Gregory R. Duffee - Concepedia

Author

Gregory R. Duffee

Johns Hopkins University

Also Known As

G Duffee, G. R. Duffee, GREGORY R. DUFFEE, Greg Duffee, Gregory Duffee, Gregory R Duffee, Gregory R. Duffee

Publications

Citations

H-Index

Concepts

All Affiliations

Johns Hopkins University University of California, Berkeley Federal Reserve Federal Reserve Board of Governors Federal Reserve Bank of San Francisco

About

Gregory R. Duffee is an author at Johns Hopkins University specializing in finance, business, and economics.

Top Concepts

#	Concept	H-Index	Publications	Citations
1	Business	16	17	5K
2	Economics	12	12	3.5K
3	Management	8	8	1.6K
4	Engineering	4	4	1.8K
5	Accounting	3	3	263

Gregory R. Duffee

Publications

5.8K

Citations

H-Index

Page 1

	Year	Citations
Term Premia and Interest Rate Forecasts in Affine Models Gregory R. Duffee The Journal of Finance Volatility ModelingAffine ModelsEngineeringTerm Structure ModelPoor Forecasts	2002	1.7K
The Relation Between Treasury Yields and Corporate Bond Yield Spreads Gregory R. Duffee The Journal of Finance Corporate Bond IndexesTerm Structure ModelFinancial EconomicsCorporate Bond YieldsBusiness	1998	805
Estimating the Price of Default Risk Gregory R. Duffee Review of Financial Studies Term Structure ModelFinancial Risk ManagementInstantaneous ProbabilityRisk AnalysisTerm Structure	1999	765
Information in (and not in) the Term Structure Gregory R. Duffee Review of Financial Studies	2011	411
Stock returns and volatility a firm-level analysis Gregory R. Duffee Journal of Financial Economics Empirical FinanceVolatility ModelingFinancial EconomicsAsset PricingBusiness	1995	398
Idiosyncratic Variation of Treasury Bill Yields Gregory R. Duffee The Journal of Finance Empirical FinanceMonetary PolicyEconomicsFinancial EconomicsAsset Pricing	1996	243
Estimation of Dynamic Term Structure Models Gregory R. Duffee, Richard Stanton Quarterly Journal of Finance Dynamic Economic ModelEconomicsTerm Structure ModelEconometric ModelAsset Pricing	2012	225
Credit derivatives in banking: Useful tools for managing risk? Gregory R. Duffee, Chunsheng Zhou Journal of Monetary Economics Financial Risk ManagementBankingCredit DerivativesManagementFinancial Intermediation	2001	214
Credit Derivatives in Banking: Useful Tools for Managing Risk? Gregory R. Duffee, Chunsheng Zhou Finance and Economics Discussion Series Financial Risk ManagementFinancial Network AnalysisCredit RiskFinancial SystemBanking	1997	131
Sharpe ratios in term structure models Gregory R. Duffee Econstor (Econstor)	2011	117

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