42
H index
66
i10 index
8741
Citations
Stanford University | 42 H index 66 i10 index 8741 Citations RESEARCH PRODUCTION: 77 Articles 59 Papers 4 Books 15 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Darrell Duffie. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2020 | Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09. Full description at Econpapers || Download paper | |
2020 | Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Christensen, Kim ; Bolko, Anine E ; Veliyev, Bezirgen ; Pakkanen, Mikko S. In: CREATES Research Papers. RePEc:aah:create:2020-12. Full description at Econpapers || Download paper | |
2020 | Rational Groupthink. (2018). Tamuz, Omer ; Strack, Philipp ; Mossel, Elchanan ; Harel, Matan. In: Papers. RePEc:arx:papers:1412.7172. Full description at Econpapers || Download paper | |
2020 | Repo Haircuts and Economic Capital. (2016). Lou, Wujiang . In: Papers. RePEc:arx:papers:1604.05404. Full description at Econpapers || Download paper | |
2020 | Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure. (2016). Cao, Jiling ; Nazirah, Teh Raihana ; Zhang, Wenjun. In: Papers. RePEc:arx:papers:1610.09714. Full description at Econpapers || Download paper | |
2020 | Realized volatility and parametric estimation of Heston SDEs. (2017). Timofeyev, Ilya ; Ren, Peng ; Azencott, Robert . In: Papers. RePEc:arx:papers:1706.04566. Full description at Econpapers || Download paper | |
2020 | Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520. Full description at Econpapers || Download paper | |
2020 | Indifference pricing of pure endowments via BSDEs under partial information. (2019). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia. In: Papers. RePEc:arx:papers:1804.00223. Full description at Econpapers || Download paper | |
2020 | Continuity of Utility Maximization under Weak Convergence. (2019). Bayraktar, Erhan ; Guo, Jia ; Dolinsky, Yan. In: Papers. RePEc:arx:papers:1811.01420. Full description at Econpapers || Download paper | |
2020 | A closed formula for illiquid corporate bonds and an application to the European market. (2019). Nastasi, Emanuele ; Nassigh, Aldo ; Baviera, Roberto. In: Papers. RePEc:arx:papers:1901.06855. Full description at Econpapers || Download paper | |
2020 | A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456. Full description at Econpapers || Download paper | |
2020 | Affine term structure models : a time-changed approach with perfect fit to market curves. (2019). Fr'ed'eric Vrins, ; Mbaye, Cheikh. In: Papers. RePEc:arx:papers:1903.04211. Full description at Econpapers || Download paper | |
2020 | Epstein-Zin Utility Maximization on Random Horizons. (2019). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:1903.08782. Full description at Econpapers || Download paper | |
2020 | The Leland-Toft optimal capital structure model under Poisson observations. (2019). Yamazaki, Kazutoshi ; Surya, Budhi Arta ; Jos'e Luis P'erez, ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:1904.03356. Full description at Econpapers || Download paper | |
2020 | A class of recursive optimal stopping problems with applications to stock trading. (2019). de Angelis, Tiziano ; Colaneri, Katia. In: Papers. RePEc:arx:papers:1905.02650. Full description at Econpapers || Download paper | |
2020 | Asset Pricing with Heterogeneous Beliefs and Illiquidity. (2019). Tan, Xiaowei ; Nutz, Marcel ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1905.05730. Full description at Econpapers || Download paper | |
2020 | Weak Limits of Random Coefficient Autoregressive Processes and their Application in Ruin Theory. (2019). Spielmann, J'Erome ; Dong, Yuchao. In: Papers. RePEc:arx:papers:1907.01828. Full description at Econpapers || Download paper | |
2020 | A zero interest rate Black-Derman-Toy model. (2019). Sosa, Andr'Es ; Mordecki, Ernesto ; Zanowski, Grzegorz Krzy. In: Papers. RePEc:arx:papers:1908.04401. Full description at Econpapers || Download paper | |
2021 | Improving Information from Manipulable Data. (2019). Kartik, Navin ; Frankel, Alex. In: Papers. RePEc:arx:papers:1908.10330. Full description at Econpapers || Download paper | |
2020 | No-Arbitrage Commodity Option Pricing with Market Manipulation. (2019). Campi, Luciano ; Callegaro, Giorgia ; Ren'e A"id, . In: Papers. RePEc:arx:papers:1909.07896. Full description at Econpapers || Download paper | |
2020 | Optimal Dividend Strategy for An Insurance Group with Contagious Default Risk. (2019). Yu, Xiang ; Yang, Yue ; Liao, Huafu ; Jin, Zhuo. In: Papers. RePEc:arx:papers:1909.09511. Full description at Econpapers || Download paper | |
2020 | Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144. Full description at Econpapers || Download paper | |
2020 | How Safe are European Safe Bonds? An Analysis from the Perspective of Modern Portfolio Credit Risk Models. (2020). Damian, Camilla ; Kurt, Kevin ; Frey, Rudiger. In: Papers. RePEc:arx:papers:2001.11249. Full description at Econpapers || Download paper | |
2020 | The Fair Basis: Funding and capital in the reduced form framework. (2020). Lou, Wujiang . In: Papers. RePEc:arx:papers:2002.08531. Full description at Econpapers || Download paper | |
2020 | Large-Maturity Smiles for an Affine Jump-Diffusion Model. (2020). Lin, Junfeng ; Ling, Zhichao ; Yao, Nian. In: Papers. RePEc:arx:papers:2003.00334. Full description at Econpapers || Download paper | |
