Francis A. Longstaff
Personal Details
First Name: | Francis |
Middle Name: | A. |
Last Name: | Longstaff |
Suffix: | |
RePEc Short-ID: | plo283 |
[This author has chosen not to make the email address public] | |
http://personal.anderson.ucla.edu/francis.longstaff/ | |
Terminal Degree: | Booth School of Business; University of Chicago (from RePEc Genealogy) |
Affiliation
Finance Group
Anderson Graduate School of Management
University of California-Los Angeles (UCLA)
Los Angeles, California (United States)http://www.anderson.ucla.edu/faculty/finance
RePEc:edi:fguclus (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Matthias Fleckenstein & Francis A. Longstaff, 2024. "Is Maturity-Transformation Risk Priced into Bank Deposit Rates?," NBER Working Papers 32724, National Bureau of Economic Research, Inc.
- Matthias Fleckenstein & Francis A. Longstaff, 2024. "Financial Sophistication and Bank Market Power," NBER Working Papers 33049, National Bureau of Economic Research, Inc.
- Matthias Fleckenstein & Francis A. Longstaff, 2023. "Do Municipal Bond Investors Pay a Convenience Premium to Avoid Taxes?," NBER Working Papers 31389, National Bureau of Economic Research, Inc.
- Matthias Fleckenstein & Francis A. Longstaff, 2021. "Treasury Richness," NBER Working Papers 29081, National Bureau of Economic Research, Inc.
- Matthias Fleckenstein & Francis A. Longstaff, 2020. "The Market Risk Premium for Unsecured Consumer Credit Risk," NBER Working Papers 28029, National Bureau of Economic Research, Inc.
- Matthias Fleckenstein & Francis A. Longstaff, 2020. "Private Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market," NBER Working Papers 28134, National Bureau of Economic Research, Inc.
- Matthias Fleckenstein & Francis A. Longstaff, 2018. "Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes," NBER Working Papers 25216, National Bureau of Economic Research, Inc.
- Matthias Fleckenstein & Francis A. Longstaff, 2018. "Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints," NBER Working Papers 24224, National Bureau of Economic Research, Inc.
- Kurt F. Lewis & Francis A. Longstaff & Lubomir Petrasek, 2017. "Asset Mispricing," NBER Working Papers 23231, National Bureau of Economic Research, Inc.
- Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff, 2016.
"Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities,"
NBER Working Papers
22096, National Bureau of Economic Research, Inc.
- Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff, 2018. "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," The Review of Financial Studies, Society for Financial Studies, vol. 31(3), pages 1132-1183.
- Chernov, Mikhail & Longstaff, Francis & Dunn, Brett R., 2016. "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," CEPR Discussion Papers 10947, C.E.P.R. Discussion Papers.
- Sebastian Edwards & Francis A. Longstaff & Alvaro Garcia Marin, 2015. "The U.S. Debt Restructuring of 1933: Consequences and Lessons," NBER Working Papers 21694, National Bureau of Economic Research, Inc.
- Francis Longstaff, 2014. "Valuing Thinly-Traded Assets," NBER Working Papers 20589, National Bureau of Economic Research, Inc.
- Francis A. Longstaff & Ilya A. Strebulaev, 2014. "Corporate Taxes and Capital Structure: A Long-Term Historical Perspective," NBER Working Papers 20372, National Bureau of Economic Research, Inc.
- Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2013. "Deflation Risk," NBER Working Papers 19238, National Bureau of Economic Research, Inc.
- Christopher T. Downing & Francis A. Longstaff & Michael A. Rierson, 2012. "Inflation Tracking Portfolios," NBER Working Papers 18135, National Bureau of Economic Research, Inc.
- Bruce I. Carlin & Francis A. Longstaff & Kyle Matoba, 2012. "Disagreement and Asset Prices," NBER Working Papers 18619, National Bureau of Economic Research, Inc.
- Kay Giesecke & Francis A. Longstaff & Stephen Schaefer & Ilya Strebulaev, 2012. "Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective," NBER Working Papers 17854, National Bureau of Economic Research, Inc.
