Lasse Heje Pedersen : Citation Profile

Are you Lasse Heje Pedersen?

New York University (NYU)
National Bureau of Economic Research (NBER)
Centre for Economic Policy Research (CEPR)

21

H index

24

i10 index

5246

Citations

RESEARCH PRODUCTION:

21

Articles

42

Papers

3

Books

6

Chapters

RESEARCH ACTIVITY:

   14 years (2002 - 2016). See details.
   Cites by year: 374
   Journals where Lasse Heje Pedersen has often published
   Relations with other researchers
   Recent citing documents: 1187.    Total self citations: 29 (0.55 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe174
   Updated: 2019-10-15    RAS profile: 2017-06-08    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Lasse Heje Pedersen.

Is cited by:

Vayanos, Dimitri (45)

Adrian, Tobias (40)

Sarno, Lucio (32)

Shin, Hyun Song (27)

Ranaldo, Angelo (25)

He, Zhiguo (25)

Schrimpf, Andreas (24)

Brunnermeier, Markus (23)

KOSTAKIS, ALEXANDROS (21)

Longstaff, Francis (20)

Weill, Pierre-Olivier (20)

Cites to:

Shleifer, Andrei (13)

Summers, Lawrence (9)

Vayanos, Dimitri (9)

Acharya, Viral (8)

Fama, Eugene (8)

Lo, Andrew (8)

Constantinides, George (7)

Farhi, Emmanuel (6)

Gabaix, Xavier (6)

Wurgler, Jeffrey (6)

Campbell, John (6)

Main data

Where Lasse Heje Pedersen has published?

Journals with more than one article published# docs
Journal of Financial Economics5
Review of Financial Studies5
Journal of Finance4
American Economic Review2

Working Papers Series with more than one paper published# docs
Econometric Society 2004 North American Winter Meetings / Econometric Society2

Recent works citing Lasse Heje Pedersen (2018 and 2017)

YearTitle of citing document
2018A multilevel factor approach for the analysis of CDS commonality and risk contribution. (2018). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Caporin, Massimiliano ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2018-33.

Full description at Econpapers || Download paper

2017Working Paper 273 - Stock (Mis)pricing and investment dynamics in Africa. (2017). Saidi, Atanda Mustapha . In: Working Paper Series. RePEc:adb:adbwps:2390.

Full description at Econpapers || Download paper

2017New Evidence on the Aftermath of Financial Crises in Advanced Countries. (2017). Romer, David. In: American Economic Review. RePEc:aea:aecrev:v:107:y:2017:i:10:p:3072-3118.

Full description at Econpapers || Download paper

2017The Costs of Sovereign Default: Evidence from Argentina. (2017). Schreger, Jesse ; Hebert, Benjamin. In: American Economic Review. RePEc:aea:aecrev:v:107:y:2017:i:10:p:3119-45.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017The Great Escape? A Quantitative Evaluation of the Feds Liquidity Facilities. (2017). Ferrero, Andrea ; Eggertsson, Gauti ; Del Negro, Marco ; Kiyotaki, Nobuhiro. In: American Economic Review. RePEc:aea:aecrev:v:107:y:2017:i:3:p:824-57.

Full description at Econpapers || Download paper

2019Vulnerable Growth. (2019). Giannone, Domenico ; Boyarchenko, Nina ; Adrian, Tobias. In: American Economic Review. RePEc:aea:aecrev:v:109:y:2019:i:4:p:1263-89.

Full description at Econpapers || Download paper

2017MIDAS models in banking sector – systemic risk comparison. (2017). Mestel, Roland ; Gurgul, Henryk ; Syrek, Robert. In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:2:p:165-181.

Full description at Econpapers || Download paper

2017Wave after Wave: Contagion Risk from Commodity Markets. (2017). Algieri, Bernardina ; Leccadito, Arturo. In: Discussion Papers. RePEc:ags:ubzefd:257801.

Full description at Econpapers || Download paper

2017A market impact game under transient price impact. (2017). Schied, Alexander ; Zhang, Tao. In: Papers. RePEc:arx:papers:1305.4013.