2020 | Mortality and Healthcare: a Stochastic Control Analysis under Epstein-Zin Preferences. (2020). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:2003.01783. Full description at Econpapers || Download paper | |
2020 | An iterative splitting method for pricing European options under the Heston model. (2020). Huang, Zhongyi ; Li, Hongshan. In: Papers. RePEc:arx:papers:2003.12934. Full description at Econpapers || Download paper | |
2020 | On the parabolic equation for portfolio problems. (2020). Zawisza, Dariusz. In: Papers. RePEc:arx:papers:2003.13317. Full description at Econpapers || Download paper | |
2020 | Asymptotically Optimal Management of Heterogeneous Collectivised Investment Funds. (2020). Buescu, Cristin ; Armstrong, John. In: Papers. RePEc:arx:papers:2004.01506. Full description at Econpapers || Download paper | |
2020 | Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (2020). Mancino, Maria Elvira ; Toscano, Giacomo ; Scotti, Simone. In: Papers. RePEc:arx:papers:2004.04015. Full description at Econpapers || Download paper | |
2020 | Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets. (2020). Scaillet, Olivier ; Shen, Yiwen. In: Papers. RePEc:arx:papers:2004.10096. Full description at Econpapers || Download paper | |
2020 | The hyperbolic geometry of financial networks. (2020). Nargang, Stephanie ; Keller-Ressel, Martin. In: Papers. RePEc:arx:papers:2005.00399. Full description at Econpapers || Download paper | |
2020 | Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences. (2020). Nwogugu, Michael. In: Papers. RePEc:arx:papers:2005.01709. Full description at Econpapers || Download paper | |
2021 | Identification in Economies with Frictions. (2020). Tryphonides, Andreas. In: Papers. RePEc:arx:papers:2005.02010. Full description at Econpapers || Download paper | |
2020 | Deep xVA solver -- A neural network based counterparty credit risk management framework. (2020). Gnoatto, Alessandro ; Reisinger, Christoph ; Picarelli, Athena. In: Papers. RePEc:arx:papers:2005.02633. Full description at Econpapers || Download paper | |
2020 | The optimal investment strategy of a DC pension plan under deposit loan spread and the O-U process. (2020). Xu, Xiao. In: Papers. RePEc:arx:papers:2005.10661. Full description at Econpapers || Download paper | |
2020 | Robust Multiple Stopping -- A Pathwise Duality Approach. (2020). Laeven, Roger ; Stadje, Mitja ; John , . In: Papers. RePEc:arx:papers:2006.01802. Full description at Econpapers || Download paper | |
2020 | The Gauss2++ Model -- A Comparison of Different Measure Change Specifications for a Consistent Risk Neutral and Real World Calibration. (2020). Pfeiffer, Julian ; Berninger, Christoph. In: Papers. RePEc:arx:papers:2006.08004. Full description at Econpapers || Download paper | |
2020 | Fast calibration of the LIBOR Market Model with Stochastic Volatility based on analytical gradient. (2020). Arrouy, Pierre-Edouard ; Herv'e Andres, ; Mehalla, Sophian ; Boumezoued, Alexandre ; Bonnefoy, Paul. In: Papers. RePEc:arx:papers:2006.13521. Full description at Econpapers || Download paper | |
2020 | Asset Prices and Capital Share Risks: Theory and Evidence. (2020). Ibrahim, Boulis M ; Byrne, Joseph P ; Zong, Xiaoyu. In: Papers. RePEc:arx:papers:2006.14023. Full description at Econpapers || Download paper | |
2020 | Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model. (2020). Li, Bingqing ; Fu, Michael C ; Zhang, Tianqi ; Wu, Rongwen . In: Papers. RePEc:arx:papers:2006.15054. Full description at Econpapers || Download paper | |
2020 | A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312. Full description at Econpapers || Download paper | |
2020 | Analysis on the Pricing model for a Discrete Coupon Bond with Early redemption provision by the Structural Approach. (2020). Kim, Tae Song ; Chol, Hyong. In: Papers. RePEc:arx:papers:2007.01511. Full description at Econpapers || Download paper | |
2020 | Heterogeneity and the Dynamic Effects of Aggregate Shocks. (2020). Tryphonides, Andreas. In: Papers. RePEc:arx:papers:2007.14022. Full description at Econpapers || Download paper | |
2021 | Optimal Network Compression. (2020). Feinstein, Zachary ; Amini, Hamed. In: Papers. RePEc:arx:papers:2008.08733. Full description at Econpapers || Download paper | |
2020 | XVA Analysis From the Balance Sheet. (2020). Saadeddine, Bouazza ; Hoskinson, Rodney ; Crepey, Stephane ; Albanese, Claudio. In: Papers. RePEc:arx:papers:2009.00368. Full description at Econpapers || Download paper | |
2020 | Rough Heston: the SINC way. (2020). Rossi, Pietro ; Romagnoli, Silvia ; Bormetti, Giacomo ; Baschetti, Fabio. In: Papers. RePEc:arx:papers:2009.00557. Full description at Econpapers || Download paper | |
2020 | A note on large deviations in life insurance. (2020). Gerhold, Stefan. In: Papers. RePEc:arx:papers:2009.01644. Full description at Econpapers || Download paper | |
2020 | Volterra mortality model: Actuarial valuation and risk management with long-range dependence. (2020). Wong, Hoi Ying ; Chiu, Mei Choi ; Wang, Ling. In: Papers. RePEc:arx:papers:2009.09572. Full description at Econpapers || Download paper | |
2020 | Measures of Model Risk in Continuous-time Finance Models. (2020). Qi, Shuyuan ; Lazar, Emese ; Tunaru, Radu. In: Papers. RePEc:arx:papers:2010.08113. Full description at Econpapers || Download paper | |