- Andrew Ang & Francis A. Longstaff, 2011.
"Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe,"
NBER Working Papers
16982, National Bureau of Economic Research, Inc.
- Ang, Andrew & Longstaff, Francis A., 2013. "Systemic sovereign credit risk: Lessons from the U.S. and Europe," Journal of Monetary Economics, Elsevier, vol. 60(5), pages 493-510.
- Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2010.
"Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle,"
NBER Working Papers
16358, National Bureau of Economic Research, Inc.
- Hanno Lustig, 2011. "Why Does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle," 2011 Meeting Papers 1443, Society for Economic Dynamics.
- Kay Giesecke & Francis A. Longstaff & Stephen Schaefer & Ilya Strebulaev, 2010. "Corporate Bond Default Risk: A 150-Year Perspective," NBER Working Papers 15848, National Bureau of Economic Research, Inc.
- Francis A. Longstaff, 2009. "Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices?," NBER Working Papers 14687, National Bureau of Economic Research, Inc.
- Francis A. Longstaff & Brett Myers, 2009. "Valuing Toxic Assets: An Analysis of CDO Equity," NBER Working Papers 14871, National Bureau of Economic Research, Inc.
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2007.
"How Sovereign is Sovereign Credit Risk?,"
NBER Working Papers
13658, National Bureau of Economic Research, Inc.
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2011. "How Sovereign Is Sovereign Credit Risk?," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 75-103, April.
- Francis A. Longstaff & Arvind Rajan, 2006.
"An Empirical Analysis of the Pricing of Collateralized Debt Obligations,"
NBER Working Papers
12210, National Bureau of Economic Research, Inc.
- Francis A. Longstaff & Arvind Rajan, 2008. "An Empirical Analysis of the Pricing of Collateralized Debt Obligations," Journal of Finance, American Finance Association, vol. 63(2), pages 529-563, April.
- Han, Bing & Longstaff, Francis A. & Merrill, Craig, 2005. "The Cherry-Picking Option in the U.S. Treasury Buyback Auctions," Working Paper Series 2004-23, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2004.
"Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market,"
NBER Working Papers
10418, National Bureau of Economic Research, Inc.
- Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2005. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market," Journal of Finance, American Finance Association, vol. 60(5), pages 2213-2253, October.
- Francis A. Longstaff, 2004. "Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities," NBER Working Papers 10422, National Bureau of Economic Research, Inc.
- Francis A. Longstaff, 2004. "Financial Claustrophobia: Asset Pricing in Illiquid Markets," NBER Working Papers 10411, National Bureau of Economic Research, Inc.
- Francis Longstaff & Monika Piazzesi, 2003.
"Corporate Earnings and the Equity Premium,"
NBER Working Papers
10054, National Bureau of Economic Research, Inc.
- Longstaff, Francis A. & Piazzesi, Monika, 2004. "Corporate earnings and the equity premium," Journal of Financial Economics, Elsevier, vol. 74(3), pages 401-421, December.
- John H. Cochrane & Francis A. Longstaff & Pedro Santa-Clara, 2003.
"Two Trees: Asset Price Dynamics Induced by Market Clearing,"
NBER Working Papers
10116, National Bureau of Economic Research, Inc.
- John H. Cochrane & Francis Longstaff, 2004. "Two Trees: Asset Price Dynamics Induced by Market Clearing," 2004 Meeting Papers 126, Society for Economic Dynamics.
- Matthias Kahl & Jun Liu & Francis A. Longstaff, 2002.
"Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it?,"
NBER Working Papers
8969, National Bureau of Economic Research, Inc.
- Kahl, Matthias & Liu, Jun & Longstaff, Francis A., 2003. "Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it?," Journal of Financial Economics, Elsevier, vol. 67(3), pages 385-410, March.
- Kahl, Matthias & Liu, Jun & Longstaff, Francis A, 2001. "Paper Millionaires: How Valuable is Stock to a Stockholder Who is Restricted from Selling it?," University of California at Los Angeles, Anderson Graduate School of Management qt8b3853z9, Anderson Graduate School of Management, UCLA.