Full description at Econpapers || Download paper

2017Rebalancing with Linear and Quadratic Costs. (2017). Muhle-Karbe, Johannes ; Liu, Ren ; Weber, Marko. In: Papers. RePEc:arx:papers:1402.5306.

Full description at Econpapers || Download paper

2017The Limits of Leverage. (2017). Guasoni, Paolo ; Mayerhofer, Eberhard . In: Papers. RePEc:arx:papers:1506.02802.

Full description at Econpapers || Download paper

2017Liquidity Effects of Trading Frequency. (2017). Gayduk, Roman ; Nadtochiy, Sergey. In: Papers. RePEc:arx:papers:1508.07914.

Full description at Econpapers || Download paper

2017Optimal Rebalancing Frequencies for Multidimensional Portfolios. (2017). Ekren, Ibrahim ; Muhle-Karbe, Johannes ; Liu, Ren . In: Papers. RePEc:arx:papers:1510.05097.

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

2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070.

Full description at Econpapers || Download paper

2019Securities Lending Strategies: Exclusive Valuations and Auction Bids. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1603.00987.

Full description at Econpapers || Download paper

2019Are Order Anticipation Strategies Harmful? A Theoretical Approach. (2017). Strehle, Elias . In: Papers. RePEc:arx:papers:1609.00599.

Full description at Econpapers || Download paper

2019Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274.

Full description at Econpapers || Download paper

2019Dynamic Portfolio Optimization with Liquidity Cost and Market Impact: A Simulation-and-Regression Approach. (2017). Zhang, Rongju ; Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas. In: Papers. RePEc:arx:papers:1610.07694.

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

2017A diagnostic criterion for approximate factor structure. (2017). Scaillet, Olivier ; Gagliardini, Patrick ; Ossola, Elisa . In: Papers. RePEc:arx:papers:1612.04990.

Full description at Econpapers || Download paper

2017Time series momentum and contrarian effects in the Chinese stock market. (2017). Zhou, Wei-Xing ; Shi, Huai-Long . In: Papers. RePEc:arx:papers:1702.07374.

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

2019Portfolio Choice with Small Temporary and Transient Price Impact. (2019). Ekren, Ibrahim ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1705.00672.

Full description at Econpapers || Download paper

2018Mini-Flash Crashes, Model Risk, and Optimal Execution. (2018). Bayraktar, Erhan ; Munk, Alexander . In: Papers. RePEc:arx:papers:1705.09827.

Full description at Econpapers || Download paper

2018General Equilibrium Under Convex Portfolio Constraints and Heterogeneous Risk Preferences. (2018). Abbot, Tyler . In: Papers. RePEc:arx:papers:1706.05877.

Full description at Econpapers || Download paper

2018Effective risk aversion in thin risk-sharing markets. (2018). Anthropelos, Michail ; Vichos, Georgios ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:1707.05096.

Full description at Econpapers || Download paper

2017Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets. (2017). , . In: Papers. RePEc:arx:papers:1707.05552.

Full description at Econpapers || Download paper

2018Equilibrium Returns with Transaction Costs. (2018). Bouchard, Bruno ; Muhle-Karbe, Johannes ; Herdegen, Martin ; Fukasawa, Masaaki. In: Papers. RePEc:arx:papers:1707.08464.

Full description at Econpapers || Download paper

2017The Size Premium in Equity Markets: Where is the Risk?. (2017). Ciliberti, Stefano ; Bouchaud, Jean-Philippe ; Lemp, Yves ; Simon, Guillaume ; Emmanuel, . In: Papers. RePEc:arx:papers:1708.00644.

Full description at Econpapers || Download paper

2018Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296.

Full description at Econpapers || Download paper

2017Black was right: Price is within a factor 2 of Value. (2017). Bouchaud, J P ; Ronia, Sin K ; Seager, P ; Majewski, A ; Lemp, Y ; Ciliberti, S. In: Papers. RePEc:arx:papers:1711.04717.

