Greg Duffee
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Identifer
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Affiliations
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Johns Hopkins University
/ Department of Economics
Research profile
author of:
- Corporate bond use in Asia and the United States (RePEc:bis:bisbpc:102-13)
by Greg Duffee & Peter Hördahl - Debt specialisation and diversification: International evidence (RePEc:bis:biswps:928)
by Gregory Duffee & Peter Hördahl - Idiosyncratic Variation of Treasury Bill Yields (RePEc:bla:jfinan:v:51:y:1996:i:2:p:527-51)
by Duffee, Gregory R - Term Premia and Interest Rate Forecasts in Affine Models (RePEc:bla:jfinan:v:57:y:2002:i:1:p:405-443)
by Gregory R. Duffee - Time Variation in the Covariance between Stock Returns and Consumption Growth (RePEc:bla:jfinan:v:60:y:2005:i:4:p:1673-1712)
by Gregory R. Duffee - Expected Inflation and Other Determinants of Treasury Yields (RePEc:bla:jfinan:v:73:y:2018:i:5:p:2139-2180)
by Gregory R. Duffee - Macroeconomic News in Asset Pricing and Reality (RePEc:bla:jfinan:v:78:y:2023:i:3:p:1499-1543)
by Gregory R. Duffee - Credit Derivatives in Banking: Useful Tools for Managing Risk? (RePEc:cdl:rpfina:qt7g67n911)
by Duffee, Gregory R. & Zhou, Chunseng - Forecasting Interest Rates (RePEc:eee:ecofch:2-385)
by Duffee, Gregory - Bond Pricing and the Macroeconomy (RePEc:eee:finchp:2-b-907-967)
by Duffee, Gregory R. - On measuring credit risks of derivative instruments (RePEc:eee:jbfina:v:20:y:1996:i:5:p:805-833)
by Duffee, Gregory R. - Stock returns and volatility A firm-level analysis (RePEc:eee:jfinec:v:37:y:1995:i:3:p:399-420)
by Duffee, Gregory R. - Term structure estimation without using latent factors (RePEc:eee:jfinec:v:79:y:2006:i:3:p:507-536)
by Duffee, Gregory R. - Credit derivatives in banking: Useful tools for managing risk? (RePEc:eee:moneco:v:48:y:2001:i:1:p:25-54)
by Duffee, Gregory R. & Zhou, Chunsheng - Moral hazard and adverse selection in the originate-to-distribute model of bank credit (RePEc:eee:moneco:v:56:y:2009:i:5:p:744-747)
by Duffee, Greg - What's good for GM...? Using auto industry stock returns to forecast business cycles and test the Q-theory of investment (RePEc:fip:feddwp:96-10)
by Gregory R. Duffee & Stephen D. Prowse - Asymmetric cross-sectional dispersion in stock returns: evidence and implications (RePEc:fip:fedfwp:2000-18)
by Gregory R. Duffee - Term premia and interest rate forecasts in affine models (RePEc:fip:fedfwp:2000-19)
by Gregory R. Duffee - A primer on program trading and stock price volatility: a survey of the issues and the evidence (RePEc:fip:fedgfe:109)
by Gregory R. Duffee & Paul H. Kupiec & Patricia A. White - The importance of market psychology in the determination of stock market volatility (RePEc:fip:fedgfe:115)
by Gregory R. Duffee - A securities transactions tax: beyond the rhetoric, what can we really say? (RePEc:fip:fedgfe:133)
by Gregory R. Duffee & Paul H. Kupiec & Patricia A. White - A new test for mean reversion in stock prices (RePEc:fip:fedgfe:152)
by Gregory R. Duffee - Reexamining the relationship between stock returns and stock return volatility (RePEc:fip:fedgfe:191)
by Gregory R. Duffee - Trading volume and return reversals (RePEc:fip:fedgfe:192)
by Gregory R. Duffee - Treasury Yields and Corporate Bond Yield Spreads: An Empirical Analysis (RePEc:fip:fedgfe:1996-20)
by Gregory R. Duffee - Estimating the Price of Default Risk (RePEc:fip:fedgfe:1996-29)
by Gregory R. Duffee - What's Good for GM...? Using Auto Industry Stock Returns to Forecast Business Cycles and Test the Q-Theory of Investment (RePEc:fip:fedgfe:1996-38)
by Gregory R. Duffee & Stephen D. Prowse - Credit derivatives in banking: useful tools for managing risk? (RePEc:fip:fedgfe:1997-13)
by Gregory R. Duffee & Chunsheng Zhou - On measuring credit risks of derivative instruments (RePEc:fip:fedgfe:94-27)
by Gregory R. Duffee - Idiosyncratic variation of Treasury bill yields (RePEc:fip:fedgfe:94-28)
by Gregory R. Duffee - Treasury yields and corporate bond yield spreads: an empirical analysis (RePEc:fip:fedgfe:96-20)
by Gregory R. Duffee - Estimating the price of default risk (RePEc:fip:fedgfe:96-29)
by Gregory R. Duffee - What's good for GM...? Using auto industry stock returns to forecast business cycles and test the Q-theory of investment (RePEc:fip:fedgfe:96-38)
by Gregory R. Duffee & Stephen D. Prowse - The variation of default risk with Treasury yields (RePEc:fip:fedgpr:y:1995:p:29-58)
by Gregory R. Duffee - Rethinking risk management for banks: lessons from credit derivatives (RePEc:fip:fedhpr:514)
by Gregory R. Duffee - Sharpe ratios in term structure models (RePEc:jhu:papers:575)
by Greg Duffee - Forecasting with the term structure: The role of no-arbitrage restrictions (RePEc:jhu:papers:576)
by Greg Duffee - Information in (and not in) the term structure (RePEc:jhu:papers:577)
by Greg Duffee - Bond pricing and the macroeconomy (RePEc:jhu:papers:598)
by Gregory R. Duffee - Forecasting interest rates (RePEc:jhu:papers:599)
by Gregory R. Duffee - Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation (RePEc:oup:jfinec:v:6:y:2008:i:1:p:108-142)
by Gregory R. Duffee - Macroeconomic News and Stock–Bond Comovement (RePEc:oup:revfin:v:27:y:2023:i:5:p:1859-1882.)
by Gregory R Duffee - Estimating the Price of Default Risk (RePEc:oup:rfinst:v:12:y:1999:i:1:p:197-226)
by Duffee, Gregory R - Information in (and not in) the Term Structure (RePEc:oup:rfinst:v:24:y:2011:i:9:p:2895-2934)
by Gregory R. Duffee - Term structure estimation without using latent factors (RePEc:sce:scecf5:103)
by Greg Duffee - Credit Derivatives in Banking: Useful Tools for Managing Risk? (RePEc:ucb:calbrf:rpf-289)
by Gregory R. Duffee and Chunsheng Zhou. - Banks and Credit Derivatives: Is It Always Good to Have More Risk Management Tools? (RePEc:wop:pennin:96-42)
by Credit Derivatives: Is It Always Good to Have More Risk Management Tools? Gregory Duffee 96-42 Banks & Chungsheng Zhou - Estimation of Dynamic Term Structure Models (RePEc:wsi:qjfxxx:v:02:y:2012:i:02:n:s2010139212500085)
by Gregory R. Duffee & Richard H. Stanton