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Grishchenko, Olesya V.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
2,771 |
Total
Citations
60 |
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1.
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Inflation Risk Premium: Evidence from the Tips Market
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Grishchenko, Olesya V.
Federal Reserve Board Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance
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Posted:
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21 Mar 08
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Last Revised:
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10 May 12
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923
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11
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Grishchenko, Olesya V.
Federal Reserve Board Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance
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56
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11
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TIPS market, expected inflation, inflation risk premium, term structure of real rates, TIPS liquidity
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Grishchenko, Olesya V.
Federal Reserve Board Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance
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178
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Grishchenko, Olesya V.
Federal Reserve Board Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance
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77
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11
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TIPS market, inflation risk premium, expected inflation
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Grishchenko, Olesya V.
Federal Reserve Board Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance
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21 Mar 08
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Last Revised:
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10 May 12
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612
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TIPS market, inflation risk premium, TIPS liquidity, expected inflation, term structure of real rates, liquidity
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2.
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Grishchenko, Olesya V.
Federal Reserve Board Litov, Lubomir P.
University of Arizona - Department of Finance Mei, Jianping
New York University (NYU) - Department of Finance
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614
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12
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3.
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Grishchenko, Olesya V.
Federal Reserve Board
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05 Mar 07
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Last Revised:
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24 Sep 11
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377
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9
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Asset pricing, consumption-based asset pricing models, time non-separabilities, external habit, internal habit, long horizon returns
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4.
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Dai, Qiang
University of North Carolina (UNC) at Chapel Hill - Finance Area Grishchenko, Olesya V.
Federal Reserve Board
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14 Dec 05
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Last Revised:
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29 Jan 10
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170
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1
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consumption-based asset pricing model, habit formation, stochastic habit, time-varying risk-premium
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5.
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Grishchenko, Olesya V.
Federal Reserve Board Litov, Lubomir P.
University of Arizona - Department of Finance Mei, Jianping
New York University (NYU) - Department of Finance
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124
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12
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6.
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Grishchenko, Olesya V.
Federal Reserve Board Rossi, Marco
University of Notre Dame - Department of Finance
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17 Feb 09
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Last Revised:
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15 Nov 11
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121
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1
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aggregation, incomplete markets, clustering approach, household consumption, idiosyncratic consumption risk, Euler equations
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7.
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Habit Formation Heterogeneity: Implications for Aggregate Asset Pricing
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Versions (4)
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Grishchenko, Olesya V.
Federal Reserve Board Dubin, Eduard
Goethe University Frankfurt - Department of Finance
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Posted:
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17 Dec 11
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Last Revised:
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21 Jan 13
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104
(131,392)
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2
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Grishchenko, Olesya V.
Federal Reserve Board Dubin, Eduard
Goethe University Frankfurt - Department of Finance
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16 Sep 12
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Last Revised:
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21 Jan 13
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18
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2
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consumption-based asset pricing models, external habit, internal habit, heterogeneity, time nonseparability, general equilibrium, recursive solution
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Grishchenko, Olesya V.
Federal Reserve Board Dubin, Eduard
Goethe University Frankfurt - Department of Finance Kartashov, Vasily
affiliation not provided to SSRN
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9
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2
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asset pricing, consumption-based asset pricing models, external habit, internal habit, heterogeneity, time-nonseparability, general equilibrium, recursive solution
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Grishchenko, Olesya V.
Federal Reserve Board Dubin, Eduard
Goethe University Frankfurt - Department of Finance Kartashov, Vasily
affiliation not provided to SSRN
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30
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2
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Consumption-based asset pricing models, external habit, internal habit, heterogeneity, time nonseparability, general equilibrium, recursive solution
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Grishchenko, Olesya V.
Federal Reserve Board Dubin, Eduard
Goethe University Frankfurt - Department of Finance Kartashov, Vasily
affiliation not provided to SSRN
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17 Dec 11
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Last Revised:
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11 Jun 12
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47
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2
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asset pricing, consumption-based asset pricing models, external habit, internal habit, heterogeneity, time nonseparability, general equilibrium, recursive solution
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8.
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Grishchenko, Olesya V.
Federal Reserve Board Vanden, Joel M.
Pennsylvania State University - Mary Jean and Frank P. Smeal College of Business Administration Zhang, Jianing
Pennsylvania State University - Mary Jean and Frank P. Smeal College of Business Administration
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22 Oct 10
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Last Revised:
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04 Oct 11
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98
(136,920)
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TIPS, embedded option, inflation, deflation, term structure
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9.
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Grishchenko, Olesya V.
Federal Reserve Board
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11 Jun 09
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Last Revised:
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24 Sep 11
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90
(145,002)
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real business cycle models, monetary shocks, equity premium, Sharpe ratio, inflation risk premium, volatility of the risk-free rate
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10.
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Grishchenko, Olesya V.
Federal Reserve Board Huang, Jing-Zhi
Pennsylvania State University - University Park - Department of Finance
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16 Sep 12
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Last Revised:
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23 Jan 13
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60
(185,110)
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11
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TIPS market, inflation risk premium, expected inflation, term structure of real rates, liquidity
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11.
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An Empirical Investigation of Consumption-Based Asset Pricing Models with Stochastic Habit Formation
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Versions (2)
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hide multiple versions |
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Dai, Qiang
affiliation not provided to SSRN Grishchenko, Olesya V.
Federal Reserve Board
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Posted:
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11 Nov 11
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Last Revised:
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20 Aug 12
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35
(230,523)
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1
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Grishchenko, Olesya V.
Federal Reserve Board Dai, Qiang
affiliation not provided to SSRN
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8
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1
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asset pricing, consumption-based asset pricing models, habit formation, stochastic internal habit, aggregate equity and bond returns
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Dai, Qiang
affiliation not provided to SSRN Grishchenko, Olesya V.
Federal Reserve Board
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| Posted: |
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11 Nov 11
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Last Revised:
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20 Aug 12
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27
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1
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consumption-based asset pricing models, habit formation, stochastic internal habit, aggregate equity and bond returns
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12.
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Grishchenko, Olesya V.
Federal Reserve Board Vanden, Joel M.
Pennsylvania State University - Mary Jean and Frank P. Smeal College of Business Administration Zhang, Jianing
Pennsylvania State University - Mary Jean and Frank P. Smeal College of Business Administration
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34
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TIPS, embedded option, inflation, deflation, term structure
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13.
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The Informational Content of the Embedded Deflation Option in TIPS
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Show Abstracts |
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Grishchenko, Olesya V.
Federal Reserve Board Vanden, Joel M.
Pennsylvania State University - Mary Jean and Frank P. Smeal College of Business Administration Zhang, Jianing
Pennsylvania State University - Mary Jean and Frank P. Smeal College of Business Administration
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Posted:
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16 Sep 12
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Last Revised:
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11 May 13
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21
(274,852)
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Grishchenko, Olesya V.
Federal Reserve Board Vanden, Joel M.
Pennsylvania State University - Mary Jean and Frank P. Smeal College of Business Administration Zhang, Jianing
Pennsylvania State University - Mary Jean and Frank P. Smeal College of Business Administration
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3
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TIPS, embedded option, inflation, deflation, term structure
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Grishchenko, Olesya V.
Federal Reserve Board Vanden, Joel M.
Pennsylvania State University - Mary Jean and Frank P. Smeal College of Business Administration Zhang, Jianing
Pennsylvania State University - Mary Jean and Frank P. Smeal College of Business Administration
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| Posted: |
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16 Sep 12
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Last Revised:
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23 Jan 13
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18
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TIPS, embedded option, inflation, deflation, term structure
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