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

23

i10 index

4916

Citations

RESEARCH PRODUCTION:

21

Articles

42

Papers

3

Books

6

Chapters

RESEARCH ACTIVITY:

   14 years (2002 - 2016). See details.
   Cites by year: 351
   Journals where Lasse Heje Pedersen has often published
   Relations with other researchers
   Recent citing documents: 953.    Total self citations: 29 (0.59 %)

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   Permalink: http://citec.repec.org/ppe174
   Updated: 2019-02-13    RAS profile: 2017-06-08    
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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 (35)

Sarno, Lucio (31)

Shin, Hyun Song (27)

He, Zhiguo (26)

Schrimpf, Andreas (24)

Brunnermeier, Markus (23)

Ranaldo, Angelo (22)

KOSTAKIS, ALEXANDROS (21)

Fecht, Falko (20)

Rocheteau, Guillaume (20)

Cites to:

Shleifer, Andrei (13)

Summers, Lawrence (9)

Vayanos, Dimitri (9)

Lo, Andrew (8)

Acharya, Viral (8)

Fama, Eugene (8)

Constantinides, George (7)

Hansen, Lars (6)

Stambaugh, Robert (6)

French, Kenneth (6)

Grossman, Sanford (6)

Main data


Where Lasse Heje Pedersen has published?


Journals with more than one article published# docs
Review of Financial Studies5
Journal of Financial Economics5
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). Caporin, Massimiliano ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2018-33.

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

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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.

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

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

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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.

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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.

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2018Search frictions and market power in negotiated price markets. (2018). Allen, Jason ; Houde, Jean-Francois ; Clark, Robert. In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:274729.

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

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

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

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

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

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

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

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

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

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

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

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2017Dynamic 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.

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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.

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

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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.

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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.

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

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

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

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

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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.

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

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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.

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

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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.

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

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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.

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

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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.

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

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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.

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

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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.

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

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

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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.

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

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2018Inventory 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.

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

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

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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.

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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.

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

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

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

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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.

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

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

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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.

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

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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.

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

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

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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

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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.

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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.

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

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

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

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

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2017The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?. (2017). Moessner, Richhild ; Funke, Michael ; Loermann, Julius . In: BIS Working Papers. RePEc:bis:biswps:652.

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2017Syndicated loans and CDS positioning. (2017). Barth, Andreas ; Aldasoro, Iñaki. In: BIS Working Papers. RePEc:bis:biswps:679.

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2018Are credit rating agencies discredited? Measuring market price effects from agency sovereign debt announcements. (2018). Miao, Evan Weicheng ; Binici, Mahir ; Hutchison, Michael M. In: BIS Working Papers. RePEc:bis:biswps:704.

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2018An explanation of negative swap spreads: demand for duration from underfunded pension plans. (2018). Klingler, Sven ; Sundaresan, Suresh. In: BIS Working Papers. RePEc:bis:biswps:705.

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2017Unexpected Inflation, Capital Structure, and Real Risk-adjusted Firm Performance. (2017). Alcock, Jamie ; Steiner, Eva. In: Abacus. RePEc:bla:abacus:v:53:y:2017:i:2:p:273-298.

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2017Successive short‐selling ban lifts and gradual price efficiency: evidence from China. (2017). Xiong, Xiong ; Feng, XU ; Gao, YA. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:5:p:1557-1604.

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2018Short selling, margin buying and stock return in China market. (2018). Li, Rui ; Wu, Chongfeng. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:2:p:477-501.

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2018Dissecting stock price momentum using financial statement analysis. (2018). Ahmed, Anwer S ; Safdar, Irfan. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:3-43.

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2018Measuring the dynamics of APEC output connectedness. (2018). Ogbuabor, Jonathan E ; Charles, Manasseh O ; Aneke, Gladys C ; Eigbiremolen, Godastime O. In: Asian-Pacific Economic Literature. RePEc:bla:apacel:v:32:y:2018:i:1:p:29-44.

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2018BANK COMPETITION AND FINANCIAL STABILITY: LIQUIDITY RISK PERSPECTIVE. (2018). Kim, Jeongsim. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:36:y:2018:i:2:p:337-362.

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2017The US Dollars Continuing Hegemony as an International Currency: A Double-matrix Analysis. (2017). Kaltenbrunner, Annina ; Lysandrou, Photis. In: Development and Change. RePEc:bla:devchg:v:48:y:2017:i:4:p:663-691.

