Is this page useful for you? Then, help us to keep the service working. Please have a look to our donations page ... Thanks for your help!!

Darrell Duffie : Citation Profile


Are you Darrell Duffie?

Stanford University

38

H index

60

i10 index

6322

Citations

RESEARCH PRODUCTION:

75

Articles

66

Papers

4

Books

15

Chapters

RESEARCH ACTIVITY:

   33 years (1985 - 2018). See details.
   Cites by year: 191
   Journals where Darrell Duffie has often published
   Relations with other researchers
   Recent citing documents: 334.    Total self citations: 32 (0.5 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pdu341
   Updated: 2018-02-17    RAS profile: 2017-04-06    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Vuillemey, Guillaume (4)

Stein, Jeremy (2)

Malamud, Semyon (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Darrell Duffie.

Is cited by:

Lucas, Andre (41)

Koopman, Siem Jan (39)

Miao, Jianjun (37)

Longstaff, Francis (36)

Schwaab, Bernd (34)

Weill, Pierre-Olivier (34)

Monfort, Alain (29)

Campbell, John (29)

Jarrow, Robert (28)

Zame, William (27)

Zhou, Hao (26)

Cites to:

Singleton, Kenneth (18)

Leland, Hayne (17)

merton, robert (9)

Lando, David (9)

Jarrow, Robert (9)

Kreps, David (8)

Pedersen, Lasse (8)

Das, Sanjiv (7)

Levine, David (6)

Chen, Zhiwu (6)

Cao, Charles (6)

Main data


Where Darrell Duffie has published?


Journals with more than one article published# docs
Econometrica13
Journal of Mathematical Economics9
Journal of Economic Theory8
Journal of Finance7
Journal of Economic Dynamics and Control4
Review of Financial Studies4
Mathematical Finance3
Journal of Financial Economics3
American Economic Review2
Finance and Stochastics2
Journal of Economic Perspectives2
Journal of Applied Corporate Finance2

Working Papers Series with more than one paper published# docs
Research Papers / Stanford University, Graduate School of Business9
Swiss Finance Institute Research Paper Series / Swiss Finance Institute4
BIS Working Papers / Bank for International Settlements3
Econometric Society 2004 North American Winter Meetings / Econometric Society3
Economics Working Papers / Hoover Institution, Stanford University3
Econometric Society 2004 Far Eastern Meetings / Econometric Society2
Staff Reports / Federal Reserve Bank of New York2

Recent works citing Darrell Duffie (2018 and 2017)


YearTitle of citing document
2017The Extended Perturbation Method: New Insights on the New Keynesian Model. (2017). Andreasen, Martin M ; Kronborg, Anders . In: CREATES Research Papers. RePEc:aah:create:2017-14.

Full description at Econpapers || Download paper

2017A Non-Structural Investigation of VIX Risk Neutral Density. (2017). Violante, Francesco ; Santucci de Magistris, Paolo ; Barletta, Andrea . In: CREATES Research Papers. RePEc:aah:create:2017-15.

Full description at Econpapers || Download paper

2017Decentralized Exchange. (2017). Malamud, Semyon ; Rostek, Marzena. In: American Economic Review. RePEc:aea:aecrev:v:107:y:2017:i:11:p:3320-62.

Full description at Econpapers || Download paper

2017Coarse Competitive Equilibrium and Extreme Prices. (2017). Strzalecki, Tomasz ; Gul, Faruk ; Pesendorfer, Wolfgang. In: American Economic Review. RePEc:aea:aecrev:v:107:y:2017:i:1:p:109-37.

Full description at Econpapers || Download paper

2017Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence. (2017). Sergeyev, Dmitriy ; Nakamura, Emi ; Steinsson, Jon. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:9:y:2017:i:1:p:1-39.

Full description at Econpapers || Download paper

2017The ABC of Simulation Estimation with Auxiliary Statistics. (2017). Ng, Serena ; Forneron, Jean-Jacques . In: Papers. RePEc:arx:papers:1501.01265.

Full description at Econpapers || Download paper

2017Introduction to Stochastic Differential Equations (SDEs) for Finance. (2017). Papanicolaou, A.. In: Papers. RePEc:arx:papers:1504.05309.

Full description at Econpapers || Download paper

2017Incomplete stochastic equilibria for dynamic monetary utility. (2017). Kardaras, Constantinos ; Gordan v{Z}itkovi'{c}, ; Xing, Hao . In: Papers. RePEc:arx:papers:1505.07224.

Full description at Econpapers || Download paper

2017Central Clearing Valuation Adjustment. (2017). St'ephane Cr'epey, ; Yannick, Armenti . In: Papers. RePEc:arx:papers:1506.08595.

Full description at Econpapers || Download paper

2017Correction to Black-Scholes formula due to fractional stochastic volatility. (2017). Garnier, Josselin ; Solna, Knut . In: Papers. RePEc:arx:papers:1509.01175.

Full description at Econpapers || Download paper

2017Equilibrium pricing under relative performance concerns. (2017). Bielagk, Jana ; Reis, Goncalo Dos ; Lionnet, Arnaud . In: Papers. RePEc:arx:papers:1511.04218.

