Ian Dew-Becker

Kellogg School of Management - Department of Finance

Evanston, IL 60208

United States

SCHOLARLY PAPERS

7

DOWNLOADS

721

CITATIONS
Rank 28,441

SSRN RANKINGS

Top 28,441

in Total Papers Citations

14

Scholarly Papers (7)

1.
Downloads 364 ( 80,211)
Citation 16

The Price of Variance Risk

Chicago Booth Research Paper No. 15-31, Fama-Miller Working Paper
Number of pages: 74 Posted: 26 Jul 2014 Last Revised: 09 Oct 2015
Ian Dew-Becker, Stefano Giglio, Anh Le and Marius Rodriguez
Kellogg School of Management - Department of Finance, Yale School of Management, Penn State University Smeal College of Business and Board of Governors of the Federal Reserve System
Downloads 347 (84,168)

Abstract:

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variance swaps, volatility pricing, VIX, asset pricing, disasters

The Price of Variance Risk

NBER Working Paper No. w21182
Number of pages: 74 Posted: 18 May 2015
Ian Dew-Becker, Stefano Giglio, Anh Le and Marius Rodriguez
Kellogg School of Management - Department of Finance, Yale School of Management, Penn State University Smeal College of Business and Board of Governors of the Federal Reserve System
Downloads 17 (552,523)
Citation 24

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2.

Layoff Risk, the Welfare Cost of Business Cycles, and Monetary Policy

Number of pages: 65 Posted: 14 Sep 2015 Last Revised: 12 Apr 2019
Northwestern University, Kellogg School of Management - Department of Finance, MIT Sloan School of Management and Northwestern University
Downloads 177 (167,662)
Citation 14

Abstract:

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Layoff risk, monetary policy, heterogeneous agents, business cycles

3.
Downloads 102 (258,526)
Citation 2

Uncertainty Shocks as Second-Moment News Shocks

Number of pages: 64 Posted: 12 Jun 2017
David Berger, Ian Dew-Becker and Stefano Giglio
Northwestern University, Kellogg School of Management - Department of Finance and Yale School of Management
Downloads 86 (291,137)
Citation 5

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Uncertainty, macroeconomy, volatility, realized volatility, VIX, news shocks, vector autoregressions

Uncertainty Shocks as Second-Moment News Shocks

NBER Working Paper No. w23796
Number of pages: 63 Posted: 11 Sep 2017
David Berger, Ian Dew-Becker and Stefano Giglio
Northwestern University, Kellogg School of Management - Department of Finance and Yale School of Management
Downloads 16 (558,666)

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4.

Hedging Macroeconomic and Financial Uncertainty and Volatility

Number of pages: 62 Posted: 09 Dec 2018 Last Revised: 06 Apr 2019
Ian Dew-Becker, Stefano Giglio and Bryan T. Kelly
Kellogg School of Management - Department of Finance, Yale School of Management and Yale SOM
Downloads 48 (393,878)
Citation 1

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5.

Asset Pricing in the Frequency Domain: Theory and Empirics

NBER Working Paper No. w19416
Number of pages: 51 Posted: 06 Sep 2013
Ian Dew-Becker and Stefano Giglio
Downloads 15 (544,400)
Citation 22

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6.

Long-Run Risk is the Worst-Case Scenario

NBER Working Paper No. w22416
Number of pages: 66 Posted: 18 Jul 2016
Rhys Bidder and Ian Dew-Becker
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Kellogg School of Management - Department of Finance
Downloads 11 (568,516)
Citation 10

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7.
Downloads 4 (613,338)

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