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Details about Stefano Giglio

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Homepage:https://sites.google.com/view/stefanogiglio/
Workplace:School of Management, Yale University, (more information at EDIRC)

Access statistics for papers by Stefano Giglio.

Last updated 2019-08-17. Update your information in the RePEc Author Service.

Short-id: pgi162


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Working Papers

2019

  1. Five Facts About Beliefs and Portfolios
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) Downloads View citations (4)
    CESifo Working Paper Series, CESifo Group Munich (2019) Downloads View citations (4)
  2. Hedging Climate Change News
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) Downloads
    CESifo Working Paper Series, CESifo Group Munich (2019) Downloads
  3. Hedging Macroeconomic and Financial Uncertainty and Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  4. Taming the Factor Zoo: A Test of New Factors
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)

2017

  1. Inference on Risk Premia in the Presence of Omitted Factors
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
  2. Uncertainty Shocks as Second-Moment News Shocks
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    Also in 2017 Meeting Papers, Society for Economic Dynamics (2017) Downloads View citations (9)

2016

  1. Contractionary Volatility or Volatile Contractions?
    2016 Meeting Papers, Society for Economic Dynamics Downloads View citations (4)
  2. Credit default swap spreads and systemic financial risk
    ESRB Working Paper Series, European Systemic Risk Board Downloads View citations (3)
    Also in Proceedings, Federal Reserve Bank of Chicago (2011) View citations (39)
  3. Excess Volatility: Beyond Discount Rates
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article in The Quarterly Journal of Economics (2018)

2015

  1. An Intertemporal CAPM with Stochastic Volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (8)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) Downloads View citations (48)

    See also Journal Article in Journal of Financial Economics (2018)
  2. Climate Change and Long-Run Discount Rates: Evidence from Real Estate
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (18)
    Also in Working Paper, Harvard University OpenScholar (2015) Downloads View citations (16)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads View citations (16)
    NBER Working Papers, National Bureau of Economic Research, Inc (2015) Downloads View citations (16)
  3. Systemic Risk and the Macroeconomy: An Empirical Evaluation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (18)
    See also Journal Article in Journal of Financial Economics (2016)
  4. The Price of Variance Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (32)
    See also Journal Article in Journal of Financial Economics (2017)

2014

  1. No-Bubble Condition: Model-free Tests in Housing Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    Also in Working Paper, Harvard University OpenScholar Downloads View citations (3)

    See also Journal Article in Econometrica (2016)
  2. Very Long Run Discount Rates
    2014 Meeting Papers, Society for Economic Dynamics Downloads View citations (2)
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2014) Downloads View citations (15)
    NBER Working Papers, National Bureau of Economic Research, Inc (2014) Downloads View citations (15)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) Downloads View citations (16)

2013

  1. Asset Pricing in the Frequency Domain: Theory and Empirics
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    Also in 2013 Meeting Papers, Society for Economic Dynamics (2013) Downloads View citations (5)

    See also Journal Article in Review of Financial Studies (2016)
  2. Hard Times
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (15)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) Downloads View citations (2)

    See also Journal Article in Review of Asset Pricing Studies (2013)
  3. No News is News: Do Markets Underreact to Nothing?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)

2011

  1. Forced Sales and House Prices
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (201)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (44)

    See also Journal Article in American Economic Review (2011)
  2. Intangible Capital, Relative Asset Shortages and Bubbles
    Levine's Working Paper Archive, David K. Levine Downloads View citations (2)
    Also in IMF Working Papers, International Monetary Fund (2011) Downloads

    See also Journal Article in Journal of Monetary Economics (2012)

2006

  1. Fiscal Policy and the Term Structure: Evidence from the Case of Italy in the EMS and the EMU Periods
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2006) Downloads View citations (2)
  2. The Performance of Italian Family Firms
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (10)

Journal Articles

2018

  1. An intertemporal CAPM with stochastic volatility
    Journal of Financial Economics, 2018, 128, (2), 207-233 Downloads View citations (8)
    See also Working Paper (2015)
  2. Excess Volatility: Beyond Discount Rates
    The Quarterly Journal of Economics, 2018, 133, (1), 71-127 Downloads View citations (1)
    See also Working Paper (2016)

2017

  1. The price of variance risk
    Journal of Financial Economics, 2017, 123, (2), 225-250 Downloads View citations (9)
    See also Working Paper (2015)

2016

  1. Asset Pricing in the Frequency Domain: Theory and Empirics
    Review of Financial Studies, 2016, 29, (8), 2029-2068 Downloads View citations (25)
    See also Working Paper (2013)
  2. No‐Bubble Condition: Model‐Free Tests in Housing Markets
    Econometrica, 2016, 84, 1047-1091 Downloads View citations (13)
    See also Working Paper (2014)
  3. Systemic risk and the macroeconomy: An empirical evaluation
    Journal of Financial Economics, 2016, 119, (3), 457-471 Downloads View citations (51)
    See also Working Paper (2015)

2015

  1. Editor's Choice Very Long-Run Discount Rates
    The Quarterly Journal of Economics, 2015, 130, (1), 1-53 Downloads View citations (36)

2014

  1. Editor's Choice No News Is News: Do Markets Underreact to Nothing?
    Review of Financial Studies, 2014, 27, (12), 3389-3440 Downloads View citations (10)

2013

  1. Hard Times
    Review of Asset Pricing Studies, 2013, 3, (1), 95-132 Downloads View citations (7)
    See also Working Paper (2013)

2012

  1. Intangible capital, relative asset shortages and bubbles
    Journal of Monetary Economics, 2012, 59, (3), 303-317 Downloads View citations (15)
    See also Working Paper (2011)

2011

  1. Forced Sales and House Prices
    American Economic Review, 2011, 101, (5), 2108-31 Downloads View citations (219)
    See also Working Paper (2011)
 
Page updated 2019-10-12