Christian Julliard

London School of Economics & Political Science (LSE) - Department of Finance

United Kingdom

Centre for Economic Policy Research (CEPR)

London

United Kingdom

  • London School of Economics & Political Science (LSE) - Department of Finance

  • Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

12

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SSRN CITATIONS
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Top 3,025

in Total Papers Citations

270

CROSSREF CITATIONS

265

Scholarly Papers (12)

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1.

Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

Number of pages: 61 Posted: 04 Dec 2019 Last Revised: 22 Jun 2022
Svetlana Bryzgalova, Jiantao Huang and Christian Julliard
London Business School - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 2,816 (7,901)
Citation 9

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Cross-Sectional Asset Pricing, Factor Models, Model Evaluation, Multiple Testing, Data Mining, P-Hacking, Bayesian Methods, shrinkage, SDF.

2.

Network Risk and Key Players: A Structural Analysis of Interbank Liquidity

Fisher College of Business Working Paper No. 2018-03-011, Charles A. Dice Center Working Paper No. 2018-11, Columbia Business School Research Paper No. 17-6
Number of pages: 76 Posted: 14 Dec 2016 Last Revised: 17 Aug 2020
Edward Denbee, Christian Julliard, Ye Li and Kathy Yuan
Bank of England, London School of Economics & Political Science (LSE) - Department of Finance, University of Washington - Foster School of Business and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 467 (103,306)
Citation 26

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financial networks, liquidity, interbank market, payment systems, payment velocity, payment multiplier, key players, systemic risk

3.

What is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models

AFA 2012 Chicago Meetings Paper
Number of pages: 43 Posted: 19 Mar 2011
Anisha Ghosh, Christian Julliard and Alex P. Taylor
McGill University, London School of Economics & Political Science (LSE) - Department of Finance and Alliance Manchester Business School
Downloads 405 (122,035)
Citation 30

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Entropy Bounds, Multiplicative Decomposition of Pricing Kernel

4.

Consumption

Number of pages: 83 Posted: 12 Mar 2021 Last Revised: 11 Nov 2021
Svetlana Bryzgalova and Christian Julliard
London Business School - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 397 (124,903)
Citation 1

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Consumption Dynamics, Asset Returns, Consumption-Based Asset Pricing, Term Structure

5.

Can Rare Events Explain the Equity Premium Puzzle?

Downloads 364 (137,702)
Citation 56

Can Rare Events Explain the Equity Premium Puzzle?

Number of pages: 49 Posted: 13 Mar 2008
Christian Julliard and Anisha Ghosh
London School of Economics & Political Science (LSE) - Department of Finance and London School of Economics & Political Science (LSE)
Downloads 358 (139,203)
Citation 22

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Rare Events, Rare Disasters, Equity Premium Puzzle, Generalized Empirical Likelihood, Semi-parametric Bayesian Inference, Calibration, Cross-Section of Asset Returns, Peso Phenomenon

Can Rare Events Explain the Equity Premium Puzzle?

CEPR Discussion Paper No. DP8899
Number of pages: 53 Posted: 04 Apr 2012
Anisha Ghosh and Christian Julliard
McGill University and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 6 (1,020,573)
Citation 19
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Calibration, Cross-Section of Asset Returns, Equity Premium Puzzle, Generalized Empirical Likelihood, Peso Phenomenon, Rare Disasters, Rare Events, Semi-parametric Bayesian Inference

6.

What Drives Repo Haircuts? Evidence from the UK Market

Downloads 338 (149,229)
Citation 4

What Drives Repo Haircuts? Evidence from the UK Market

Number of pages: 55 Posted: 22 Aug 2019 Last Revised: 03 Feb 2023
Christian Julliard, Gabor Pinter, Karamfil Todorov and Kathy Yuan
London School of Economics & Political Science (LSE) - Department of Finance, Bank of England, Bank for International Settlements and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 271 (187,023)
Citation 5

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repurchase agreement, systemic risk, repo market, margin, haircut.

What Drives Repo Haircuts? Evidence from the UK Market

Bank of England Working Paper No. 985
Number of pages: 56 Posted: 22 Jul 2022
Christian Julliard, Gabor Pinter, Karamfil Todorov and Kathy Yuan
London School of Economics & Political Science (LSE) - Department of Finance, Bank of England, Bank for International Settlements and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 67 (561,973)
Citation 2

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Repurchase agreement, systemic risk, repo market, margin; haircut

7.

Consumption Risk and the Cross-Section of Expected Returns

Downloads 243 (209,322)
Citation 65

Consumption Risk and the Cross-Section of Expected Returns

Number of pages: 48 Posted: 03 Jan 2005
Christian Julliard and Jonathan A. Parker
London School of Economics & Political Science (LSE) - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 243 (208,622)
Citation 65

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Consumption Capital Asset Pricing Model, Expected returns, Equity

Consumption Risk and the Cross Section of Expected Returns

Posted: 13 Jan 2005
Christian Julliard and Jonathan A. Parker
London School of Economics & Political Science (LSE) - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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8.

Internet Appendix for Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

Number of pages: 27 Posted: 04 Aug 2020 Last Revised: 22 Jun 2022
Svetlana Bryzgalova, Jiantao Huang and Christian Julliard
London Business School - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 170 (290,368)

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Cross-sectional asset pricing, factor models, model evaluation, multiple testing, data mining, p-hacking, Bayesian methods, shrinkage, SDF

9.

Money Illusion and Housing Frenzies

Downloads 123 (376,033)
Citation 109

Money Illusion and Housing Frenzies

NBER Working Paper No. w12810
Number of pages: 48 Posted: 05 Jan 2007 Last Revised: 02 Jan 2022
Christian Julliard and Markus K. Brunnermeier
London School of Economics & Political Science (LSE) - Department of Finance and Princeton University - Department of Economics
Downloads 119 (387,201)
Citation 13

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Money Illusion and Housing Frenzies

CEPR Discussion Paper No. DP6183
Number of pages: 50 Posted: 20 May 2008
Markus K. Brunnermeier and Christian Julliard
Princeton University - Department of Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 4 (1,038,063)
Citation 15
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Behavioural finance, housing, inflation illusion, interest rate, money illusion, mortgages, real estate

Money Illusion and Housing Frenzies

The Review of Financial Studies, Vol. 21, Issue 1, pp. 135-180, 2008
Posted: 26 Jun 2008
Markus K. Brunnermeier and Christian Julliard
Princeton University - Department of Economics and London School of Economics & Political Science (LSE) - Department of Finance

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10.

The Spread of COVID-19 in London: Network Effects and Optimal Lockdowns

Number of pages: 52 Posted: 22 Oct 2020 Last Revised: 07 Feb 2023
Christian Julliard, Ran Shi and Kathy Yuan
London School of Economics & Political Science (LSE) - Department of Finance, University of Colorado Boulder - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 120 (383,020)
Citation 1

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COVID-19, networks, key players, spatial modelling, SIR model

11.

A Comparison of International Residential Housing Risk Premia

Number of pages: 20 Posted: 08 Jul 2011
Grace Wong Bucchianeri and Christian Julliard
University of Pennsylvania - Real Estate Department and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 119 (385,306)

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International housing markets, Housing risk premium, politics, zoning

12.

Consumption Risk and Cross-Sectional Returns

NBER Working Paper No. w9538
Number of pages: 46 Posted: 13 Mar 2003 Last Revised: 25 Jul 2022
Christian Julliard and Jonathan A. Parker
London School of Economics & Political Science (LSE) - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 62 (575,948)
Citation 1

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