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Scott Joslin · Study
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Author
Scott Joslin
14 works
· latest 2021
· 3 institutions
cluster: provisional
ORCID 0000-0001-7659-1490
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14
Citations
1,941
Works here
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Most cited in this library
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
2013 · 587 citations
A New Perspective on Gaussian Dynamic Term Structure Models
2010 · 544 citations
Rare Disasters and Risk Sharing with Heterogeneous Beliefs
2010 · 171 citations
Why Gaussian Macro-Finance Term Structure Models are (Nearly) Unconstrained Factor-VARs
2011 · 154 citations
Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets
2018 · 114 citations
Works
14 shown
Interest Rate Volatility and No-Arbitrage Affine Term Structure Models
Management Science
·
2021
·
2 authors
27
citations
The Term Structure of Liquidity Premium
SSRN Electronic Journal
·
2019
·
3 authors
·
preprint
·
Open access
15
citations
Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets
Review of Financial Studies
·
2018
·
3 authors
·
Open access
114
citations
Interest rate volatility, the yield curve, and the macroeconomy
Journal of Financial Economics
·
2017
·
2 authors
44
citations
Can Unspanned Stochastic Volatility Models Explain the Cross Section of Bond Volatilities?
Management Science
·
2017
·
1 author
71
citations
JFEC Invited Paper: Gaussian Macro-Finance Term Structure Models with Lags
Journal of Financial Econometrics
·
2013
·
2 authors
39
citations
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
The Journal of Finance
·
2013
·
3 authors
·
Open access
587
citations
Generalized Transform Analysis of Affine Processes and Applications in Finance
Review of Financial Studies
·
2012
·
2 authors
·
Open access
60
citations
Generalized Transform Analysis of Affine Processes and Applications in Finance
National Bureau of Economic Research
·
2011
·
2 authors
·
report
·
Open access
33
citations
Do interest rate options contain information about excess returns?
Journal of Econometrics
·
2011
·
3 authors
·
Open access
59
citations
Why Gaussian Macro-Finance Term Structure Models are (Nearly) Unconstrained Factor-VARs
Journal of Financial Economics
·
2011
·
3 authors
·
Open access
154
citations
Rare Disasters and Risk Sharing with Heterogeneous Beliefs
Review of Financial Studies
·
2010
·
3 authors
·
Open access
171
citations
Affine Disagreement and Asset Pricing
American Economic Review
·
2010
·
3 authors
·
Open access
23
citations
A New Perspective on Gaussian Dynamic Term Structure Models
Review of Financial Studies
·
2010
·
3 authors
·
Open access
544
citations