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Greg Duffee

Personal Details

First Name:Greg
Middle Name:
Last Name:Duffee
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RePEc Short-ID:pdu249
[This author has chosen not to make the email address public]
http://www.econ2.jhu.edu/People/duffee

Affiliation

Department of Economics
Johns Hopkins University

Baltimore, Maryland (United States)
http://www.econ.jhu.edu/
RePEc:edi:dejhuus (more details at EDIRC)

Research output

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Jump to: Working papers Articles Chapters

Working papers

  1. Gregory Duffee & Peter Hördahl, 2021. "Debt specialisation and diversification: International evidence," BIS Working Papers 928, Bank for International Settlements.
  2. Gregory R. Duffee, 2012. "Bond pricing and the macroeconomy," Economics Working Paper Archive 598, The Johns Hopkins University,Department of Economics.
  3. Gregory R. Duffee, 2012. "Forecasting interest rates," Economics Working Paper Archive 599, The Johns Hopkins University,Department of Economics.
  4. 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.
  5. Greg Duffee, 2011. "Information in (and not in) the term structure," Economics Working Paper Archive 577, The Johns Hopkins University,Department of Economics.
  6. Greg Duffee, 2010. "Sharpe ratios in term structure models," Economics Working Paper Archive 575, The Johns Hopkins University,Department of Economics.
  7. Greg Duffee, 2005. "Term structure estimation without using latent factors," Computing in Economics and Finance 2005 103, Society for Computational Economics.
  8. Gregory R. Duffee, 2001. "Asymmetric cross-sectional dispersion in stock returns: evidence and implications," Working Paper Series 2000-18, Federal Reserve Bank of San Francisco.
  9. Gregory R. Duffee, 2000. "Term premia and interest rate forecasts in affine models," Working Paper Series 2000-19, Federal Reserve Bank of San Francisco.
  10. 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.
  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. 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.).
  13. Gregory R. Duffee & Stephen D. 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 9610, Federal Reserve Bank of Dallas.
  14. Gregory R. Duffee, 1996. "Rethinking risk management for banks: lessons from credit derivatives," Proceedings 514, Federal Reserve Bank of Chicago.
  15. 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.
  16. 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.).
  17. 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.).
  18. 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.).
  19. 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.).
  20. 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.).
  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.).
  22. Gregory R. Duffee & Paul H. Kupiec & Patricia A. 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.).
  23. Gregory R. Duffee & Paul H. Kupiec & Patricia A. White, 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.).

Articles

  1. Gregory R. Duffee, 2018. "Expected Inflation and Other Determinants of Treasury Yields," Journal of Finance, American Finance Association, vol. 73(5), pages 2139-2180, October.
  2. Gregory R. Duffee & Richard H. Stanton, 2012. "Estimation of Dynamic Term Structure Models," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 2(02), pages 1-51.
  3. Gregory R. Duffee, 2011. "Information in (and not in) the Term Structure," The Review of Financial Studies, Society for Financial Studies, vol. 24(9), pages 2895-2934.
  4. 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.
  5. Gregory R. Duffee, 2008. "Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation," Journal of Financial Econometrics, Oxford University Press, vol. 6(1), pages 108-142, Winter.
  6. Duffee, Gregory R., 2006. "Term structure estimation without using latent factors," Journal of Financial Economics, Elsevier, vol. 79(3), pages 507-536, March.
  7. 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, August.
  8. 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, February.
  9. 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.
  10. Duffee, Gregory R, 1999. "Estimating the Price of Default Risk," The Review of Financial Studies, Society for Financial Studies, vol. 12(1), pages 197-226.
  11. Duffee, Gregory R., 1996. "On measuring credit risks of derivative instruments," Journal of Banking & Finance, Elsevier, vol. 20(5), pages 805-833, June.
  12. Duffee, Gregory R, 1996. "Idiosyncratic Variation of Treasury Bill Yields," Journal of Finance, American Finance Association, vol. 51(2), pages 527-551, June.
  13. 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.
  14. Duffee, Gregory R., 1995. "Stock returns and volatility A firm-level analysis," Journal of Financial Economics, Elsevier, vol. 37(3), pages 399-420, March.

Chapters

  1. Greg Duffee & Peter Hördahl, 2019. "Corporate bond use in Asia and the United States," BIS Papers chapters, in: Bank for International Settlements (ed.), Asia-Pacific fixed income markets: evolving structure, participation and pricing, volume 102, pages 97-107, Bank for International Settlements.
  2. Duffee, Gregory, 2013. "Forecasting Interest Rates," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 385-426, Elsevier.
  3. Duffee, Gregory R., 2013. "Bond Pricing and the Macroeconomy," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 907-967, Elsevier.

More information

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Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Distinct Works, Weighted by Simple Impact Factor
  3. Number of Distinct Works, Weighted by Recursive Impact Factor
  4. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  5. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  6. Number of Citations
  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
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  21. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  22. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  23. Euclidian citation score
  24. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CFN: Corporate Finance (2) 2000-01-24 2021-03-01
  2. NEP-FMK: Financial Markets (2) 2011-02-05 2016-11-27
  3. NEP-FOR: Forecasting (2) 2011-02-05 2012-07-14
  4. NEP-MAC: Macroeconomics (2) 2012-06-25 2012-07-14
  5. NEP-BEC: Business Economics (1) 2021-03-01
  6. NEP-FIN: Finance (1) 2005-11-19
  7. NEP-IAS: Insurance Economics (1) 2000-01-24
  8. NEP-MON: Monetary Economics (1) 2005-11-19
  9. NEP-SEA: South East Asia (1) 2021-03-01

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