Robert S. Goldstein

University of Minnesota - Twin Cities - Carlson School of Management

Associate Professor

19th Avenue South

Minneapolis, MN 55455

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

26

DOWNLOADS
Rank 1,342

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Top 1,342

in Total Papers Downloads

18,053

CITATIONS
Rank 427

SSRN RANKINGS

Top 427

in Total Papers Citations

1,081

Scholarly Papers (26)

1.
Downloads 4,301 ( 1,500)
Citation 195

An EBIT-Based Model of Dynamic Capital Structure

Dice Center For Research In Financial Economics Working Paper No. 98-13
Number of pages: 40 Posted: 24 Oct 1998
Robert S. Goldstein, Nengjiu Ju and Hayne E. Leland
University of Minnesota - Twin Cities - Carlson School of Management, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and University of California, Berkeley - Walter A. Haas School of Business
Downloads 4,301 (1,476)
Citation 195

Abstract:

An EBIT-Based Model of Dynamic Capital Structure

Journal of Business, Vol. 74, No. 4, October 2001
Posted: 29 Dec 2001
Robert S. Goldstein, Nengjiu Ju and Hayne E. Leland
University of Minnesota - Twin Cities - Carlson School of Management, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and University of California, Berkeley - Walter A. Haas School of Business

Abstract:

2.

The Determinants of Credit Spread Changes

Number of pages: 33 Posted: 24 Mar 2000
Pierre Collin-Dufresne, J. Spencer Martin and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne, University of Melbourne - Faculty of Business and Economics and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 2,555 (3,465)
Citation 366

Abstract:

On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle

AFA 2006 Boston Meetings Paper
Number of pages: 59 Posted: 16 Mar 2005 Last Revised: 01 Jul 2011
Long Chen, Pierre Collin-Dufresne and Robert S. Goldstein
Cheung Kong Graduate School of Business, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 1,242 (12,306)
Citation 85

Abstract:

Equity premium, credit spread, habit formation model

On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle

Review of Financial Studies, Forthcoming
Posted: 12 Nov 2007
Long Chen, Pierre Collin-Dufresne and Robert S. Goldstein
Cheung Kong Graduate School of Business, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management

Abstract:

On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle

The Review of Financial Studies, Vol. 22, Issue 9, pp. 3367-3409, 2009
Posted: 08 Sep 2009
Long Chen, Pierre Collin-Dufresne and Robert S. Goldstein
Michigan State University, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management

Abstract:

G12, G13

4.

Do Credit Spreads Reflect Stationary Leverage Ratios? Reconciling Structural and Reduced-Form Frameworks

AFA 2001 New Orleans; Dice Working Paper 99-10
Number of pages: 35 Posted: 16 Nov 1999
Pierre Collin-Dufresne and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 1,134 (12,644)
Citation 63

Abstract:

5.

Stochastic Correlation and the Relative Pricing of Caps and Swaptions in a Generalized-Affine Framework

EFA 2002 Berlin Meetings Presented Paper; Carnegie Mellon University Working Paper
Number of pages: 38 Posted: 09 Oct 2001
Pierre Collin-Dufresne and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 970 (17,776)
Citation 9

Abstract:

6.

Portfolio Choice Over the Life-Cycle when the Stock and Labor Markets are Cointegrated

FRB of Chicago Working Paper No. 2007-11
Number of pages: 52 Posted: 16 Jan 2006
Luca Benzoni, Pierre Collin-Dufresne and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 867 (19,576)
Citation 52

Abstract:

Human Capital, Risky Labor Income, Limited Stock Market Participation, Portfolio Choice, Life Cycle

7.

Generalizing the Affine Framework to HJM and Random Field Models

Number of pages: 51 Posted: 23 Jun 2003
Pierre Collin-Dufresne and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 678 (27,342)
Citation 8

Abstract:

Fixed Income Derivatives, Term Structure of Interest rates, Stochastic Volatility, Stochastic Correlation, Affine Models

8.

Pricing Swaptions within the Affine Framework

Washington University Department of Finance WP
Number of pages: 24 Posted: 09 May 2001
Pierre Collin-Dufresne and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 635 (31,028)
Citation 20

Abstract:

Swaption Pricing

9.

Can Standard Preferences Explain the Prices of Out-of-the-Money S&P 500 Put Options?

Number of pages: 43 Posted: 11 Aug 2005
Luca Benzoni, Pierre Collin-Dufresne and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 567 (37,445)
Citation 18

Abstract:

Volatility smile, volatility smirk, implied volatility, option pricing, portfolio insurance, market risk

10.

'True' Stochastic Volatility and a Generalized Class of Affine Models

Number of pages: 28 Posted: 13 Jun 2000
Pierre Collin-Dufresne and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 524 (42,155)
Citation 2

Abstract:

Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility

AFA 2002 Atlanta Meetings
Number of pages: 42 Posted: 13 Jul 2001
Pierre Collin-Dufresne and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 454 (51,291)
Citation 65

Abstract:

Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility

Journal of Finance, Vol. 57, pp. 1685-1730, 2002
Posted: 30 Dec 2003
Pierre Collin-Dufresne and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management

Abstract:

12.

