14
H index
18
i10 index
591
Citations
Bruce Mizrach : Citation Profile
Rutgers University-New Brunswick | RESEARCH PRODUCTION: 45 Articles 49 Papers 2 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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37 years (1986 - 2023). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Bruce Mizrach. | Is cited by:
| Cites to:
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Main data
Where Bruce Mizrach has published?
| Journals with more than one article published | # docs |
|---|---|
| Economic Synopses | 5 |
| Studies in Nonlinear Dynamics & Econometrics | 3 |
| Journal of Economic Behavior & Organization | 3 |
| Journal of Economic Dynamics and Control | 3 |
| Economic Modelling | 2 |
| Journal of Financial Markets | 2 |
| Journal of Banking & Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / Federal Reserve Bank of St. Louis | 2 |
| Staff Reports / Federal Reserve Bank of New York | 2 |
| Papers / arXiv.org | 2 |
| Boston College Working Papers in Economics / Boston College Department of Economics | 2 |
Recent works citing Bruce Mizrach (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Understand Waiting Time in Transaction Fee Mechanism: An Interdisciplinary Perspective. (2023). Zhang, Fan. In: Papers. RePEc:arx:papers:2305.02552. Full description at Econpapers || Download paper |
| 2023 | Dealer capacity and US Treasury market functionality. (2023). Van Tassel, Peter ; Fleming, Michael ; Shachar, OR ; Nelson, Claire ; Keane, Frank ; Duffie, Darrell. In: BIS Working Papers. RePEc:bis:biswps:1138. Full description at Econpapers || Download paper |
| 2023 | A systematic literature review of investor behavior in the cryptocurrency markets. (2023). Gonçalves, Tiago ; Gonalves, Tiago Cruz ; Almeida, Jose. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022001071. Full description at Econpapers || Download paper |
| 2023 | A literature review on extreme price movements with reversal. (2023). Steffen, Viktoria. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000205. Full description at Econpapers || Download paper |
| 2023 | Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities. (2023). Park, Jeayoung ; Huh, Sahn-Wook ; Han, Seung-Oh. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:276-307. Full description at Econpapers || Download paper |
| 2023 | The time-varying effects of liquidity and market efficiency of the European Union carbon market: Evidence from the TVP-SVAR-SV approach. (2023). Ren, Xiaohang ; Zhang, Rui ; Zhong, Meirui. In: Energy Economics. RePEc:eee:eneeco:v:123:y:2023:i:c:s0140988323002062. Full description at Econpapers || Download paper |
| 2023 | Benchmarking the effects of the Feds Secondary Market Corporate Credit Facility using Yankee bonds. (2023). Pennacchi, George G ; Xu, Hui. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418123000034. Full description at Econpapers || Download paper |
| 2023 | Price discovery and triangular arbitrage in currency markets. (2023). Chen, Yu-Lun ; Gau, Yin-Feng ; Wu, Zhen-Xing. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001134. Full description at Econpapers || Download paper |
| 2023 | The relative pricing of WTI and Brent crude oil futures: Expectations or risk premia?. (2023). Liu, Rui ; Gao, Xin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000319. Full description at Econpapers || Download paper |
| 2023 | Trader positions and aggregate portfolio demand. (2023). Tuzun, Tugkan ; Roberts, John S ; Onur, Esen. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:27:y:2023:i:c:s1703494922000482. Full description at Econpapers || Download paper |
| 2023 | Crude oil pipeline constraints: A tale of two shales. (2023). Luong, Phat V. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006468. Full description at Econpapers || Download paper |
| 2023 | Market liquidity migration’s effects on the relationship between stock liquidity and stock price crash risk: Evidence from China. (2023). Ruan, Yaoyun ; Li, Dong Andrew ; Xie, Wenyan ; Tang, Yunshu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:91:y:2023:i:c:p:158-169. Full description at Econpapers || Download paper |
| 2023 | The economics of China’s between-city height competition: A regression discontinuity approach. (2023). Lu, Jiaxuan. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:100:y:2023:i:c:s0166046223000169. Full description at Econpapers || Download paper |
| 2023 | Dealer Capacity and U.S. Treasury Market Functionality. (2023). van Tassel, Peter ; Shachar, OR ; Nelson, Claire ; Keane, Frank M ; Fleming, Michael J ; Duffie, Darrell. In: Staff Reports. RePEc:fip:fednsr:96553. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Do Behavioral Biases Affect Investors’ Investment Decision Making? Evidence from the Pakistani Equity Market. (2023). Zhao, Yiwei ; Qiu, Huan ; Ahmed, Zeeshan ; Ui, Zain. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:6:p:109-:d:1164755. Full description at Econpapers || Download paper |