Full description at Econpapers || Download paper

2017General dynamic term structures under default risk. (2017). Fontana, Claudio ; Schmidt, Thorsten. In: Papers. RePEc:arx:papers:1603.03198.

Full description at Econpapers || Download paper

2017Concurrent Credit Portfolio Losses. (2017). Sicking, Joachim ; Schafer, Rudi ; Guhr, Thomas. In: Papers. RePEc:arx:papers:1604.06917.

Full description at Econpapers || Download paper

2018Linear Credit Risk Models. (2016). Ackerer, Damien ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1605.07419.

Full description at Econpapers || Download paper

2017A Mean Field Game of Optimal Stopping. (2017). Nutz, Marcel . In: Papers. RePEc:arx:papers:1605.09112.

Full description at Econpapers || Download paper

2017Long-Term Factorization of Affine Pricing Kernels. (2017). Linetsky, Vadim ; Qin, Likuan . In: Papers. RePEc:arx:papers:1610.00778.

Full description at Econpapers || Download paper

2017Volatility Smile as Relativistic Effect. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1610.02456.

Full description at Econpapers || Download paper

2017A Primer on Portfolio Choice with Small Transaction Costs. (2017). Muhle-Karbe, Johannes ; Soner, Mete H ; Reppen, Max . In: Papers. RePEc:arx:papers:1612.01302.

Full description at Econpapers || Download paper

2017Corporate Security Prices in Structural Credit Risk Models with Incomplete Information: Extended Version. (2017). Frey, Ruediger ; Lu, Dan ; Roesler, Lars . In: Papers. RePEc:arx:papers:1701.04780.

Full description at Econpapers || Download paper

2017Mean field and n-agent games for optimal investment under relative performance criteria. (2017). Lacker, Daniel ; Zariphopoulou, Thaleia. In: Papers. RePEc:arx:papers:1703.07685.

Full description at Econpapers || Download paper

2017High-order compact finite difference scheme for option pricing in stochastic volatility jump models. (2017). During, Bertram ; Pitkin, Alexander . In: Papers. RePEc:arx:papers:1704.05308.

Full description at Econpapers || Download paper

2017Optimal excess-of-loss reinsurance and investment problem for an insurer with default risk under a stochastic volatility model. (2017). Yao, Nian ; Yang, Zhiming . In: Papers. RePEc:arx:papers:1704.08234.

Full description at Econpapers || Download paper

2017Particle systems with singular interaction through hitting times: application in systemic risk modeling. (2017). Nadtochiy, Sergey ; Shkolnikov, Mykhaylo . In: Papers. RePEc:arx:papers:1705.00691.

Full description at Econpapers || Download paper

2017Investing for the Long Run. (2017). Leisen, Dietmar ; Platen, Eckhard. In: Papers. RePEc:arx:papers:1705.03929.

Full description at Econpapers || Download paper

2017CDS Rate Construction Methods by Machine Learning Techniques. (2017). Brummelhuis, Raymond ; Luo, Zhongmin . In: Papers. RePEc:arx:papers:1705.06899.

Full description at Econpapers || Download paper

2017Compressing Over-the-Counter Markets. (2017). D'Errico, Marco ; Roukny, Tarik . In: Papers. RePEc:arx:papers:1705.07155.

Full description at Econpapers || Download paper

2017Dynamic Index Tracking and Risk Exposure Control Using Derivatives. (2017). Leung, Tim ; Ward, Brian . In: Papers. RePEc:arx:papers:1705.10454.

Full description at Econpapers || Download paper

2017Realized volatility and parametric estimation of Heston SDEs. (2017). Azencott, Robert ; Timofeyev, Ilya ; Ren, Peng . In: Papers. RePEc:arx:papers:1706.04566.

Full description at Econpapers || Download paper

2017Modeling credit default swap premiums with stochastic recovery rate. (2017). Sokoot, Zahra ; Niknejad, Farzaneh ; Modarresi, Navideh . In: Papers. RePEc:arx:papers:1706.05703.

Full description at Econpapers || Download paper

2017An Explicit Default Contagion Model and Its Application. (2017). Chen, Dianfa ; Feng, Jianfen ; Deng, Jun . In: Papers. RePEc:arx:papers:1706.06285.

Full description at Econpapers || Download paper

2017General Price Bounds for Guaranteed Annuity Options. (2017). Bahl, Raj Kumari ; Sabanis, Sotirios . In: Papers. RePEc:arx:papers:1707.00807.

Full description at Econpapers || Download paper

2017Effective risk aversion in thin risk-sharing markets. (2017). Anthropelos, Michail ; Vichos, Georgios ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:1707.05096.

Full description at Econpapers || Download paper

2017Derivative-Based Optimization with a Non-Smooth Simulated Criterion. (2017). Frazier, David T ; Zhu, Dan . In: Papers. RePEc:arx:papers:1708.02365.

Full description at Econpapers || Download paper

2017Dynamic Asset Price Jumps and the Performance of High Frequency Tests and Measures. (2017). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

Full description at Econpapers || Download paper

2017Optimal Liquidation Problems in a Randomly-Terminated Horizon. (2017). Yang, Qing-Qing ; Wong, Tak Kwong ; Gu, Jia-Wen ; Ching, Wai-Ki. In: Papers. RePEc:arx:papers:1709.05837.