Identification and Estimation of 'Maximal' Affine Term Structure Models: An Application to Stochastic Volatility

Number of pages: 62 Posted: 28 Jun 2003
Pierre Collin-Dufresne, Robert S. Goldstein and Christopher S. Jones
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 441 (50,700)
Citation 9

Abstract:

Term Structure of Interest rates, Affine Models

13.

A General Formula for Valuing Defaultable Securities

Carnegie Mellon Department of Finance Working Paper
Number of pages: 26 Posted: 17 Feb 2003
Pierre Collin-Dufresne, Robert S. Goldstein and Julien Hugonnier
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne
Downloads 427 (51,705)
Citation 42

Abstract:

reduced-form models of default, Cox Processes

Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income

Number of pages: 51 Posted: 23 Jan 2005
Luca Benzoni, Pierre Collin-Dufresne and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 368 (66,194)
Citation 14

Abstract:

Labor Income Risk, Optimal Portfolio Choice, Limited Stock Market Participation, Human Capital

Portfolio Choice Over the Life-Cycle in the Presence of 'Trickle Down' Labor Income

NBER Working Paper No. w11247
Number of pages: 51 Posted: 18 May 2005 Last Revised: 26 Sep 2010
Luca Benzoni, Pierre Collin-Dufresne and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 44 (358,096)
Citation 14

Abstract:

15.

Explaining Pre- and Post-1987 Crash Asset Prices Within a Unified General Equilibrium Framework

Number of pages: 47 Posted: 05 Feb 2007 Last Revised: 01 Jul 2011
Luca Benzoni, Pierre Collin-Dufresne and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 384 (58,385)
Citation 4

Abstract:

Volatility Smile, Volatility Smirk, Implied Volatility, Option Pricing, Portfolio Insurance, Market Risk, Individual Stock Options

16.

On the Term Structure of Interest Rates in the Presence of Reflecting and Absorbing Boundaries

Number of pages: 38 Posted: 21 Aug 1997
Robert S. Goldstein and William P. Keirstead
University of Minnesota - Twin Cities - Carlson School of Management and Goldman Sachs Group, Inc. - Japan Office
Downloads 348 (63,148)
Citation 12

Abstract:

Modeling Credit Contagion via the Updating of Fragile Beliefs

Number of pages: 65 Posted: 05 Mar 2012 Last Revised: 29 Jan 2015
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and UC Riverside
Downloads 267 (95,500)
Citation 4

Abstract:

Contagion, sovereign risk, CDS pricing, fragile beliefs, learning, affine models

18.

Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash

Number of pages: 49 Posted: 27 Jan 2010 Last Revised: 01 Jul 2011
Luca Benzoni, Pierre Collin-Dufresne and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 278 (77,728)
Citation 22

Abstract:

Volatility Smile, Volatility Smirk, Implied Volatility, Option Pricing, Portfolio Insurance, Market Risk

19.

Identification of Maximal Affine Term Structure Models

Journal of Finance, Forthcoming
Number of pages: 53 Posted: 12 Jan 2007
Pierre Collin-Dufresne, Christopher S. Jones and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne, University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 248 (98,234)
Citation 21

Abstract:

Term Structure of Interest rates

20.

Can Interest Rate Volatility Be Extracted from the Cross Section of Bond Yields? an Investigation of Unspanned Stochastic Volatility

NBER Working Paper No. w10756
Number of pages: 76 Posted: 01 Jun 2006
Pierre Collin-Dufresne, Robert S. Goldstein and Christopher S. Jones
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 45 (330,306)
Citation 17

Abstract:

21.

Can Standard Preferences Explain the Prices of Out of the Money S&P 500 Put Options

NBER Working Paper No. w11861
Number of pages: 43 Posted: 19 Jan 2006
Luca Benzoni, Pierre Collin-Dufresne and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 40 (330,306)
Citation 18

Abstract:

22.

Modeling Credit Contagion Via the Updating of Fragile Beliefs -- Online Appendix

Number of pages: 33 Posted: 29 Jan 2015
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and UC Riverside
Downloads 19 (386,803)
Citation 3

Abstract:

Contagion, sovereign risk, CDS pricing, fragile beliefs, learning, affine models

23.

Endogenous Bankruptcy, Endogenous Restructuring, and Dynamic Capital Structure

Dice Center Working Paper 97-15
Posted: 18 Mar 1998
Robert S. Goldstein, Nengjiu Ju and Hayne E. Leland
University of Minnesota - Twin Cities - Carlson School of Management, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and University of California, Berkeley - Walter A. Haas School of Business

Abstract:

24.

Identifying the Class of Term Structure Models Possessing Closed-Form Solutions for Bond and Bond-Option Prices: An Expectation Approach

Posted: 04 Sep 1997
Robert S. Goldstein
University of Minnesota - Twin Cities - Carlson School of Management

Abstract:

25.

The Term Structure of Interest Rates as a Random Field

The Charles A. Dice Center for Research in Financial Economics Working Paper No. 97-5
Posted: 21 May 2000
Robert S. Goldstein
University of Minnesota - Twin Cities - Carlson School of Management

Abstract:

26.

The Term Structure of Interest Rates as a Random Field

The Charles A. Dice Center for Research in Financial Economics Working Papers Series, 97-5
Number of pages: 30 Posted: 21 Aug 1997
Robert S. Goldstein
University of Minnesota - Twin Cities - Carlson School of Management
Downloads 0
Citation 32

Abstract: