Richard K. Crump

Federal Reserve Banks - Federal Reserve Bank of New York

33 Liberty Street

New York, NY 10045

United States

  • Federal Reserve Banks - Federal Reserve Bank of New York

SCHOLARLY PAPERS

38

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649

CROSSREF CITATIONS

274

Scholarly Papers (38)

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1.

Pricing the Term Structure with Linear Regressions

FRB of New York Staff Report No. 340
Number of pages: 68 Posted: 22 Mar 2009 Last Revised: 07 May 2013
Tobias Adrian, Richard K. Crump and Emanuel Moench
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Frankfurt School of Finance & Management
Downloads 1,638 (19,358)
Citation 134

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term structure of interest rates, Fama-MacBeth regressions, dynamic asset pricing model estimation

2.

The Term Structure of Expectations and Bond Yields

FRB of NY Staff Report No. 775
Number of pages: 88 Posted: 31 May 2016 Last Revised: 11 Apr 2018
Richard K. Crump, Stefano Eusepi and Emanuel Moench
Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin and Frankfurt School of Finance & Management
Downloads 523 (93,510)
Citation 16

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term premiums, expectations formation, survey forecasts, monetary policy, business cycle fluctuations

3.

Unemployment Rate Benchmarks

FEDS Working Paper No. 2020-72
Number of pages: 19 Posted: 01 Sep 2020
Richard K. Crump, Christopher J. Nekarda and Nicolas Petrosky-Nadeau
Federal Reserve Banks - Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 483 (102,995)
Citation 4

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4.

Decomposing Real and Nominal Yield Curves

Downloads 472 (105,824)
Citation 45

Decomposing Real and Nominal Yield Curves

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 62 Posted: 03 Sep 2012 Last Revised: 07 Dec 2013
Michael Abrahams, Tobias Adrian, Richard K. Crump and Emanuel Moench
Massachusetts Institute of Technology (MIT) - Sloan School of Management, International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Frankfurt School of Finance & Management
Downloads 244 (215,282)
Citation 26

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TIPS, inflation expectations, affine term structure models

Pricing TIPS and Treasuries with Linear Regressions

FRB of New York Staff Report No. 570
Number of pages: 57 Posted: 22 Sep 2012 Last Revised: 07 May 2013
Michael Abrahams, Tobias Adrian, Richard K. Crump and Emanuel Moench
Massachusetts Institute of Technology (MIT) - Sloan School of Management, International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Frankfurt School of Finance & Management
Downloads 228 (230,155)
Citation 4

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TIPS, inflation expectations, affine term structure models

5.

Nonlinearity and Flight to Safety in the Risk-Return Trade-Off for Stocks and Bonds

FRB of NY Staff Report No. 723
Number of pages: 116 Posted: 18 Aug 2015 Last Revised: 05 Dec 2017
Tobias Adrian, Richard K. Crump and Erik Vogt
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Citadel LLC
Downloads 384 (134,565)
Citation 36

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flight to safety, risk-return trade-off, dynamic asset pricing, volatility, nonparametric estimation and inference, intermediary asset pricing, asset management

6.

Characteristic-Sorted Portfolios: Estimation and Inference

FRB of NY Staff Report No. 788
Number of pages: 48 Posted: 15 Aug 2016 Last Revised: 08 Oct 2019
Matias D. Cattaneo, Richard K. Crump, Max Farrell and Ernst Schaumburg
Princeton University, Federal Reserve Banks - Federal Reserve Bank of New York, University of Chicago - Booth School of Business - Econometrics and Statistics and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 380 (136,524)
Citation 10

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portfolio sorts, nonparametric estimation, partitioning, tuning parameter selection

7.

Measuring Corporate Bond Market Dislocations

FRB of New York Staff Report No. 957, Rev. December 2022
Number of pages: 69 Posted: 20 Jan 2021 Last Revised: 04 Jan 2023
Nina Boyarchenko, Richard K. Crump, Anna Kovner and Or Shachar
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 341 (153,180)

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corporate bond market conditions, corporate bond spreads, corporate bond issuance, corporate bond liquidity

8.

