Grzegorz Halaj : Citation Profile


Are you Grzegorz Halaj?

Bank of Canada (50% share)
European Central Bank (50% share)

5

H index

5

i10 index

227

Citations

RESEARCH PRODUCTION:

12

Articles

18

Papers

RESEARCH ACTIVITY:

   15 years (2006 - 2021). See details.
   Cites by year: 15
   Journals where Grzegorz Halaj has often published
   Relations with other researchers
   Recent citing documents: 60.    Total self citations: 15 (6.2 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha267
   Updated: 2021-11-28    RAS profile: 2021-09-02    
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Relations with other researchers


Works with:

Kok, Christoffer (6)

Hüser, Anne-Caroline (3)

Garratt, Rodney (2)

Fique, José (2)

Banai, Adam (2)

Żochowski, Dawid (2)

Anand, Kartik (2)

battiston, stefano (2)

Salakhova, Dilyara (2)

Nobili, Stefano (2)

Silva, Thiago (2)

Silvestri, Laura (2)

Lelyveld, Iman (2)

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

Is cited by:

Kok, Christoffer (12)

Barnett, William (6)

Silva, Thiago (5)

Giudici, Paolo (5)

Hill, John (5)

Pancaro, Cosimo (4)

Covi, Giovanni (4)

Lelyveld, Iman (4)

Reinhardt, Dennis (4)

Delli Gatti, Domenico (4)

Faia, Ester (4)

Cites to:

Kok, Christoffer (22)

Shin, Hyun Song (19)

Kapadia, Sujit (14)

Lelyveld, Iman (11)

battiston, stefano (10)

Peltonen, Tuomas (9)

de Vries, Casper (8)

Stiglitz, Joseph (8)

Krahnen, Jan (8)

Liedorp, Franka (8)

Abad, Jorge (7)

Main data


Where Grzegorz Halaj has published?


Journals with more than one article published# docs
Journal of Financial Stability3
Financial Stability Review2

Working Papers Series with more than one paper published# docs
Working Paper Series / European Central Bank9
Staff Working Papers / Bank of Canada3
MPRA Paper / University Library of Munich, Germany3
ESRB Working Paper Series / European Systemic Risk Board2

Recent works citing Grzegorz Halaj (2021 and 2020)


YearTitle of citing document
2020.

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2021Dynamic Clearing and Contagion in Financial Networks. (2018). Feinstein, Zachary ; Bernstein, Alex ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1801.02091.

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2021Pricing of debt and equity in a financial network with comonotonic endowments. (2018). Feinstein, Zachary ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1810.01372.

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2020Crisis contagion in the world trade network. (2020). Shepelyansky, Dima L ; Jos'e Lages, ; Coquid, C'Elestin. In: Papers. RePEc:arx:papers:2002.07100.

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2021A Repo Model of Fire Sales with VWAP and LOB Pricing Mechanisms. (2020). Feinstein, Zachary ; Bichuch, Maxim. In: Papers. RePEc:arx:papers:2005.05364.

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2021Optimal Network Compression. (2020). Feinstein, Zachary ; Amini, Hamed. In: Papers. RePEc:arx:papers:2008.08733.

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2020A Deep Learning Approach for Dynamic Balance Sheet Stress Testing. (2020). Christophides, Theodoros ; Panousis, Konstantinos P ; Siakoulis, Vassilis ; Petropoulos, Anastasios ; Chatzis, Sotirios. In: Papers. RePEc:arx:papers:2009.11075.

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2021The Physics of Financial Networks. (2021). Garlaschelli, Diego ; Cimini, Giulio ; Caccioli, Fabio ; Battiston, Stefano ; Barucca, Paolo ; Bardoscia, Marco ; Caldarelli, Guido ; Squartini, Tiziano ; Saracco, Fabio. In: Papers. RePEc:arx:papers:2103.05623.

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2021Hierarchical contagions in the interdependent financial network. (2021). Zhou, Wei-Xing ; Xu, Hai-Chuan ; Wang, Xue ; Barnett, William A. In: Papers. RePEc:arx:papers:2106.14168.

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2021Does Default Pecking Order Impact Systemic Risk? Evidence from Brazilian data. (2021). Michalak, Krzysztof ; Silva, Thiago Christiano ; Alexandre, Michel ; Rodrigues, Francisco A. In: Working Papers Series. RePEc:bcb:wpaper:557.

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2021Emerging market capital flows: the role of fund manager portfolio allocation. (2021). Gray, Daniel ; Caon, Carlos Ivan ; Bush, Georgia. In: Working Papers. RePEc:bdm:wpaper:2021-13.

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2020FISS – A Factor-based Index of Systemic Stress in the Financial System. (2020). Varga, Katalin ; Szendrei, Tibor . In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:79:y:2020:i:1:p:3-34.

