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Pierluigi Balduzzi

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This is information that was supplied by Pierluigi Balduzzi in registering through RePEc. If you are Pierluigi Balduzzi , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Pierluigi
Middle Name:
Last Name: Balduzzi
Suffix:

RePEc Short-ID: pba469

Email: [This author has chosen not to make the email address public]
Homepage: http://www2.bc.edu/~balduzzp
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Affiliation

(in no particular order)

Works

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Working papers

  1. Pierluigi Balduzzi & Cesare Robotti, 2005. "Mimicking portfolios, economic risk premia, and tests of multi-beta models," Working Paper 2005-04, Federal Reserve Bank of Atlanta.
  2. Pierluigi Balduzzi & Cesare Robotti, 2005. "Asset-pricing models and economic risk premia: a decomposition," Working Paper 2005-13, Federal Reserve Bank of Atlanta.
  3. Pierluigi Balduzzi & Cesare Robotti, 2001. "Minimum-variance kernels, economic risk premia, and tests of multi-beta models," Working Paper 2001-24, Federal Reserve Bank of Atlanta.
  4. Cesare Robotti & Pierluigi Balduzzi, 1999. "Minimum-Variance Kernels and Economic Risk Premia," Computing in Economics and Finance 1999 953, Society for Computational Economics.
  5. Anthony W. Lynch & Pierluigi Balduzzi, 1998. "Predictability and Transaction Costs: The Impact on Rebalancing Rules and Behavior," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-049, New York University, Leonard N. Stern School of Business-.
  6. Pierluigi Balduzzi & Giuseppe Bertola & Silverio Foresi & Leora Klapper, 1997. "Interest Rate Targeting and the Dynamics of Short-Term Rates," NBER Working Papers 5944, National Bureau of Economic Research, Inc.
  7. Pierluigi Balduzzi & Edwin J. Elton & T. Clifton Green, 1996. "Economic News and the Yield Curve: Evidence From the U.S. Treasury Market," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-13, New York University, Leonard N. Stern School of Business-.
  8. Pierluigi Balduzzi & Sanjiv Das & Silverio Foresi, 1996. "The Central Tendency: A Second Factor in Bond Yields," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-12, New York University, Leonard N. Stern School of Business-.
  9. Pierluigi Balduzzi & Silverio Foresi & David Hait, 1996. ""Price Barriers" and the Dynamics of Asset Prices in Equilibrium," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-11, New York University, Leonard N. Stern School of Business-.
  10. Pierluigi Balduzzi & Giuseppe Bertola & Silverio Foresi, 1993. "A Model of Target Changes and the Term Structure of Interest Rates," NBER Working Papers 4347, National Bureau of Economic Research, Inc.
  11. Balduzzi, P. & Bertola, G. & Foresi, S., 1992. "Nonlinearities in Asset Prices and Infrequent Noise Trading," Papers 131, Princeton, Department of Economics - Financial Research Center.
  12. Balduzzi, P., 1990. "Stock Returns And Inflation: Some Empirical Evidence," Papers 12, California Los Angeles - Applied Econometrics.