2020 | Optimal control of multiple Markov switching stochastic system with application to portfolio decision. (2020). Shi, Jianmin. In: Papers. RePEc:arx:papers:2010.16102. Full description at Econpapers || Download paper | |
2020 | Duality and deep learning for optimal consumption with randomly terminating income. (2020). Monoyios, Michael ; Davey, Ashley ; Zheng, Harry. In: Papers. RePEc:arx:papers:2011.00732. Full description at Econpapers || Download paper | |
2020 | Pattern recognition in trading behaviors before stock price jumps: new method based on multivariate time series classification. (2020). Azencott, Robert ; Kong, AO ; Zhu, Hongliang. In: Papers. RePEc:arx:papers:2011.04939. Full description at Econpapers || Download paper | |
2020 | Portfolio Risk Measurement Using a Mixture Simulation Approach. (2020). Sharifi, Azin ; Sina, Seyed Mohammad ; Arian, Hamidreza. In: Papers. RePEc:arx:papers:2011.07994. Full description at Econpapers || Download paper | |
2020 | Forward utility and market adjustments in relative investment-consumption games of many players. (2020). Platonov, Vadim ; Reis, Goncalo Dos . In: Papers. RePEc:arx:papers:2012.01235. Full description at Econpapers || Download paper | |
2021 | Valuation of electricity storage contracts using the COS method. (2021). Oosterlee, Cornelis W ; Boonstra, Boris C. In: Papers. RePEc:arx:papers:2101.02917. Full description at Econpapers || Download paper | |
2020 | Carbon Policies and Climate Financial Regulation. (2020). Hege, Ulrich ; Cherbonnier, Frederic. In: Working Paper. RePEc:avg:wpaper:en11709. Full description at Econpapers || Download paper | |
2020 | Strategic Uncertainty in Financial Markets: Evidence from a Consensus Pricing Service. (2020). Uthemann, Andreas ; Ergun, Lerby. In: Staff Working Papers. RePEc:bca:bocawp:20-55. Full description at Econpapers || Download paper | |
2020 | A General Characterization of the Capital Cost and the Natural Interest Rate: an application for Brazil. (2020). Trafane Oliveira Santos, Thiago. In: Working Papers Series. RePEc:bcb:wpaper:524. Full description at Econpapers || Download paper | |
2021 | A Non-Knotty Inflation Risk Premium Model. (2021). Machado, Jose Valentim. In: Working Papers Series. RePEc:bcb:wpaper:543. Full description at Econpapers || Download paper | |
2021 | Identifying deposits outflows in real-time. (2021). Rainone, Edoardo. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1319_21. Full description at Econpapers || Download paper | |
2020 | Forecast Comparison of the Term Structure of Interest Rates of Mexico for Different Specifications of the Affine Model. (2020). Lelo-De, Alejandra. In: Working Papers. RePEc:bdm:wpaper:2020-01. Full description at Econpapers || Download paper | |
2020 | Treasury Inconvenience Yields during the COVID-19 Crisis. (2020). He, Zhiguo ; Nagel, Stefan ; Song, Zhaogang. In: Working Papers. RePEc:bfi:wpaper:2020-79. Full description at Econpapers || Download paper | |
2020 | U.S. Banks and Global Liquidity. (2020). Correa, Ricardo ; Du, Wenxin ; Liao, Gordon. In: Working Papers. RePEc:bfi:wpaper:2020-89. Full description at Econpapers || Download paper | |
2020 | Financial Fragility in the COVID-19 Crisis: The Case of Investment Funds in Corporate Bond Markets. (2020). Goldstein, Itay ; Falato, Antonio ; Su, Ali Horta ; Hortasu, Ali. In: Working Papers. RePEc:bfi:wpaper:2020-98. Full description at Econpapers || Download paper | |
2021 | Liquidity, Pledgeability, and the Nature of Lending. (2021). Hu, Yunzhi ; Diamond, Douglas W ; Rajan, Raghuram G. In: Working Papers. RePEc:bfi:wpaper:2021-09. Full description at Econpapers || Download paper | |
2020 | Climate-Related Scenarios for Financial Stability Assessment: an Application to France. (2020). Lisack, Noëmie ; Dees, Stephane ; CLERC, Laurent ; CAICEDO, Mateo ; Vernet, Lucas ; Svartzman, Romain ; Allen, Thomas ; Rabate, Marie ; Pegoraro, Fulvio ; Diot, Sebastien ; Devulder, Antoine ; de Gaye, Annabelle ; Chouard, Valerie ; Boissinot, Jean. In: Working papers. RePEc:bfr:banfra:774. Full description at Econpapers || Download paper | |
2020 | Model risk at central counterparties: Is skin-in-the-game a game changer?. (2020). Takats, Elod ; Huang, Wenqian. In: BIS Working Papers. RePEc:bis:biswps:866. Full description at Econpapers || Download paper | |
2021 | Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds. (2021). Creal, Drew ; Chernov, Mikhail ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:918. Full description at Econpapers || Download paper | |
2021 | Optimal bank leverage and recapitalization in crowded markets. (2021). Bertsch, Christoph ; Mariathasan, Mike. In: BIS Working Papers. RePEc:bis:biswps:923. Full description at Econpapers || Download paper | |
2020 | The pricing of accruals quality in credit default swap spreads. (2020). Lin, Hai ; Alam, Pervaiz ; Pu, Xiaoling ; Hettler, Barry. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:1943-1977. Full description at Econpapers || Download paper | |
2020 | Asset pricing and energy consumption risk. (2020). Lan, Yihui ; Lim, Ashley ; Treepongkaruna, Sirimon. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:3813-3850. Full description at Econpapers || Download paper | |
