George Chacko
George Chacko
Associate Professor of Finance, Santa Clara University
Verified email at scu.edu
Title
Cited by
Cited by
Year
Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets
G Chacko, LM Viceira
The Review of Financial Studies 18 (4), 1369-1402, 2005
6162005
Spectral GMM estimation of continuous-time processes
G Chacko, LM Viceira
Journal of Econometrics 116 (1-2), 259-292, 2003
3572003
Latent liquidity: A new measure of liquidity, with an application to corporate bonds
S Mahanti, A Nashikkar, M Subrahmanyam, G Chacko, G Mallik
Journal of Financial Economics 88 (2), 272-298, 2008
2622008
Pricing interest rate derivatives: a general approach
G Chacko, S Das
The review of financial studies 15 (1), 195-241, 2002
2052002
Strategic asset allocation in a continuous-time VAR model
JY Campbell, G Chacko, J Rodriguez, LM Viceira
Journal of Economic Dynamics and Control 28 (11), 2195-2214, 2004
1492004
Financial derivatives: pricing, applications, and mathematics
J Baz, G Chacko
Cambridge University Press, 2004
1462004
The price of immediacy
GC Chacko, JW Jurek, E Stafford
The Journal of Finance 63 (3), 1253-1290, 2008
912008
Liquidity risk in the corporate bond markets
G Chacko
Available at SSRN 687619, 2005
762005
Credit derivatives: A primer on credit risk, modelling, and instruments (HB)
G Chacko
Pearson Education India, 2006
712006
Cephalon, Inc. Taking risk management theory seriously
G Chacko, P Tufano, G Verter
Journal of Financial Economics 60 (2-3), 449-485, 2001
332001
The determinants of liquidity in the corporate bond markets: An application of latent liquidity
G Chacko, MG Subrahmanyam, S Mahanti, G Mallik
AFA 2006 Boston Meetings Paper, 2005
232005
An index-based measure of liquidity
G Chacko, S Das, R Fan
Journal of Banking & Finance 68, 162-178, 2016
212016
The Global Economic System: How Liquidity Shocks Affect Financial Institutions and Lead to Economic Crises, Portable Documents
G Chacko, CL Evans, H Gunawan, AL Sjoman
FT Press, 2011
212011
Financial derivatives
J Baz, G Chacko
Cambridge Books, 2009
212009
Continuous-time estimation of exponential separable term structure models: A general approach
G Chacko
manuscript, Harvard University, 1999
151999
Multifactor interest rate dynamics and their implications for bond pricing
G Chacko
Manuscript, Harvard University, 1997
151997
An index-based measure of liquidity
G Chacko, S Das, R Fan
Working Paper, Santa Clara University, 2012
132012
Average interest
G Chacko, SR Das
NBER Working Paper, 1997
131997
A liquidity-based explanation of convertible arbitrage alphas
G Batta, G Chacko, BG Dharan
The Journal of Fixed Income 20 (1), 28-43, 2010
122010
Valuation: methods and models in applied corporate finance
G Chacko, CL Evans
FT Press, 2014
82014
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Articles 1–20