Full description at Econpapers || Download paper

2017Numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon. (2017). , Hyong-Chol ; Jon, Il-Gwang ; Kim, Jong-Chol . In: Papers. RePEc:arx:papers:1709.06517.

Full description at Econpapers || Download paper

2017Transform Analysis for Hawkes Processes with Applications in Dark Pool Trading. (2017). Gao, Xuefeng ; Zhu, Lingjiong ; Zhou, Xiang. In: Papers. RePEc:arx:papers:1710.01452.

Full description at Econpapers || Download paper

2017Pricing of commodity derivatives on processes with memory. (2017). Benth, Fred Espen ; Vanmaele, Michele ; Khedher, Asma . In: Papers. RePEc:arx:papers:1711.00307.

Full description at Econpapers || Download paper

2017Influence of jump-at-default in IR and FX on Quanto CDS prices. (2017). Itkin, A ; Veygman, A ; Shcherbakov, V. In: Papers. RePEc:arx:papers:1711.07133.

Full description at Econpapers || Download paper

2017Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns. (2017). Ravazzolo, Francesco ; Foroni, Claudia ; Sadaba, Barbara . In: Staff Working Papers. RePEc:bca:bocawp:17-19.

Full description at Econpapers || Download paper

2017Measuring Limits of Arbitrage in Fixed-Income Markets. (2017). Fontaine, Jean-Sebastien ; Nolin, Guillaume. In: Staff Working Papers. RePEc:bca:bocawp:17-44.

Full description at Econpapers || Download paper

2017Credit Risk Transfer and Bank Insolvency Risk. (2017). van Oordt, Maarten. In: Staff Working Papers. RePEc:bca:bocawp:17-59.

Full description at Econpapers || Download paper

2017Which Model to Forecast the Target Rate?. (2017). van Oordt, Maarten . In: Staff Working Papers. RePEc:bca:bocawp:17-60.

Full description at Econpapers || Download paper

2017The effects of tax on bank liability structure. (2017). Gambacorta, Leonardo ; Sundaresan, Suresh ; Wang, Zhenyu ; Ricotti, Giacomo . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1101_17.

Full description at Econpapers || Download paper

2017The double bind of asymmetric information in over-the-counter markets. (2017). Palazzo, Francesco ; Mäkinen, Taneli ; Makinen, Taneli . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1128_17.

Full description at Econpapers || Download paper

2017A quantitative analysis of risk premia in the corporate bond market. (2017). Cecchetti, Sara . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1141_17.

Full description at Econpapers || Download paper

2017Pairwise trading in the money market during the European sovereign debt crisis. (2017). Rainone, Edoardo . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1160_17.

Full description at Econpapers || Download paper

2017Price impact of bond supply shocks: Evidence from the Eurosystems asset purchase program.. (2017). Nguyen, Benoît ; Arrata, W. In: Working papers. RePEc:bfr:banfra:623.

Full description at Econpapers || Download paper

2017The Failure of a Clearinghouse:Empirical Evidence. (2017). Bignon, Vincent ; Vuillemey, Guillaume . In: Working papers. RePEc:bfr:banfra:638.

Full description at Econpapers || Download paper

2017Eurosystem’s asset purchases and money market rates. (2017). Vari, Miklos ; Nguyen, Benoît ; Rahmouni-Rousseau, I ; Arrata, W. In: Working papers. RePEc:bfr:banfra:652.

Full description at Econpapers || Download paper

2017Sectoral risk in the Italian Banking System. (2017). Accornero, Matteo ; Sorrentino, Alberto Maria ; Parlapiano, Fabio ; Felici, Roberto ; Cascarino, Giuseppe . In: IFC Bulletins chapters. RePEc:bis:bisifc:45-07.

Full description at Econpapers || Download paper

2017The effects of tax on bank liability structure. (2017). Gambacorta, Leonardo ; Wang, Zhenyu ; Sundaresan, Suresh ; Ricotti, Giacomo . In: BIS Working Papers. RePEc:bis:biswps:611.

Full description at Econpapers || Download paper

2017Arbitrage costs and the persistent non-zero CDS-bond basis: Evidence from intraday euro area sovereign debt markets. (2017). Hördahl, Peter ; Gyntelberg, Jacob ; Urban, Jorg ; Ters, Kristyna ; Hordahl, Peter . In: BIS Working Papers. RePEc:bis:biswps:631.

Full description at Econpapers || Download paper

2017Asset prices and macroeconomic outcomes: a survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: BIS Working Papers. RePEc:bis:biswps:676.

Full description at Econpapers || Download paper

2017The role of managerial risk-taking in the ‘rise and fall’ of the CDS market. (2017). Dias, Roshanthi . In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i::p:117-145.

Full description at Econpapers || Download paper

2017SPECULATIVE PROFITS, INNOVATION, AND GROWTH. (2017). Denicolo, Vincenzo ; Zanchettin, Piercarlo. In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:1:p:160-174.

Full description at Econpapers || Download paper

2017Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk. (2017). Luciano, Elisa ; Vigna, Elena ; Regis, Luca. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:3:p:961-986.