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2020Distress and default contagion in financial networks. (2020). Maria, Luitgard Anna. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:705-737.

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2020Bank funding costs and solvency. (2020). Pancaro, Cosimo ; Żochowski, Dawid ; Arnould, Guillaume . In: Bank of England working papers. RePEc:boe:boeewp:0853.

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2020Foundations of system-wide financial stress testing with heterogeneous institutions. (2020). Wetzer, Thom ; Nahai-Williamson, Paul ; Kleinnijenhuis, Alissa M ; Farmer, Doyne J. In: Bank of England working papers. RePEc:boe:boeewp:0861.

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2021Solvency distress contagion risk: network structure, bank heterogeneity and systemic resilience. (2021). Nahai-Williamson, Paul ; Abduraimova, Kumushoy. In: Bank of England working papers. RePEc:boe:boeewp:0909.

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2020Exchange rate shocks in multicurrency interbank markets. (2020). Siklos, Pierre L ; Stefan, Martin. In: CQE Working Papers. RePEc:cqe:wpaper:9220.

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2020Cross-border spillover effects of macroprudential policies: a conceptual framework. (2020). Reinhardt, Dennis ; Kok, Christoffer ; On, Task Force . In: Occasional Paper Series. RePEc:ecb:ecbops:2020242.

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2021ECB’s economy-wide climate stress test. (2021). Salleo, Carmelo ; Parisi, Laura ; Muoz, Manuel A ; Kouratzoglou, Charalampos ; Kaijser, Michiel ; Hennig, Tristan ; Emambakhsh, Tina ; Dunz, Nepomuk ; Alogoskoufis, Spyros. In: Occasional Paper Series. RePEc:ecb:ecbops:2021281.

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2020Bank funding costs and solvency. (2020). Pancaro, Cosimo ; Żochowski, Dawid ; Arnould, Guillaume. In: Working Paper Series. RePEc:ecb:ecbwps:20202356.

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2021On the optimal control of interbank contagion in the euro area banking system. (2021). Kok, Christoffer ; Fukker, Gabor . In: Working Paper Series. RePEc:ecb:ecbwps:20212554.

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2021Shock amplification in an interconnected financial system of banks and investment funds. (2021). Fukker, Gabor ; Sydow, Matthias ; Kaijser, Michiel ; Hilberg, Bjorn ; Grassi, Alberto ; Gourdel, Regis ; Gehrend, Max ; Tente, Natalia ; Fiedor, Pawe ; Salakhova, Dilyara ; del Vecchio, Leonardo ; Piquard, Thibaut ; Deipenbrock, Marija ; Montagna, Mattia ; Covi, Giovanni ; Mingarelli, Luca ; Schilte, Aurore ; Kaoudis, Georgios. In: Working Paper Series. RePEc:ecb:ecbwps:20212581.

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2020Reconstructing and stress testing credit networks. (2020). Ramadiah, Amanah ; Fricke, Daniel ; Caccioli, Fabio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s016518891930212x.

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2020Interconnectedness and systemic risk in the US CDS market. (2020). Kanno, Masayasu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940817304047.

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2020Risk contagion in the banking network: New evidence from China. (2020). Peng, Fei ; Anwar, Sajid ; Li, LI ; Chen, Bing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301704.

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2021Network VAR models to measure financial contagion. (2021). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Hashem, Shatha Qamhieh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302059.

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2020Do banks change their liquidity ratios based on network characteristics?. (2020). TARAZI, Amine ; Ardekani, Aref Mahdavi ; Distinguin, Isabelle. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:2:p:789-803.

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2021Price mediated contagion through capital ratio requirements with VWAP liquidation prices. (2021). Feinstein, Zachary ; Banerjee, Tathagata. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:3:p:1147-1160.

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2020Fiscal risk and financial fragility. (2020). Tabak, Benjamin ; Silva, Thiago ; Guerra, Solange Maria. In: Emerging Markets Review. RePEc:eee:ememar:v:45:y:2020:i:c:s1566014119303395.

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2020Network structures and idiosyncratic contagion in the European sovereign credit default swap market. (2020). Yang, Lu ; Chen, Wang ; Ho, Kung-Cheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302386.

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2020Interest rate swaps clearing and systemic risk. (2020). Wolfe, Simon ; Gerding, Enrico H ; Bakoush, Mohamed. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612318305208.

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2021From stress testing to systemic stress testing: The importance of macroprudential regulation. (2021). Fujiwara, Yoshi ; Becker, Alexander P ; Aoyama, Hideaki ; Vodenska, Irena ; Lungu, Eliza ; Iyetomi, Hiroshi. In: Journal of Financial Stability. RePEc:eee:finsta:v:52:y:2021:i:c:s1572308920301029.