| 2023 | The Relationship between a Company’s Cryptocurrency Holdings and Its Sustainable Performance—With a Focus on External and Internal Financial Issues and Cash. (2023). Lee, Namryoung. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:23:p:16188-:d:1285117. Full description at Econpapers || Download paper |
| 2023 | The Pandemic Waves’ Impact on the Crude Oil Price and the Rise of Consumer Price Index: Case Study for Six European Countries. (2023). Iancu, Tiberiu ; Boldea, Bogdan Ion. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:8:p:6537-:d:1121752. Full description at Econpapers || Download paper |
| 2023 | Socially interdependent risk taking. (2023). Morgan, Giles ; Karakostas, Alexandros ; Zizzo, Daniel John. In: Theory and Decision. RePEc:kap:theord:v:95:y:2023:i:3:d:10.1007_s11238-023-09927-x. Full description at Econpapers || Download paper |
| 2023 | Size and liquidity of government securities in India. (2023). N. R. V. V. M. K. Rajendra Kumar, ; Chander, Jai ; Dayanandan, Ajit. In: Indian Economic Review. RePEc:spr:inecre:v:58:y:2023:i:1:d:10.1007_s41775-023-00178-9. Full description at Econpapers || Download paper |
| 2023 | Macroeconomic forecasting in times of crises. (2023). Zhong, Molin ; Guerroonquintana, Pablo. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:3:p:295-320. Full description at Econpapers || Download paper |
| 2024 | Time?varying price discovery in regular and microbitcoin futures. (2024). Yang, Jimmy J ; Chen, Yulun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:1:p:103-121. Full description at Econpapers || Download paper |
Works by Bruce Mizrach:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2019 | Location Basis Differentials in Crude Oil Prices In: The Energy Journal. [Full Text][Citation analysis] | article | 3 |
| 2023 | Stablecoins: Survivorship, Transactions Costs and Exchange Microstructure In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2023 | An Event Study of the Ethereum Transition to Proof-of-Stake In: Papers. [Full Text][Citation analysis] | paper | 7 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | ||
| 1992 | On Determining the Dimension of Real-Time Stock-Price Data. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 21 |
| 1987 | Portfolio and Transactions Demand for Money Under Price Uncertainty In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
| 1988 | Managing the Dollar: Has the Plaza Agreement Mattered? In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 30 |
| 1991 | Managing the Dollar: Has the Plaza Agreement Mattered?.(1991) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | article | |
| 2008 | A Video Interview with James Hamilton In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2015 | A video interview of James Stock In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2005 | A Video Interview of Buz Brock In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2004 | A Video Interview of Buz Brock.(2004) In: Departmental Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2010 | Nonlinear Mean Reversion in EMS Exchange Rates In: Brussels Economic Review. [Full Text][Citation analysis] | article | 0 |
| 2009 | An Empirical Analysis of the Shanghai and Shenzen Limit Order Books In: CQE Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2013 | An empirical analysis of the Shanghai and Shenzhen limit order books.(2013) In: Economic Modelling. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2013 | An Empirical Analysis of the Shanghai and Shenzhen Limit Order Books.(2013) In: Departmental Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2012 | The Market Microstructure of the European Climate Exchange In: LSF Research Working Paper Series. [Full Text][Citation analysis] | paper | 42 |
| 2014 | The market microstructure of the European climate exchange.(2014) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 42 | article | |
| 2010 | The Market Microstructure of the European Climate Exchange.(2010) In: Departmental Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 42 | paper | |
| 2009 | A NOTE ON DEMAND AND SUPPLY FACTORS IN MANUFACTURING OUTPUT ASYMMETRIES In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 1 |
| 1991 | Nonconvexities in a stochastic control problem with learning In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 17 |
| 1992 | The state of economic dynamics: A review essay In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 0 |
| 2008 | Estimating the intensity of choice in a dynamic mutual fund allocation decision In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 28 |
| 2004 | Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision.(2004) In: Departmental Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 28 | paper | |
| 2005 | Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision.(2005) In: Computing in Economics and Finance 2005. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | paper | |
