Topics & Papers

• volatility
• correlation
• systemic risk
• financial reform
• derivatives
• credit risk
• risk management
• long run risk

Research

Engle, Robert; Rangel, Jose. "The Factor-Spline-GARCH Model for High and Low Frequency Correlations" 2011

Acharya, Viral; Shin, Hyun Song and Yorulmazer, Tanju. “Fire Sales, Foreign Entry and Bank Liquidity” Feb. 2009

Acharya, Viral; Baghai-Wadji, Ramin and Subramanian, Krishnamurthy. “Labor Laws and Innovation” Feb. 2009

Acharya, Viral; Myers, Stewart and Rajan, Raghuram. “The Internal Governance of Firms” Feb. 2009

Acharya, Viral; Hahn, Moritz and Kehoe, Conor. “Corporate Governance and Value Creation: Evidence from Private Equity” Feb. 2009

Acharya, Viral; Amihud, Yakov and Litov, Lubomir. “Creditor rights and corporate risk-taking” Feb. 2009

Acharya, Viral; Gale, Douglas and Yorulmazer, Tanju. “Rollover Risk and Market Freezes” Feb. 2009

Acharya, Viral; Shin, Hyun Song and Yorulmazer, Tanju. “A Theory of Slow-Moving Capital and Contagion” Feb. 2009

Acharya, Viral; DeMarzo, Peter and Kremer, Ilan. “Endogenous Information Flows and the Clustering of Announcements” Feb. 2009

Acharya, Viral; Lochstoer, Lars and Ramadorai, Tarun. “Does Hedging Affect Commodity Prices? The Role of Producer Default Risk” Feb. 2009

Acharya, Viral; Leng, Rong; Rangarajan Sundaram,. "Do Bankruptcy Costs Affect Firm Leverage? Evidence from Time-series and Cross-Country Variation in Bankruptcy Codes" Feb. 2009

Acharya, Viral; John, Kose; Sundaram, Rangarajan. "Cross-Country Variations in Capital Structures: The Role of Bankruptcy Codes" Feb. 2009

Agarwal, Sumit; John C., Driscoll; Xavier, Gabaix and Laibson, David. “The Age of Reason: Financial Decisions Over the Lifecycle” June 2007

Almeida, Heitor; Park, Sang Yong; Subrahmanyam, Marti; Wolfenzon, Daniel. “The structure and formation of business groups: Evidence from Korean Chaebols” Feb. 2009

Asness, Cliff; Moskowitz, Tobias and Pedersen, Lasse Heje. “Value and Momentum Everywhere” July 2008

Azoulay, E.; Brenner, M.; Landskroner, Y.; "Inflation Expectations Derived from Foreign Exchange Option" Jan. 2007

Backus, David; Routledge, Bryan; Zin, Stanley. “The cyclical component in US asset returns”

Backus, David; Routledge, Bryan; Zin, Stanley. “Asset prices in business cycle analysis” Nov. 2007

Backus, David; Henriksen, Espen; Storesletten, Kjetil. “Taxes and the global allocation of capital” Dec. 2008

Backus, David; Wright, Jonathan, H. “Cracking the conundrum” Oct. 2007

Backus, David; Henriksen, Espen; Lambert, Frederic; Telmer, Chris. “Current account fact and fiction” June 2005

Bali, Turan; Cakici, Nusret; Whitelaw, Robert. “Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns” Feb. 2009

Bali, Turan and Engle, Robert. “A Cross-Sectional Investigation of the Conditional ICAPM” Feb. 2009

Boudoukh, Jacob; Richardson, Matthew; Whitelaw, Robert F. "The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly" Dec. 2005

Boudoukh, Jacob; Richardson, Matthew; Stanton, Richard; Whitelaw, Robert F. "The Economics of Asset Management” May 2003

Brenner, M.; Sokoler, M. "Inflation Targeting and Exchange Rate Regimes; Evidence from the Financial Markets" Nov. 2008

Brenner, M.; Pasquariello, P.; Subrahmanyam, M. "On the Volatility and Comovement of U.S. Financial Markets Around Macroeconomic News Announcements" 2006

Brenner, M.; Galai, D.; Sade, O. "Endogenizing Bidders Choice in Divisible Goods Auctions" Oct. 2007

Brenner, M.; Jinghong, Shu; Zhang, Jin. "The New Market for Volatility Trading" Jan. 2008

Brenner, M.; Schreiber, B. "Liquidity and Efficiency in Three Parallel Foreign Exchange Options Markets" Jan. 2007

Caucutt, Elizabeth; Cooley, Thomas; Guner, Nezih. "The Farm, The City and the Emergence of Social Security" Jan. 2007

