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Gibson, Michael S.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
16,309 |
Total
Citations
171 |
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1.
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Gibson, Michael S.
Federal Reserve Board
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2,367
(2,115)
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44
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Management Turnover, Performance, Ownership Concentration
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2.
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Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
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Bollerslev, Tim
Duke University - Finance Gibson, Michael S.
Federal Reserve Board Zhou, Hao
PBC School of Finance, Tsinghua University
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Posted:
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25 Jan 05
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Last Revised:
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25 Sep 09
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2,365
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68
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Bollerslev, Tim
Duke University - Finance Gibson, Michael S.
Federal Reserve Board Zhou, Hao
PBC School of Finance, Tsinghua University
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23 Jun 08
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Last Revised:
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25 Sep 09
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262
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68
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Stochastic Volatility Risk Premium, Model-Free Implied Volatility, Model-Free Realized Volatility, Black-Scholes, GMM Estimation, Return Predictability
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Bollerslev, Tim
Duke University - Finance Gibson, Michael S.
Federal Reserve Board Zhou, Hao
PBC School of Finance, Tsinghua University
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25 Jan 05
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Last Revised:
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13 Mar 09
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2,103
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68
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Stochastic Volatility Risk Premium, Model-Free Implied Volatility, Model-Free Realized Volatility, Black-Scholes, GMM Estimation, Return Predictability
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3.
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Gibson, Michael S.
Federal Reserve Board
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2,101
(2,610)
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1
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4.
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Gibson, Michael S.
Federal Reserve Board
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1,999
(2,825)
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36
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Credit derivatives, credit risk, collateralized debt obligation
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5.
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Gibson, Michael S.
Federal Reserve Board
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1,684
(3,804)
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2
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Credit risk, credit index tranches, counterparty risk, rating agencies, model risk
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6.
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Gibson, Michael S.
Federal Reserve Board
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1,411
(5,193)
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5
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7.
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Gibson, Michael S.
Federal Reserve Board
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1,212
(6,710)
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2
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8.
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Gibson, Michael S.
Federal Reserve Board
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1,005
(9,218)
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4
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Counterparty risk, collateral, margin, derivatives
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9.
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Gibson, Michael S.
Federal Reserve Board
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835
(12,330)
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4
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Specific risk, market risk, jump risk, jump diffusion, default risk
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10.
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Mosser, Patricia
Federal Reserve Banks - Federal Reserve Bank of New York Fender, Ingo
Bank for International Settlements (BIS) Gibson, Michael S.
Federal Reserve Board
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592
(20,331)
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1
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risk management, stress test scenarios, G-10 central banks
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11.
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Gibson, Michael S.
Federal Reserve Board Pritsker, Matt
Federal Reserve Bank of Boston
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485
(26,543)
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1
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Scenario simulation, principal components, partial least squares, Monte Carlo
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12.
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Fender, Ingo
Bank for International Settlements (BIS) Gibson, Michael S.
Federal Reserve Board
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253
(58,469)
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3
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banks, stress testing
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13.
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Gibson, Michael S.
Federal Reserve Board
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14.
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Gibson, Michael S.
Federal Reserve Board Boyer, Brian H.
Brigham Young University - J. Willard and Alice S. Marriott School of Management
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15.
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Boyer, Brian H.
Brigham Young University - J. Willard and Alice S. Marriott School of Management Gibson, Michael S.
Federal Reserve Board Loretan, Mico
IMF Institute, International Monetary Fund
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16.
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Ammer, John
U.S. Federal Reserve Board of Governors Gibson, Michael S.
Federal Reserve Board
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