- Jun Liu & Francis A. Longstaff & Ravit E. Mandell, 2002.
"The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads,"
NBER Working Papers
8990, National Bureau of Economic Research, Inc.
- Liu, Jun & Longstaff, Francis A. & Mandell, Ravit E., 2000. "The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads," University of California at Los Angeles, Anderson Graduate School of Management qt0zw4f9w6, Anderson Graduate School of Management, UCLA.
- Francis A. Longstaff, 2002.
"The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices,"
NBER Working Papers
9312, National Bureau of Economic Research, Inc.
- Francis A. Longstaff, 2004. "The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices," The Journal of Business, University of Chicago Press, vol. 77(3), pages 511-526, July.
- Jun Liu & Francis A. Longstaff & Jun Pan, 2002.
"Dynamic Asset Allocation With Event Risk,"
NBER Working Papers
9103, National Bureau of Economic Research, Inc.
- Jun Liu & Francis A. Longstaff & Jun Pan, 2003. "Dynamic Asset Allocation with Event Risk," Journal of Finance, American Finance Association, vol. 58(1), pages 231-259, February.
- Liu, Jun & Longstaff, Francis & Pan, Jun, 2001. "Dynamic Asset Allocation with Event Risk," University of California at Los Angeles, Anderson Graduate School of Management qt9fm6t5nb, Anderson Graduate School of Management, UCLA.
Articles
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2011.
"How Sovereign Is Sovereign Credit Risk?,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 75-103, April.
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2007. "How Sovereign is Sovereign Credit Risk?," NBER Working Papers 13658, National Bureau of Economic Research, Inc.
- Longstaff, Francis A., 2010. "The subprime credit crisis and contagion in financial markets," Journal of Financial Economics, Elsevier, vol. 97(3), pages 436-450, September.
- Francis A. Longstaff, 2009. "Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets," American Economic Review, American Economic Association, vol. 99(4), pages 1119-1144, September.
- Francis A. Longstaff & Arvind Rajan, 2008.
"An Empirical Analysis of the Pricing of Collateralized Debt Obligations,"
Journal of Finance, American Finance Association, vol. 63(2), pages 529-563, April.
- Francis A. Longstaff & Arvind Rajan, 2006. "An Empirical Analysis of the Pricing of Collateralized Debt Obligations," NBER Working Papers 12210, National Bureau of Economic Research, Inc.
- John H. Cochrane & Francis A. Longstaff & Pedro Santa-Clara, 2008.
"Two Trees,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 347-385, January.
- Cochrane, John. H. & Longstaff, Francis A. & Santa-Clara, Pedro, 2004. "Two Trees," University of California at Los Angeles, Anderson Graduate School of Management qt6mt207w2, Anderson Graduate School of Management, UCLA.
- Bing Han & Francis A. Longstaff & Craig Merrill, 2007. "The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds," Journal of Finance, American Finance Association, vol. 62(6), pages 2673-2693, December.
- Jun Liu & Francis A. Longstaff & Ravit E. Mandell, 2006.
"The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks,"
The Journal of Business, University of Chicago Press, vol. 79(5), pages 2337-2360, September.
- Liu, Jun & Longstaff, Francis A. & Mandell, Ravit E., 2004. "The Market Price Of Risk In Interest Rate Swaps: The Roles Of Default And Liquidity Risks," University of California at Los Angeles, Anderson Graduate School of Management qt5z42g22g, Anderson Graduate School of Management, UCLA.
- Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2005.
"Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market,"
Journal of Finance, American Finance Association, vol. 60(5), pages 2213-2253, October.
- Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2004. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market," NBER Working Papers 10418, National Bureau of Economic Research, Inc.
- Francis A. Longstaff, 2004.
"The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices,"
The Journal of Business, University of Chicago Press, vol. 77(3), pages 511-526, July.
- Francis A. Longstaff, 2002. "The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices," NBER Working Papers 9312, National Bureau of Economic Research, Inc.
- Longstaff, Francis A. & Piazzesi, Monika, 2004.
