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Backus, David K.'s
Scholarly Papers
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2,699 |
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Citations
640 |
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1.
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Backus, David K.
NYU Stern School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business
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1,012
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33
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Currency options, skewness and kurtosis, Gram-Charlier expansions, implied volatility
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2.
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Recursive Preferences
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Backus, David K.
NYU Stern School of Business
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Posted:
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12 Dec 05
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Last Revised:
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30 Jun 09
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345
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Backus, David K.
NYU Stern School of Business Routledge, Bryan
Carnegie Mellon University - David A. Tepper School of Business Zin, Stanley E.
New York University (NYU)
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130
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time preference, risk, uncertainty, ambiguity, robust control, temptation, dynamic consistency, hyperbolic discounting, precautionary saving, equity premium, risk sharing
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Backus, David K.
NYU Stern School of Business
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215
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time preference, risk, uncertainty, ambiguity, robust control, temptation, dynamic consistency, hyperbolic discounting, precautionary saving, equity premium, risk sharing
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3.
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Exotic Preferences for Macroeconomists
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Backus, David K.
NYU Stern School of Business
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Posted:
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08 Jul 04
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Last Revised:
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16 Dec 08
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172
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38
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Backus, David K.
NYU Stern School of Business Routledge, Bryan
Carnegie Mellon University - David A. Tepper School of Business Zin, Stanley E.
New York University (NYU)
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29
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38
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time preference, risk, uncertainty, ambiguity, robust control, temptation, dynamic consistency, hyperbolic discounting, precautionary saving, equity premium, risk sharing
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Backus, David K.
NYU Stern School of Business Routledge, Bryan
Carnegie Mellon University - David A. Tepper School of Business Zin, Stanley E.
Carnegie Mellon University
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26
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38
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time preference, risk, uncertainty, ambiguity, robust control, temptation, dynamic consistency, hyperbolic discounting, precautionary saving, equity premium, risk sharing
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Backus, David K.
NYU Stern School of Business
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0
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Time preference, risk, uncertainty, ambiguity, robust control, temptation, dynamic consistency
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Backus, David K.
NYU Stern School of Business Routledge, Bryan
Carnegie Mellon University - David A. Tepper School of Business Zin, Stanley E.
Carnegie Mellon University
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117
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38
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4.
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Cracking the Conundrum
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Backus, David K.
NYU Stern School of Business Wright, Jonathan H.
Board of Governors of the Federal Reserve System - Trade and Financial Studies Section
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Posted:
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18 Sep 07
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Last Revised:
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02 Sep 10
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149
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16
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Backus, David K.
NYU Stern School of Business Wright, Jonathan H.
Board of Governors of the Federal Reserve System - Trade and Financial Studies Section
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28
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16
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yield curve, forward rates, volatility, term premium, affine models, monetary policy
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Backus, David K.
NYU Stern School of Business Wright, Jonathan H.
Board of Governors of the Federal Reserve System - Trade and Financial Studies Section
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83
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16
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Yield curve, forward rates, volatility, term premium, affine models, monetary policy
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Backus, David K.
NYU Stern School of Business Wright, Jonathan H.
Board of Governors of the Federal Reserve System - Trade and Financial Studies Section
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38
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16
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5.
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Backus, David K.
NYU Stern School of Business Zin, Stanley E.
New York University (NYU) Gavazzoni, Federico
INSEAD Telmer, Chris
Carnegie Mellon University - David A. Tepper School of Business
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145
(101,017)
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6
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Uncovered interest parity, carry trade, exchange rates, Taylor rule
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6.
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Backus, David K.
NYU Stern School of Business Kehoe, Patrick J.
Federal Reserve Bank of Minneapolis - Research Department Kydland, Finn
Carnegie Mellon University - David A. Tepper School of Business
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130
(110,761)
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119
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7.
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Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing
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Backus, David K.
NYU Stern School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Zin, Stanley E.
New York University (NYU)
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Posted:
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13 Jul 00
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Last Revised:
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15 Dec 08
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109
(127,295)
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24
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Backus, David K.
NYU Stern School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Zin, Stanley E.
New York University (NYU)
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70
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15
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bond prices and yields, forward rates, time-dependent drift and volatility, options
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Backus, David K.
NYU Stern School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Zin, Stanley E.
Carnegie Mellon University
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39
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24
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8.
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Backus, David K.
NYU Stern School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Telmer, Chris
Carnegie Mellon University - David A. Tepper School of Business
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98
(137,243)
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32
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9.
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Backus, David K.
NYU Stern School of Business Henriksen, Espen
University of Oslo - Department of Economics Lambert, Frederic J.
International Monetary Fund (IMF) Telmer, Chris
Carnegie Mellon University - David A. Tepper School of Business
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58
(187,189)
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22
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10.
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Backus, David K.
NYU Stern School of Business Kehoe, Patrick J.
Federal Reserve Bank of Minneapolis - Research Department Kydland, Finn
Carnegie Mellon University - David A. Tepper School of Business
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58
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124
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11.
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Reverse Engineering the Yield Curve
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Backus, David K.