Deconstructing the Yield Curve

FRB of New York Staff Report No. 884, Rev. August 2023
Number of pages: 64 Posted: 10 Apr 2019 Last Revised: 27 Aug 2023
Richard K. Crump and Nikolay Gospodinov
Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of Atlanta
Downloads 302 (174,237)
Citation 8

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term structure of interest rates, resampling-based inference, factor models, bond risk premiums, predictive regression of bond returns

9.

Regression-Based Estimation of Dynamic Asset Pricing Models

Downloads 293 (179,918)
Citation 35

Regression-Based Estimation of Dynamic Asset Pricing Models

FRB of New York Staff Report No. 493
Number of pages: 55 Posted: 12 May 2011 Last Revised: 09 Dec 2014
Tobias Adrian, Richard K. Crump and Emanuel Moench
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Frankfurt School of Finance & Management
Downloads 293 (178,833)
Citation 4

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dynamic asset pricing, Fama-MacBeth regression, financial econometrics, GMM, minimum distance estimation, reduced rank regression

Regression Based Estimation of Dynamic Asset Pricing Models

CEPR Discussion Paper No. DP10449
Number of pages: 56 Posted: 02 Mar 2015
Tobias Adrian, Richard K. Crump and Emanuel Moench
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Frankfurt School of Finance & Management
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Citation 21
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Dynamic Asset Pricing, Fama-MacBeth Regressions, GMM, Minimum Distance Estimation, Reduced Rank Regression, Time-varying Betas

10.

Fundamental Disagreement

Downloads 218 (240,852)
Citation 68

Fundamental Disagreement

FRB of New York Staff Report No. 655
Number of pages: 52 Posted: 11 Jan 2014 Last Revised: 07 Dec 2014
Philippe Andrade, Richard K. Crump, Stefano Eusepi and Emanuel Moench
Federal Reserve Banks - Federal Reserve Bank of Boston, Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin and Frankfurt School of Finance & Management
Downloads 156 (323,854)
Citation 4

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expectations, survey forecasts, imperfect information, term structure of disagreement

Fundamental Disagreement

Banque de France Working Paper No. 524
Number of pages: 57 Posted: 29 Nov 2014
Philippe Andrade, Richard K. Crump, Stefano Eusepi and Emanuel Moench
Federal Reserve Banks - Federal Reserve Bank of Boston, Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin and Frankfurt School of Finance & Management
Downloads 62 (607,670)
Citation 44

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Expectations, survey forecasts, imperfect information, term structure of disagreement

11.

Nonparametric Tests for Treatment Effect Heterogeneity

Downloads 204 (256,088)
Citation 32

Nonparametric Tests for Treatment Effect Heterogeneity

IZA Discussion Paper No. 2091
Number of pages: 34 Posted: 25 Apr 2006
Richard K. Crump, V. Joseph Hotz, Guido W. Imbens and Oscar A. Mitnik
Federal Reserve Banks - Federal Reserve Bank of New York, Duke University, Stanford Graduate School of Business and Inter-American Development Bank
Downloads 112 (419,751)
Citation 2

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average treatment effects, causality, unconfoundedness, treatment effect

Nonparametric Tests for Treatment Effect Heterogeneity

NBER Working Paper No. t0324
Number of pages: 45 Posted: 29 Jun 2006 Last Revised: 22 May 2023
Richard K. Crump, V. Joseph Hotz, Guido W. Imbens and Oscar A. Mitnik
Federal Reserve Banks - Federal Reserve Bank of New York, Duke University, Stanford Graduate School of Business and Inter-American Development Bank
Downloads 92 (482,094)
Citation 9

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12.

Subjective Intertemporal Substitution

FRB of New York Staff Report No. 734, Rev. August 2021
Number of pages: 70 Posted: 24 Jul 2015 Last Revised: 12 Aug 2021
Richard K. Crump, Stefano Eusepi, Andrea Tambalotti and Giorgio Topa
Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 198 (263,050)
Citation 22

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subjective expectations, inflation expectations, Euler equation, elasticity of

13.

A Large Bayesian VAR of the United States Economy

FRB of New York Staff Report No. 976
Number of pages: 65 Posted: 21 Aug 2021
Richard K. Crump, Stefano Eusepi, Domenico Giannone, Eric Qian and Argia M. Sbordone
Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin, Centre for Economic Policy Research (CEPR), Princeton University and Federal Reserve Bank of New York
Downloads 162 (313,473)
Citation 4

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bayesian vector autoregressions, conditional forecasts, scenario analyses, financial conditions index

14.