"Corporate earnings and the equity premium,"
Journal of Financial Economics, Elsevier, vol. 74(3), pages 401-421, December.
- Francis Longstaff & Monika Piazzesi, 2003. "Corporate Earnings and the Equity Premium," NBER Working Papers 10054, National Bureau of Economic Research, Inc.
- Kahl, Matthias & Liu, Jun & Longstaff, Francis A., 2003.
"Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it?,"
Journal of Financial Economics, Elsevier, vol. 67(3), pages 385-410, March.
- Kahl, Matthias & Liu, Jun & Longstaff, Francis A, 2001. "Paper Millionaires: How Valuable is Stock to a Stockholder Who is Restricted from Selling it?," University of California at Los Angeles, Anderson Graduate School of Management qt8b3853z9, Anderson Graduate School of Management, UCLA.
- Matthias Kahl & Jun Liu & Francis A. Longstaff, 2002. "Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it?," NBER Working Papers 8969, National Bureau of Economic Research, Inc.
- Jun Liu & Francis A. Longstaff & Jun Pan, 2003.
"Dynamic Asset Allocation with Event Risk,"
Journal of Finance, American Finance Association, vol. 58(1), pages 231-259, February.
- Liu, Jun & Longstaff, Francis & Pan, Jun, 2001. "Dynamic Asset Allocation with Event Risk," University of California at Los Angeles, Anderson Graduate School of Management qt9fm6t5nb, Anderson Graduate School of Management, UCLA.
- Jun Liu & Francis A. Longstaff & Jun Pan, 2002. "Dynamic Asset Allocation With Event Risk," NBER Working Papers 9103, National Bureau of Economic Research, Inc.
- Francis A. Longstaff & Pedro Santa‐Clara & Eduardo S. Schwartz, 2001. "The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence," Journal of Finance, American Finance Association, vol. 56(6), pages 2067-2109, December.
- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," The Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 113-147.
- Longstaff, Francis A, 2001. "Optimal Portfolio Choice and the Valuation of Illiquid Securities," The Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 407-431.
- Longstaff, Francis A. & Santa-Clara, Pedro & Schwartz, Eduardo S., 2001. "Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market," Journal of Financial Economics, Elsevier, vol. 62(1), pages 39-66, October.
- Francis A. Longstaff, 2000. "Arbitrage and the Expectations Hypothesis," Journal of Finance, American Finance Association, vol. 55(2), pages 989-994, April.
- Longstaff, Francis A., 2000. "The term structure of very short-term rates: New evidence for the expectations hypothesis," Journal of Financial Economics, Elsevier, vol. 58(3), pages 397-415, December.
- Mark Grinblatt & Francis A. Longstaff, 2000. "Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program," Journal of Finance, American Finance Association, vol. 55(3), pages 1415-1436, June.
- Grunbichler, Andreas & Longstaff, Francis A., 1996. "Valuing futures and options on volatility," Journal of Banking & Finance, Elsevier, vol. 20(6), pages 985-1001, July.
- Bradford Cornell & Francis A. Longstaff & Eduardo S. Schwartz, 1996. "Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 24(1), pages 23-41, March.
- Longstaff, Francis A, 1995. "How Much Can Marketability Affect Security Values?," Journal of Finance, American Finance Association, vol. 50(5), pages 1767-1774, December.
- Longstaff, Francis A & Schwartz, Eduardo S, 1995. "A Simple Approach to Valuing Risky Fixed and Floating Rate Debt," Journal of Finance, American Finance Association, vol. 50(3), pages 789-819, July.
- Longstaff, Francis A, 1995. "Option Pricing and the Martingale Restriction," The Review of Financial Studies, Society for Financial Studies, vol. 8(4), pages 1091-1124.
- Francis A. Longstaff & Bruce A. Tuckman, 1994. "Calling Nonconvertible Debt and the Problem of Related Wealth Transfer Effect," Financial Management, Financial Management Association, vol. 23(4), Winter.