Full description at Econpapers || Download paper

2018An SPDE Model for Systemic Risk with Endogenous Contagion. (2018). Hambly, Ben ; Sojmark, Andreas. In: Papers. RePEc:arx:papers:1801.10088.

Full description at Econpapers || Download paper

2018Quantification of systemic risk from overlapping portfolios in the financial system. (2018). Poledna, Sebastian ; Thurner, Stefan ; Caccioli, Fabio ; Mart, Seraf'In. In: Papers. RePEc:arx:papers:1802.00311.

Full description at Econpapers || Download paper

2018Pricing sovereign contingent convertible debt. (2018). Consiglio, Andrea ; Zenios, Stavros ; Tumminello, Michele. In: Papers. RePEc:arx:papers:1804.01475.

Full description at Econpapers || Download paper

2018When panic makes you blind: a chaotic route to systemic risk. (2018). Mazzarisi, Piero ; Marmi, Stefano ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1805.00785.

Full description at Econpapers || Download paper

2018A Dynamic Analysis of Nash Equilibria in Search Models with Fiat Money. (2018). Bonetto, Federico ; Iacopetta, Maurizio. In: Papers. RePEc:arx:papers:1805.04733.

Full description at Econpapers || Download paper

2018Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach. (2018). Paulin, James ; Wooldridge, Michael ; Calinescu, Anisoara . In: Papers. RePEc:arx:papers:1805.08454.

Full description at Econpapers || Download paper

2018Trading algorithms with learning in latent alpha models. (2018). Casgrain, Philippe ; Jaimungal, Sebastian. In: Papers. RePEc:arx:papers:1806.04472.

Full description at Econpapers || Download paper

2018Reconstruction methods for networks: the case of economic and financial systems. (2018). Squartini, Tiziano ; Garlaschelli, Diego ; Gabrielli, Andrea ; Cimini, Giulio ; Caldarelli, Guido. In: Papers. RePEc:arx:papers:1806.06941.

Full description at Econpapers || Download paper

2018Trading Cointegrated Assets with Price Impact. (2018). Cartea, Alvaro ; Jaimungal, Sebastian ; Gan, Luhui. In: Papers. RePEc:arx:papers:1807.01428.

Full description at Econpapers || Download paper

2018Liquidity in Competitive Dealer Markets. (2018). Bank, Peter ; Muhle-Karbe, Johannes ; Ekren, Ibrahim. In: Papers. RePEc:arx:papers:1807.08278.

Full description at Econpapers || Download paper

2018Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model. (2018). Majewski, Adam ; Bouchaud, Jean-Philippe ; Ciliberti, Stefano. In: Papers. RePEc:arx:papers:1807.11751.

Full description at Econpapers || Download paper

2018Combining Independent Smart Beta Strategies for Portfolio Optimization. (2018). Maguire, Phil ; Moffett, Karl. In: Papers. RePEc:arx:papers:1808.02505.

Full description at Econpapers || Download paper

2019Inventory Management for High-Frequency Trading with Imperfect Competition. (2018). Herrmann, Sebastian ; Yang, Chen ; Shang, Dapeng ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1808.05169.

Full description at Econpapers || Download paper

2018Asymmetric Connectedness of Fears in the U.S. Financial Sector. (2018). Baruník, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:1810.12022.

Full description at Econpapers || Download paper

2018Asset Price Distributions and Efficient Markets. (2018). Stroup, Caleb ; Fernholz, Ricardo. In: Papers. RePEc:arx:papers:1810.12840.

Full description at Econpapers || Download paper

2019Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case. (2019). Bayraktar, Erhan ; Ekren, Ibrahim ; Caye, Thomas. In: Papers. RePEc:arx:papers:1811.06650.

Full description at Econpapers || Download paper

2018The transmission of liquidity shocks via Chinas segmented money market: evidence from recent market events. (2018). Lu, Ruoxi ; Leatham, David J ; Bessler, David A. In: Papers. RePEc:arx:papers:1811.08949.

Full description at Econpapers || Download paper

2018The Rank Effect. (2018). Fernholz, Ricardo T ; Koch, Christoffer . In: Papers. RePEc:arx:papers:1812.06000.