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2021Common asset holdings and systemic vulnerability across multiple types of financial institution. (2021). Silvestri, Laura ; Mahmood, Tahir ; Barucca, Paolo. In: Journal of Financial Stability. RePEc:eee:finsta:v:52:y:2021:i:c:s1572308920301133.

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2021CoMap: Mapping Contagion in the Euro Area Banking Sector. (2021). Kok, Christoffer ; Gorpe, Mehmet Ziya ; Covi, Giovanni. In: Journal of Financial Stability. RePEc:eee:finsta:v:53:y:2021:i:c:s1572308920301170.

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2021Climate risk and financial stability in the network of banks and investment funds. (2021). Martinez-Jaramillo, Serafin ; Luis , ; Battiston, Stefano ; Roncoroni, Alan. In: Journal of Financial Stability. RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000309.

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2021Exchange rate shocks in multicurrency interbank markets. (2021). Stefan, Martin ; Siklos, Pierre L. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s1572308921000486.

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2020Contagion in a network of heterogeneous banks. (2020). Genay, Ramazan ; Xue, YI ; Tseng, Michael C ; Pang, Hao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302985.

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2020Interbank contagion: An agent-based model approach to endogenously formed networks. (2020). Zhang, Xingjia ; Yang, Steve Y ; Paddrik, Mark ; Liu, Anqi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617301942.

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2021Centralised or decentralised banking supervision? Evidence from European banks. (2021). Reghezza, Alessio ; Polizzi, Salvatore ; Altunbas, Yener ; Avignone, Giuseppe. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302205.

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2021The contribution of the intra-firm exposures network to systemic risk. (2021). Lluberas, Rodrigo ; Martinez-Jaramillo, Serafin ; Baron, Andrea ; Rodriguez-Martinez, Anahi ; Caccioli, Fabio ; Landaberry, Victoria. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:2:y:2021:i:2:s2666143821000120.

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2021Commercial and banking credit network in Uruguay. (2021). PONCE, Jorge ; Lluberas, Rodrigo ; Landaberry, Maria Victoria ; Baron, Andrea. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:2:y:2021:i:3:s2666143821000144.

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2021A network characterization of the interbank exposures in Peru. (2021). Martinez-Jaramillo, Serafin ; Caccioli, Fabio ; Chavez, Diego A ; Rodriguez-Martinez, Anahi ; Cuba, Walter. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:2:y:2021:i:3:s2666143821000156.

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2021Dynamic identification of systemically important financial markets in the spread of contagion: A ripple network based collective spillover effect approach. (2021). Xu, Fuwei ; Su, Zhi. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:60:y:2021:i:c:s1042444x21000050.

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2021Systemic risk in the interbank market with overlapping portfolios and cross-ownership of the subordinated debts. (2021). Fan, Hong ; Jiang, Shanshan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:562:y:2021:i:c:s0378437120307135.

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2021Transfer of macroeconomic shocks in stress tests modeling. (2021). Dias, David ; Rojas, Helder. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:572:y:2021:i:c:s0378437120308694.

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2021Solvency contagion risk in the Chinese commercial banks’ network. (2021). Jin, Shuyue ; Chen, YU ; Wang, Xiasi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:580:y:2021:i:c:s0378437121004015.

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2020Quantitative easing in the Euro Area – An event study approach. (2020). Watzka, Sebastian ; Urbschat, Florian. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:77:y:2020:i:c:p:14-36.

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2021Banks’ interconnections and peer effects: Evidence from Chile. (2021). Carreo, Jose Gabriel ; Cifuentes, Rodrigo ; Margaretic, Paula. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000593.

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2021Systemic implications of the bail-in design. (2021). Goodhart, C. A. E., ; Farmer, Doyne J ; Kleinnijenhuis, Alissa M. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:111903.

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2020A Dynamic Network Model of Interbank Lending—Systemic Risk and Liquidity Provisioning. (2020). Yao, David D ; Sun, XU ; Capponi, Agostino. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:45:y:2020:i:3:p:1127-1152.

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2021Hierarchical contagions in the interdependent financial network. (2021). Zhou, Wei-Xing ; Xu, Hai-Chuan ; Wang, Xue ; Barnett, William. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202113.

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2020Contingent Convertible bond literature review: making everything and nothing possible?. (2020). Oster, Philippe. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:21:y:2020:i:4:d:10.1057_s41261-019-00122-z.

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2020Network VAR models to Measure Financial Contagion. (2020). Ahelegbey, Daniel Felix ; Hashem, Shatha Qamhieh ; Giudici, Paolo. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0178.

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2020A Bayesian Covariance Graph And Latent Position Model For Multivariate Financial Time Series. (2020). Ahelegbey, Daniel Felix ; Carvalho, Luis ; Kolaczyk, Eric D. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0181.