Full description at Econpapers || Download paper

2017Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated. (2017). Wong, Tat Wing ; Chiu, Mei Choi . In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:3:p:987-1023.

Full description at Econpapers || Download paper

2017Crisis Sentiment in the U.S. Insurance Sector. (2017). Irresberger, Felix ; Konig, Fee Elisabeth. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:4:p:1295-1330.

Full description at Econpapers || Download paper

2017Multi yield curve stress-testing framework incorporating temporal and cross tenor structural dependencies. (2017). Karimalis, Emmanouil ; Peters, Gareth ; Kosmidis, Ioannis . In: Bank of England working papers. RePEc:boe:boeewp:0655.

Full description at Econpapers || Download paper

2017Dealer Trading at the Fix. (2017). Osler, Carol ; Turnbull, Alasdair . In: Working Papers. RePEc:brd:wpaper:101r.

Full description at Econpapers || Download paper

2017Securitization and Aggregate Investment Efficiency. (2017). Stephens, Eric ; Mirza, Afrasiab . In: Carleton Economic Papers. RePEc:car:carecp:16-05.

Full description at Econpapers || Download paper

2017Investor Sentiment Dynamics, the Cross-section of Stock Returns and the MAX Effect. (2017). Nartea, Gilbert ; Cheema, Muhammad. In: Working Papers in Economics. RePEc:cbt:econwp:17/13.

Full description at Econpapers || Download paper

2017Determinants of Trading Activity on the Single-Stock Futures Market: Evidence from the Eurex Exchange. (2017). Biakowski, Jdrzej ; Jakubowski, Jacek . In: Working Papers in Economics. RePEc:cbt:econwp:17/16.

Full description at Econpapers || Download paper

2017Fat tails and spurious estimation of consumption-based asset pricing models. (2017). Toda, Alexis Akira ; Walsh, Kieran James . In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt8df3x7gw.

Full description at Econpapers || Download paper

2017Portfolio Sales and Signaling. (2017). Worrall, Timothy ; Bougheas, Spiros. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6354.

Full description at Econpapers || Download paper

2017Asymmetries in Earnings, Employment and Wage Risk in Great Britain. (2017). Malley, Jim ; Angelopoulos, Konstantinos ; Lazarakis, Spyridon. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6400.

Full description at Econpapers || Download paper

2017A Theory of Repurchase Agreements, Collateral Re-use, and Repo Intermediation. (2017). Monnet, Cyril ; Gottardi, Piero ; Maurin, Vincent . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6579.

Full description at Econpapers || Download paper

2017Operational and Financial Hedging: Evidence from Export and Import Behavior. (2017). Kuzmina, Olga ; Kuznetsova, Olga. In: Working Papers. RePEc:cfr:cefirw:w0242.

Full description at Econpapers || Download paper

2017Dispersed Information and Sovereign Risk Premia. (2017). Margaretic, Paula ; Becerra, Sebastian. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:808.

Full description at Econpapers || Download paper

2017Regulation and structural change in financial systems. (2017). Claessens, Stijn. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11822.

Full description at Econpapers || Download paper

2017The effects of tax on bank liability structure. (2017). Gambacorta, Leonardo ; Wang, Zhenyu ; Sundaresan, Suresh M ; Ricotti, Giacomo . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11893.

Full description at Econpapers || Download paper

2017Transparency, Investor Information Acquisition, and Money Market Fund Risk Rebalancing during the 2011-12 Eurozone Crisis. (2017). Schmidt, Lawrence ; Gallagher, Emily ; Wermers, Russ ; Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11895.

Full description at Econpapers || Download paper

2017Equity versus Bail-in Debt in Banking: An Agency Perspective. (2017). Suarez, Javier ; Nikolov, Kalin ; Mendicino, Caterina. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12104.

Full description at Econpapers || Download paper

2017Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12460.

Full description at Econpapers || Download paper

2017Collusive Benchmark Rates Fixing. (2017). Boot, Nuria ; Schinkel, Maarten Pieter ; Klein, Timo. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1715.

Full description at Econpapers || Download paper

2017Contingent convertibles: Can the market handle them?. (2017). Lelyveld, Iman ; van Wijnbergen, Sweder ; van Lelyveld, Iman ; Kiewiet, Gera. In: DNB Working Papers. RePEc:dnb:dnbwpp:572.

Full description at Econpapers || Download paper

2017Point sur la fourniture de liquidié publique. (2017). RIEU-FOUCAULT, Anne-Marie. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-27.

Full description at Econpapers || Download paper

2017High Frequency Trading and Fragility. (2017). Vives, Xavier ; Cespa, Giovanni . In: IESE Research Papers. RePEc:ebg:iesewp:d-1161.

Full description at Econpapers || Download paper

2017The effects of intraday news flow on market liquidity, price volatility and trading activity. (2017). Karam, Arz. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00384.

Full description at Econpapers || Download paper

2017Below the zero lower bound: a shadow-rate term structure model for the euro area. (2017). Lemke, Wolfgang ; Vladu, Andreea Liliana . In: Working Paper Series. RePEc:ecb:ecbwps:20171991.

Full description at Econpapers || Download paper

2017Securitization and credit quality. (2017). Ongena, Steven ; Marques-Ibanez, David ; Kara, Alper ; Marques-Ibaez, David . In: Working Paper Series. RePEc:ecb:ecbwps:20172009.

Full description at Econpapers || Download paper

2017Safe assets: a review. (2017). Perotti, Enrico ; Golec, Pascal . In: Working Paper Series. RePEc:ecb:ecbwps:20172035.

Full description at Econpapers || Download paper

2017The importance of being special: repo markets during the crisis. (2017). Corradin, Stefano ; Maddaloni, Angela . In: Working Paper Series. RePEc:ecb:ecbwps:20172065.

Full description at Econpapers || Download paper

2017On collateral: implications for financial stability and monetary policy. (2017). Hoerova, Marie ; Heider, Florian ; Corradin, Stefano . In: Working Paper Series. RePEc:ecb:ecbwps:20172107.

Full description at Econpapers || Download paper

2017Structure and Intensity Based Approach in Credit Risk Models: A Literature Review. (2017). Ramesh, Adithi ; Senthil, C B. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-03-81.

Full description at Econpapers || Download paper

2017PDE models and numerical methods for total value adjustment in European and American options with counterparty risk. (2017). Arregui, Iigo ; Vazquez, Carlos ; Salvador, Beatriz . In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:308:y:2017:i:c:p:31-53.

Full description at Econpapers || Download paper

2017Firm network structure and innovation. (2017). Chuluun, Tuugi ; Upadhyay, Arun ; Prevost, Andrew . In: Journal of Corporate Finance. RePEc:eee:corfin:v:44:y:2017:i:c:p:193-214.

Full description at Econpapers || Download paper

2017Fast smoothing in switching approximations of non-linear and non-Gaussian models. (2017). Gorynin, Ivan ; Pieczynski, Wojciech ; Monfrini, Emmanuel ; Derrode, Stephane . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:114:y:2017:i:c:p:38-46.

Full description at Econpapers || Download paper

2017Limelight on dark markets: Theory and experimental evidence on liquidity and information. (2017). Berentsen, Aleksander ; Rocheteau, Guillaume ; McBride, Michael . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:75:y:2017:i:c:p:70-90.

Full description at Econpapers || Download paper

2017On the optimal quantity of liquid bonds. (2017). Huber, Samuel ; Kim, Jaehong . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:184-200.

Full description at Econpapers || Download paper

2017Volatility risk and economic welfare. (2017). Xu, Shaofeng. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:17-33.

Full description at Econpapers || Download paper

2017A unified approach to Bermudan and barrier options under stochastic volatility models with jumps. (2017). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:75-100.

Full description at Econpapers || Download paper

2017Time preference and real investment. (2017). Choi, Kyoung Jin ; Shim, Gyoocheol ; Kwak, Minsuk . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:83:y:2017:i:c:p:18-33.

Full description at Econpapers || Download paper

2017Dynamic asset allocation and consumption under inflation inequality: The impacts of inflation experiences and expectations. (2017). Li, Shaoyu ; Xu, Zhiwei ; Wei, Lijia . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:113-125.

Full description at Econpapers || Download paper

2017Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks. (2017). Lin, Shih-Kuei ; Xu, Lian-Wen ; Chen, Carl R ; Wang, Shin-Yun . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:359-373.

Full description at Econpapers || Download paper

2017Testing for non-correlation between price and volatility jumps. (2017). Jacod, Jean ; Muller, Gernot ; Kluppelberg, Claudia . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:284-297.

Full description at Econpapers || Download paper

2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci . In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

Full description at Econpapers || Download paper

2017Higher-order properties of approximate estimators. (2017). Salanié, Bernard ; Kristensen, Dennis ; Salanie, Bernard . In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:2:p:189-208.

Full description at Econpapers || Download paper

2017Simulated minimum distance estimation of dynamic models with errors-in-variables. (2017). Ng, Serena ; Gospodinov, Nikolay ; Komunjer, Ivana . In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:2:p:181-193.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Darrell Duffie:


