Sirio Aramonte

Board of Governors of the Federal Reserve System

Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

7

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in Total Papers Downloads

698

CITATIONS

0

Scholarly Papers (7)

Firm-Specific Risk-Neutral Distributions: The Role of CDS Spreads

Number of pages: 59 Posted: 31 Jan 2017 Last Revised: 11 Aug 2017
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, University of North Carolina, Kenan-Flagler Business School and Board of Governors of the Federal Reserve System
Downloads 121 (197,720)

Abstract:

Risk neutral distributions, CDS spreads, Cross-section of expected returns

Firm-Specific Risk-Neutral Distributions: The Role of CDS Spreads

FRB International Finance Discussion Paper No. 1212
Number of pages: 62 Posted: 07 Sep 2017
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and University of North Carolina, Kenan-Flagler Business School
Downloads 22 (455,623)

Abstract:

Risk neutral distributions, CDS spreads, Cross-section of expected returns

2.

Dynamic Factor Value-at-Risk for Large Heteroskedastic Portfolios

FEDS Working Paper No. 2011-19
Number of pages: 35 Posted: 20 May 2011 Last Revised: 18 Nov 2012
Sirio Aramonte, Marius Rodriguez and Jason Wu
Board of Governors of the Federal Reserve System, Federal Reserve Board and Board of Governors of the Federal Reserve System
Downloads 107 (196,958)

Abstract:

Risk Management, Value-at-Risk, Dynamic Factor Models

3.

Macroeconomic Uncertainty and the Cross-Section of Option Returns

Number of pages: 43 Posted: 18 Nov 2012 Last Revised: 21 Nov 2012
Sirio Aramonte
Board of Governors of the Federal Reserve System
Downloads 88 (229,161)

Abstract:

Option Pricing, Macroeconomic Uncertainty

Firm-level R&D After Periods of Intense Technological Innovation: The Role of Investor Sentiment

Number of pages: 56 Posted: 13 Sep 2013 Last Revised: 26 Mar 2016
Sirio Aramonte
Board of Governors of the Federal Reserve System
Downloads 44 (357,981)

Abstract:

Investor sentiment; technological innovation; R&D

Innovation, Investor Sentiment, and Firm-Level Experimentation

FEDS Working Paper No. 2015-067, http://dx.doi.org/10.17016/FEDS.2015.067
Number of pages: 47 Posted: 01 Sep 2015
Sirio Aramonte
Board of Governors of the Federal Reserve System
Downloads 42 (364,974)

Abstract:

Investor sentiment, R&D, Technological innovation

5.

Risk Taking and Low Longer-Term Interest Rates: Evidence from the U.S. Syndicated Loan Market

FEDS Working Paper No. 2015-068, http://dx.doi.org/10.17016/FEDS.2015.068
Number of pages: 45 Posted: 21 Sep 2015 Last Revised: 19 Jun 2017
Sirio Aramonte, Seung Jung Lee and Viktors Stebunovs
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 85 (251,275)

Abstract:

Syndicated loans, Shared National Credit Program, Shadow banking, Zero lower bound, Search for yield, Risk-taking channel of monetary policy

Assessing and Combining Financial Conditions Indexes

Number of pages: 38 Posted: 24 May 2013
Sirio Aramonte, Samuel Rosen and John W. Schindler
Board of Governors of the Federal Reserve System, University of North Carolina, Kenan-Flagler Business School and Board of Governors of the Federal Reserve System
Downloads 71 (282,485)

Abstract:

Financial conditions indexes, stock returns predictability, forecasting

Assessing and Combining Financial Conditions Indexes

FEDS Working Paper No. 2013-39
Number of pages: 39 Posted: 31 May 2017
Sirio Aramonte, John W. Schindler and Samuel Rosen
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and University of North Carolina, Kenan-Flagler Business School
Downloads 5 (551,910)

Abstract:

7.

Institutions and Return Predictability in Oil-Exporting Countries

FEDS Working Paper No. 2015-014, http://dx.doi.org/10.17016/FEDS.2015.014
Number of pages: 31 Posted: 07 Apr 2015
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System (FRB)
Downloads 63 (244,083)

Abstract:

Country studies, Quality of institutions, Return predictability