- Grunbichler Andreas & Longstaff Francis A. & Schwartz Eduardo S., 1994. "Electronic Screen Trading and the Transmission of Information: An Empirical Examination," Journal of Financial Intermediation, Elsevier, vol. 3(2), pages 166-187, March.
- Longstaff, Francis A., 1993. "The valuation of options on coupon bonds," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 27-42, February.
- George, Thomas J. & Longstaff, Francis A., 1993. "Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(3), pages 381-397, September.
- Longstaff, Francis A., 1992. "Multiple equilibria and term structure models," Journal of Financial Economics, Elsevier, vol. 32(3), pages 333-344, December.
- Longstaff, Francis A & Schwartz, Eduardo S, 1992. "Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model," Journal of Finance, American Finance Association, vol. 47(4), pages 1259-1282, September.
- Fishman, Michael J & Longstaff, Francis A, 1992. "Dual Trading in Futures Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 643-671, June.
- Longstaff, Francis A, 1992. "Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle," The Journal of Business, University of Chicago Press, vol. 65(4), pages 571-592, October.
- Hemler, Michael L. & Longstaff, Francis A., 1991. "General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(3), pages 287-308, September.
- Longstaff, Francis A., 1990. "The valuation of options on yields," Journal of Financial Economics, Elsevier, vol. 26(1), pages 97-121, July.
- Longstaff, Francis A, 1990. "Time Varying Term Premia and Traditional Hypotheses about the Term Structure," Journal of Finance, American Finance Association, vol. 45(4), pages 1307-1314, September.
- Longstaff, Francis A, 1990. "Pricing Options with Extendible Maturities: Analysis and Applications," Journal of Finance, American Finance Association, vol. 45(3), pages 935-957, July.
- Longstaff, Francis A., 1989. "A nonlinear general equilibrium model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 23(2), pages 195-224, August.
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This author is among the top 5% authors according to these criteria:- Average Rank Score
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- Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors and Simple Impact Factors
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 27 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.- NEP-FMK: Financial Markets (11) 2002-06-18 2002-08-16 2002-11-04 2004-06-07 2004-06-07 2006-05-20 2007-12-19 2009-04-13 2017-04-09 2020-12-21 2023-07-31. Author is listed
- NEP-FIN: Finance (7) 2002-06-18 2002-08-16 2002-11-04 2003-11-30 2003-11-30 2004-08-02 2006-05-20. Author is listed
- NEP-RMG: Risk Management (6) 2002-11-04 2003-11-30 2006-05-20 2007-12-19 2013-07-20 2020-11-30. Author is listed
- NEP-MAC: Macroeconomics (5) 2011-05-07 2012-02-27 2012-06-25 2013-07-20 2016-01-03. Author is listed
- NEP-CFN: Corporate Finance (4) 2003-11-30 2006-05-20 2009-04-13 2018-02-19
- NEP-HIS: Business, Economic and Financial History (3) 2012-02-27 2014-08-25 2016-01-03
- NEP-BAN: Banking (2) 2009-04-13 2018-02-19
- NEP-CBA: Central Banking (2) 2011-05-07 2012-06-25
- NEP-DGE: Dynamic General Equilibrium (2) 2003-11-30 2004-08-02
- NEP-URE: Urban and Real Estate Economics (2) 2016-04-04 2023-07-31
- NEP-ACC: Accounting and Auditing (1) 2014-08-25
- NEP-BEC: Business Economics (1) 2012-02-27
- NEP-COM: Industrial Competition (1) 2024-11-18
- NEP-EEC: European Economics (1) 2011-05-07
- NEP-IAS: Insurance Economics (1) 2002-08-08
- NEP-ISF: Islamic Finance (1) 2021-08-23
- NEP-MIC: Microeconomics (1) 2011-05-07
- NEP-MON: Monetary Economics (1) 2018-11-26
- NEP-MST: Market Microstructure (1) 2012-12-22
- NEP-OPM: Open Economy Macroeconomics (1) 2016-01-03
- NEP-PAY: Payment Systems and Financial Technology (1) 2020-12-21
- NEP-PBE: Public Economics (1) 2014-08-25
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