2020 | Influence of media coverage and sentiment on seasoned equity offerings. (2020). Guo, Jie ; Wang, Jiaguo ; Zhou, YI ; Sun, JI. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:s1:p:557-585. Full description at Econpapers || Download paper | |
2020 | Does individualistic culture impact operational risk?. (2020). Li, Donghui ; Chen, Zhian ; Cao, Zhe ; An, Zhe. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:808-838. Full description at Econpapers || Download paper | |
2020 | Timeâ€varying risk of rare disasters, investment, and asset pricing. (2020). Niu, Yingjie ; Liu, BO ; Zou, Zhentao ; Yang, Jinqiang. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:503-524. Full description at Econpapers || Download paper | |
2020 | Did SFAS 166/167 decrease the information asymmetry of securitizing banks?. (2020). Oz, Seda. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:4:p:557-581. Full description at Econpapers || Download paper | |
2020 | Foreign currency borrowing surrounding the global financial crisis: Evidence from Korea. (2020). Ho, Taek ; Kim, Hyeon Sook ; Bae, Sung C. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:47:y:2020:i:5-6:p:786-817. Full description at Econpapers || Download paper | |
2020 | Consumption Fluctuations and Expected Returns. (2020). Priestley, Richard ; Moller, Stig V ; Atanasov, Victoria. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1677-1713. Full description at Econpapers || Download paper | |
2020 | Presidential Address: Social Transmission Bias in Economics and Finance. (2020). Hirshleifer, David. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:1779-1831. Full description at Econpapers || Download paper | |
2020 | Is Bitcoin Really Untethered?. (2020). Shams, Amin ; Griffin, John M. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:1913-1964. Full description at Econpapers || Download paper | |
2020 | The Value of Central Clearing. (2020). Vuillemey, Guillaume. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2021-2053. Full description at Econpapers || Download paper | |
2020 | Understanding Systematic Risk: A Highâ€Frequency Approach. (2020). Pelger, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2179-2220. Full description at Econpapers || Download paper | |
2020 | Market Structure and Transaction Costs of Index CDSs. (2020). Collindufresne, Pierre ; Trolle, Anders B ; Junge, Benjamin. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2719-2763. Full description at Econpapers || Download paper | |
2020 | A Macrofinance View of U.S. Sovereign CDS Premiums. (2020). Chernov, Mikhail ; Schneider, Andres ; Schmid, Lukas. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2809-2844. Full description at Econpapers || Download paper | |
2020 | CORPORATE BONDS AND PRODUCT MARKET COMPETITION. (2020). Platt, Katarzyna. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:3:p:615-647. Full description at Econpapers || Download paper | |
2020 | Estimating the probability of default for noâ€default and lowâ€default portfolios. (2020). Blumke, Oliver. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:69:y:2020:i:1:p:89-107. Full description at Econpapers || Download paper | |
2020 | Dynamically consistent alphaâ€maxmin expected utility. (2020). Riedel, Frank ; Lin, Qian ; Beissner, Patrick. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:1073-1102. Full description at Econpapers || Download paper | |
2020 | Lifetime investment and consumption with recursive preferences and small transaction costs. (2020). Seifried, Frank Thomas ; Muhlekarbe, Johannes ; Melnyk, Yaroslav. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:1135-1167. Full description at Econpapers || Download paper | |
2020 | Network valuation in financial systems. (2020). D'Errico, Marco ; Caccioli, Fabio ; Bardoscia, Marco ; Barucca, Paolo ; Battiston, Stefano ; Caldarelli, Guido ; Visentin, Gabriele. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1181-1204. Full description at Econpapers || Download paper | |
2020 | Asset pricing with heterogeneous beliefs and illiquidity. (2020). Tan, Xiaowei ; Nutz, Marcel ; Muhlekarbe, Johannes. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1392-1421. Full description at Econpapers || Download paper | |
2020 | A martingale representation theorem and valuation of defaultable securities. (2020). Vanmaele, Michele ; Daveloose, Catherine ; Choulli, Tahir. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1527-1564. Full description at Econpapers || Download paper | |
2020 | Effective risk aversion in thin riskâ€sharing markets. (2020). Anthropelos, Michail ; Vichos, Georgios ; Kardaras, Constantinos. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1565-1590. Full description at Econpapers || Download paper | |
2020 | Bonds, Currencies and Expectational Errors. (2020). Sihvonen, Markus ; Granziera, Eleonora. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_007. Full description at Econpapers || Download paper | |
2020 | A DEEP MARKET IN ISRAELI CORPORATE BONDS: MACRO AND MICROECONOMIC ANALYSIS IN LIGHT OF THE ACCOUNTING STANDARDS. (2020). Hadad, Elroi ; Gershgoren, Gitit Gur ; Kedar-Levy, Haim. In: Israel Economic Review. RePEc:boi:isrerv:v:18:y:2020:i:1:p:139-176. Full description at Econpapers || Download paper | |