The Term Structure of Expectations

FRB of New York Staff Report No. 992, 2021
Number of pages: 74 Posted: 16 Nov 2021
Richard K. Crump, Stefano Eusepi, Emanuel Moench and Bruce Preston
Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin, Frankfurt School of Finance & Management and University of Melbourne - Department of Economics
Downloads 159 (318,510)

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expectation formation, imperfect information, survey forecasts, shifting endpoint models, monetary policy, term premiums

15.

On Binscatter

FRB of New York Staff Report No. 881, Rev. November 2023
Number of pages: 96 Posted: 01 Mar 2019 Last Revised: 15 Nov 2023
Matias D. Cattaneo, Richard K. Crump, Max Farrell and Yingjie Feng
Princeton University, Federal Reserve Banks - Federal Reserve Bank of New York, University of Chicago - Booth School of Business - Econometrics and Statistics and University of Michigan, College of Literature, Science and the Arts, Department of Economics, Students
Downloads 146 (341,679)
Citation 49

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binned scatter plot, regressogram, piecewise polynomials, partitioning estimators, nonparametric regression, robust bias correction, uniform inference, binning selection

16.

Moving the Goalposts: Addressing Limited Overlap in Estimation of Average Treatment Effects by Changing the Estimand

IZA Discussion Paper No. 2347
Number of pages: 49 Posted: 01 Nov 2006
Richard K. Crump, V. Joseph Hotz, Guido W. Imbens and Oscar A. Mitnik
Federal Reserve Banks - Federal Reserve Bank of New York, Duke University, Stanford Graduate School of Business and Inter-American Development Bank
Downloads 119 (399,498)
Citation 25

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average treatment effects, causality, unconfoundedness, overlap, treatment effect heterogeneity

17.

COVID Response: The Commercial Paper Funding Facility

FRB of New York Staff Report No. 982
Number of pages: 13 Posted: 29 Sep 2021
Nina Boyarchenko, Richard K. Crump, Anna Kovner and Deborah Leonard
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 113 (414,894)
Citation 2

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Federal Reserve, commercial paper market, CPFF, Federal Reserve lending facilities

18.

COVID Response: The Primary and Secondary Corporate Credit Facilities

FRB of New York Staff Report No. 986
Number of pages: 35 Posted: 29 Sep 2021
Nina Boyarchenko, Caren Cox, Richard K. Crump, Andrew Danzig, Anna Kovner, Or Shachar and Patrick Steiner
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 100 (452,734)

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Federal Reserve, corporate bond markets, corporate credit facilities, PMCCF, SMCCF, Federal Reserve lending facilities

19.

The Unemployment-Inflation Trade-Off Revisited: The Phillips Curve in Covid Times

NBER Working Paper No. w29785
Number of pages: 42 Posted: 21 Feb 2022 Last Revised: 21 May 2023
Richard K. Crump, Stefano Eusepi, Marc P. Giannoni and Aysegul Sahin
Federal Reserve Banks - Federal Reserve Bank of New York, Independent, Barclays Corporate and Investment Bank and University of Texas at Austin
Downloads 99 (455,682)

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20.

Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates

Downloads 89 (488,035)

Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates

FRB of New York Staff Report No. 934, Rev. August 2021
Number of pages: 33 Posted: 21 Jul 2020 Last Revised: 13 Aug 2021
Shuo Cao, Richard K. Crump, Stefano Eusepi and Emanuel Moench
Shenzhen Stock Exchange, Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin and Frankfurt School of Finance & Management
Downloads 89 (492,400)

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disagreement, heterogeneous beliefs, noisy information, speculation, survey forecasts, yield curve, term premium

Fundamental Disagreement About Monetary Policy and the Term Structure of Interest Rates

CEPR Discussion Paper No. DP15122
Number of pages: 35 Posted: 18 Aug 2020 Last Revised: 22 Sep 2021
Shuo Cao, Richard K. Crump, Emanuel Moench and Stefano Eusepi
Shenzhen Stock Exchange, Federal Reserve Banks - Federal Reserve Bank of New York, Frankfurt School of Finance & Management and University of Texas at Austin
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disagreement, heterogeneous beliefs, Noisy information, Speculation, Survey Forecasts, Term premium, yield curve

21.

