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Term premia and interest rate forecasts in affine models

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GR Duffee - The Journal of Finance, 2002 - Wiley Online Library
Page 1. Term Premia and Interest Rate Forecasts in Affine Models GREGORY R. DUFFEE*
ABSTRACT The standard class of affine models produces poor forecasts of future Treasury yields.
Better forecasts are generated by assuming that yields follow random walks. ...
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Estimating the price of default risk

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GR Duffee - Review of Financial Studies, 1999 - Soc Financial Studies
Page 1. Estimating the Price of Default Risk Gregory R. Duffee Federal Reserve Board A firm's
instantaneous probability of default is modeled as a translated square- root diffusion process
modified to allow the process to be correlated with default- free interest rates. ...
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The relation between treasury yields and corporate bond yield spreads

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GR Duffee - The Journal of Finance, 1998 - Wiley Online Library
Page 1. The Relation Between Treasury Yields and Corporate Bond Yield Spreads
GREGORY R. DUFFEE* ABSTRACT Because the option to call a corporate bond
should rise in value when bond yields fall, the relation between ...
Cited by 564 - Related articles - BL Direct - All 20 versions

Credit derivatives in banking: Useful tools for managing risk?

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GR Duffee… - Journal of Monetary Economics, 2001 - Elsevier
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Stock returns and volatility a firm-level analysis

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GR Duffee - Journal of Financial Economics, 1995 - Elsevier
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Idiosyncratic variation of Treasury bill yields

GR Duffee - Journal of Finance, 1996 - JSTOR
Page 1. THE JOURNAL OF FINANCE . VOL. LI, NO. 2 . JUNE 1996 Idiosyncratic Variation of
Treasury Bill Yields GREGORY R. DUFFEE* ABSTRACT I document a dramatic increase in the
importance of two types of variation in Treasury bill yields beginning in the early 1980s. ...
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[PDF] Estimation of dynamic term structure models

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G Duffee… - Manuscript, Haas School of Business, 2004 - Citeseer
ABSTRACT We study the finite sample properties of some of the standard techniques used
to estimate modern term structure models. For sample sizes similar to those used in most
empirical work, we reach three surprising conclusions. First, while maximum likelihood ...
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On measuring credit risks of derivative instruments

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GR Duffee - Journal of Banking & Finance, 1996 - Elsevier
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Information in (and not in) the term structure

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GR Duffee - Review of Financial Studies, 2011 - Soc Financial Studies
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[BOOK] Treasury yields and corporate bond yield spreads: An empirical analysis

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GR Duffee… - 1996 - federalreserve.gov
Page 1. Treasury yields and corporate bond yield spreads: An empirical analysis Gregory
R. Duffee Federal Reserve Board Mail Stop 91 Washington, DC 20551 202-452-3055
gduffee@frb.gov First version January 1995 Current version May 1996 ...
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Time variation in the covariance between stock returns and consumption growth

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GR Duffee - The Journal of Finance, 2005 - Wiley Online Library
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Term structure estimation without using latent factors

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GR Duffee - Journal of Financial Economics, 2006 - Elsevier
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Trading volume and return reversals

GR Duffee - Finance and Economics Discussion Series, 1992 - ideas.repec.org
This paper tests whether the magnitude of the serial correlation of monthly stock returns varies
with trading volume. In both the 1915-1945 and 1946-1989 periods, it finds a statistically significant
relationship between NYSE volume shocks and return reversals. The point estimates ...
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Evidence on simulation inference for near unit-root processes with implications for term structure estimation

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GR Duffee… - Journal of Financial Econometrics, 2008 - Oxford Univ Press
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[PDF] Are variations in term premia related to the macroeconomy

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GR Duffee - Manuscript, 2006 - econ2.jhu.edu
Page 1. Are variations in term premia related to the macroeconomy? Gregory R.
Duffee∗ Haas School of Business University of California – Berkeley This Draft: June
26, 2007 ABSTRACT To test whether expected excess bond ...
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[PDF] Balance sheet explanations for asymmetric volatility

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GR Duffee - University of California at Berkeley working paper, 2002 - econ2.jhu.edu
Page 1. Balance sheet explanations for asymmetric volatility Gregory R. Duffee∗
Haas School of Business University of California – Berkeley First version: May 2002
This Draft: May 8, 2002 ABSTRACT Changes in firm value ...
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[CITATION] On the relation between the level and volatility of short-term interest rates: A comment on chan, karolyi, longstaff and sanders

GR Duffee - 1993 - Working Paper, Federal Reserve …
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[CITATION] A primer on program trading and stock price volatility: a survey of the issues and the evidence

G Duffee, P Kupiec… - 1990 - ideas.repec.org
Did you know? The yearly budget of IDEAS is exactly $0: it relies entirely on volunteer work.
... No abstract is available for this item. ... To our knowledge, this item is not available for
download. To find whether it is available, there are three options: 1. Check below under " ...
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[PDF] Asymmetric cross-sectional dispersion in stock returns: evidence and implications

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GR Duffee… - 2001 - Citeseer
Page 1. Asymmetric cross-sectional dispersion in stock returns: Evidence and implications
Gregory R. Duffee∗ Haas School of Business UC Berkeley Visiting Scholar, Federal Reserve
Bank of San Francisco This Draft: January 2, 2001 ABSTRACT ...
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[CITATION] A securities transaction tax: beyond the rhetoric

P Kupiec, AP White… - Research in Financial Services Private and Public …, 1993
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[PDF] Credit Derivatives in Banking: Useful Tools for Loan Risk Management?

