, Xingyue. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:377-397.

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2025SpotV2Net: Multivariate intraday spot volatility forecasting via vol-of-vol-informed graph attention networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1093-1111.

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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.
[Full Text][Citation analysis]		article34
2008The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		paper
2012Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing? In: American Economic Review.
[Full Text][Citation analysis]		article64
2009Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing?.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 64		paper
2007The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk In: American Economic Review.
[Full Text][Citation analysis]		article443
2006The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk..(2006) In: Working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 443		paper
2005THE CROSS-SECTION OF FOREIGN CURRENCY RISK PREMIA AND CONSUMPTION GROWTH RISK.(2005) In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]
This paper has nother version. Agregated cites: 443		paper
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: 443		paper
2004The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk.(2004) In: 2004 Meeting Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 443		paper
2012How Does the US Government Finance Fiscal Shocks? In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article33
1990How does the U.S. government finance fiscal shocks?.(1990) In: GSIA Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2010How Does the U.S. Government Finance Fiscal Shocks?.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2005Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective In: Journal of Finance.
[Full Text][Citation analysis]		article294
2003Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective.(2003) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 294		paper
2005Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution. In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]		paper19
2006Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution.(2006) In: Journal of the European Economic Association.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		article
2007The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models¤ In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]		paper20
The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models.() In: UCLA Economics Online Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2007The Wealth-Consumption Ratio: A Litmus Test for Consumption-Based Asset Pricing Models.(2007) In: 2007 Meeting Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2004The Market Price of Aggregate Risk and the Wealth Distribution In: UCLA Economics Online Papers.
[Full Text][Citation analysis]		paper116
2005The Market Price of Aggregate Risk and the Wealth Distribution.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 116		paper
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: 116		article
2001The Market Price of Aggregate Risk and the Wealth Distribution.(2001) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 116		paper
2004Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective (joint with Stijn Van Nieuwerburgh), forthcoming Journal of Finance In: UCLA Economics Online Papers.
[Full Text][Citation analysis]		paper2
2004How much Does Household Collateral Constrain Regional Risk Sharing? (joint with Stijn Van Nieuwerburgh) (updated February 2006) In: UCLA Economics Online Papers.
[Full Text][Citation analysis]		paper0
2004The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk (joint with Adrien Verdelhan)(updated February 2006) In: UCLA Economics Online Papers.
[Full Text][Citation analysis]		paper0
2004Can Housing Collateral Explain Long-Run Swings in Asset Returns? (joint with Stijn Van Nieuwerburgh) In: UCLA Economics Online Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper11
2005Fiscal Hedging and the Yield Curve(joint with Chris Sleet, CMU, and Sevin Yeltekin (CMU)) In: UCLA Economics Online Papers.
[Full Text][Citation analysis]		paper0
2005Does the US government Hedge against Defense Expenditure Risk? (joint with Chris Sleet and Sevin Yeltekin) In: UCLA Economics Online Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper0
When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (joint with Dirk Krueger, UPenn) In: UCLA Economics Online Papers.
[Full Text][Citation analysis]		paper0
Exploring the Link between Housing and the Value Premium (joint with Stijn Van Nieuwerburgh) In: UCLA Economics Online Papers.
[Full Text][Citation analysis]		paper0
Macro Implications of Household Finance (joint with YiLi Chien and Harold Cole ) In: UCLA Economics Online Papers.
[Full Text][Citation analysis]		paper0
Fiscal Hedging with Nominal Assets In: GSIA Working Papers.
[Full Text][Citation analysis]		paper63
2008Fiscal hedging with nominal assets.(2008) In: Journal of Monetary Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 63		article
2006The Irrelevance of Market Incompleteness for the Price of Aggregate Risk In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2012The Wealth-Consumption Ratio In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper65
2008The Wealth-Consumption Ratio.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65		paper
2012Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper140
2011Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 140		paper
2011Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees.(2011) In: 2011 Meeting Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 140		paper
2012The Cross-Section and Time-Series of Stock and Bond Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper97
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: 97		paper
2010When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)? In: Journal of Economic Theory.
[Full Text][Citation analysis]		article76
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: 76		paper
2011Technological change and the growing inequality in managerial compensation In: Journal of Financial Economics.
[Full Text][Citation analysis]		article52
2009Technological Change and the Growing Inequality in Managerial Compensation.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 52		paper
2014Implications of heterogeneity in preferences, beliefs and asset trading technologies for the macroeconomy In: Working Papers.
[Full Text][Citation analysis]		paper0
2014Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy.(2014) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2015Why Are Exchange Rates So Smooth? A Household Finance Explanation In: Working Papers.
[Full Text][Citation analysis]		paper11
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: 11		paper
2026What About Japan? In: NBER Chapters.