Full description at Econpapers || Download paper

2019Network Effects and Default Clustering for Large Portfolios. (2018). Spiliopoulos, Konstantinos ; Yang, Jia. In: Papers. RePEc:arx:papers:1812.07645.

Full description at Econpapers || Download paper

2019Systemic Risk: Conditional Distortion Risk Measures. (2019). Dhaene, Jan ; Zhang, Yiying. In: Papers. RePEc:arx:papers:1901.04689.

Full description at Econpapers || Download paper

2019Robust Asset Allocation for Robo-Advisors. (2019). Roncalli, Thierry ; Lezmi, Edmond ; Bourgeron, Thibault. In: Papers. RePEc:arx:papers:1902.07449.

Full description at Econpapers || Download paper

2019Optimal FX Hedge Tenor with Liquidity Risk. (2019). Loeper, Gregoire ; Aarons, Mark ; Zhang, Rongju. In: Papers. RePEc:arx:papers:1903.06346.

Full description at Econpapers || Download paper

2019The impact of proportional transaction costs on systematically generated portfolios. (2019). Xie, Kangjianan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:1904.08925.

Full description at Econpapers || Download paper

2019Optimal multi-asset trading with linear costs: a mean-field approach. (2019). Bouchaud, Jean-Philippe ; Petit, Benjamin ; Emschwiller, Matt. In: Papers. RePEc:arx:papers:1905.04821.

Full description at Econpapers || Download paper

2019Asset Pricing with General Transaction Costs: Theory and Numerics. (2019). Shi, Xiaofei ; Muhle-Karbe, Johannes ; Gonon, Lukas. In: Papers. RePEc:arx:papers:1905.05027.

Full description at Econpapers || Download paper

2019Asset Pricing with Heterogeneous Beliefs and Illiquidity. (2019). Tan, Xiaowei ; Nutz, Marcel ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1905.05730.

Full description at Econpapers || Download paper

2019Detailed study of a moving average trading rule. (2019). Yen, Ju-Yi ; Silva, Christian A ; Ferreira, Fernando F. In: Papers. RePEc:arx:papers:1907.00212.

Full description at Econpapers || Download paper

2019AlphaStock: A Buying-Winners-and-Selling-Losers Investment Strategy using Interpretable Deep Reinforcement Attention Networks. (2019). Xiong, Zhang ; Wu, Junjie ; Tang, KE ; Zhang, Yang ; Wang, Jingyuan. In: Papers. RePEc:arx:papers:1908.02646.

Full description at Econpapers || Download paper

2017The Interest Rate Sensitivity of Value and Growth Stocks - Evidence from Listed Real Estate. (2017). Christian, Weis ; Sebastian, Steffen ; Woltering, Rene-Ojas. In: ERES. RePEc:arz:wpaper:eres2017_325.

Full description at Econpapers || Download paper

2017Momentum Decomposition: Evidence from Emerging Markets. (2017). Wei, Xianhua ; Guo, Hongbo . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:123-132.

Full description at Econpapers || Download paper

2019Systemic Risk in Vietnam Stock Market. (2019). van Vu, Thi Thuy ; Tran, Dang Kham. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:339-352.

Full description at Econpapers || Download paper

2019Systemic Risk in the Chinese Stock Market Under Different Regimes: A Sector-Level Perspective. (2019). Wang, Qiao ; Huang, Qiubin ; Cheng, Xiangjuan ; Yang, Haizhen. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:665-679.

Full description at Econpapers || Download paper

2019Market Illiquidity Premium on Stock Returns: An Empirical Study of Taiwan Stock Markets. (2019). Cho, Yi-Chun ; Tai, Chia-Li ; Chen, Chia-Cheng . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:778-788.

Full description at Econpapers || Download paper

2017Financial frictions and robust monetary policy in the models of New Keynesian framework. (2017). Pirozhkova, Ekaterina. In: BCAM Working Papers. RePEc:bbk:bbkcam:1701.