| 2010 | Tail return analysis of Bear Stearns credit default swaps In: Economic Modelling. [Full Text][Citation analysis] | article | 1 |
| 2010 | Tail Return Analysis of Bear Stearns Credit Default Swaps.(2010) In: Departmental Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 1992 | The distribution of the Theil U-statistic in bivariate normal populations In: Economics Letters. [Full Text][Citation analysis] | article | 12 |
| 1995 | New evidence on the effectiveness of foreign exchange market intervention In: European Economic Review. [Full Text][Citation analysis] | article | 3 |
| 2012 | Integration of the global carbon markets In: Energy Economics. [Full Text][Citation analysis] | article | 20 |
| 2016 | Market quality breakdowns in equities In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 11 |
| 2013 | Market Quality Breakdowns in Equities.(2013) In: Departmental Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2018 | The microstructure of a U.S. Treasury ECN: The BrokerTec platform In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 37 |
| 2009 | The microstructure of a U.S. Treasury ECN: the BrokerTec platform.(2009) In: Staff Reports. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
| 2008 | The Microstructure of a U.S. Treasury ECN: The Brokertec Platform.(2008) In: Departmental Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
| 2006 | Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 8 |
| 2005 | Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2008 | Information shares in the US Treasury market In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 78 |
| 2007 | Information shares in the U.S. treasury market.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 78 | paper | |
| 1994 | Exchange rate theory: Chaotic models of foreign exchange markets : Paul De Grauwe, Hans Dewachter, and Mark Embrechts, (Oxford: Blackwell) ISBN# 0-631-18016-8, 1993. In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 0 |
| 1996 | Determining delay times for phase space reconstruction with application to the FF/DM exchange rate In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 4 |
| 2009 | Experts online: An analysis of trading activity in a public Internet chat room In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 18 |
| 2004 | Experts Online: An Analysis of Trading Activity in a Public Internet Chat Room.(2004) In: Departmental Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2008 | The impact of monetary policy on bond returns: A segmented markets approach In: Journal of Economics and Business. [Full Text][Citation analysis] | article | 4 |
| 1995 | Target zone models with stochastic realignments: an econometric evaluation In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 32 |
| 1993 | Target zone models with stochastic realignments: an econometric evaluation.(1993) In: Research Paper. [Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
| 2009 | Comment on Modelling nonlinear comovements between time series In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 0 |
| 1990 | A liquidity-in-advance model of the demand for money under price uncertainty In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 4 |
| 2020 | The Stock Markets Wild Ride In: Economic Synopses. [Full Text][Citation analysis] | article | 0 |
| 2020 | Secondary Market Corporate Credit Facility Supports Main Street In: Economic Synopses. [Full Text][Citation analysis] | article | 1 |
| 2020 | Fed Intervention in the To-Be-Announced Market for Mortgage-Backed Securities In: Economic Synopses. [Full Text][Citation analysis] | article | 0 |
| 2020 | Supporting Small Borrowers: ABS Markets and the TALF In: Economic Synopses. [Full Text][Citation analysis] | article | 1 |
| 2020 | Federal Reserve System International Facilities In: Economic Synopses. [Full Text][Citation analysis] | article | 1 |
| 2006 | The transition to electronic communications networks in the secondary treasury market In: Review. [Full Text][Citation analysis] | article | 30 |
| 2007 | The microstructure of the U.S. treasury market In: Working Papers. [Full Text][Citation analysis] | paper | 10 |
| 2018 | Price Impact of Trades and Orders in the U.S. Treasury Securities Market In: Liberty Street Economics. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Alternative Trading Systems in the Corporate Bond Market In: Staff Reports. [Full Text][Citation analysis] | paper | 0 |
| 2020 | New Evidence of the Marginal Predictive Content of Small and Large Jumps in the Cross-Section In: Econometrics. [Full Text][Citation analysis] | article | 1 |
| 1992 | Multivariate Nearest-Neighbor Forecasts of EMS Exchange Rates. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 41 |
| 2006 | The Enron Bankruptcy: When did the options market in Enron lose it’s smirk? In: Review of Quantitative Finance and Accounting. [Full Text][Citation analysis] | article | 3 |