[Full Text][Citation analysis]		chapter1
2023What about Japan?.(2023) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2009Comment on Carry Trades and Currency Crashes In: NBER Chapters.
[Full Text][Citation analysis]		chapter1
2004How Much Does Household Collateral Constrain Regional Risk Sharing? In: NBER Working Papers.
[Full Text][Citation analysis]		paper82
2010How Much Does Household Collateral Constrain Regional Risk Sharing?.(2010) In: Review of Economic Dynamics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 82		article
2004A Theory of Housing Collateral, Consumption Insurance and Risk Premia In: NBER Working Papers.
[Full Text][Citation analysis]		paper15
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]		paper95
2008The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street.(2008) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 95		article
2005Fiscal Hedging and the Yield Curve In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
2006Can Housing Collateral Explain Long-Run Swings in Asset Returns? In: NBER Working Papers.
[Full Text][Citation analysis]		paper25
2007A Multiplier Approach to Understanding the Macro Implications of Household Finance In: NBER Working Papers.
[Full Text][Citation analysis]		paper81
2011A Multiplier Approach to Understanding the Macro Implications of Household Finance.(2011) In: The Review of Economic Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 81		article
2007Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data In: NBER Working Papers.
[Full Text][Citation analysis]		paper13
2008Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data.(2008) In: Journal of the European Economic Association.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
2008Common Risk Factors in Currency Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper580
2011Common Risk Factors in Currency Markets.(2011) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 580		article
2008Common Risk Factors in Currency Markets.(2008) In: 2008 Meeting Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 580		paper
2010Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle In: NBER Working Papers.
[Full Text][Citation analysis]		paper24
2011Why Does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle.(2011) In: 2011 Meeting Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 24		paper
2010Countercyclical Currency Risk Premia In: NBER Working Papers.
[Full Text][Citation analysis]		paper178
2010Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation In: NBER Working Papers.
[Full Text][Citation analysis]		paper16
2013Deflation Risk In: NBER Working Papers.
[Full Text][Citation analysis]		paper6
2013Firm Volatility in Granular Networks In: NBER Working Papers.
[Full Text][Citation analysis]		paper145
2013The Term Structure of Currency Carry Trade Risk Premia In: NBER Working Papers.
[Full Text][Citation analysis]		paper16
2014The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications In: NBER Working Papers.
[Full Text][Citation analysis]		paper180
2016Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates? In: NBER Working Papers.
[Full Text][Citation analysis]		paper9
2016Equity is Cheap for Large Financial Institutions: The International Evidence In: NBER Working Papers.
[Full Text][Citation analysis]		paper10
2016Capital Share Dynamics When Firms Insure Workers In: NBER Working Papers.
[Full Text][Citation analysis]		paper42
2017Complex Asset Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
2017Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates In: NBER Working Papers.
[Full Text][Citation analysis]		paper6
2018Foreign Safe Asset Demand and the Dollar Exchange Rate In: NBER Working Papers.
[Full Text][Citation analysis]		paper136
2018Post-FOMC Announcement Drift in U.S. Bond Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper24
2019The U.S. Public Debt Valuation Puzzle In: NBER Working Papers.
[Full Text][Citation analysis]		paper19
2020Spending Less After (Seemingly) Bad News In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2020Dollar Safety and the Global Financial Cycle In: NBER Working Papers.
[Full Text][Citation analysis]		paper35
2020Manufacturing Risk-free Government Debt In: NBER Working Papers.
[Full Text][Citation analysis]		paper8
2021Financial and Total Wealth Inequality with Declining Interest Rates In: NBER Working Papers.
[Full Text][Citation analysis]		paper18
2021What Drives Variation in the U.S. Debt/Output Ratio? The Dogs that Didnt Bark In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2022Measuring U.S. Fiscal Capacity using Discounted Cash Flow Analysis In: NBER Working Papers.
[Full Text][Citation analysis]		paper2
2022Exorbitant Privilege Gained and Lost: Fiscal Implications In: NBER Working Papers.
[Full Text][Citation analysis]		paper8
2022The Rest of the World’s Dollar-Weighted Return on U.S. Treasurys In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2023Implications of Asset Market Data for Equilibrium Models of Exchange Rates In: NBER Working Papers.
[Full Text][Citation analysis]		paper2
2024Convenience Yields and Exchange Rate Puzzles In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
2025Can Treasury Markets Add and Subtract? In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2025Fiscal Redistribution Risk in Treasury Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2025Bond Convenience Yields in the Eurozone Currency Union In: NBER Working Papers.
[Full Text][Citation analysis]		paper9
2025What Does It Take? Quantifying Cross-Country Transfers in the Eurozone In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2026Are Government Bonds Safe in Times of War and Pandemic? In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2016Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies in an Endowment Economy In: Review of Economic Dynamics.
[Full Text][Citation analysis]		article11
2004Does the US government hedge against government expenditure risk? In: 2004 Meeting Papers.
[Citation analysis]		paper6
2004Housing Collateral and Consumption Insurance Across US Regions In: 2004 Meeting Papers.
[Citation analysis]		paper11
2005The Returns on Human Wealth: Good News on Wall Street is Bad News on Main Street In: 2005 Meeting Papers.
[Full Text][Citation analysis]		paper21
2006Optimal Debt Maturity Management In: 2006 Meeting Papers.
[Citation analysis]		paper0
2008IT, Corporate Payouts, and the Growing Inequality in Managerial Compensation In: 2008 Meeting Papers.
[Full Text][Citation analysis]		paper6
2009The Bond Risk Premium and the Cross-Section of Equity Returns In: 2009 Meeting Papers.
[Full Text][Citation analysis]		paper0
2010Size Anomalies in US Bank Stock Returns: Your Tax Dollars at Work? In: 2010 Meeting Papers.
[Full Text][Citation analysis]		paper1
2002Housing Collateral, Consumption Insurance and Risk Premia In: Macroeconomics.
[Full Text][Citation analysis]		paper25

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated May, 3 2026. Contact: CitEc Team