EconPapers    
Economics at your fingertips  
 

Details about Luca Benzoni

E-mail:
Homepage:https://sites.google.com/site/lbenzonifrbchi/
Workplace:Federal Reserve Bank of Chicago, (more information at EDIRC)

Access statistics for papers by Luca Benzoni.

Last updated 2019-11-26. Update your information in the RePEc Author Service.

Short-id: pbe1008


Jump to Journal Articles

Working Papers

2019

  1. Asymmetric Information, Dynamic Debt Issuance, and the Term Structure of Credit Spreads
    Working Paper Series, Federal Reserve Bank of Chicago Downloads

2018

  1. Why Does the Yield-Curve Slope Predict Recessions?
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (1)
    See also Journal Article in Chicago Fed Letter (2018)

2017

  1. Estimating the Tax and Credit-Event Risk Components of Credit Spreads
    Working Paper Series, Federal Reserve Bank of Chicago Downloads
  2. Selecting Primal Innovations in DSGE models
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (1)
  3. The Interplay Between Financial Conditions and Monetary Policy Shocks
    2017 Meeting Papers, Society for Economic Dynamics Downloads
    Also in Working Paper Series, Federal Reserve Bank of Chicago (2016) Downloads View citations (1)

2015

  1. The Value and Risk of Human Capital
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (1)
    See also Journal Article in Annual Review of Financial Economics (2015)

2013

  1. Human Capital and Long-Run Labor Income Risk
    Working Paper Series, Federal Reserve Bank of Chicago Downloads

2012

  1. Core and 'Crust': Consumer Prices and the Term Structure of Interest Rates
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (10)
    Also in 2012 Meeting Papers, Society for Economic Dynamics (2012) Downloads View citations (4)
  2. Modeling credit contagion via the updating of fragile beliefs
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (4)
    See also Journal Article in Review of Financial Studies (2015)

2011

  1. Can standard preferences explain the prices of out-of-the-money S&P 500 put options?
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (8)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (3)

2010

  1. Explaining asset pricing puzzles associated with the 1987 market crash
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (6)
    See also Journal Article in Journal of Financial Economics (2011)
  2. Stochastic Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (55)
    Also in Working Paper Series, Federal Reserve Bank of Chicago (2009) Downloads View citations (1)

2008

  1. Realized volatility
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (31)

2007

  1. Conflict of interest and certification in the U.S. IPO market
    Working Paper Series, Federal Reserve Bank of Chicago Downloads
    See also Journal Article in Journal of Financial Intermediation (2010)
  2. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) Downloads View citations (1)
    Working Paper Series, Federal Reserve Bank of Chicago (2006) Downloads View citations (18)

    See also Journal Article in Journal of Finance (2010)
  3. Portfolio choice over the life-cycle when the stock and labor markets are cointegrated
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (120)
    See also Journal Article in Journal of Finance (2007)

2005

  1. Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (27)

2004

  1. Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (1)

2001

  1. An Empirical Investigation of Continuous-Time Equity Return Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)

Journal Articles

2018

  1. Why Does the Yield-Curve Slope Predict Recessions?
    Chicago Fed Letter, 2018 Downloads View citations (1)
    See also Working Paper (2018)

2015

  1. Modeling Credit Contagion via the Updating of Fragile Beliefs
    Review of Financial Studies, 2015, 28, (7), 1960-2008 Downloads View citations (21)
    See also Working Paper (2012)
  2. The Value and Risk of Human Capital
    Annual Review of Financial Economics, 2015, 7, (1), 179-200 Downloads View citations (1)
    See also Working Paper (2015)

2012

  1. No-arbitrage restrictions and the U.S. Treasury market
    Economic Perspectives, 2012, (qii), 55-74 Downloads View citations (3)

2011

  1. Explaining asset pricing puzzles associated with the 1987 market crash
    Journal of Financial Economics, 2011, 101, (3), 552-573 Downloads View citations (42)
    See also Working Paper (2010)

2010

  1. Conflict of interest and certification in the U.S. IPO market
    Journal of Financial Intermediation, 2010, 19, (2), 235-254 Downloads View citations (3)
    See also Working Paper (2007)
  2. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
    Journal of Finance, 2010, 65, (2), 603-653 Downloads View citations (25)
    See also Working Paper (2007)
  3. Lifecycle investment decisions and labor income risk
    FRBSF Economic Letter, 2010, (jul12) Downloads

2009

  1. Investing over the life cycle with long-run labor income risk
    Economic Perspectives, 2009, (qiii), 29-43 Downloads View citations (7)

2007

  1. Portfolio Choice over the Life‐Cycle when the Stock and Labor Markets Are Cointegrated
    Journal of Finance, 2007, 62, (5), 2123-2167 Downloads View citations (114)
    See also Working Paper (2007)
 
Page updated 2020-01-14