| Title | Other author(s) | |
|---|---|---|
Variance Risk Premiums and the Forward Premium PuzzleBoard of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 1068, 06.02.2013) |
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Stock Return Predictability and Variance Risk Premia: Statistical Inference and International EvidenceBoard of Governors of the Federal Reserve System FEDS series [View] (Paper: 2011-52, 16.11.2011) |
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Risk, Uncertainty, and Expected ReturnsBoard of Governors of the Federal Reserve System FEDS series [View] (Paper: 2011-45, 09.11.2011) |
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Systemic Risk ContributionsBoard of Governors of the Federal Reserve System FEDS series [View] (Paper: 2011-08, 28.01.2011) |
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Credit Default Swap Spreads and Variance Risk PremiaBoard of Governors of the Federal Reserve System FEDS series [View] (Paper: 2011-02, 22.01.2011) |
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Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic UncertaintyBoard of Governors of the Federal Reserve System FEDS series [View] (Paper: 2010-14, 23.03.2010) |
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Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisisBank for International Settlements Working papers [View] (Paper: 296, 22.01.2010) |
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Assessing the Systemic Risk of a Heterogeneous Portfolio of Banks During the Recent Financial CrisisBoard of Governors of the Federal Reserve System FEDS series [View] (Paper: 2009-44, 31.10.2009) |
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A Framework for Assessing the Systemic Risk of Major Financial InstitutionsBoard of Governors of the Federal Reserve System FEDS series [View] (Paper: 2009-37, 18.09.2009) |
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Credit frictions and optimal monetary policyBank for International Settlements Working papers [View] (Paper: 281, 29.04.2009) |
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Specification Analysis of Structural Credit Risk ModelsBoard of Governors of the Federal Reserve System FEDS series [View] (Paper: 2008-55, 18.11.2008) |
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Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions DataBoard of Governors of the Federal Reserve System FEDS series [View] (Paper: 2008-40, 13.09.2008) |
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Bond Risk Premia and Realized Jump VolatilityBoard of Governors of the Federal Reserve System FEDS series [View] (Paper: 2007-22, 01.06.2007) |
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Expected Stock Returns and Variance Risk PremiaBoard of Governors of the Federal Reserve System FEDS series [View] (Paper: 2007-11, 01.05.2007) |
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Realized Jumps on Financial Markets and Predicting Credit SpreadsBoard of Governors of the Federal Reserve System FEDS series [View] (Paper: 2006-35, 01.11.2006) |
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Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual FirmsBoard of Governors of the Federal Reserve System FEDS series [View] (Paper: 2005-63, 20.12.2005) |
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Explaining credit default swap spreads with equity volatility and jump risks of individual firmsBank for International Settlements Working papers [View] (Paper: 181, 18.09.2005) |
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Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized VolatilitiesBoard of Governors of the Federal Reserve System FEDS series [View] (Paper: 2004-56, 28.10.2004) |
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Volatility Puzzles: A Unified Framework for Gauging Return-Volatility RegressionsBoard of Governors of the Federal Reserve System FEDS series [View] (Paper: 2003-40, 27.08.2003) |
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Itô Conditional Moment Generator and the Estimation of Short Rate ProcessesBoard of Governors of the Federal Reserve System FEDS series [View] (Paper: 2003-32, 22.08.2003) |
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Regime-Shifts, Risk Premiums in the Term Structure, and the Business CycleBoard of Governors of the Federal Reserve System FEDS series [View] (Paper: 2003-21, 19.06.2003) |