Articles

  1. Balduzzi, Pierluigi & Robotti, Cesare, 2010. "Asset pricing models and economic risk premia: A decomposition," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 54-80, January.
  2. Balduzzi, Pierluigi & Robotti, Cesare, 2008. "Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 354-368.
  3. Balduzzi, Pierluigi & Yao, Tong, 2007. "Testing heterogeneous-agent models: an alternative aggregation approach," Journal of Monetary Economics, Elsevier, vol. 54(2), pages 369-412, March.
  4. Balduzzi, Pierluigi, 2007. "Money and asset prices in a continuous-time Lucas and Stokey cash-in-advance economy," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2713-2743, August.
  5. Julie Agnew & Pierluigi Balduzzi & Annika Sundén, 2003. "Portfolio Choice and Trading in a Large 401(k) Plan," American Economic Review, American Economic Association, vol. 93(1), pages 193-215, March.
  6. Balduzzi, Pierluigi & Elton, Edwin J. & Green, T. Clifton, 2001. "Economic News and Bond Prices: Evidence from the U.S. Treasury Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(04), pages 523-543, December.
  7. Anthony W. Lynch & Pierluigi Balduzzi, 2000. "Predictability and Transaction Costs: The Impact on Rebalancing Rules and Behavior," Journal of Finance, American Finance Association, vol. 55(5), pages 2285-2309, October.
  8. Balduzzi, Pierluigi & Lynch, Anthony W., 1999. "Transaction costs and predictability: some utility cost calculations," Journal of Financial Economics, Elsevier, vol. 52(1), pages 47-78, April.
  9. Pierluigi Balduzzi & Sanjiv Ranjan Das & Silverio Foresi, 1998. "The Central Tendency: A Second Factor In Bond Yields," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 62-72, February.
  10. Balduzzi, Pierluigi, et al, 1998. "Interest Rate Targeting and the Dynamics of Short-Term Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 30(1), pages 26-50, February.
  11. Balduzzi, Pierluigi & Foresi, Silverio & Hait, David J., 1997. "Price Barriers and the Dynamics of Asset Prices in Equilibrium," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(02), pages 137-159, June.
  12. Balduzzi, Pierluigi & Kallal, Hedi, 1997. " Risk Premia and Variance Bounds," Journal of Finance, American Finance Association, vol. 52(5), pages 1913-49, December.
  13. Balduzzi, Pierluigi & Corsetti, Giancarlo & Foresi, Silverio, 1997. "Yield-curve movements and fiscal retrenchments," European Economic Review, Elsevier, vol. 41(9), pages 1675-1685, December.
  14. Balduzzi, Pierluigi & Bertola, Giuseppe & Foresi, Silverio, 1997. "A model of target changes and the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 39(2), pages 223-249, July.
  15. Balduzzi, Pierluigi & Kallal, Hedi & Longin, Francois, 1996. "Minimal returns and the breakdown of the price-volume relation," Economics Letters, Elsevier, vol. 50(2), pages 265-269, February.
  16. Balduzzi, Pierluigi & Foresi, Silverio, 1996. "Money, transactions and portfolio choice," Ricerche Economiche, Elsevier, vol. 50(1), pages 57-68, March.
  17. Balduzzi, Pierluigi, 1996. "Inflation and asset prices in a monetary economy," Economics Letters, Elsevier, vol. 53(1), pages 67-74, October.
  18. Balduzzi, Pierluigi, 1995. "Stock returns, inflation, and the 'proxy hypothesis': A new look at the data," Economics Letters, Elsevier, vol. 48(1), pages 47-53, April.
  19. Balduzzi, Pierluigi & Bertola, Giuseppe & Foresi, Silverio, 1995. " Asset Price Dynamics and Infrequent Feedback Trades," Journal of Finance, American Finance Association, vol. 50(5), pages 1747-66, December.

NEP Fields

4 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 1999-07-12. Author is listed
  2. NEP-ECM: Econometrics (1) 2005-05-23. Author is listed
  3. NEP-FIN: Finance (2) 1999-07-12 2005-05-23. Author is listed
  4. NEP-FMK: Financial Markets (2) 2002-02-15 2005-09-11. Author is listed
  5. NEP-PKE: Post Keynesian Economics (1) 2002-02-15. Author is listed
  6. NEP-RMG: Risk Management (1) 2005-05-23. Author is listed

Statistics

This author is among the top 5% authors according to these criteria:
  1. Number of Citations, Weighted by Simple Impact Factor
  2. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  3. Number of Citations, Weighted by Recursive Impact Factor
  4. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  5. Number of Citations, Weighted by Number of Authors
  6. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  7. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  8. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  9. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  10. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  11. Number of Journal Pages, Weighted by Simple Impact Factor
  12. Number of Journal Pages, Weighted by Recursive Impact Factor
  13. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  14. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  15. Wu-Index
  16. Strength of students

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