YearTitleTypeCited
2007Information Percolation in Large Markets In: American Economic Review.
[Full Text][Citation analysis]
article14
2007Systemic Illiquidity in the Federal Funds Market In: American Economic Review.
[Full Text][Citation analysis]
article44
2010Information Percolation In: American Economic Journal: Microeconomics.
[Full Text][Citation analysis]
article6
2008Information Percolation.(2008) In: 2008 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
1989Arrow and General Equilibrium Theory. In: Journal of Economic Literature.
[Full Text][Citation analysis]
article4
2010The Failure Mechanics of Dealer Banks In: Journal of Economic Perspectives.
[Full Text][Citation analysis]
article58
2010The failure mechanics of dealer banks.(2010) In: BIS Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 58
paper
2010The Failure Mechanics of Dealer Banks.(2010) In: Economic Policy.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 58
article
2015Reforming LIBOR and Other Financial Market Benchmarks In: Journal of Economic Perspectives.
[Full Text][Citation analysis]
article9
2014Reforming LIBOR and Other Financial-Market Benchmarks.(2014) In: Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2010Policy Perspectives on OTC Derivatives Market Infrastructure In: Working Papers.
[Full Text][Citation analysis]
paper16
2010Policy Perspectives on OTC Derivatives Market Infrastructure.(2010) In: Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2010Policy perspectives on OTC derivatives market infrastructure.(2010) In: Staff Reports.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2010Is there a case for banning short speculation in sovereign bond markets? In: Financial Stability Review.
[Full Text][Citation analysis]
article15
2005Measuring default risk premia from default swap rates and EDFs In: BIS Working Papers.
[Full Text][Citation analysis]
paper60
2003Measuring 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: 60
paper
2008Innovations in credit risk transfer: implications for financial stability In: BIS Working Papers.
[Full Text][Citation analysis]
paper38
2010The Squam Lake Report: Fixing the Financial System In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]
article75
2010The Squam Lake Report: Fixing the Financial System.(2010) In: Economics Books.
[Citation analysis]
This paper has another version. Agregated cites: 75
book
2013Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]
article3
1996 Special Repo Rates. In: Journal of Finance.
[Full Text][Citation analysis]
article100
1996 Swap Rates and Credit Quality. In: Journal of Finance.
[Full Text][Citation analysis]
article131
1997 An Econometric Model of the Term Structure of Interest-Rate Swap Yields. In: Journal of Finance.
[Full Text][Citation analysis]
article170
2003Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance.
[Full Text][Citation analysis]
article124
2007Common Failings: How Corporate Defaults Are Correlated In: Journal of Finance.
[Full Text][Citation analysis]
article134
2006Common Failings: How Corporate Defaults are Correlated.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 134
paper
2009Frailty Correlated Default In: Journal of Finance.
[Full Text][Citation analysis]
article99
2008Frailty Correlated Default.(2008) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 99
paper
2010Presidential Address: Asset Price Dynamics with Slow-Moving Capital In: Journal of Finance.
[Full Text][Citation analysis]
article88
1992From Discrete- to Continuous-Time Finance: Weak Convergence of the Financial Gain Process In: Mathematical Finance.
[Full Text][Citation analysis]
article14
1993Optimal Investment With Undiversifiable Income Risk In: Mathematical Finance.
[Full Text][Citation analysis]
article22
1996A YIELD-FACTOR MODEL OF INTEREST RATES In: Mathematical Finance.
[Full Text][Citation analysis]
article518
1998 Black, Merton and Scholes--Their Central Contributions to Economics. In: Scandinavian Journal of Economics.
[Full Text][Citation analysis]
article1
1988Lecture notes in incomplete markets In: Discussion Paper Serie A.
[Citation analysis]
paper0
1989Corporate financial hedging with proprietary information In: Discussion Paper Serie A.
[Citation analysis]
paper0
1989Mean-variance in continuous time In: Discussion Paper Serie A.
[Citation analysis]
paper0
1992Asset pricing with heterogeneous consumers In: Discussion Paper Serie A.
[Citation analysis]
paper10
2005Multi-Period Corporate Default Prediction With Stochastic Covariates In: CARF F-Series.
[Full Text][Citation analysis]
paper188
2007Multi-period corporate default prediction with stochastic covariates.(2007) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 188
article
2006Multi-Period Corporate Default Prediction With Stochastic Covariates.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 188
paper
2005Multi-Period Corporate Default Prediction With Stochastic Covariates.(2005) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 188
paper
2009Information Percolation with Equilibrium Search Dynamics In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper30
2009Information Percolation With Equilibrium Search Dynamics.(2009) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30
article
2009The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper7
2009The 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
2010The 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
2010Information Percolation in Segmented Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper17
2014Information percolation in segmented markets.(2014) In: Journal of Economic Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
article
2011Information Percolation in Segmented Markets.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
paper
2004The Exact Law of Large Numbers for Independent Random Matching In: Levine's Bibliography.
[Full Text][Citation analysis]
paper18
2012The exact law of large numbers for independent random matching.(2012) In: Journal of Economic Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
article
2011The 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: 18
paper
2006Valuation in Over-the-Counter Markets In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper96
2006Valuation in Over-the-Counter Markets.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 96
