Richard Crump

Richard Crump

Assistant Vice President and Function Head
Capital Markets Function
Federal Reserve Bank of New York
33 Liberty Street
New York, NY 10045

Phone (212) 720-2974
richard.crump@ny.frb.org

Publications

Regression-Based Estimation of Dynamic Asset Pricing Models
With Tobias Adrian and Emanuel Moench
Journal of Financial Economics, Forthcoming
previously circulated as
Federal Reserve Bank of New York Staff Reports 493, August 2011, Revised December 2014

Bootstrapping Density-Weighted Average Derivatives
With Matias D. Cattaneo and Michael Jansson
Econometric Theory, December 2014, 30(6): 1135-1164

Small Bandwidth Asymptotics for Density-Weighted Average Derivatives
With Matias D. Cattaneo and Michael Jansson
Econometric Theory, February 2014, 30(1): 176-200

Generalized Jackknife Estimators of Weighted Average Derivatives
With Matias D. Cattaneo and Michael Jansson
Journal of the American Statistical Association, December 2013, 108(504): 1243-1256

Pricing the Term Structure with Linear Regressions
With Tobias Adrian and Emanuel Moench
Journal of Financial Economics, October 2013, 110(1): 110-138
previously circulated as
Federal Reserve Bank of New York Staff Reports 340, August 2008, Revised April 2013

Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors
With Matias D. Cattaneo and Michael Jansson
Journal of Econometrics, March 2012, 167(1): 1-15

Robust Data-Driven Inference for Density-Weighted Average Derivatives
With Matias D. Cattaneo and Michael Jansson
Journal of the American Statistical Association, September 1, 2010, 105(491): 1070-1083

Dealing with Limited Overlap in Estimation of Average Treatment Effects
With V. Joseph Hotz, Guido W. Imbens, and Oscar A. Mitnik
Biometrika, March 2009, 96(1): 187-199

Nonparametric Tests for Treatment Effect Heterogeneity
With V. Joseph Hotz, Guido W. Imbens, and Oscar A. Mitnik
Review of Economics and Statistics, August 2008, 90(3): 389-405

Richard Crump's CVPDFThe views expressed in the papers listed on this page are those of the author(s) and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System.