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Details about Greg Duffee

Homepage:http://www.econ.jhu.edu/People/duffee
Workplace:Department of Economics, Johns Hopkins University, (more information at EDIRC)

Access statistics for papers by Greg Duffee.

Last updated 2013-10-08. Update your information in the RePEc Author Service.

Short-id: pdu249


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Working Papers

2012

  1. Bond pricing and the macroeconomy
    Economics Working Paper Archive, The Johns Hopkins University,Department of Economics Downloads View citations (2)
  2. Forecasting interest rates
    Economics Working Paper Archive, The Johns Hopkins University,Department of Economics Downloads View citations (2)

2011

  1. Forecasting with the term structure: The role of no-arbitrage restrictions
    Economics Working Paper Archive, The Johns Hopkins University,Department of Economics Downloads View citations (38)
  2. Information in (and not in) the term structure
    Economics Working Paper Archive, The Johns Hopkins University,Department of Economics Downloads View citations (78)
    See also Journal Article in Review of Financial Studies (2011)

2010

  1. Sharpe ratios in term structure models
    Economics Working Paper Archive, The Johns Hopkins University,Department of Economics Downloads View citations (23)

2005

  1. Term structure estimation without using latent factors
    Computing in Economics and Finance 2005, Society for Computational Economics Downloads View citations (3)
    See also Journal Article in Journal of Financial Economics (2006)

1999

  1. Credit Derivatives in Banking: Useful Tools for Managing Risk?
    Research Program in Finance Working Papers, University of California at Berkeley Downloads
    Also in Research Program in Finance, Working Paper Series, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley (1999) Downloads
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1997) Downloads View citations (8)

    See also Journal Article in Journal of Monetary Economics (2001)

1996

  1. Banks and Credit Derivatives: Is It Always Good to Have More Risk Management Tools?
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (1)
  2. Estimating the price of default risk
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (1)
    See also Journal Article in Review of Financial Studies (1999)
  3. Rethinking risk management for banks: lessons from credit derivatives
    Proceedings, Federal Reserve Bank of Chicago View citations (1)
  4. Treasury yields and corporate bond yield spreads: an empirical analysis
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (15)
  5. What's good for GM...? Using auto industry stock returns to forecast business cycles and test the Q-theory of investment
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (1)
    Also in Working Papers, Federal Reserve Bank of Dallas (1996) Downloads View citations (2)

1994

  1. Idiosyncratic variation of Treasury bill yields
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (8)
    See also Journal Article in Journal of Finance (1996)
  2. On measuring credit risks of derivative instruments
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
    See also Journal Article in Journal of Banking & Finance (1996)

1992

  1. Reexamining the relationship between stock returns and stock return volatility
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
  2. Trading volume and return reversals
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (3)

1991

  1. A new test for mean reversion in stock prices
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

1990

  1. A primer on program trading and stock price volatility: a survey of the issues and the evidence
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
  2. A securities transactions tax: beyond the rhetoric, what can we really say?
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
  3. The importance of market psychology in the determination of stock market volatility
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

Journal Articles

2011

  1. Information in (and not in) the Term Structure
    Review of Financial Studies, 2011, 24, (9), 2895-2934 Downloads View citations (75)
    See also Working Paper (2011)

2009

  1. Moral hazard and adverse selection in the originate-to-distribute model of bank credit
    Journal of Monetary Economics, 2009, 56, (5), 744-747 Downloads View citations (3)

2008

  1. Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation
    Journal of Financial Econometrics, 2008, 6, (1), 108-142 Downloads View citations (11)

2006

  1. Term structure estimation without using latent factors
    Journal of Financial Economics, 2006, 79, (3), 507-536 Downloads View citations (26)
    See also Working Paper (2005)

2005

  1. Time Variation in the Covariance between Stock Returns and Consumption Growth
    Journal of Finance, 2005, 60, (4), 1673-1712 Downloads View citations (42)

2001

  1. Credit derivatives in banking: Useful tools for managing risk?
    Journal of Monetary Economics, 2001, 48, (1), 25-54 Downloads View citations (91)
    See also Working Paper (1999)

1999

  1. Estimating the Price of Default Risk
    Review of Financial Studies, 1999, 12, (1), 197-226 View citations (209)
    See also Working Paper (1996)

1996

  1. Idiosyncratic Variation of Treasury Bill Yields
    Journal of Finance, 1996, 51, (2), 527-51 Downloads View citations (80)
    See also Working Paper (1994)
  2. On measuring credit risks of derivative instruments
    Journal of Banking & Finance, 1996, 20, (5), 805-833 Downloads View citations (14)
    See also Working Paper (1994)

1995

  1. Stock returns and volatility A firm-level analysis
    Journal of Financial Economics, 1995, 37, (3), 399-420 Downloads View citations (108)
  2. The variation of default risk with Treasury yields
    Proceedings, 1995, 29-58 View citations (3)
 
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