Changing Risk-Return Profiles

FRB of New York Staff Report No. 850. Rev. August 2023
Number of pages: 64 Posted: 15 Jun 2018 Last Revised: 23 Aug 2023
Richard K. Crump, Miro Everaert, Domenico Giannone and Sean Hundtofte
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Home Loan Mortgage Corporation (FHLMC), Centre for Economic Policy Research (CEPR) and Solve Finance
Downloads 68 (570,247)
Citation 3

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stock returns, realized volatility, density forecasts, optimal pools

22.

Bootstrapping Density-Weighted Average Derivatives

University of Aarhus Economics Working Paper Series
Number of pages: 32 Posted: 21 May 2010
Matias D. Cattaneo, Richard K. Crump and Michael Jansson
Princeton University, Federal Reserve Banks - Federal Reserve Bank of New York and University of California, Berkeley - Department of Economics
Downloads 68 (570,247)
Citation 5

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Averaged derivatives, Bootstrap, Small bandwidth asymptotics

23.

Small Bandwidth Asymptotics for Density-Weighted Average Derivatives

CREATES Research Paper 2008-24
Number of pages: 34 Posted: 25 Jun 2008
Matias D. Cattaneo, Richard K. Crump and Michael Jansson
Princeton University, Federal Reserve Banks - Federal Reserve Bank of New York and University of California, Berkeley - Department of Economics
Downloads 65 (583,826)
Citation 9

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Semiparametric estimation, density-weighted average derivatives

24.

The Commercial Paper Funding Facility

Economic Policy Review, Vol. 28, No. 1, p. 114-129
Number of pages: 17 Posted: 07 Jul 2022
Nina Boyarchenko, Richard K. Crump, Anna Kovner and Deborah Leonard
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 55 (633,589)
Citation 1

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Federal Reserve, commercial paper market, CPFF, Commercial Paper Funding Facility, Federal Reserve lending facilities,

25.

Sparse Trend Estimation

FRB of New York Staff Report No. 1049, 2023
Number of pages: 35 Posted: 03 Feb 2023
Richard K. Crump, Nikolay Gospodinov and Hunter Wieman
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of Atlanta and Princeton University
Downloads 54 (638,968)

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slow-moving trends, sparsity, Bayesian inference, latent variable models, trend output growth

26.

Moving the Goalposts: Addressing Limited Overlap in the Estimation of Average Treatment Effects by Changing the Estimand

NBER Working Paper No. t0330
Number of pages: 48 Posted: 20 Oct 2006 Last Revised: 29 May 2022
Richard K. Crump, V. Joseph Hotz, Guido W. Imbens and Oscar A. Mitnik
Federal Reserve Banks - Federal Reserve Bank of New York, Duke University, Stanford Graduate School of Business and Inter-American Development Bank
Downloads 48 (672,979)

Abstract:

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27.

Optimal Inference for Instrumental Variables Regression with Non-Gaussian Errors

CREATES Research Paper 2007-11
Number of pages: 45 Posted: 23 Jun 2008
Matias D. Cattaneo, Richard K. Crump and Michael Jansson
Princeton University, Federal Reserve Banks - Federal Reserve Bank of New York and University of California, Berkeley - Department of Economics
Downloads 44 (697,683)
Citation 11

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Instrumental variables regression, weak instruments, adaptive estimation

28.

The Primary and Secondary Corporate Credit Facilities

Economic Policy Review, Vol. 28, No. 1, p, 1-34, 2022
Number of pages: 35 Posted: 07 Jul 2022
Nina Boyarchenko, Caren Cox, Richard K. Crump, Andrew Danzig, Anna Kovner, Or Shachar and Patrick Steiner
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 42 (710,568)
Citation 2

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Federal Reserve, corporate bond markets, corporate credit facilities, Primary Market Corporate Credit Facility, Secondary Market Corporate Credit Facility

29.

A Unified Approach to Measuring u*

FRB of New York Staff Report No. 889 (2019)
Number of pages: 76 Posted: 24 May 2019
Richard K. Crump, Stefano Eusepi, Marc P. Giannoni and Aysegul Sahin
Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin, Barclays Corporate and Investment Bank and Federal Reserve Bank of New York
Downloads 38 (738,071)
Citation 3

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firm dynamics, demographics, business dynamism, macroeconomics

30.