2020 | Bank Default Risk Propagation along Supply Chains: Evidence from the U.K.. (2020). Roland, I ; Kabiri, A ; Manole, V ; Spatareanu, M. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2058. Full description at Econpapers || Download paper | |
2020 | Bank default risk propagation along supply chains: evidence from the UK. (2020). Malone, Vlad ; Kabiri, Ali ; Spatareanu, Mariana ; Roland, Isabelle. In: CEP Discussion Papers. RePEc:cep:cepdps:dp1699. Full description at Econpapers || Download paper | |
2020 | Asset Diversification versus Climate Action. (2020). van der Ploeg, Frederick (Rick) ; VAN DERPLOEG, RICK ; Kraft, Holger ; Hambel, Christoph. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8476. Full description at Econpapers || Download paper | |
2020 | Financial Frictions and the Wealth Distribution. (2020). Nuño Barrau, Galo ; Hurtado, Samuel ; Fernandez-Villaverde, Jesus ; Nuo, Galo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8482. Full description at Econpapers || Download paper | |
2020 | Prevention and Mitigation of Epidemics: Biodiversity Conservation and Confinement Policies. (2020). Fabbri, Giorgio ; Augeraud-Véron, Emmanuelle ; Schubert, Katheline ; Augeraud-Veron, Emmanuelle. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8506. Full description at Econpapers || Download paper | |
2020 | r Minus g. (2020). Barro, Robert. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8661. Full description at Econpapers || Download paper | |
2020 | Mildly Explosive Dynamics in U.S. Fixed Income Markets. (2019). Guidolin, Massimo ; De Pace, Pierangelo ; Contessi, Silvio ; DePace, Pierangelo. In: Economics Department, Working Paper Series. RePEc:clm:pomwps:1001. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2007 | Information Percolation in Large Markets In: American Economic Review. [Full Text][Citation analysis] | article | 32 |
2007 | Systemic Illiquidity in the Federal Funds Market In: American Economic Review. [Full Text][Citation analysis] | article | 67 |
2010 | Information Percolation In: American Economic Journal: Microeconomics. [Full Text][Citation analysis] | article | 11 |
2008 | Information Percolation.(2008) In: 2008 Meeting Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
1989 | Arrow and General Equilibrium Theory. In: Journal of Economic Literature. [Full Text][Citation analysis] | article | 7 |
2010 | The Failure Mechanics of Dealer Banks In: Journal of Economic Perspectives. [Full Text][Citation analysis] | article | 75 |
2010 | The failure mechanics of dealer banks.(2010) In: BIS Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 75 | paper | |
2010 | The Failure Mechanics of Dealer Banks.(2010) In: Economic Policy. [Full Text][Citation analysis] This paper has another version. Agregated cites: 75 | article | |
2015 | Reforming LIBOR and Other Financial Market Benchmarks In: Journal of Economic Perspectives. [Full Text][Citation analysis] | article | 26 |
2010 | Is there a case for banning short speculation in sovereign bond markets? In: Financial Stability Review. [Full Text][Citation analysis] | article | 20 |
2005 | Measuring default risk premia from default swap rates and EDFs In: BIS Working Papers. [Full Text][Citation analysis] | paper | 77 |
2003 | Measuring Default Risk Premia from Default Swap Rates and EDFs.(2003) In: GSIA Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 77 | paper | |
2008 | Innovations in credit risk transfer: implications for financial stability In: BIS Working Papers. [Full Text][Citation analysis] | paper | 52 |
2010 | The Squam Lake Report: Fixing the Financial System In: Journal of Applied Corporate Finance. [Full Text][Citation analysis] | article | 103 |
2010 | The Squam Lake Report: Fixing the Financial System.(2010) In: Economics Books. [Citation analysis] This paper has another version. Agregated cites: 103 | book | |
2013 | Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group In: Journal of Applied Corporate Finance. [Full Text][Citation analysis] | article | 5 |
1996 | Special Repo Rates. In: Journal of Finance. [Full Text][Citation analysis] | article | 113 |
1996 | Swap Rates and Credit Quality. In: Journal of Finance. [Full Text][Citation analysis] | article | 184 |
1997 | An Econometric Model of the Term Structure of Interest-Rate Swap Yields. In: Journal of Finance. [Full Text][Citation analysis] | article | 206 |
2003 | Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance. [Full Text][Citation analysis] | article | 152 |
2007 | Common Failings: How Corporate Defaults Are Correlated In: Journal of Finance. [Full Text][Citation analysis] | article | 204 |
2006 | Common Failings: How Corporate Defaults are Correlated.(2006) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 204 | paper | |
2009 | Frailty Correlated Default In: Journal of Finance. [Full Text][Citation analysis] | article | 171 |
2008 | Frailty Correlated Default.(2008) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 171 | paper | |
2010 | Presidential Address: Asset Price Dynamics with Slowâ€Moving Capital In: Journal of Finance. [Full Text][Citation analysis] | article | 173 |
2017 | Benchmarks in Search Markets In: Journal of Finance. [Full Text][Citation analysis] | article | 32 |
2014 | Benchmarks in Search Markets.(2014) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | paper | |
