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Greg Duffee

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Personal Details

First Name: Greg
Middle Name:
Last Name: Duffee
Suffix:

RePEc Short-ID: pdu249

Email: [This author has chosen not to make the email address public]
Homepage: http://www.econ.jhu.edu/People/duffee
Postal Address:
Phone:

Affiliation

Department of Economics
Johns Hopkins University
Location: Baltimore, Maryland (United States)
Homepage: http://www.econ.jhu.edu/
Email:
Phone: (410)516-7601
Fax: (410)516-7600
Postal: Mergenthaler Hall, 3400 North Charles Street, Baltimore, MD 21218
Handle: RePEc:edi:dejhuus (more details at EDIRC)

Works

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Working papers

  1. Gregory R. Duffee, 2012. "Bond pricing and the macroeconomy," Economics Working Paper Archive 598, The Johns Hopkins University,Department of Economics.
  2. Gregory R. Duffee, 2012. "Forecasting interest rates," Economics Working Paper Archive 599, The Johns Hopkins University,Department of Economics.
  3. Greg Duffee, 2011. "Forecasting with the term structure: The role of no-arbitrage restrictions," Economics Working Paper Archive 576, The Johns Hopkins University,Department of Economics.
  4. Greg Duffee, 2011. "Information in (and not in) the term structure," Economics Working Paper Archive 577, The Johns Hopkins University,Department of Economics.
  5. Greg Duffee, 2010. "Sharpe ratios in term structure models," Economics Working Paper Archive 575, The Johns Hopkins University,Department of Economics.
  6. Greg Duffee, 2005. "Term structure estimation without using latent factors," Computing in Economics and Finance 2005 103, Society for Computational Economics.
  7. Gregory R. Duffee, 2001. "Asymmetric cross-sectional dispersion in stock returns: evidence and implications," Working Papers in Applied Economic Theory 2000-18, Federal Reserve Bank of San Francisco.
  8. Gregory R. Duffee, 2000. "Term premia and interest rate forecasts in affine models," Working Papers in Applied Economic Theory 2000-19, Federal Reserve Bank of San Francisco.
  9. Gregory R. Duffee and Chunsheng Zhou., 1999. "Credit Derivatives in Banking: Useful Tools for Managing Risk?," Research Program in Finance Working Papers RPF-289, University of California at Berkeley.
  10. Gregory R. Duffee, 1996. "Estimating the price of default risk," Finance and Economics Discussion Series 96-29, Board of Governors of the Federal Reserve System (U.S.).
  11. Gregory R. Duffee, 1996. "Treasury yields and corporate bond yield spreads: an empirical analysis," Finance and Economics Discussion Series 96-20, Board of Governors of the Federal Reserve System (U.S.).
  12. Credit Derivatives: Is It Always Good to Have More Risk Management Tools? Gregory Duffee 96-42 Banks & Chungsheng Zhou, 1996. "Banks and Credit Derivatives: Is It Always Good to Have More Risk Management Tools?," Center for Financial Institutions Working Papers 96-42, Wharton School Center for Financial Institutions, University of Pennsylvania.
  13. Gregory R. Duffee & Stephen Prowse, 1996. "What's good for GM...? Using auto industry stock returns to forecast business cycles and test the Q-theory of investment," Working Papers 96-10, Federal Reserve Bank of Dallas.
  14. Gregory R. Duffee, 1994. "Idiosyncratic variation of Treasury bill yields," Finance and Economics Discussion Series 94-28, Board of Governors of the Federal Reserve System (U.S.).
  15. Gregory R. Duffee, 1994. "On measuring credit risks of derivative instruments," Finance and Economics Discussion Series 94-27, Board of Governors of the Federal Reserve System (U.S.).
  16. Gregory R. Duffee, 1992. "Trading volume and return reversals," Finance and Economics Discussion Series 192, Board of Governors of the Federal Reserve System (U.S.).
  17. Gregory R. Duffee, 1992. "Reexamining the relationship between stock returns and stock return volatility," Finance and Economics Discussion Series 191, Board of Governors of the Federal Reserve System (U.S.).
  18. Gregory R. Duffee, 1991. "A new test for mean reversion in stock prices," Finance and Economics Discussion Series 152, Board of Governors of the Federal Reserve System (U.S.).
  19. A. Pat White & Paul Kupiec & Gregory Duffee, 1990. "A securities transactions tax: beyond the rhetoric, what can we really say?," Finance and Economics Discussion Series 133, Board of Governors of the Federal Reserve System (U.S.).
  20. Gregory Duffee & Paul Kupiec & Patricia White, 1990. "A primer on program trading and stock price volatility: a survey of the issues and the evidence," Finance and Economics Discussion Series 109, Board of Governors of the Federal Reserve System (U.S.).
  21. Gregory R. Duffee, 1990. "The importance of market psychology in the determination of stock market volatility," Finance and Economics Discussion Series 115, Board of Governors of the Federal Reserve System (U.S.).

