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Gregory R. Duffee

23 works· latest 2023· 5 institutionscluster: provisional

h-index22

i1023

Citations5,599

Works here23

Most cited in this library

Term Premia and Interest Rate Forecasts in Affine Models2002 · 1,581 citations
The Relation Between Treasury Yields and Corporate Bond Yield Spreads1998 · 778 citations
Estimating the Price of Default Risk1999 · 724 citations
Information in (and not in) the Term Structure2011 · 404 citations
Stock returns and volatility a firm-level analysis1995 · 391 citations

Works

23 shown

Macroeconomic News in Asset Pricing and Reality

The Journal of Finance·2023·1 author·Open access

12citations

Macroeconomic News and Stock–Bond Comovement

European Finance Review·2022·1 author

30citations

Expected Inflation and Other Determinants of Treasury Yields

The Journal of Finance·2018·1 author

101citations

Forecasting Interest Rates

Handbook of economic forecasting·2013·1 author·chapter

101citations

Bond Pricing and the Macroeconomy

Handbook of the economics of finance·2013·1 author·chapter·Open access

63citations

Estimation of Dynamic Term Structure Models

Quarterly Journal of Finance·2012·2 authors

206citations

Information in (and not in) the Term Structure

Review of Financial Studies·2011·1 author·Open access

Sharpe ratios in term structure models

RePEc: Research Papers in Economics·2011·1 author·preprint·Open access

116citations

Forecasting with the term structure: The role of no-arbitrage restrictions

RePEc: Research Papers in Economics·2011·1 author·preprint·Open access

98citations

Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation

Journal of Financial Econometrics·2007·2 authors·Open access

42citations

Term structure estimation without using latent factors

Journal of Financial Economics·2005·1 author·Open access

54citations

Time Variation in the Covariance between Stock Returns and Consumption Growth

The Journal of Finance·2005·1 author

102citations

Term Premia and Interest Rate Forecasts in Affine Models

The Journal of Finance·2002·1 author·Open access

1,581citations

Credit derivatives in banking: Useful tools for managing risk?

Journal of Monetary Economics·2001·2 authors·Open access

207citations

Asymmetric Cross-sectional Dispersion in Stock Returns: Evidence and Implications

Federal Reserve Bank of San Francisco, Working Paper Series·2001·1 author·Open access

41citations

Term Premia and Interest Rate Forecasts in Affine Models

Federal Reserve Bank of San Francisco, Working Paper Series·2000·1 author·Open access

63citations

Estimating the Price of Default Risk

Review of Financial Studies·1999·1 author

724citations

The Relation Between Treasury Yields and Corporate Bond Yield Spreads

The Journal of Finance·1998·1 author

778citations

Credit Derivatives in Banking: Useful Tools for Managing Risk?

Finance and Economics Discussion Series·1997·2 authors·Open access

122citations

Idiosyncratic Variation of Treasury Bill Yields

The Journal of Finance·1996·1 author

254citations

On measuring credit risks of derivative instruments

Journal of Banking & Finance·1996·1 author

56citations

Treasury Yields and Corporate Bond Yield Spreads: An Empirical Analysis

Finance and Economics Discussion Series·1996·1 author·Open access

53citations

Stock returns and volatility a firm-level analysis

Journal of Financial Economics·1995·1 author·Open access

391citations