paper
2007Valuation in Over-the-Counter Markets.(2007) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 96
article
2007Report on “The Committee on Yen Risk-free-rate Model Estimation†In: Finance Working Papers.
[Full Text][Citation analysis]
paper0
2014Central clearing and collateral demand In: Working Paper Series.
[Full Text][Citation analysis]
paper38
2015Central clearing and collateral demand.(2015) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 38
article
2014Central Clearing and Collateral Demand.(2014) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 38
paper
2014Central Clearing and Collateral Demand.(2014) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 38
paper
2014Robust Benchmark Design In: Research Papers.
[Full Text][Citation analysis]
paper1
2014Robust Benchmark Design.(2014) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2014Benchmarks in Search Markets In: Research Papers.
[Full Text][Citation analysis]
paper1
2014Benchmarks in Search Markets.(2014) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2015Benchmarks in Search Markets.(2015) In: 2015 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2014Resolution of Failing Central Counterparties In: Research Papers.
[Full Text][Citation analysis]
paper7
2015Resolution of Failing Central Counterparties.(2015) In: Book Chapters.
[Citation analysis]
This paper has another version. Agregated cites: 7
chapter
2016Size Discovery In: Research Papers.
[Full Text][Citation analysis]
paper3
2015Size Discovery.(2015) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2015Dynamic Directed Random Matching In: Research Papers.
[Full Text][Citation analysis]
paper0
2015Dynamic Directed Random Matching.(2015) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2016Financial Regulatory Reform after the Crisis: An Assessment In: Research Papers.
[Full Text][Citation analysis]
paper2
1985Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities. In: Econometrica.
[Full Text][Citation analysis]
article92
2005IMPLEMENTING 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: 92
chapter
1986Stochastic Equilibria: Existence, Spanning Number, and the No Expected Financial Gain from Trade Hypothesis. In: Econometrica.
[Full Text][Citation analysis]
article9
1989The Consumption-Based Capital Asset Pricing Model. In: Econometrica.
[Full Text][Citation analysis]
article60
1988The Consumption-Based Capital Asset Pricing Model.(1988) In: Discussion Papers.
[Citation analysis]
This paper has another version. Agregated cites: 60
paper
1992Stochastic Differential Utility. In: Econometrica.
[Full Text][Citation analysis]
article133
1993Simulated Moments Estimation of Markov Models of Asset Prices. In: Econometrica.
[Full Text][Citation analysis]
article336
1990Simulated 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: 336
paper
1994Stationary Markov Equilibria. In: Econometrica.
[Full Text][Citation analysis]
article84
1999A Liquidity-Based Model of Security Design In: Econometrica.
[Citation analysis]
article170
2000Transform Analysis and Asset Pricing for Affine Jump-Diffusions In: Econometrica.
[Citation analysis]
article593
1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions.(1999) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 593
paper
2001Term Structures of Credit Spreads with Incomplete Accounting Information. In: Econometrica.
[Citation analysis]
article243
2004Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals In: Econometrica.
[Full Text][Citation analysis]
article10
2005Over-the-Counter Markets In: Econometrica.
[Full Text][Citation analysis]
article194
2004Over-the-Counter Markets.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 194
paper
2012Over-The-Counter Markets.(2012) In: Introductory Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 194
chapter
2012Capital Mobility and Asset Pricing In: Econometrica.
[Full Text][Citation analysis]
article29
2011Capital Mobility and Asset Pricing.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
2009Capital Mobility and Asset Pricing.(2009) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
2009Capital Mobility and Asset Pricing.(2009) In: 2009 Meeting Papers.
[Citation analysis]
This paper has another version. Agregated cites: 29
paper
2004Multi-Period Corporate Failure Prediction With Stochastic Covariates In: Econometric Society 2004 Far Eastern Meetings.
[Citation analysis]
paper12
2004Multi-Period Corporate Failure Prediction With Stochastic Covariates.(2004) In: Econometric Society 2004 Far Eastern Meetings.
[Citation analysis]
This paper has another version. Agregated cites: 12
paper
2004Multi-Period Corporate Failure Prediction with Stochastic Covariates.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
2004Valuation in Dynamic Bargaining Markets In: Econometric Society 2004 North American Winter Meetings.
[Citation analysis]
paper6
2004Valuation in Dynamic Bargaining Markets.(2004) In: Econometric Society 2004 North American Winter Meetings.
[Citation analysis]
This paper has another version. Agregated cites: 6
paper
2004Liquidity Premia in Dynamic Bargaining Markets In: Econometric Society 2004 North American Winter Meetings.
[Citation analysis]
paper0
1990Optimal hedging and equilibrium in a dynamic futures market In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article22
1990Transactions costs and portfolio choice in a discrete-continuous-time setting In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article41
1992Pricing continuously resettled contingent claims In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article14
1997Hedging in incomplete markets with HARA utility In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article61
2003Intertemporal asset pricing theory In: Handbook of the Economics of Finance.
[Full Text][Citation analysis]
chapter1
2005Credit risk modeling with affine processes In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article17
2015Reprint of: Information percolation in segmented markets In: Journal of Economic Theory.
[Full Text][Citation analysis]
article1
1987Stochastic equilibria with incomplete financial markets In: Journal of Economic Theory.
[Full Text][Citation analysis]
article22
1988An extension of the Black-Scholes model of security valuation In: Journal of Economic Theory.