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GR Duffee… - Federal Reserve Board, Discussion Paper, 1997 - Citeseer
Page 1. Comments Welcome Credit Derivatives in Banking: Useful Tools for Loan
Risk Management? Gregory R. Duffee Chunsheng Zhou Federal Reserve Board
Washington, DC 20551 Previously circulated under the title ...
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[PDF] The long-run behavior of firms' stock returns: evidence and interpretations

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GR Duffee - Manuscript, Haas School of Business, University of …, 2002 - econ2.jhu.edu
Page 1. The long-run behavior of firms' stock returns: Evidence and interpretations
Gregory R. Duffee∗ Haas School of Business University of California – Berkeley First
version: June 2002 This Draft: August 28, 2002 ABSTRACT ...
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[CITATION] Rethinking risk management for banks: lessons from credit derivatives

GR Duffee - Proceedings, 1996 - ideas.repec.org
No abstract is available for this item.
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[PDF] Why does the slope of the term structure forecast excess returns

[PDF] from psu.edu
GR Duffee - University of California at Berkeley Working Paper, 2001 - Citeseer
Page 1. Why does the slope of the term structure forecast excess returns? Gregory
R. Duffee∗ Haas School of Business University of California – Berkeley First version:
January 2001 This Draft: January 24, 2001 ABSTRACT ...
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[CITATION] Credit derivatives in banking: Useful tools

GR Duffee… - 2001
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[CITATION] Term structure estimation without using latent factors, forthcoming

GR Duffee - 2005 - Jour
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[CITATION] Treasury Yields and Corporate Bond Yield Spreads: An Empirical Analysis, Federal Reserve Board

GR Duffee - 1996 - working paper
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[BOOK] What's Good for GM...?: Using Auto Industry Stock Returns to Forecast Business Cycles and Test the Q-theory of Investment

[PDF] from e-perspectives.com
GR Duffee, SD Prowse… - 1996 - papers.ssrn.com
Page 1. What's Good for GM...? Using Auto Industry Stock Returns to Forecast Business Cycles
and Test the Q-Theory of Investment Gregory R. Du ee Stephen Prowse Federal Reserve Board
Federal Reserve Bank of Dallas Mail Stop 91 2200 N. Pearl Street ...
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[CITATION] Estimation of Dynamic Term Structure Models, Haas School of Business

GR Duffee… - Univ. California, Berkeley, 2001
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[PDF] A no-arbitrage term structure model without latent factors

[PDF] from 128.101.10.22
GR Duffee - manuscript, University of California—Berkeley, 2004 - 128.101.10.22
Page 1. A no-arbitrage term structure model without latent factors Gregory R. Duffee∗ Haas School
of Business University of California – Berkeley This Draft: April 26, 2004 ABSTRACT I present
a framework for modeling part of the dynamics of the term structure. ...
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Banks and Credit Derivatives: Is it Always Good to Have More Risk Management Tools?

G Duffee… - 1997 - papers.ssrn.com
Abstract: We model the effects on banks of the introduction of a market for credit derivatives;
in particular, credit default swaps. A bank can use such swaps to temporarily transfer credit
risks of their loans to others, reducing the likelihood that defaulting loans trigger the bank's ...
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[CITATION] EMM and indirect inference estimation of near unit-root processes

G Duffee… - Manuscript, Haas School of Business, University of …, 2005
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[PDF] Do forecasts of stock returns also forecast covariances?

[PDF] from psu.edu
GR Duffee - 2001 - Citeseer
Page 1. Do forecasts of stock returns also forecast covariances? Gregory R. Duffee∗
Haas School of Business University of California – Berkeley This Draft: February
12, 2002 ABSTRACT I construct forecasts of aggregate stock ...
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[CITATION] Reexamining the relationship between stock returns and stock return volatility

GR Duffee - Finance and Economics Discussion Series, 1992 - ideas.repec.org
No abstract is available for this item.
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[CITATION] Forecasting Future Interest Rates: Are Affine Models Failures? Haas School of Business

GR Duffee - Univ. California, Berkeley, 2000
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[CITATION] The Relation between Treasury Yields and Corporate Bond Yield Spreads (Digest Summary)

GR Duffee - CFA Digest, 1999 - CFA Institute

[CITATION] Essays on financial markets

GR Duffee - 1989 - Harvard University
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[CITATION] The importance of market psychology in the determination of stock market volatility

GR Duffee - Finance and Economics Discussion Series, 1990 - ideas.repec.org
No abstract is available for this item.
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[PDF] Bond pricing and the macroeconomy

[PDF] from jhu.edu
GR Duffee - econ2.jhu.edu
Page 1. Bond pricing and the macroeconomy Gregory R. Duffee∗ Johns Hopkins
Current date: January 2012 ABSTRACT This chapter reviews some of the academic
literature that links the term structure with the macroeconomy. ...
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[CITATION] Information in (and Not in) the Term Structure (Digest Summary)

GR Duffee - CFA Institute

[CITATION] Innovations in Technology and Finance

P DeMarzo, D Duffie, GR Duffee…
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