Cavallo, Michele; Kisselev, Kate; Perri, Fabrizio; Roubini, Nouriel. “ Exchange Rate Overshooting and the Cost of Floating” April 2004

Chacko, George; Mahanti, Sriketan; Nashikkar, Amrut; Subrahmanyam, Marti G. “Latent Liquidity: A New Measure of Liquidity, with an Application Corporate Bonds” Nov. 2007

Chen, Willa; Hurvich, Clifford. "Semiparametric Estimation of Fractional Cointegrating Subspaces" Nov. 2008

Chen, Willa; Hurvich, Clifford; Lu, Yi. "On the Correlation Matrix of the Discrete Fourier Transform and the Fast Solution of Large Toeplitz Systems for Long-Memory Time Series" Nov. 2008

Chen, W.; Deo, Rohit. “Bias reduction and likelihood based almost exactly sized hypothesis testing in predictive regressions using the restricted likelihood” July 2008

Cho, Jang-Ok; Cooley, Thomas. "Business Cycle Uncertainty and Economic Welfare" May 2005

Choi, Jaewon and Richardson, Matthew. "The Volatility of a Firm's Assets" Feb. 2009

Cipollini, Fabrizio; Engle, Robert; and Gallo, Giampiero. “Semiparametric vector MEM” Feb. 2009

Colacito, Riccardo; Engle, Robert; and Ghysels, Eric. “A component model for dynamic correlations” Feb. 2009

Colacito, Riccardo and Engle, Robert. “Term structure of risk, the role of Known and Unknown Risks and Non-stationary Distributions” Feb. 2009

Cooley, Thomas; Yorukoglu, Mehmet. "The New Economy: Some Macroeconomic Implications of an Information Age" 2001

Corsetti, Giancarlo; Roubini, Nouriel; Guimares, Bernardo. “International Lending of Last Resort Moral Hazard: A Model of IMF’s Catalytic Finance” 2006

Corsetti, Giancarlo; Roubini, Nouriel. “The IMF Catalytic Finance Approach: Theory and Empirical Evidence” 2004

Corsetti, Giancarlo; Roubini, Nouriel. “Debt Standstill as Solutions to Sovereign Debt Crises: A Global Games Approach” 2004

Deo, Rohit; Hurvich, Clifford; Soulier, P., Wang, Y. “Conditions for the Propagation of Memory Parameter from Durations to Counts and Realized Volatility” Nov. 2008

Deuskar, Prachi; Gupta, Anurag and Subrahmanyam, Marti G. “Liquidity Effects in Interest Rate Options Markets: Premium or Discount?” March 2007

Deuskar, Prachi; Gupta, Anurag and Subrahmanyam, Marti G. “The economic determinants of interest rate option smiles” May 2007

Edmans, Alex and Gabaix, Xavier. “Is CEO Pay Really Inefficient? A Survey of New Optimal Contracting Theories” Feb. 2009

Edmans, Alex and Gabaix, Xavier. “Tractability and Detail-Neutrality in Incentive Contracting” Feb. 2009

Edmans, Alex; Gabaix, Xavier and Landier, Augustin. “A Calibratable Model of Optimal CEO Incentives in Market Equilibrium” Nov. 2007

Engle, Robert: "Long Term Skewness and Systemic Risk" SoFiE Presidential Address, 2009

Engle, Robert; Ghysels, Eric and Sohn, Bumjean. “On the Economic Sources of Stock Market Volatility” Feb. 2009

Engle, Robert and Mistry, Abhishek. “Priced Risk and Asymmetric Volatility in the Cross-Section of Skewness” Feb. 2009

Engle, Robert and Kelly, Bryan. “Dynamic Equicorrelation” Feb. 2009

Engle, Robert; Gallo, Giampiero and Velucchi, Margherita. “A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets” Feb. 2009

Figlewski, Stephen. “Estimating the Implied Risk Neutral Density” Aug. 2008

Gabaix, Xavier. “Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices” Sep. 2007

Greene, William. "A Stochastic Frontier Model with Correction for Sample Selection" 2008

Greene, William. "Discrete Choice Modeling" 2007

Greene, William. "Functional Form and Heterogeneity in Models for Count Data" 2007

Greene, William. "Correlation in Bivariate Poisson Regression Model" 2007

Greene, William. "Fixed and Random Effects Models for Count Data" 2007

Harris, Mark N.; Hollingworth, Bruce; Greene, William; Maitra, Pushkar. “A Bivariate Latent Class Correlated Generalized Ordered Probit Model with an Application to Modeling” 2008

