Henrik Hasseltoft

affiliation not provided to SSRN

SCHOLARLY PAPERS

7

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CITATIONS
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13

Scholarly Papers (7)

1.

Economic Momentum and Currency Returns

Swedish House of Finance Research Paper No. 16-14
Number of pages: 48 Posted: 18 Mar 2015 Last Revised: 16 Jan 2017
Magnus Dahlquist and Henrik Hasseltoft
Stockholm School of Economics and affiliation not provided to SSRN
Downloads 929 (22,885)

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Foreign exchange rates, predictability, surveys, trend following, trends.

2.
Downloads 658 ( 37,039)
Citation 5

International Bond Risk Premia

Journal of International Economics, Vol. 90, No. 1, 2013
Number of pages: 49 Posted: 03 Sep 2010 Last Revised: 14 Aug 2015
Magnus Dahlquist and Henrik Hasseltoft
Stockholm School of Economics and affiliation not provided to SSRN
Downloads 351 (80,188)
Citation 5

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Affine model, local and global factors, time-varying risk premia

International Bond Risk Premia

Swiss Finance Institute Research Paper No. 11-16
Number of pages: 50 Posted: 22 Apr 2011
Magnus Dahlquist and Henrik Hasseltoft
Stockholm School of Economics and affiliation not provided to SSRN
Downloads 307 (93,587)
Citation 5

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Affine model, local and global factors, time-varying risk premia

3.

Stocks, Bonds and Long-Run Consumption Risks

Journal of Financial and Quantitative Analysis (JFQA), Vol. 47, No. 2, 2012
Number of pages: 40 Posted: 25 Jun 2007 Last Revised: 14 Aug 2015
Henrik Hasseltoft
affiliation not provided to SSRN
Downloads 649 (37,723)
Citation 3

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Long-run risks, Predictability, Simulated Method of Moments

4.

Understanding Asset Correlations

Swiss Finance Institute Research Paper No. 12-38
Number of pages: 64 Posted: 06 Jul 2011 Last Revised: 12 Dec 2012
Henrik Hasseltoft and Dominic Burkhardt
affiliation not provided to SSRN and University of Zurich/Swiss Finance Institute
Downloads 629 (39,273)
Citation 1

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cyclicality, fed-model, inflation, long-run risks, money illusion, regime-switching, stock-bond correlation

5.

News Tone Dispersion and Investor Disagreement

Number of pages: 56 Posted: 21 Dec 2012 Last Revised: 03 Jun 2017
Michał Dzieliński and Henrik Hasseltoft
Stockholm Business School, Stockholm University and affiliation not provided to SSRN
Downloads 511 (51,397)

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disagreement, news analytics, predictability, stock returns, volatility

6.

The 'Fed Model' and the Changing Correlation of Stock and Bond Returns: An Equilibrium Approach

Number of pages: 73 Posted: 17 Mar 2009
Henrik Hasseltoft
affiliation not provided to SSRN
Downloads 481 (55,433)
Citation 4

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Fed Model, Money Illusion, Stock-Bond Correlation, Economic uncertainty, Inflation, Inflation volatility, Long-Run Risk, Epstein-Zin, Asset Pricing

7.

International Bond Risk Premia

Handbook of Fixed-Income Securities, First Edition. Edited by Pietro Veronesi. 2015 John Wiley Sons, Inc
Posted: 01 Jul 2015 Last Revised: 13 Aug 2015
Magnus Dahlquist and Henrik Hasseltoft
Stockholm School of Economics and affiliation not provided to SSRN

Abstract:

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bond risk premia, interest rates, local and global factors, predictability