Full description at Econpapers || Download paper

2018Government of Canada Securities in the Cash, Repo and Securities Lending Markets. (2018). Bulusu, Narayan ; Gungor, Sermin . In: Discussion Papers. RePEc:bca:bocadp:18-4.

Full description at Econpapers || Download paper

2018The Framework for Risk Identification and Assessment. (2018). MacDonald, Cameron ; Traclet, Virginie . In: Technical Reports. RePEc:bca:bocatr:113.

Full description at Econpapers || Download paper

2019Bond Funds and Fixed-Income Market Liquidity: A Stress-Testing Approach. (2019). Ouellet Leblanc, Guillaume ; Shotlander, Ryan ; Bedard-Page, Guillaume ; Arora, Rohan. In: Technical Reports. RePEc:bca:bocatr:115.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018What Drives Interbank Loans? Evidence from Canada. (2018). Guérin, Pierre ; Bulusu, Narayan ; Guerin, Pierre . In: Staff Working Papers. RePEc:bca:bocawp:18-5.

Full description at Econpapers || Download paper

2018Multibank Holding Companies and Bank Stability. (2018). Silva Buston, Consuelo ; Raykov, Radoslav ; Silva-Buston, Consuelo. In: Staff Working Papers. RePEc:bca:bocawp:18-51.

Full description at Econpapers || Download paper

2019Systemic Risk and Collateral Adequacy. (2019). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:19-23.

Full description at Econpapers || Download paper

2018Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia. (2018). ORNELAS, JOSE ; Finta, Marinela Adriana. In: Working Papers Series. RePEc:bcb:wpaper:479.

Full description at Econpapers || Download paper

2018Multivariate Jump Diffusion Model with Markovian Contagion. (2018). de Carvalho, Pablo ; Gupta, Aparna ; Campos, Pablo Jose. In: Working Papers Series. RePEc:bcb:wpaper:482.

Full description at Econpapers || Download paper

2019International Reserves Management in a Model of Partial Sovereign Default. (2019). Sabbadini, Ricardo. In: Working Papers Series. RePEc:bcb:wpaper:496.

Full description at Econpapers || Download paper

2018How much does book value data tell us about systemic risk and its interactions with the macroeconomy? A Luxembourg empirical evaluation. (2018). Jin, Xisong. In: BCL working papers. RePEc:bcl:bclwop:bclwp118.

Full description at Econpapers || Download paper

2019Is market liquidity less resilient after the financial crisis? Evidence for us treasuries. (2019). Lamas, Matías ; Broto, Carmen. In: Working Papers. RePEc:bde:wpaper:1917.

Full description at Econpapers || Download paper

2018A Survey of Systemic Risk Indicators. (2018). Di Cesare, Antonio ; Picco, Anna Rogantini . In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_458_18.

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

2017Systemic risk and systemic importance measures during the crisis. (2017). Zaghini, Andrea ; Masciantonio, Sergio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1153_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

2019A regression discontinuity design for categorical ordered running variables with an application to central bank purchases of corporate bonds. (2019). Silvestrini, Andrea ; Mäkinen, Taneli ; Makinen, Taneli ; Mercatanti, Andrea ; Li, Fan. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1213_19.

Full description at Econpapers || Download paper

2018Fiscal Policy and Inflation: Understanding the Role of Expectations in Mexico. (2018). Samano, Daniel ; Lopez-Martin, Bernabe ; Daniel, Samano ; de Aguilar, Ramirez ; Bernabe, Lopez-Martin . In: Working Papers. RePEc:bdm:wpaper:2018-18.

Full description at Econpapers || Download paper

2017Sovereign default risk in OECD countries: do global factors matter?. (2017). Ordoñez-Callamand, Daniel ; Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Ordoez-Callamand, Daniel. In: Borradores de Economia. RePEc:bdr:borrec:996.

Full description at Econpapers || Download paper

2017Role of Liquidity in Explaining Anomalous Returns: Evidence from Emerging Market. (2017). Sadaqat, Mohsin ; Butt, Hilal Anwar. In: Business & Economic Review. RePEc:bec:imsber:v:9:y:2017:i:3:p:1-35.