Robust Data-Driven Inference for Density-Weighted Average Derivatives

Number of pages: 38 Posted: 02 Oct 2009
Matias D. Cattaneo, Richard K. Crump and Michael Jansson
Princeton University, Federal Reserve Banks - Federal Reserve Bank of New York and University of California, Berkeley - Department of Economics
Downloads 37 (745,111)
Citation 3

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Average derivatives, Bandwidth selection, Robust inference, Small bandwidth asymptotics

31.

Beta-Sorted Portfolios

FRB of New York Staff Report No. 1068, https://doi.org/10.59576/sr.1068
Number of pages: 103 Posted: 28 Jul 2023
Matias D. Cattaneo, Richard K. Crump, Weining Wang and Weining Wang
Princeton University, Federal Reserve Banks - Federal Reserve Bank of New York and University of Yorkaffiliation not provided to SSRN
Downloads 33 (774,615)

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beta pricing models, portfolio sorting, nonparametric estimation, partitioning, kernel regression, smoothly varying coefficients

32.

Fertility and the Personal Exemption: Comment

NBER Working Paper No. w15984
Number of pages: 24 Posted: 17 May 2010 Last Revised: 06 Mar 2022
Richard K. Crump, Gopi Shah Goda and Kevin J. Mumford
Federal Reserve Banks - Federal Reserve Bank of New York, Stanford University and Purdue University
Downloads 29 (806,124)

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33.

Review of New York Fed Studies on the Effects of Post-Crisis Banking Reforms

Economic Policy Review, Vol. 24, No. 2, pp. 1-20
Number of pages: 20 Posted: 13 Sep 2023
Richard K. Crump and João A. C. Santos
Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 18 (914,244)

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34.

A Unified Approach to Measuring U

Downloads 12 (963,651)
Citation 18

A Unified Approach to Measuring U

NBER Working Paper No. w25930
Number of pages: 76 Posted: 11 Jun 2019 Last Revised: 08 May 2023
Richard K. Crump, Stefano Eusepi, Marc P. Giannoni and Aysegul Sahin
Federal Reserve Banks - Federal Reserve Bank of New York, Independent, Barclays Corporate and Investment Bank and University of Texas at Austin
Downloads 12 (998,204)
Citation 8

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A Unified Approach to Measuring U

CEPR Discussion Paper No. DP13939
Number of pages: 77 Posted: 07 Oct 2019
Richard K. Crump, Stefano Eusepi, Marc P. Giannoni and Aysegul Sahin
Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin, Barclays Corporate and Investment Bank and University of Texas at Austin
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Citation 10
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35.

The New York Fed DSGE Model Perspective on the Lagged Effect of Monetary Policy

Liberty Street Economics
Posted: 22 Nov 2023
Richard K. Crump, Marco Del Negro, Keshav Dogra, Pranay Gundam, Donggyu Lee, Ramya Nallamotu and Brian Pacula
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York

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DSGE, forecasting, lagged effects, monetary policy, NY Fed

36.

A Bayesian VAR Model Perspective on the Lagged Effect of Monetary Policy

Liberty Street Economics
Posted: 21 Nov 2023
Richard K. Crump, Marco Del Negro, Keshav Dogra, Pranay Gundam, Donggyu Lee, Ramya Nallamotu and Brian Pacula
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York

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Forecasts, lagged effects, monetary policy

37.

How Large Are Inflation Revisions? The Difficulty of Monitoring Prices in Real Time

Liberty Street Economics
Posted: 07 Sep 2023
Richard Audoly, Martin Almuzara, Richard K. Crump, Davide Melcangi and Roshie Xing
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York

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inflation

38.

Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds

CEPR Discussion Paper No. DP11401
Number of pages: 81 Posted: 25 Jul 2016
Tobias Adrian, Richard K. Crump and Erik Vogt
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Citadel LLC
Downloads 0 (1,061,523)
Citation 2
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asset management, dynamic asset pricing, flight-to-safety, intermediary asset pricing, nonparametric estimation and inference, risk-return tradeoff, volatility