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2021Hierarchical contagions in the interdependent financial network. (2021). Zhou, Wei-Xing ; Xu, Hai-Chuan ; Wang, Xue ; Barnett, William A. In: MPRA Paper. RePEc:pra:mprapa:108421.

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2020Interbank rules during economic declines: Can banks safeguard capital base?. (2020). Steinbacher, Mitja ; Jagri, Timotej. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:2:d:10.1007_s11403-018-0228-5.

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2021Quantifying the importance of different contagion channels as sources of systemic risk. (2021). Siebenbrunner, Christoph. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:16:y:2021:i:1:d:10.1007_s11403-020-00286-2.

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2021From agent-based modeling to actor-based reactive systems in the analysis of financial networks. (2021). Crafa, Silvia. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:16:y:2021:i:3:d:10.1007_s11403-021-00323-8.

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2020Transmission of macroeconomic shocks to risk parameters: Their uses in stress testing. (2020). Rojas, Helder ; Dias, David. In: Applied Stochastic Models in Business and Industry. RePEc:wly:apsmbi:v:36:y:2020:i:3:p:353-380.

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2021Stress testing network reconstruction via graphical causal model. (2021). Dias, David ; Rojas, Helder. In: Applied Stochastic Models in Business and Industry. RePEc:wly:apsmbi:v:37:y:2021:i:1:p:74-83.

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Works by Grzegorz Halaj:


YearTitleTypeCited
2019Interconnected Banks and Systemically Important Exposures In: Staff Working Papers.
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paper3
2019Interconnected banks and systemically important exposures.(2019) In: Working Paper Series.
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This paper has another version. Agregated cites: 3
paper
2020Interbank Asset-Liability Networks with Fire Sale Management In: Staff Working Papers.
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paper1
2021Stressed but not Helpless: Strategic Behaviour of Banks Under Adverse Market Conditions In: Staff Working Papers.
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paper0
2013A macro stress testing framework for assessing systemic risks in the banking sector In: Occasional Paper Series.
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paper33
2013Assessing interbank contagion using simulated networks In: Working Paper Series.
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paper64
2013Assessing interbank contagion using simulated networks.(2013) In: Computational Management Science.
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This paper has another version. Agregated cites: 64
article
2013Optimal asset structure of a bank - bank reactions to stressful market conditions In: Working Paper Series.
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paper3
2014Modeling emergence of the interbank networks In: Working Paper Series.
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paper37
2015Modelling the emergence of the interbank networks.(2015) In: Quantitative Finance.
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This paper has another version. Agregated cites: 37
article
2016Dynamic balance sheet model with liquidity risk In: Working Paper Series.
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paper1
2016DYNAMIC BALANCE SHEET MODEL WITH LIQUIDITY RISK.(2016) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has another version. Agregated cites: 1
article
2016Bank capital structure and the credit channel of central bank asset purchases In: Working Paper Series.
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paper3
2017The systemic implications of bail-in: a multi-layered network approach In: Working Paper Series.
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paper25
2018The systemic implications of bail-in: A multi-layered network approach.(2018) In: Journal of Financial Stability.
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This paper has another version. Agregated cites: 25
article
2018Agent-based model of system-wide implications of funding risk In: Working Paper Series.
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paper5
2020Simulating fire sales in a system of banks and asset managers In: Working Paper Series.
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paper0
2013Gauging the Effectiveness of Cross-Sectional Macro-Prudential Tools through the Lens of Interbank Networks In: Financial Stability Review.
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article0
2016Systemic Implications of the European Bail-In Tool: a Multi-Layered Network Analysis In: Financial Stability Review.
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article1
2018The missing links: A global study on uncovering financial network structures from partial data In: Journal of Financial Stability.
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article40
2017The missing links: A global study on uncovering financial network structures from partial data.(2017) In: ESRB Working Paper Series.
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This paper has another version. Agregated cites: 40
paper
2018How did the Greek credit event impact the credit default swap market? In: Journal of Financial Stability.
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article3
2020Resilience of Canadian banks to funding liquidity shocks In: Latin American Journal of Central Banking (previously Monetaria).
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article0
2018System-wide implications of funding risk In: Physica A: Statistical Mechanics and its Applications.
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article1
2009Strategic Groups and Banks’ Performance In: Financial Theory and Practice.
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article2
2006Strategic groups in Polish banking sector and financial stability In: MPRA Paper.
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paper1
2006Risk-based decisions on assets structure of a bank — partially observed economic conditions In: MPRA Paper.
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paper0
2006Contagion effect in banking system - measures based on randomised loss scenarios In: MPRA Paper.
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2017Simulating fire-sales in a banking and shadow banking system In: ESRB Working Paper Series.
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paper4
2008Risk-based Decisions on the Asset Structure of a Bank under Partial Economic Information In: Applied Mathematical Finance.
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article0

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