.
Benzoni, Luca's
Scholarly Papers
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column.
Aggregate Statistics
Total 6,877
Total Citations 312
1.
Andersen, Torben G. Northwestern University - Kellogg School of Management
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Posted:
12 Feb 08
Last Revised:
05 Dec 08
1,472(4,881)
16
Realized Volatility, Stochastic Volatility, Quadratic Variation, Bipower Variation, Variance Swap, Impled Volatility
2.
Stochastic Volatility
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Andersen, Torben G. Northwestern University - Kellogg School of Management
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Posted:
21 Dec 07
Last Revised:
16 Jul 10
1,076(8,338)
1
Andersen, Torben G. Northwestern University - Kellogg School of Management
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
157
1
Stochastic Volatility, Realized Volatility, Implied Volatility, Options, Volatility Smirk, Volatility Smile, Dynamic Term Structure Models, Affine Models
Andersen, Torben G. Northwestern University - Kellogg School of Management
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Posted:
21 Dec 07
Last Revised:
16 Jul 10
919
1
Stochastic Volatility, Realized Volatility, Impled Volatility, Options, Smirk, Smile, Term Structure of Interest Rates, Affine Models
3.
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Collin-Dufresne, Pierre Columbia Business School - Finance and Economics
Goldstein, Robert S. University of Minnesota - Twin Cities - Carlson School of Management
764(14,253)
48
Human Capital, Risky Labor Income, Limited Stock Market Participation, Portfolio Choice, Life Cycle
4.
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
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Andersen, Torben G. Northwestern University - Kellogg School of Management
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Posted:
15 Mar 06
Last Revised:
03 Sep 10
690(16,509)
17
Andersen, Torben G. Northwestern University - Kellogg School of Management
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
24
17
Andersen, Torben G. Northwestern University - Kellogg School of Management
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Posted:
15 Mar 06
Last Revised:
25 Jun 08
666
17
Interest Rate Volatility, Hedging, Volatility Risk, Unspanned Stochastic Volatility, Affine Models, Term Structure Models
5.
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Collin-Dufresne, Pierre Columbia Business School - Finance and Economics
Goldstein, Robert S. University of Minnesota - Twin Cities - Carlson School of Management
556(22,358)
18
Volatility smile, volatility smirk, implied volatility, option pricing, portfolio insurance, market risk
6.
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Schenone, Carola University of Virginia - McIntire School
Posted:
15 Oct 04
Last Revised:
03 Jun 09
465(28,366)
4
Conflicts of interest, lending relationships, IPOs, Glass Steagall Act
7.
Portfolio Choice Over the Life-Cycle in the Presence of 'Trickle Down' Labor Income
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Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Collin-Dufresne, Pierre Columbia Business School - Finance and Economics
Goldstein, Robert S. University of Minnesota - Twin Cities - Carlson School of Management
Posted:
23 Jan 05
Last Revised:
01 Jul 11
390(35,547)
14
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Collin-Dufresne, Pierre Columbia Business School - Finance and Economics
Goldstein, Robert S. University of Minnesota - Twin Cities - Carlson School of Management
36
14
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Collin-Dufresne, Pierre Columbia Business School - Finance and Economics
Goldstein, Robert S. University of Minnesota - Twin Cities - Carlson School of Management
354
14
Labor Income Risk, Optimal Portfolio Choice, Limited Stock Market Participation, Human Capital
8.
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Collin-Dufresne, Pierre Columbia Business School - Finance and Economics
Goldstein, Robert S. University of Minnesota - Twin Cities - Carlson School of Management
Posted:
05 Feb 07
Last Revised:
01 Jul 11
361(39,059)
4
Volatility Smile, Volatility Smirk, Implied Volatility, Option Pricing, Portfolio Insurance, Market Risk, Individual Stock Options
9.
Investing over the Life Cycle with Long-Run Labor Income Risk
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Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Chyruk, Olena Federal Reserve Bank of Chicago
Posted:
24 Jul 08
Last Revised:
15 Oct 09
264(56,372)
1
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Chyruk, Olena Federal Reserve Bank of Chicago
60
1
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Chyruk, Olena Federal Reserve Bank of Chicago
Posted:
24 Jul 08
Last Revised:
14 Jun 09
204
1
Human Capital, Labor Income Risk, Long-Run Risk, Limited Stock Market Participation, Portfolio Choice, Life Cycle
10.
