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Publications by LUCA BENZONI

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models

Journal of Finance

English

Related publications

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models

English

Liquidity and Volatility in the U.S. Treasury Market

Journal of Econometrics

Philosophy of Science

Applied Mathematics

English

The Mispricing of U.S. Treasury Bonds: A Case Study

Review of Financial Studies

English

Expectation Puzzles, Time-Varying Risk Premia, and Affine Models of the Term Structure

Journal of Financial Economics

English

Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models

SSRN Electronic Journal

English

Change-Points in Affine Arbitrage-Free Term Structure Models

Journal of Financial Econometrics

English

Forecasting Volatility of the U.S. Oil Market

SSRN Electronic Journal

English

Identification and Estimation of Gaussian Affine Term Structure Models

SSRN Electronic Journal

English

Valuation of Guaranteed Annuity Options in Affine Term Structure Models

SSRN Electronic Journal

English