His scientific interests lie mostly in Monetary economics, Capital asset pricing model, Systematic risk, Consumption and Foreign exchange risk. Hanno Lustig combines Monetary economics and Growth accounting in his research. His Capital asset pricing model study necessitates a more in-depth grasp of Econometrics.
His Systematic risk study integrates concerns from other disciplines, such as Asset and Risk premium. Hanno Lustig combines subjects such as Market return, Collateral and Portfolio with his study of Consumption. His Foreign exchange risk research is multidisciplinary, relying on both Investment strategy and Interest rate.
Hanno Lustig focuses on Monetary economics, Financial economics, Risk premium, Econometrics and Capital asset pricing model. When carried out as part of a general Monetary economics research project, his work on Foreign exchange risk and Currency is frequently linked to work in Treasury, therefore connecting diverse disciplines of study. His studies in Risk premium integrate themes in fields like Systematic risk, Maturity, Government bond and Portfolio.
The Econometrics study combines topics in areas such as Exchange rate, Consumption and Incomplete markets. His research in Consumption tackles topics such as Interest rate which are related to areas like Monetary policy. Hanno Lustig has researched Capital asset pricing model in several fields, including Microeconomics and Asset.
Monetary economics, Bond, Treasury, Liberian dollar and Asset are his primary areas of study. His study in the field of Government debt and Risk premium also crosses realms of Convenience yield and Replication. His research integrates issues of Volatility and Exchange rate volatility in his study of Risk premium.
The concepts of his Bond study are interwoven with issues in Cash flow and Bond market. His Liberian dollar study combines topics in areas such as Monetary policy, Currency, Interest rate parity and Reserve currency. His biological study spans a wide range of topics, including Collateral and Interest rate.
His primary scientific interests are in Bond, Monetary economics, Exchange rate, Treasury and Bond market. His research investigates the link between Bond and topics such as Cash flow that cross with problems in Business cycle and Stock return. His research on Business cycle also deals with topics like
His work on Risk premium as part of general Monetary economics research is frequently linked to Predictability, bridging the gap between disciplines. His work deals with themes such as Investment, Maturity, Carry and Interest rate risk, which intersect with Risk premium. His study explores the link between Liberian dollar and topics such as Asset that cross with problems in Sharpe ratio.
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Common Risk Factors in Currency Markets
Hanno Lustig;Nikolai Roussanov;Adrien Verdelhan.
Review of Financial Studies (2011)
The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk
Hanno Lustig;Adrien Verdelhan.
The American Economic Review (2007)
Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective
Hanno N. Lustig;Stijn G. Van Nieuwerburgh.
Journal of Finance (2005)
The Cross-Section and Time-Series of Stock and Bond Returns
Ralph S.J. Koijen;Hanno Lustig;Stijn Van Nieuwerburgh.
Journal of Monetary Economics (2017)
Countercyclical currency risk premia
Hanno Lustig;Hanno Lustig;Nikolai Roussanov;Nikolai Roussanov;Adrien Verdelhan;Adrien Verdelhan.
Journal of Financial Economics (2014)
Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees
Bryan T Kelly;Hanno Lustig;Stijn Van Nieuwerburgh.
The American Economic Review (2016)
The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications
Bernard Herskovic;Bryan T Kelly;Hanno Lustig;Stijn Van Nieuwerburgh.
Journal of Financial Economics (2016)
The TIPS-treasury bond puzzle
Matthias Fleckenstein;Francis A. Longstaff;Hanno Lustig.
Journal of Finance (2014)
Common Risk Factors in Currency Markets
Hanno N. Lustig;Hanno N. Lustig;Nikolai L. Roussanov;Nikolai L. Roussanov;Adrien Verdelhan.
Social Science Research Network (2011)
The Wealth-Consumption Ratio
Hanno Lustig;Stijn Van Nieuwerburgh;Adrien Verdelhan.
The Review of Asset Pricing Studies (2013)
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