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Collin-Dufresne, Pierre Columbia Business School - Finance and Economics
Goldstein, Robert S. University of Minnesota - Twin Cities - Carlson School of Management
Posted:
27 Jan 10
Last Revised:
01 Jul 11
242(61,950)
16
Volatility Smile, Volatility Smirk, Implied Volatility, Option Pricing, Portfolio Insurance, Market Risk
11.
Ajello, Andrea Federal Reserve Board
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Chyruk, Olena Federal Reserve Bank of Chicago
Posted:
29 May 11
Last Revised:
23 Dec 12
168(89,261)
1
term structure of interest rates, real rates, inflation, inflation risk premium, real rate risk premium
12.
Modeling Credit Contagion Via the Updating of Fragile Beliefs
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Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Collin-Dufresne, Pierre Columbia Business School - Finance and Economics
Goldstein, Robert S. University of Minnesota - Twin Cities - Carlson School of Management
Helwege, Jean University of South Carolina
Posted:
05 Mar 12
Last Revised:
24 Nov 12
137(107,655)
2
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Collin-Dufresne, Pierre Columbia Business School - Finance and Economics
Goldstein, Robert S. University of Minnesota - Twin Cities
Helwege, Jean University of South Carolina
25
2
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Collin-Dufresne, Pierre Columbia Business School - Finance and Economics
Goldstein, Robert S. University of Minnesota - Twin Cities - Carlson School of Management
Helwege, Jean University of South Carolina
112
2
Contagion, sovereign risk, CDS pricing, fragile beliefs, learning, affine models
13.
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Schenone, Carola University of Virginia - McIntire School
95(141,389)
5
Glass-Steagall Act, IPOs, Certification, Conflict of Interest, Lending Relationships
14.
No-Arbitrage Restrictions and the U.S. Treasury Market
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Ajello, Andrea Federal Reserve Board
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Chyruk, Olena Federal Reserve Bank of Chicago
Posted:
08 May 12
Last Revised:
20 Jul 12
79(159,204)
Ajello, Andrea Federal Reserve Board
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Chyruk, Olena Federal Reserve Bank of Chicago
Posted:
17 Jul 12
Last Revised:
20 Jul 12
36
no-arbitrage restrictions, U.S. Treasury market, dynamic term structure models, affine models, limits to arbitrage, Asset Pricing, Trading volume, Bond Interest Rates, Interest Rates: Determination, Term Structure, and Effects, Banks, Other Depository Institutions, Micro Finance Institutions
Ajello, Andrea Federal Reserve Board
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Chyruk, Olena Federal Reserve Bank of Chicago
Posted:
08 May 12
Last Revised:
02 Jun 12
43
No-arbitrage restrictions, U.S. Treasury market, dynamic term structure models, affine models, limits to arbitrage
15.
An Empirical Investigation of Continuous-Time Equity Return Models
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Andersen, Torben G. Northwestern University - Kellogg School of Management
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Lund, Jesper Copenhagen Business School - Department of Finance
Posted:
29 Sep 01
Last Revised:
18 Jun 08
70(171,029)
146
Andersen, Torben G. Northwestern University - Kellogg School of Management
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Lund, Jesper Copenhagen Business School - Department of Finance
0
Andersen, Torben G. Northwestern University - Kellogg School of Management
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Lund, Jesper Copenhagen Business School - Department of Finance
70
146
16.
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Collin-Dufresne, Pierre Columbia Business School - Finance and Economics
Goldstein, Robert S. University of Minnesota - Twin Cities - Carlson School of Management
36(230,844)
18
17.
Ajello, Andrea Federal Reserve Board
Benzoni, Luca Federal Reserve Bank of Chicago - Research Department
Chyruk, Olena Federal Reserve Bank of Chicago
12(306,539)
1
term structure of interest rates, real rates, inflation, inflation risk premium