Articles

  1. Gregory R. Duffee, 2011. "Information in (and not in) the Term Structure," Review of Financial Studies, Society for Financial Studies, vol. 24(9), pages 2895-2934.
  2. Duffee, Greg, 2009. "Moral hazard and adverse selection in the originate-to-distribute model of bank credit," Journal of Monetary Economics, Elsevier, vol. 56(5), pages 744-747, July.
  3. Gregory R. Duffee, 2008. "Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(1), pages 108-142, Winter.
  4. Duffee, Gregory R., 2006. "Term structure estimation without using latent factors," Journal of Financial Economics, Elsevier, vol. 79(3), pages 507-536, March.
  5. Gregory R. Duffee, 2005. "Time Variation in the Covariance between Stock Returns and Consumption Growth," Journal of Finance, American Finance Association, vol. 60(4), pages 1673-1712, 08.
  6. Gregory R. Duffee, 2002. "Term Premia and Interest Rate Forecasts in Affine Models," Journal of Finance, American Finance Association, vol. 57(1), pages 405-443, 02.
  7. Duffee, Gregory R. & Zhou, Chunsheng, 2001. "Credit derivatives in banking: Useful tools for managing risk?," Journal of Monetary Economics, Elsevier, vol. 48(1), pages 25-54, August.
  8. Duffee, Gregory R, 1999. "Estimating the Price of Default Risk," Review of Financial Studies, Society for Financial Studies, vol. 12(1), pages 197-226.
  9. Gregory R. Duffee, 1998. "The Relation Between Treasury Yields and Corporate Bond Yield Spreads," Journal of Finance, American Finance Association, vol. 53(6), pages 2225-2241, December.
  10. Duffee, Gregory R., 1996. "On measuring credit risks of derivative instruments," Journal of Banking & Finance, Elsevier, vol. 20(5), pages 805-833, June.
  11. Duffee, Gregory R, 1996. " Idiosyncratic Variation of Treasury Bill Yields," Journal of Finance, American Finance Association, vol. 51(2), pages 527-51, June.
  12. Gregory R. Duffee, 1996. "Rethinking risk management for banks: lessons from credit derivatives," Proceedings, Federal Reserve Bank of Chicago, issue May, pages 381-400.
  13. Duffee, Gregory R., 1995. "Stock returns and volatility A firm-level analysis," Journal of Financial Economics, Elsevier, vol. 37(3), pages 399-420, March.
  14. Gregory R. Duffee, 1995. "The variation of default risk with Treasury yields," Proceedings, Board of Governors of the Federal Reserve System (U.S.), pages 29-58.

NEP Fields

8 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2000-01-24
  2. NEP-FIN: Finance (2) 2001-04-02 2005-11-19. Author is listed
  3. NEP-FMK: Financial Markets (2) 2001-04-02 2011-02-05. Author is listed
  4. NEP-FOR: Forecasting (2) 2011-02-05 2012-07-14. Author is listed
  5. NEP-IAS: Insurance Economics (1) 2000-01-24
  6. NEP-MAC: Macroeconomics (2) 2012-06-25 2012-07-14. Author is listed
  7. NEP-MON: Monetary Economics (1) 2005-11-19

Statistics

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

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