| 2012 | The Market Microstructure of the European Climate Exchange In: DEM Discussion Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Comment on Endogenous and Systemic Risk In: NBER Chapters. [Full Text][Citation analysis] | chapter | 1 |
| 1995 | Real Versus Pseudo-International Systemic Risk: Some Lessons from History In: NBER Working Papers. [Full Text][Citation analysis] | paper | 34 |
| 1998 | Real versus Pseudo-International Systemic Risk Some Lessons from History.(1998) In: Review of Pacific Basin Financial Markets and Policies (RPBFMP). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | article | |
| 2011 | Skyscraper Height and the Business Cycle: International Time Series Evidence In: Working Papers Rutgers University, Newark. [Full Text][Citation analysis] | paper | 2 |
| 1997 | The Volatility Smile and Yield Curve: Probability Densities Implicit in ERM/$ Options In: Departmental Working Papers. [Citation analysis] | paper | 0 |
| 1995 | A Simple Nonparametric Test for Independence In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 1996 | Forecast Comparison in L2 In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 8 |
| 1998 | A Markov Switching Cookbook In: Departmental Working Papers. [Citation analysis] | paper | 1 |
| 1998 | Methods for Extracting the Implied Distributions in Option Prices In: Departmental Working Papers. [Citation analysis] | paper | 0 |
| 2000 | Should ECNs be SOES-able? In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2002 | The Next Tick on Nasdaq: Does Level II Information Matter? In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2002 | When Did The Smart Money in Enron Lose Its Smirk? In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2003 | Analyst Recommendations and Nasdaq Market Making Activity In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2004 | The Impact of Monetary Policy on Bond Returns Volatility: A Segmented Markets Approach In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2004 | The Microeconomics of Macroeconomic Asymmetries: Sectoral Driving Forces and Firm Level Characteristics In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2004 | The Microeconomics of Macroeconomic Asymmetries: Sectoral Driving Forces and Firm Level Characteristics.(2004) In: Computing in Economics and Finance 2004. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2006 | Does The Stock Market Punish Corporate Malfeasance? A Case Study of Citigroup In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Does SIZE Matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Does SIZE matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility.(2006) In: Competition and Regulation in Network Industries. [Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2006 | The Transition to Electronic Trading in the Secondary Treasury Market In: Departmental Working Papers. [Citation analysis] | paper | 3 |
| 2006 | Nonlinear Time Series Analysis In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2006 | Highs and Lows: A Behavioral and Technical Analysis In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2009 | Highs and lows: a behavioural and technical analysis.(2009) In: Applied Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2007 | Is Talk Cheap Online: Strategic Interaction in A Stock Trading Chat Room In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Recovering Probabilistic Information From Options Prices and the Underlying In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Jump and Cojump Risk in Subprime Home Equity Derivatives In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 16 |
| 2009 | Integration of the Global Emissions Trading Markets In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2011 | A Structural Approach To Information Shares In: Departmental Working Papers. [Citation analysis] | paper | 6 |
| 2013 | Strategic Interaction in A Stock Trading Chat Room In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | High Frequency Trading in the Equity Markets During U.S. Treasury POMO In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2018 | High Frequency Trading in the Equity Markets During US Treasury POMO.(2018) In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] This paper has nother version. Agregated cites: 1 | chapter | |
| 2015 | Skyscraper height and the business cycle: separating myth from reality In: Applied Economics. [Full Text][Citation analysis] | article | 13 |
| 2008 | The next tick on Nasdaq In: Quantitative Finance. [Full Text][Citation analysis] | article | 2 |
| 1986 | The Stability of Money Demand and Forecasting through Changes in Regimes [The Demand for Money Revisited] [The Case of the Missing Money]. In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2021 | Bitcoin spot and futures market microstructure In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 5 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 4 2024. Contact: CitEc Team