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Details about Pierluigi Balduzzi

Homepage:http://www2.bc.edu/~balduzzp
Workplace:Center for Retirement Research (CRR), Boston College, (more information at EDIRC)
Finance Department, Wallace E. Carroll School of Management, Boston College, (more information at EDIRC)

Access statistics for papers by Pierluigi Balduzzi.

Last updated 2012-02-18. Update your information in the RePEc Author Service.

Short-id: pba469


Jump to Journal Articles

Working Papers

2005

  1. Asset-pricing models and economic risk premia: a decomposition
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (4)
    See also Journal Article in Journal of Empirical Finance (2010)
  2. Mimicking portfolios, economic risk premia, and tests of multi-beta models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (9)
    See also Journal Article in Journal of Business & Economic Statistics (2008)

2001

  1. Minimum-variance kernels, economic risk premia, and tests of multi-beta models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (6)

1999

  1. Minimum-Variance Kernels and Economic Risk Premia
    Computing in Economics and Finance 1999, Society for Computational Economics Downloads View citations (3)

1998

  1. Predictability and Transaction Costs: The Impact on Rebalancing Rules and Behavior
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (4)
    See also Journal Article in Journal of Finance (2000)

1997

  1. Economic News and the Yield Curve: Evidence from the U.S. Treasury Market
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (74)
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1996) View citations (2)
  2. Interest Rate Targeting and the Dynamics of Short-Term Rates
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)
    See also Journal Article in Journal of Money, Credit and Banking (1998)
  3. The Central Tendency: A Second Factor in Bond Yields
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1996) View citations (1)

    See also Journal Article in The Review of Economics and Statistics (1998)

1996

  1. "Price Barriers" and the Dynamics of Asset Prices in Equilibrium
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (1)
    See also Journal Article in Journal of Financial and Quantitative Analysis (1997)

1993

  1. A Model of Target Changes and the Term Structure of Interest Rates
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)
    See also Journal Article in Journal of Monetary Economics (1997)
  2. Non-linearities in Asset Prices and Infrequent Noise Trading
    CEPR Financial Markets Paper, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 33 Great Sutton Street, London EC1V 0DX.
    Also in Working Papers, Princeton, Department of Economics - Financial Research Center (1992)

1990

  1. STOCK RETURNS AND INFLATION: SOME EMPIRICAL EVIDENCE
    Working Papers, California Los Angeles - Applied Econometrics

Journal Articles

2010

  1. Asset pricing models and economic risk premia: A decomposition
    Journal of Empirical Finance, 2010, 17, (1), 54-80 Downloads View citations (2)
    See also Working Paper (2005)

2008

  1. Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models
    Journal of Business & Economic Statistics, 2008, 26, 354-368 Downloads View citations (13)
    See also Working Paper (2005)

2007

  1. Money and asset prices in a continuous-time Lucas and Stokey cash-in-advance economy
    Journal of Economic Dynamics and Control, 2007, 31, (8), 2713-2743 Downloads View citations (2)
  2. Testing heterogeneous-agent models: an alternative aggregation approach
    Journal of Monetary Economics, 2007, 54, (2), 369-412 Downloads View citations (18)

2003

  1. Portfolio Choice and Trading in a Large 401(k) Plan
    American Economic Review, 2003, 93, (1), 193-215 Downloads View citations (165)

2001

  1. Economic News and Bond Prices: Evidence from the U.S. Treasury Market
    Journal of Financial and Quantitative Analysis, 2001, 36, (04), 523-543 Downloads View citations (254)

2000

  1. Predictability and Transaction Costs: The Impact on Rebalancing Rules and Behavior
    Journal of Finance, 2000, 55, (5), 2285-2309 Downloads View citations (37)
    See also Working Paper (1998)

1999

  1. Transaction costs and predictability: some utility cost calculations
    Journal of Financial Economics, 1999, 52, (1), 47-78 Downloads View citations (143)

1998

  1. Interest Rate Targeting and the Dynamics of Short-Term Rates
    Journal of Money, Credit and Banking, 1998, 30, (1), 26-50 View citations (41)
    See also Working Paper (1997)
  2. The Central Tendency: A Second Factor In Bond Yields
    The Review of Economics and Statistics, 1998, 80, (1), 62-72 Downloads View citations (63)
    See also Working Paper (1997)

1997

  1. A model of target changes and the term structure of interest rates
    Journal of Monetary Economics, 1997, 39, (2), 223-249 Downloads View citations (84)
    See also Working Paper (1993)
  2. Price Barriers and the Dynamics of Asset Prices in Equilibrium
    Journal of Financial and Quantitative Analysis, 1997, 32, (02), 137-159 Downloads View citations (8)
    See also Working Paper (1996)
  3. Risk Premia and Variance Bounds
    Journal of Finance, 1997, 52, (5), 1913-49 Downloads View citations (17)
  4. Yield-curve movements and fiscal retrenchments
    European Economic Review, 1997, 41, (9), 1675-1685 Downloads View citations (5)

1996

  1. Inflation and asset prices in a monetary economy
    Economics Letters, 1996, 53, (1), 67-74 Downloads View citations (2)
  2. Minimal returns and the breakdown of the price-volume relation
    Economics Letters, 1996, 50, (2), 265-269 Downloads View citations (6)
  3. Money, transactions and portfolio choice
    Ricerche Economiche, 1996, 50, (1), 57-68 Downloads

1995

  1. Asset Price Dynamics and Infrequent Feedback Trades
    Journal of Finance, 1995, 50, (5), 1747-66 Downloads View citations (11)
  2. Stock returns, inflation, and the 'proxy hypothesis': A new look at the data
    Economics Letters, 1995, 48, (1), 47-53 Downloads View citations (17)
 
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