Scott Joslin

University of Southern California - Department of Finance and Business Economics

CA

United States

  • University of Southern California - Department of Finance and Business Economics

SCHOLARLY PAPERS

8

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7,081

TOTAL CITATIONS
Rank 3,267

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Top 3,267

in Total Papers Citations

430

Scholarly Papers (8)

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1.

A New Perspective on Gaussian Dynamic Term Structure Models

Review of Financial Studies, Forthcoming, AFA 2010 Atlanta Meetings Paper
Number of pages: 55 Posted: 23 Mar 2009 Last Revised: 13 Oct 2010
Scott Joslin, Kenneth J. Singleton and Haoxiang Zhu
University of Southern California - Department of Finance and Business Economics, Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,911 (19,035)
Citation 135

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dynamic term structure model, no-arbitrage, Gaussian, estimation

2.

Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets

Downloads 1,543 (26,427)
Citation 58

Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets

AFA 2013 San Diego Meetings Paper
Number of pages: 68 Posted: 19 Mar 2012 Last Revised: 24 Mar 2019
Hui Chen, Scott Joslin and Sophie Xiaoyan Ni
Massachusetts Institute of Technology, University of Southern California - Department of Finance and Business Economics and Hong Kong Baptist University (HKBU)
Downloads 1,488 (27,439)
Citation 3

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Intermediary constraint, tail risk, SPX option, return predictability, supply shocks, leverage

Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets

NBER Working Paper No. w25573
Number of pages: 49 Posted: 26 Feb 2019 Last Revised: 18 May 2023
Hui Chen, Scott Joslin and Sophie Xiaoyan Ni
Massachusetts Institute of Technology, University of Southern California - Department of Finance and Business Economics and Hong Kong Baptist University (HKBU)
Downloads 55 (825,677)
Citation 55

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3.

Rare Disasters and Risk Sharing with Heterogeneous Beliefs

Downloads 1,145 (41,045)
Citation 42

Rare Disasters and Risk Sharing with Heterogeneous Beliefs

AFA 2011 Denver Meetings Paper
Number of pages: 49 Posted: 18 Mar 2010 Last Revised: 02 Sep 2013
Hui Chen, Scott Joslin and Ngoc-Khanh Tran
Massachusetts Institute of Technology, University of Southern California - Department of Finance and Business Economics and Finance Dept., Pamplin College of Business, Virginia Tech
Downloads 977 (50,552)
Citation 17

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Rare Disasters and Risk Sharing with Heterogeneous Beliefs

NBER Working Paper No. w16035
Number of pages: 52 Posted: 04 Jun 2010 Last Revised: 26 Apr 2023
Hui Chen, Scott Joslin and Ngoc-Khanh Tran
Massachusetts Institute of Technology, University of Southern California - Department of Finance and Business Economics and Finance Dept., Pamplin College of Business, Virginia Tech
Downloads 168 (382,725)
Citation 25

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4.

The Term Structure of Liquidity Premium

USC Marshall School of Business Research Paper
Number of pages: 58 Posted: 07 Nov 2019 Last Revised: 23 Mar 2021
Scott Joslin, Wenhao Li and Yang Song
University of Southern California - Department of Finance and Business Economics, University of Southern California - Marshall School of Business and University of Washington - Michael G. Foster School of Business
Downloads 854 (61,884)
Citation 2

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Liquidity Premium, Term Structure, Monetary Policy

5.

Generalized Transform Analysis of Affine Processes and Applications in Finance

Downloads 821 (65,291)
Citation 13

Generalized Transform Analysis of Affine Processes and Applications in Finance

Number of pages: 43 Posted: 17 Feb 2009 Last Revised: 22 Sep 2011
Hui Chen and Scott Joslin
Massachusetts Institute of Technology and University of Southern California - Department of Finance and Business Economics
Downloads 760 (71,146)
Citation 13

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option pricing, recovery risk, stochastic discount factor, characteristic function, Fourier transform

Generalized Transform Analysis of Affine Processes and Applications in Finance

NBER Working Paper No. w16906
Number of pages: 66 Posted: 28 Mar 2011 Last Revised: 13 Mar 2022
Hui Chen and Scott Joslin
Massachusetts Institute of Technology and University of Southern California - Department of Finance and Business Economics
Downloads 61 (782,706)

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6.

Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks

Marshall School of Business Working Paper No. FBE 05.13
Number of pages: 46 Posted: 05 Jul 2013
Scott Joslin, Marcel Priebsch and Kenneth J. Singleton
University of Southern California - Department of Finance and Business Economics, Board of Governors of the Federal Reserve System and Stanford University - Graduate School of Business
Downloads 467 (133,485)
Citation 128

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term structure model, macro finance, unspanned macro risks

7.

Why Gaussian Macro-Finance Term Structure Models are (Nearly) Unconstrained Factor-VARs

Number of pages: 38 Posted: 18 Mar 2011
Scott Joslin, Anh Le and Kenneth J. Singleton
University of Southern California - Department of Finance and Business Economics, Penn State University Smeal College of Business and Stanford University - Graduate School of Business
Downloads 250 (264,015)
Citation 39

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No-Arbitrage, Gaussian Macro-Finance Term Structure Models

8.

Do Interest Rate Options Contain Information About Excess Returns?

Journal of Econometrics, Vol. 164, No. 1, 2011
Number of pages: 35 Posted: 17 Feb 2018 Last Revised: 01 Jun 2021
Caio Almeida, Jeremy Graveline and Scott Joslin
Princeton University - Bendheim Center for Finance, University of Minnesota - Carlson School of Management and University of Southern California - Department of Finance and Business Economics
Downloads 90 (617,453)
Citation 13

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interest rates, options, risk premia, excess returns, forecasting

Other Papers (1)

Total Downloads: 123
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1.

Do Options Contain Information About Excess Bond Returns?

AFA 2007 Chicago Meetings Paper
Number of pages: 35 Posted: 20 Mar 2006
Caio Almeida, Jeremy Graveline and Scott Joslin
Princeton University - Bendheim Center for Finance, University of Minnesota - Carlson School of Management and University of Southern California - Department of Finance and Business Economics
Downloads 123

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