2015 | Benchmarks in Search Markets.(2015) In: 2015 Meeting Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | paper | |
1992 | From Discrete†to Continuousâ€Time Finance: Weak Convergence of the Financial Gain Process1 In: Mathematical Finance. [Full Text][Citation analysis] | article | 28 |
1993 | Optimal Investment With Undiversifiable Income Risk In: Mathematical Finance. [Full Text][Citation analysis] | article | 28 |
1996 | A YIELDâ€FACTOR MODEL OF INTEREST RATES In: Mathematical Finance. [Full Text][Citation analysis] | article | 674 |
2005 | Multi-Period Corporate Default Prediction With Stochastic Covariates In: CARF F-Series. [Full Text][Citation analysis] | paper | 265 |
2007 | Multi-period corporate default prediction with stochastic covariates.(2007) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 265 | article | |
2006 | Multi-Period Corporate Default Prediction With Stochastic Covariates.(2006) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 265 | paper | |
2005 | Multi-Period Corporate Default Prediction With Stochastic Covariates.(2005) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 265 | paper | |
2009 | Information Percolation with Equilibrium Search Dynamics In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 59 |
2009 | Information Percolation With Equilibrium Search Dynamics.(2009) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 59 | article | |
2009 | The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 7 |
2009 | The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation.(2009) In: Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2010 | The relative contributions of private information sharing and public information releases to information aggregation.(2010) In: Journal of Economic Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
2010 | Information Percolation in Segmented Markets In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 33 |
2014 | Information percolation in segmented markets.(2014) In: Journal of Economic Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | article | |
2011 | Information Percolation in Segmented Markets.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
2006 | Valuation in Over-the-Counter Markets In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 131 |
2006 | Valuation in Over-the-Counter Markets.(2006) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 131 | paper | |
2007 | Valuation in Over-the-Counter Markets.(2007) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 131 | article | |
2007 | Report on “The Committee on Yen Risk-free-rate Model Estimation†In: Finance Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Central clearing and collateral demand In: Working Paper Series. [Full Text][Citation analysis] | paper | 97 |
2015 | Central clearing and collateral demand.(2015) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 97 | article | |
2014 | Central Clearing and Collateral Demand.(2014) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 97 | paper | |
2014 | Central Clearing and Collateral Demand.(2014) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 97 | paper | |
2010 | Policy Perspectives on OTC Derivatives Market Infrastructure In: Research Papers. [Full Text][Citation analysis] | paper | 19 |
2010 | Policy perspectives on OTC derivatives market infrastructure.(2010) In: Staff Reports. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2016 | Size Discovery In: Research Papers. [Full Text][Citation analysis] | paper | 3 |
2015 | Size Discovery.(2015) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2017 | Size Discovery.(2017) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2016 | Financial Regulatory Reform after the Crisis: An Assessment In: Research Papers. [Full Text][Citation analysis] | paper | 9 |
2017 | Dynamic Directed Random Matching In: Research Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | Dynamic directed random matching.(2018) In: Journal of Economic Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2015 | Dynamic Directed Random Matching.(2015) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2017 | Corporate Credit Risk Premia In: Research Papers. [Full Text][Citation analysis] | paper | 14 |
2018 | Corporate Credit Risk Premia.(2018) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
2017 | Augmenting Markets with Mechanisms In: Research Papers. [Full Text][Citation analysis] | paper | 0 |
2017 | Augmenting Markets with Mechanisms.(2017) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
1985 | Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities. In: Econometrica. [Full Text][Citation analysis] | article | 105 |
2005 | IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES.(2005) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 105 | chapter | |
1986 | Stochastic Equilibria: Existence, Spanning Number, and the No Expected Financial Gain from Trade Hypothesis. In: Econometrica. [Full Text][Citation analysis] | article | 12 |
1989 | The Consumption-Based Capital Asset Pricing Model. In: Econometrica. [Full Text][Citation analysis] | article | 67 |
1988 | The Consumption-Based Capital Asset Pricing Model.(1988) In: Discussion Papers. [Citation analysis] This paper has another version. Agregated cites: 67 | paper | |
1992 | Stochastic Differential Utility. In: Econometrica. [Full Text][Citation analysis] | article | 209 |