[Full Text][Citation analysis]
article6
1991Corporate financial hedging with proprietary information In: Journal of Economic Theory.
[Full Text][Citation analysis]
article51
1995Financial Market Innovation and Security Design: An Introduction In: Journal of Economic Theory.
[Full Text][Citation analysis]
article91
2002Securities lending, shorting, and pricing In: Journal of Financial Economics.
[Full Text][Citation analysis]
article138
1991The theory of value in security markets In: Handbook of Mathematical Economics.
[Full Text][Citation analysis]
chapter3
1985Equilibrium in incomplete markets: I : A basic model of generic existence In: Journal of Mathematical Economics.
[Full Text][Citation analysis]
article125
1986Competitive equilibria in general choice spaces In: Journal of Mathematical Economics.
[Full Text][Citation analysis]
article3
1986Equilibrium in incomplete markets: II : Generic existence in stochastic economies In: Journal of Mathematical Economics.
[Full Text][Citation analysis]
article48
1986Multiperiod security markets with differential information : Martingales and resolution times In: Journal of Mathematical Economics.
[Full Text][Citation analysis]
article23
1992PDE solutions of stochastic differential utility In: Journal of Mathematical Economics.
[Full Text][Citation analysis]
article105
1994Continuous-time security pricing : A utility gradient approach In: Journal of Mathematical Economics.
[Full Text][Citation analysis]
article55
1994Efficient and equilibrium allocations with stochastic differential utility In: Journal of Mathematical Economics.
[Full Text][Citation analysis]
article10
1996Incomplete security markets with infinitely many states: An introduction In: Journal of Mathematical Economics.
[Full Text][Citation analysis]
article3
2002Universal state prices and asymmetric information In: Journal of Mathematical Economics.
[Full Text][Citation analysis]
article0
1990Money in general equilibrium theory In: Handbook of Monetary Economics.
[Full Text][Citation analysis]
chapter3
1990The New Palgrave: Finance : A book review In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article0
2001Liquidation Risk In: FAME Research Paper Series.
[Full Text][Citation analysis]
paper0
2012Explaining the U.S. tri-party repo market In: Economic Policy Review.
[Full Text][Citation analysis]
article0
2013A sampling-window approach to transactions-based Libor fixing In: Staff Reports.
[Full Text][Citation analysis]
paper2
19936. Asset Pricing in Incomplete Markets In: Hitotsubashi Journal of Economics.
[Full Text][Citation analysis]
article0
2010A Contractual Approach to Restructuring Financial Institutions In: Book Chapters.
[Full Text][Citation analysis]
chapter4
2009Policy Issues Facing the Market for Credit Derivatives In: Book Chapters.
[Full Text][Citation analysis]
chapter2
2012A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements In: Book Chapters.
[Full Text][Citation analysis]
chapter5
2014Financial Market Infrastructure: Too Important to Fail In: Book Chapters.
[Full Text][Citation analysis]
chapter0
2014Financial Market Infrastructure: Too Important to Fail.(2014) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2014Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs In: Economics Working Papers.
[Full Text][Citation analysis]
paper4
2014Challenges 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: 4
article
2013Replumbing Our Financial System: Uneven Progress In: International Journal of Central Banking.
[Full Text][Citation analysis]
article6
2016Preface to the Special Issue on Systemic Risk: Models and Mechanisms In: Operations Research.
[Full Text][Citation analysis]
article0
2003Market Pricing of Deposit Insurance In: Journal of Financial Services Research.
[Full Text][Citation analysis]
article20
2008Market Pricing of Deposit Insurance.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
chapter
2011Comment on Risk Topography In: NBER Chapters.
[Full Text][Citation analysis]
chapter0
2013Systemic Risk Exposures: A 10-by-10-by-10 Approach In: NBER Chapters.
[Full Text][Citation analysis]
chapter7
2011Systemic 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
2002Affine Processes and Application in Finance In: NBER Technical Working Papers.
[Full Text][Citation analysis]
paper5
2017Funding Value Adjustments In: NBER Working Papers.
[Full Text][Citation analysis]
paper0
2017Augmenting Markets with Mechanisms In: NBER Working Papers.
[Full Text][Citation analysis]
paper0
2018Corporate Credit Risk Premia In: NBER Working Papers.
[Full Text][Citation analysis]
paper0
2002Large Portfolio Losses In: NBER Working Papers.
[Full Text][Citation analysis]
paper15
2004Large portfolio losses.(2004) In: Finance and Stochastics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
article
1999Modeling Term Structures of Defaultable Bonds. In: Review of Financial Studies.
[Citation analysis]
article481
1992Asset Pricing with Stochastic Differential Utility. In: Review of Financial Studies.
[Full Text][Citation analysis]
article157
1995Corporate Incentives for Hedging and Hedge Accounting. In: Review of Financial Studies.
[Full Text][Citation analysis]
article123
2011Measuring Corporate Default Risk In: OUP Catalogue.
[Citation analysis]
book5
2010Introduction In: Introductory Chapters.
[Full Text][Citation analysis]
chapter8
2011Introduction In: Introductory Chapters.
[Full Text][Citation analysis]
chapter0
2011How Big Banks Fail and What to Do about It In: Economics Books.
[Citation analysis]
book6
2012Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets In: Economics Books.
[Citation analysis]
book15
2007Over the Counter Search Frictions: A Case Study of the Federal Funds Market In: 2007 Meeting Papers.
[Full Text][Citation analysis]
paper0
2001Analytical value-at-risk with jumps and credit risk In: Finance and Stochastics.
[Full Text][Citation analysis]
article34
1996A term structure model with preferences for the timing of resolution of uncertainty (*) In: Economic Theory.
[Citation analysis]
article0
1996Asset Pricing with Heterogeneous Consumers. In: Journal of Political Economy.
[Full Text][Citation analysis]
article448
2012Comment In: NBER Macroeconomics Annual.
[Full Text][Citation analysis]
article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 12 2018. Contact: CitEc Team