Hasbrouck, Joel. “Trading Costs and Returns for US Equities: Estimating Effective Costs from Daily Data” Aug. 2006

Hasbrouck, Joel; Saar, Gideon. “Technology and Liquidity Provision: The Blurring of Traditional Definitions” Dec. 2007

Hasbrouck, Joel; Saar, Gideon. “Limit Orders and Volatility in a Hybrid Market: The Island ECN” April 2008

Hasbrouck, Joel. “Price Discovery Analysis in SAS”

Hasbrouck, Joel. “Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data” Aug. 1998

Hensher, David A.; Greene, William H. "Modeling Ordered Choices: A Primer and Recent Developments" 2008

Hsieh, Mengchen; Hurvich, Clifford; Soulier, Philippe. "Asymptotics for Dauration-Driven Long Range Dependent Processes" Dec. 2004

Hurvich, Clifford; Sela, Rebecca J. “Computationally Efficient Gaussian Maximum Likelihood Methods for Vector ARFIMA Models.” Nov. 2008

Hurvich, Clifford; Moulines, Eric; Soulier, Philippe. "Estimating Long Memory in Volatility" Dec. 2008

Jankowitsch, Rainer; Nashikkar, Amrut; Subrahmanyam, Marti. “Price Dispersion in OTC Markets: A New Measure of Liquidity” Feb. 2009

Kahan, Marcel; Leshem, Shmuel; Sundaram, Rangarajan. "First Purchase Rights: An Economic Analysis" Oct. 2008

Kim, Soyoung; Roubini, Nouriel. “Twin Deficit or Twin Divergence? Fiscal Policy, Current Account and the Real Exchange Rate in the US” 2004

Ljungqvist, Alexander; Richardson, Matthew and Wolfenzon, Daniel. “The Investment Behavior of Buyout Funds:Theory and Evidence” June 2007

Longstaff, Francis A.; Pan, Jun; Jun Pan; Pedersen, Lasse Heje; and Singleton, Kenneth J. “How Sovereign is Sovereign Credit Risk?” Dec. 2007

Lustig, Hanno; Van Nieuwerburgh, Stijn; and Verdelhan, Adrien. “The Wealth-Consumption Ratio” Feb. 2009

Lustig, Hanno; Syverson, Chad; Van Nieuwerburgh, Stijn. “Technological Change and the Growing Inequality in Managerial Compensation” Feb. 2009

Lynch, Anthony and Wachter, Jessica. “Using Samples of Unequal Length in Generalized Method of Moments Estimation” Feb. 2009

Mahanti, Sriketan; Nashikkar, Amrut; Subrahmanyam, Marti. “Limited arbitrage and liquidity in the market for credit risk” Feb. 2009

Mahanti, Sriketan; Nashikkar, Amrut; Subrahmanyam, Marti G. “Latent Liquidity and Corporate Bond Yield Spreads” Nov. 2007

Manasse, Paolo; Roubini, Nouriel; Schimmelpfennig, Axel. “Predicting Sovereign Debt Crises” 2003

Manasse, Paolo; Roubini, Nouriel. “Rules of Thumb for Sovereign Debt Crises: a CART (Classification and Regression Tree) Approach” 2004

Marisetty, Vijaya; Subrahmanyam, Marti. “Group Affiliation and the Performance of Initial Public Offerings in the Indian Stock Market” Sep. 2006

Moreno, Antonia; Roubini, Nouriel. “Fiscal Policy and Debt Sustainability in Venezuela”

Nashikkar, Amrut and Pedersen, Lasse Heje. “Corporate Bond Specialness” Feb. 2007

Philippon, Thomas and Sannikov, Yuliy. “Real Options in a Dynamic Agency Model, with Applications to Financial Development, IPOs, and Business Risk” Oct. 2007

Philippon, Thomas. “Financiers vs. Engineers:Should the Financial Sector be Taxed or Subsidized?” Oct. 2007

Philippon, Thomas and Reshef, Ariell. “Skill Biased Financial Development: Education, Wages and Occupations in the U.S. Financial Sector” Sep. 2007

Philippon, Thomas. “The Equilibrium Size of the Financial Sector” Aug. 2007

Roubini, Nouriel; Setser, Brad. “The Effect of the Recent Oil Price Shock on the US and Global Economy” 2004

Roubini, Nouriel; Setser, Brad. “The U.S. Twin Deficits and External Debt Accumulation: Are They Sustainable?” 2004

Sundaram, Rangarajan; Yoonus, C.A. "On the Hedging Efficacy of Commodity Futures Contracts: A Comment" Oct. 2008