NYU Stern School of Business Zin, Stanley E.
Carnegie Mellon University
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Posted:
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14 Sep 99
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Last Revised:
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23 Apr 08
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50
(200,669)
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31
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Backus, David K.
NYU Stern School of Business Zin, Stanley E.
Carnegie Mellon University
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50
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31
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Backus, David K.
NYU Stern School of Business Zin, Stanley E.
Carnegie Mellon University
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0
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12.
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The Forward Premium Anomaly: Three Examples in Search of a Solution
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Backus, David K.
NYU Stern School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Telmer, Chris
Carnegie Mellon University - David A. Tepper School of Business
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Posted:
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22 Aug 98
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Last Revised:
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16 Dec 08
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50
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4
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Backus, David K.
NYU Stern School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Telmer, Chris
affiliation not provided to SSRN
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50
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4
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forward and spot exchange rates, risk premium, pricing kernels, bond pricing
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Backus, David K.
NYU Stern School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Telmer, Chris
Carnegie Mellon University - David A. Tepper School of Business
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0
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13.
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Backus, David K.
NYU Stern School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Telmer, Chris
Carnegie Mellon University - David A. Tepper School of Business
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49
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22
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14.
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Taxes and the Global Allocation of Capital
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Backus, David K.
NYU Stern School of Business Henriksen, Espen
University of Oslo - Department of Economics Storeletten, Kjetil
affiliation not provided to SSRN
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Posted:
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29 Nov 07
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Last Revised:
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09 Nov 08
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43
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3
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Backus, David K.
NYU Stern School of Business Henriksen, Espen
University of Oslo - Department of Economics Storeletten, Kjetil
affiliation not provided to SSRN
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22
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3
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capital, taxes, capital-output ratio, international capital flows
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Backus, David K.
NYU Stern School of Business Henriksen, Espen
University of Oslo - Department of Economics Storesletten, Kjetil
Stockholm University - Institute for International Economic Studies (IIES)
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21
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3
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15.
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Backus, David K.
NYU Stern School of Business Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Mozumdar, Abon
Virginia Polytechnic Institute & State University - Department of Finance
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41
(218,019)
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57
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16.
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Backus, David K.
NYU Stern School of Business Crucini, Mario J.
Vanderbilt University - College of Arts and Science - Department of Economics
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41
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36
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17.
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Backus, David K.
NYU Stern School of Business Gavazzoni, Federico
INSEAD Telmer, Chris
Carnegie Mellon University - David A. Tepper School of Business Zin, Stanley E.
New York University (NYU)
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34
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6
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18.
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Sources of Entropy in Representative Agent Models
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Backus, David K.
NYU Stern School of Business Chernov, Mikhail
London School of Economics Zin, Stanley E.
New York University (NYU)
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Posted:
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13 Jul 11
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Last Revised:
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15 Oct 11
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33
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6
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Backus, David K.
NYU Stern School of Business Chernov, Mikhail
London School of Economics Zin, Stanley E.
Leonard N. Stern School of Business - Department of Economics
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1
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6
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asset returns, bond yields, disasters, habits, jumps, pricing kernel, recursive preferences
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Backus, David K.
NYU Stern School of Business Chernov, Mikhail
London School of Economics Zin, Stanley E.
New York University (NYU)
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6
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6
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Backus, David K.
NYU Stern School of Business Chernov, Mikhail
London School of Economics Zin, Stanley E.
New York University (NYU)
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26
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6
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pricing kernel, asset returns, bond yields, recursive preferences, habits, jumps, disasters
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19.
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Backus, David K.
NYU Stern School of Business Kydland, Finn
Carnegie Mellon University - David A. Tepper School of Business Kehoe, Patrick J.
Federal Reserve Bank of Minneapolis - Research Department
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25
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9
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20.
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Disasters Implied by Equity Index Options
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Backus, David K.
NYU Stern School of Business Chernov, Mikhail
London School of Economics Martin, Ian
Stanford University
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Posted:
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18 Aug 09
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Last Revised:
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24 Aug 10
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22
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32
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Backus, David K.
NYU Stern School of Business Chernov, Mikhail
London School of Economics Martin, Ian
Stanford University
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4
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32
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cumulants, entropy, equity premium, implied volatility, pricing kernel, risk-neutral probabilities
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Backus, David K.
NYU Stern School of Business Chernov, Mikhail
London School of Economics Martin, Ian
Stanford University
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18
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21.
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Backus, David K.
NYU Stern School of Business Zin, Stanley E.
Carnegie Mellon University
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20
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21
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22.
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The Japanese Trade Balance: Recent History and Future Prospects
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Backus, David K.
NYU Stern School of Business
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Posted:
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11 May 00
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Last Revised:
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23 Apr 08
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15
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2
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Backus, David K.
NYU Stern School of Business
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15
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Backus, David K.
NYU Stern School of Business
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0
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23.
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Backus, David K.
NYU Stern School of Business Klapper, Leora F.
World Bank Telmer, Chris
Carnegie Mellon University - David A. Tepper School of Business
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