Full description at Econpapers || Download paper

2017Pandemic crises in financial systems: a simulation-model to complement stress-testing frameworks.. (2017). Idier, J ; Piquard, T. In: Working papers. RePEc:bfr:banfra:621.

Full description at Econpapers || Download paper

2018A General Equilibrium Appraisal of Capital Shortfall. (2018). Sahuc, Jean-Guillaume ; Jondeau, Eric ; J-G. Sahuc, . In: Working papers. RePEc:bfr:banfra:668.

Full description at Econpapers || Download paper

2018Monetary Policy and Long-Run Systemic Risk-Taking. (2018). Colletaz, Gilbert ; Popescu, Alexandra ; Levieuge, Gregory. In: Working papers. RePEc:bfr:banfra:694.

Full description at Econpapers || Download paper

2017How to reach all Basel requirements at the same time?. (2017). Durant, Dominique ; Dietsch, Michel ; Birn, M. In: Débats économiques et financiers. RePEc:bfr:decfin:28.

Full description at Econpapers || Download paper

2017Safety, Liquidity, and the Natural Rate of Interest. (2017). Tambalotti, Andrea ; Giannone, Domenico ; Del Negro, Marco ; Giannoni, Marc P. In: Brookings Papers on Economic Activity. RePEc:bin:bpeajo:v:48:y:2017:i:2017-01:p:235-316.

Full description at Econpapers || Download paper

2019Asset mispricing in loan secondary market. (2019). Talavera, Oleksandr ; Xiong, Xiong ; Pham, Tho ; Caglayan, Mustafa. In: Discussion Papers. RePEc:bir:birmec:19-07.

Full description at Econpapers || Download paper

2019Determinants of Asia-Pacific government bond yields. (2019). Hordahl, Peter ; Creal, Drew ; Chernov, Mikhail. In: BIS Papers chapters. RePEc:bis:bisbpc:102-05.

Full description at Econpapers || Download paper

2018Breakdown of covered interest parity: mystery or myth?. (2018). Wong, Alfred ; Zhang, Jiayue. In: BIS Papers chapters. RePEc:bis:bisbpc:96-08.

Full description at Econpapers || Download paper

2018Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M. In: BIS Papers. RePEc:bis:bisbps:95.

Full description at Econpapers || Download paper

2017Green bond finance and certification. (2017). Packer, Frank ; Ehlers, Torsten. In: BIS Quarterly Review. RePEc:bis:bisqtr:1709h.

Full description at Econpapers || Download paper

2017The beneficial aspect of FX volatility for market liquidity. (2017). SHIM, ILHYOCK ; Koosakul, Jakree . In: BIS Working Papers. RePEc:bis:biswps:629.

Full description at Econpapers || Download paper

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

Works by Lasse Heje Pedersen:

YearTitleTypeCited
2007Liquidity and Risk Management In: American Economic Review.
[Full Text][Citation analysis]		article37
2007Liquidity and Risk Management.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 37		paper
2007Slow Moving Capital In: American Economic Review.
[Full Text][Citation analysis]		article83
2007Slow Moving Capital.(2007) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 83		paper
2007Slow Moving Capital.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 83		paper
2011How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article370
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 370		paper
2003Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance.
[Full Text][Citation analysis]		article142
2005Predatory Trading In: Journal of Finance.
[Full Text][Citation analysis]		article141
2004Predatory Trading.(2004) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 141		paper
2004Predatory Trading.(2004) In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 141		paper
2004Predatory Trading.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 141		paper
2013Value and Momentum Everywhere In: Journal of Finance.
[Full Text][Citation analysis]		article311
2013Dynamic Trading with Predictable Returns and Transaction Costs In: Journal of Finance.
[Full Text][Citation analysis]		article67
2009Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 67		paper
2009Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 67		paper
2012Betting Against Beta In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper185
2014Betting against beta.(2014) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 185		article
2010Betting Against Beta.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 185		paper
2015Early Option Exercise: Never Say Never In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper5
2016Early option exercise: Never say never.(2016) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		article
2003Asset Pricing with Liquidity Risk In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper742
2004Asset Pricing with Liquidity Risk.(2004) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 742		paper
2005Asset pricing with liquidity risk.(2005) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 742		article
2004Asset Pricing with Liquidity Risk.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 742		paper
2005Demand-Based Option Pricing In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper143
2005Demand-Based Option Pricing.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 143		paper
2009Demand-Based Option Pricing.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 143		article
2006Valuation in Over-the-Counter Markets In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper115
2006Valuation in Over-the-Counter Markets.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 115		paper
2007Valuation in Over-the-Counter Markets.(2007) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 115		article
2007Market Liquidity and Funding Liquidity In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper1275
2009Market Liquidity and Funding Liquidity.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1275		article
2007Market liquidity and funding liquidity.(2007) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1275		paper
2007Market Liquidity and Funding Liquidity.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1275		paper
2009When Everyone Runs for the Exit In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper28
2009When Everyone Runs for the Exit.(2009) In: International Journal of Central Banking.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28		article
2009When Everyone Runs for the Exit.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28		paper
2010Two Monetary Tools: Interest Rates and Haircuts In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper42
2011Two Monetary Tools: Interest Rates and Haircuts.(2011) In: NBER Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 42		chapter
2010Two Monetary Tools: Interest Rates and Haircuts.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 42		paper
2010Two Monetary Tools: Interest-Rates and Haircuts.(2010) In: 2010 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 42		paper
2012Measuring Systemic Risk In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper369
2010Measuring systemic risk.(2010) In: Working Papers (Old Series).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 369		paper
2013Buffett’s Alpha In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper1
2013Buffetts Alpha.(2013) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2013Carry In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2013Carry.(2013) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2013Market Liquidity In: Cambridge Books.
[Citation analysis]		book0
2013Market Liquidity.(2013) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 0		book
2011Monitoring Leverage In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper1
2012Monitoring Leverage.(2012) In: NBER Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		chapter
2005Over-the-Counter Markets In: Econometrica.
[Full Text][Citation analysis]		article250
2004Over-the-Counter Markets.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 250		paper
2004Valuation in Dynamic Bargaining Markets In: Econometric Society 2004 North American Winter Meetings.
[Citation analysis]		paper5
2016Dynamic portfolio choice with frictions In: Journal of Economic Theory.
[Full Text][Citation analysis]		article12
2012Time series momentum In: Journal of Financial Economics.
[Full Text][Citation analysis]		article171
2002Securities lending, shorting, and pricing In: Journal of Financial Economics.
[Full Text][Citation analysis]		article154
2012How to Calculate Systemic Risk Surcharges In: NBER Chapters.
[Full Text][Citation analysis]		chapter0
2009Carry Trades and Currency Crashes In: NBER Chapters.
[Full Text][Citation analysis]		chapter329
2008Carry Trades and Currency Crashes.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 329		paper
2011Margin-Based Asset Pricing and Deviations from the Law of One Price In: NBER Working Papers.
[Full Text][Citation analysis]		paper131
2011Margin-based Asset Pricing and Deviations from the Law of One Price.(2011) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 131		article
2012Embedded Leverage In: NBER Working Papers.
[Full Text][Citation analysis]		paper6
2015Efficiently Inefficient Markets for Assets and Asset Management In: NBER Working Papers.
[Full Text][Citation analysis]		paper13
2006Liquidity and Asset Prices In: Foundations and Trends(R) in Finance.
[Full Text][Citation analysis]		article91
2005Liquidity and Asset Prices.(2005) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 91		paper
2004Adverse Selection and the Required Return In: Review of Financial Studies.
[Full Text][Citation analysis]		article20
2015Introduction In: Introductory Chapters.
[Full Text][Citation analysis]		chapter0
2015Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined In: Economics Books.
[Citation analysis]		book7
2016Generalized Recovery In: 2016 Meeting Papers.
[Full Text][Citation analysis]		paper0
2013TAXING SYSTEMIC RISK In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2019. Contact: CitEc Team