1993 | Simulated Moments Estimation of Markov Models of Asset Prices. In: Econometrica. [Full Text][Citation analysis] | article | 383 |
1990 | Simulated Moments Estimation of Markov Models of Asset Prices.(1990) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 383 | paper | |
1994 | Stationary Markov Equilibria. In: Econometrica. [Full Text][Citation analysis] | article | 95 |
1999 | A Liquidity-Based Model of Security Design In: Econometrica. [Citation analysis] | article | 224 |
2000 | Transform Analysis and Asset Pricing for Affine Jump-Diffusions In: Econometrica. [Citation analysis] | article | 864 |
1999 | Transform Analysis and Asset Pricing for Affine Jump-Diffusions.(1999) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 864 | paper | |
2001 | Term Structures of Credit Spreads with Incomplete Accounting Information. In: Econometrica. [Citation analysis] | article | 324 |
2004 | Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals In: Econometrica. [Full Text][Citation analysis] | article | 16 |
2005 | Over-the-Counter Markets In: Econometrica. [Full Text][Citation analysis] | article | 277 |
2004 | Over-the-Counter Markets.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 277 | paper | |
2012 | Over-The-Counter Markets.(2012) In: Introductory Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 277 | chapter | |
2012 | Capital Mobility and Asset Pricing In: Econometrica. [Full Text][Citation analysis] | article | 43 |
2011 | Capital Mobility and Asset Pricing.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
2009 | Capital Mobility and Asset Pricing.(2009) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
2009 | Capital Mobility and Asset Pricing.(2009) In: 2009 Meeting Papers. [Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
2004 | Multi-Period Corporate Failure Prediction With Stochastic Covariates In: Econometric Society 2004 Far Eastern Meetings. [Citation analysis] | paper | 13 |
2004 | Multi-Period Corporate Failure Prediction With Stochastic Covariates.(2004) In: Econometric Society 2004 Far Eastern Meetings. [Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2004 | Multi-Period Corporate Failure Prediction with Stochastic Covariates.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2004 | Valuation in Dynamic Bargaining Markets In: Econometric Society 2004 North American Winter Meetings. [Citation analysis] | paper | 6 |
2004 | Valuation in Dynamic Bargaining Markets.(2004) In: Econometric Society 2004 North American Winter Meetings. [Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2004 | Liquidity Premia in Dynamic Bargaining Markets In: Econometric Society 2004 North American Winter Meetings. [Citation analysis] | paper | 0 |
1990 | Optimal hedging and equilibrium in a dynamic futures market In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 28 |
1990 | Transactions costs and portfolio choice in a discrete-continuous-time setting In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 50 |
1992 | Pricing continuously resettled contingent claims In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 17 |
1997 | Hedging in incomplete markets with HARA utility In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 70 |
2003 | Intertemporal asset pricing theory In: Handbook of the Economics of Finance. [Full Text][Citation analysis] | chapter | 1 |
2005 | Credit risk modeling with affine processes In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 21 |
2012 | The exact law of large numbers for independent random matching In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 25 |
2011 | The Exact Law of Large Numbers for Independent Random Matching.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | paper | |
2015 | Reprint of: Information percolation in segmented markets In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 5 |
1987 | Stochastic equilibria with incomplete financial markets In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 28 |
1988 | An extension of the Black-Scholes model of security valuation In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 6 |
1991 | Corporate financial hedging with proprietary information In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 66 |
1995 | Financial Market Innovation and Security Design: An Introduction In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 106 |
2002 | Securities lending, shorting, and pricing In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 176 |
1991 | The theory of value in security markets In: Handbook of Mathematical Economics. [Full Text][Citation analysis] | chapter | 3 |
1985 | Equilibrium in incomplete markets: I : A basic model of generic existence In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 158 |
1986 | Competitive equilibria in general choice spaces In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 3 |
1986 | Equilibrium in incomplete markets: II : Generic existence in stochastic economies In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 60 |
1986 | Multiperiod security markets with differential information : Martingales and resolution times In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 25 |
1992 | PDE solutions of stochastic differential utility In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 181 |
