Luca Benzoni
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Federal Reserve Bank of Chicago
Research profile
author of:
- Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007)
by Torben G. Andersen & Luca Benzoni
(ReDIF-paper, aah:create:2007-25) - Stochastic Volatility
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010)
by Torben G. Andersen & Luca Benzoni
(ReDIF-paper, aah:create:2010-10) - The Value and Risk of Human Capital
Annual Review of Financial Economics, Annual Reviews (2015)
by Luca Benzon & Olena Chyruk
(ReDIF-article, anr:refeco:v:7:y:2015:p:179-200) - An Empirical Investigation of Continuous‐Time Equity Return Models
Journal of Finance, American Finance Association (2002)
by Torben G. Andersen & Luca Benzoni & Jesper Lund
(ReDIF-article, bla:jfinan:v:57:y:2002:i:3:p:1239-1284) - Portfolio Choice over the Life‐Cycle when the Stock and Labor Markets Are Cointegrated
Journal of Finance, American Finance Association (2007)
by Luca Benzoni & Pierre Collin‐Dufresne & Robert S. Goldstein
(ReDIF-article, bla:jfinan:v:62:y:2007:i:5:p:2123-2167) - Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
Journal of Finance, American Finance Association (2010)
by Torben G. Andersen & Luca Benzoni
(ReDIF-article, bla:jfinan:v:65:y:2010:i:2:p:603-653) - Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature
Econometric Society 2004 North American Winter Meetings, Econometric Society (2004)
by Jesper Lund & Torben G. Andersen & Luca Benzoni
(ReDIF-paper, ecm:nawm04:432) - Explaining asset pricing puzzles associated with the 1987 market crash
Journal of Financial Economics, Elsevier (2011)
by Benzoni, Luca & Collin-Dufresne, Pierre & Goldstein, Robert S.
(ReDIF-article, eee:jfinec:v:101:y:2011:i:3:p:552-573) - Debt dynamics with fixed issuance costs
Journal of Financial Economics, Elsevier (2022)
by Benzoni, Luca & Garlappi, Lorenzo & Goldstein, Robert S. & Ying, Chao
(ReDIF-article, eee:jfinec:v:146:y:2022:i:2:p:385-402) - Conflict of interest and certification in the U.S. IPO market
Journal of Financial Intermediation, Elsevier (2010)
by Benzoni, Luca & Schenone, Carola
(ReDIF-article, eee:jfinin:v:19:y:2010:i:2:p:235-254) - Lifecycle investment decisions and labor income risk
FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2010)
by Luca Benzoni & Robert S. Goldstein
(ReDIF-article, fip:fedfel:y:2010:i:jul12:n:2010-21) - Monetary Policy, Inflation Outlook, and Recession Probabilities
FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) (2022)
by Andrea Ajello & Luca Benzoni & Makena Schwinn & Yannick Timmer & Francisco Vazquez-Grande
(ReDIF-paper, fip:fedgfn:2022-07-12) - Investing over the life cycle with long-run labor income risk
Economic Perspectives, Federal Reserve Bank of Chicago (2009)
by Luca Benzoni & Olena Chyruk
(ReDIF-article, fip:fedhep:y:2009:i:qiii:p:29-43:n:v.33no.3) - No-arbitrage restrictions and the U.S. Treasury market
Economic Perspectives, Federal Reserve Bank of Chicago (2012)
by Andrea Ajello & Luca Benzoni & Olena Chyruk
(ReDIF-article, fip:fedhep:y:2012:i:qii:p:55-74:n:v.36no.2) - Why Does the Yield-Curve Slope Predict Recessions?
Chicago Fed Letter, Federal Reserve Bank of Chicago (2018)
by Luca Benzoni & Olena Chyruk & David Kelley
(ReDIF-article, fip:fedhle:00093) - Sources of Fluctuation in Short-Term Yields and Recession Probabilities
Chicago Fed Letter, Federal Reserve Bank of Chicago (2022)
by Andrea Ajello & Luca Benzoni & Makena Schwinn & Yannick Timmer & Francisco Vazquez-Grande
(ReDIF-article, fip:fedhle:94681) - Optimal Debt Dynamics, Issuance Costs, and Commitment
Working Paper Series, Federal Reserve Bank of Chicago (2020)
by Luca Benzoni & Lorenzo Garlappi & Robert S. Goldstein & Julien Hugonnier & Chao Ying
(ReDIF-paper, fip:fedhwp:92694) - Debt Dynamics with Fixed Issuance Costs
Working Paper Series, Federal Reserve Bank of Chicago (2022)
by Luca Benzoni & Lorenzo Garlappi & Robert S. Goldstein & Chao Ying
(ReDIF-paper, fip:fedhwp:95476) - What does the CDS market imply for a U.S. default?
Working Paper Series, Federal Reserve Bank of Chicago (2023)
by Luca Benzoni & Christian Cabanilla & Alessandro Cocco & Cullen Kavoussi
(ReDIF-paper, fip:fedhwp:96219) - On the Mechanics of Fiscal Inflations
Working Paper Series, Federal Reserve Bank of Chicago (2024)
by Marco Bassetto & Luca Benzoni & Jason Hall
(ReDIF-paper, fip:fedhwp:98723) - Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models
Working Paper Series, Federal Reserve Bank of Chicago (2006)
by Torben G. Andersen & Luca Benzoni
(ReDIF-paper, fip:fedhwp:wp-06-15) - Conflict of interest and certification in the U.S. IPO market
Working Paper Series, Federal Reserve Bank of Chicago (2007)
by Luca Benzoni & Carola Schenone
(ReDIF-paper, fip:fedhwp:wp-07-09) - Portfolio choice over the life-cycle when the stock and labor markets are cointegrated
Working Paper Series, Federal Reserve Bank of Chicago (2007)
by Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein
(ReDIF-paper, fip:fedhwp:wp-07-11) - Realized volatility
Working Paper Series, Federal Reserve Bank of Chicago (2008)
by Torben G. Andersen & Luca Benzoni
(ReDIF-paper, fip:fedhwp:wp-08-14) - Stochastic volatility
Working Paper Series, Federal Reserve Bank of Chicago (2009)
by Torben G. Andersen & Luca Benzoni
(ReDIF-paper, fip:fedhwp:wp-09-04) - Explaining asset pricing puzzles associated with the 1987 market crash
Working Paper Series, Federal Reserve Bank of Chicago (2010)
by Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein
(ReDIF-paper, fip:fedhwp:wp-2010-10) - Can standard preferences explain the prices of out-of-the-money S&P 500 put options?
Working Paper Series, Federal Reserve Bank of Chicago (2011)
by Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein
(ReDIF-paper, fip:fedhwp:wp-2011-11) - Modeling credit contagion via the updating of fragile beliefs
Working Paper Series, Federal Reserve Bank of Chicago (2012)
by Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege
(ReDIF-paper, fip:fedhwp:wp-2012-04) - Human Capital and Long-Run Labor Income Risk
Working Paper Series, Federal Reserve Bank of Chicago (2013)
by Luca Benzoni & Olena Chyruk
(ReDIF-paper, fip:fedhwp:wp-2013-16) - Core and 'Crust': Consumer Prices and the Term Structure of Interest Rates
Working Paper Series, Federal Reserve Bank of Chicago (2012)
by Andrea Ajello & Luca Benzoni & Olena Chyruk
(ReDIF-paper, fip:fedhwp:wp-2014-11) - The Value and Risk of Human Capital
Working Paper Series, Federal Reserve Bank of Chicago (2015)
by Luca Benzoni & Olena Chyruk
(ReDIF-paper, fip:fedhwp:wp-2015-06) - The Interplay Between Financial Conditions and Monetary Policy Shocks
Working Paper Series, Federal Reserve Bank of Chicago (2016)
by Marco Bassetto & Luca Benzoni & Trevor Serrao
(ReDIF-paper, fip:fedhwp:wp-2016-11) - Estimating the Tax and Credit-Event Risk Components of Credit Spreads
Working Paper Series, Federal Reserve Bank of Chicago (2015)
by Luca Benzoni & Robert S. Goldstein
(ReDIF-paper, fip:fedhwp:wp-2017-17) - Selecting Primal Innovations in DSGE models
Working Paper Series, Federal Reserve Bank of Chicago (2017)
by Filippo Ferroni & Stefano Grassi & Miguel A. León-Ledesma
(ReDIF-paper, fip:fedhwp:wp-2017-20) - Why Does the Yield-Curve Slope Predict Recessions?
Working Paper Series, Federal Reserve Bank of Chicago (2018)
by Luca Benzoni & Olena Chyruk & David Kelley
(ReDIF-paper, fip:fedhwp:wp-2018-15) - Asymmetric Information, Dynamic Debt Issuance, and the Term Structure of Credit Spreads
Working Paper Series, Federal Reserve Bank of Chicago (2019)
by Luca Benzoni & Lorenzo Garlappi & Robert S. Goldstein
(ReDIF-paper, fip:fedhwp:wp-2019-08) - On the Mechanics of Fiscal Inflations
Quarterly Review, Federal Reserve Bank of Minneapolis (2024)
by Marco Bassetto & Luca Benzoni & Jason Hall
(ReDIF-article, fip:fedmqr:98599) - Incomplete Information, Debt Issuance, and the Term Structure of Credit Spreads
Management Science, INFORMS (2023)
by Luca Benzoni & Lorenzo Garlappi & Robert Goldstein
(ReDIF-article, inm:ormnsc:v:69:y:2023:i:7:p:4331-4352) - Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income
NBER Working Papers, National Bureau of Economic Research, Inc (2005)
by Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein
(ReDIF-paper, nbr:nberwo:11247) - Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options
NBER Working Papers, National Bureau of Economic Research, Inc (2005)
by Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein
(ReDIF-paper, nbr:nberwo:11861) - Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models
NBER Working Papers, National Bureau of Economic Research, Inc (2007)
by Torben G. Andersen & Luca Benzoni
(ReDIF-paper, nbr:nberwo:12962) - An Empirical Investigation of Continuous-Time Equity Return Models
NBER Working Papers, National Bureau of Economic Research, Inc (2001)
by Torben G. Andersen & Luca Benzoni & Jesper Lund
(ReDIF-paper, nbr:nberwo:8510) - Modeling Credit Contagion via the Updating of Fragile Beliefs
The Review of Financial Studies, Society for Financial Studies (2015)
by Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege
(ReDIF-article, oup:rfinst:v:28:y:2015:i:7:p:1960-2008.) - Core and ‘Crust’: Consumer Prices and the Term Structure of Interest Rates
The Review of Financial Studies, Society for Financial Studies (2020)
by Andrea Ajello & Luca Benzoni & Olena Chyruk & Stijn Van Nieuwerburgh
(ReDIF-article, oup:rfinst:v:33:y:2020:i:8:p:3719-3765.) - Core and `Crust': Consumer Prices and the Term Structure of Interest Rates
2012 Meeting Papers, Society for Economic Dynamics (2012)
by Olena Chyruk & Luca Benzoni & Andrea Ajello
(ReDIF-paper, red:sed012:922) - The Interplay Between Financial Conditions and Monetary Policy Shocks
2017 Meeting Papers, Society for Economic Dynamics (2017)
by Trevor Serrao & Luca Benzoni & Marco Bassetto
(ReDIF-paper, red:sed017:1124)