1994 | Continuous-time security pricing : A utility gradient approach In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 66 |
1994 | Efficient and equilibrium allocations with stochastic differential utility In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 11 |
1996 | Incomplete security markets with infinitely many states: An introduction In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 3 |
2002 | Universal state prices and asymmetric information In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 0 |
1990 | Money in general equilibrium theory In: Handbook of Monetary Economics. [Full Text][Citation analysis] | chapter | 3 |
1990 | The New Palgrave: Finance : A book review In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 0 |
2001 | Liquidation Risk In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2012 | Explaining the U.S. tri-party repo market In: Economic Policy Review. [Full Text][Citation analysis] | article | 1 |
2013 | A sampling-window approach to transactions-based Libor fixing In: Staff Reports. [Full Text][Citation analysis] | paper | 4 |
2016 | National and International Monetary Reform In: Book Chapters. [Full Text][Citation analysis] | chapter | 4 |
2009 | Policy Issues Facing the Market for Credit Derivatives In: Book Chapters. [Full Text][Citation analysis] | chapter | 2 |
2012 | A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements In: Book Chapters. [Full Text][Citation analysis] | chapter | 6 |
2014 | Financial Market Infrastructure: Too Important to Fail In: Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2014 | Financial Market Infrastructure: Too Important to Fail.(2014) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2015 | Resolution of Failing Central Counterparties In: Book Chapters. [Citation analysis] | chapter | 6 |
2014 | Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs In: Economics Working Papers. [Full Text][Citation analysis] | paper | 10 |
2014 | Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs.(2014) In: The Journal of Legal Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
2013 | Replumbing Our Financial System: Uneven Progress In: International Journal of Central Banking. [Full Text][Citation analysis] | article | 9 |
2016 | Preface to the Special Issue on Systemic Risk: Models and Mechanisms In: Operations Research. [Full Text][Citation analysis] | article | 0 |
2003 | Market Pricing of Deposit Insurance In: Journal of Financial Services Research. [Full Text][Citation analysis] | article | 26 |
2008 | Market Pricing of Deposit Insurance.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | chapter | |
2011 | Comment on Risk Topography In: NBER Chapters. [Full Text][Citation analysis] | chapter | 0 |
2013 | Systemic Risk Exposures: A 10-by-10-by-10 Approach In: NBER Chapters. [Full Text][Citation analysis] | chapter | 7 |
2011 | Systemic Risk Exposures: A 10-by-10-by-10 Approach.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2002 | Affine Processes and Application in Finance In: NBER Technical Working Papers. [Full Text][Citation analysis] | paper | 6 |
2014 | Robust Benchmark Design In: NBER Working Papers. [Full Text][Citation analysis] | paper | 4 |
2017 | Funding Value Adjustments In: NBER Working Papers. [Full Text][Citation analysis] | paper | 6 |
2020 | Market Fragmentation In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2002 | Large Portfolio Losses In: NBER Working Papers. [Full Text][Citation analysis] | paper | 21 |
2004 | Large portfolio losses.(2004) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | article | |
2011 | Does a Central Clearing Counterparty Reduce Counterparty Risk? In: Review of Asset Pricing Studies. [Full Text][Citation analysis] | article | 25 |
1999 | Modeling Term Structures of Defaultable Bonds. In: Review of Financial Studies. [Citation analysis] | article | 677 |
1992 | Asset Pricing with Stochastic Differential Utility. In: Review of Financial Studies. [Full Text][Citation analysis] | article | 257 |
1995 | Corporate Incentives for Hedging and Hedge Accounting. In: Review of Financial Studies. [Full Text][Citation analysis] | article | 170 |
2011 | Measuring Corporate Default Risk In: OUP Catalogue. [Citation analysis] | book | 8 |
2010 | Introduction In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 0 |
2011 | Introduction In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 0 |
2011 | How Big Banks Fail and What to Do about It In: Economics Books. [Citation analysis] | book | 7 |
2012 | Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets In: Economics Books. [Citation analysis] | book | 50 |
2007 | Over the Counter Search Frictions: A Case Study of the Federal Funds Market In: 2007 Meeting Papers. [Full Text][Citation analysis] | paper | 0 |
2001 | Analytical value-at-risk with jumps and credit risk In: Finance and Stochastics. [Full Text][Citation analysis] | article | 43 |
1996 | A term structure model with preferences for the timing of resolution of uncertainty (*) In: Economic Theory. [Citation analysis] | article | 0 |
1996 | Asset Pricing with Heterogeneous Consumers. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 565 |
2012 | Comment In: NBER Macroeconomics Annual. [Full Text][Citation analysis] | article | 0 |
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