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2017LIQUIDITY RISK AND TIME-VARYING CORRELATION BETWEEN EQUITY AND CURRENCY RETURNS. (2017). Jung, Kuk Mo ; Mo, Kuk. In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:2:p:898-919.

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2019ASSET DYNAMICS, LIQUIDITY, AND INEQUALITY IN DECENTRALIZED MARKETS. (2019). Minetti, Raoul ; Iacopetta, Maurizio. In: Economic Inquiry. RePEc:bla:ecinqu:v:57:y:2019:i:1:p:537-551.

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2017The Plight of Modern Markets: How Universal Banking Undermines Capital Markets. (2017). Sissoko, Carolyn. In: Economic Notes. RePEc:bla:ecnote:v:46:y:2017:i:1:p:53-104.

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2017Endogenous Credit Spreads and Optimal Debt Financing Structure in the Presence of Liquidity Risk. (2017). Ltkebohmert, Eva ; Xiao, Yajun ; Oeltz, Daniel. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:1:p:55-86.

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2017The Investment CAPM. (2017). Zhang, LU. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:4:p:545-603.

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2017The Revealed Preference of Sophisticated Investors. (2017). Blocher, Jesse ; Molyboga, Marat. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:5:p:839-872.

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2017How Useful Is Basel IIIs Liquidity Coverage Ratio? Evidence From US Bank Holding Companies. (2017). Du, Brian. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:5:p:902-919.

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2018Market†based estimates of implicit government guarantees in European financial institutions. (2018). Zhao, Lei. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:1:p:79-112.

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2018Negative bubbles: What happens after a crash. (2018). Goetzmann, William N ; Kim, Dasol. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:2:p:171-191.

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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]
article35
2007Liquidity and Risk Management.(2007) In: NBER Working Papers.
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This paper has another version. Agregated cites: 35
paper
2007Slow Moving Capital In: American Economic Review.
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article81
2007Slow Moving Capital.(2007) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 81
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2007Slow Moving Capital.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 81
paper
2011How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics.
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article334
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 334
paper
2003Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance.
[Full Text][Citation analysis]
article138
2005Predatory Trading In: Journal of Finance.
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2004Predatory Trading.(2004) In: CEPR Discussion Papers.
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2004Predatory Trading.(2004) In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]
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2004Predatory Trading.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
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2013Value and Momentum Everywhere In: Journal of Finance.
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2013Dynamic Trading with Predictable Returns and Transaction Costs In: Journal of Finance.
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2009Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: CEPR Discussion Papers.
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2009Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: NBER Working Papers.
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2014Betting against beta.(2014) In: Journal of Financial Economics.
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2010Betting Against Beta.(2010) In: NBER Working Papers.
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2015Early Option Exercise: Never Say Never In: CEPR Discussion Papers.
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paper4
2016Early option exercise: Never say never.(2016) In: Journal of Financial Economics.
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2003Asset Pricing with Liquidity Risk In: CEPR Discussion Papers.
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paper698
2004Asset Pricing with Liquidity Risk.(2004) In: CEPR Discussion Papers.
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2005Asset pricing with liquidity risk.(2005) In: Journal of Financial Economics.
[Full Text][Citation analysis]
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2004Asset Pricing with Liquidity Risk.(2004) In: NBER Working Papers.
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2005Demand-Based Option Pricing In: CEPR Discussion Papers.
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paper139
2005Demand-Based Option Pricing.(2005) In: NBER Working Papers.
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2009Demand-Based Option Pricing.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
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2006Valuation in Over-the-Counter Markets In: CEPR Discussion Papers.
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paper112
2006Valuation in Over-the-Counter Markets.(2006) In: NBER Working Papers.
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2007Valuation in Over-the-Counter Markets.(2007) In: Review of Financial Studies.
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2007Market Liquidity and Funding Liquidity In: CEPR Discussion Papers.
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paper1214
2007Market liquidity and funding liquidity.(2007) In: LSE Research Online Documents on Economics.
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2007Market Liquidity and Funding Liquidity.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1214
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2009Market Liquidity and Funding Liquidity.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
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2009When Everyone Runs for the Exit In: CEPR Discussion Papers.
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paper27
2009When Everyone Runs for the Exit.(2009) In: International Journal of Central Banking.
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2009When Everyone Runs for the Exit.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
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2010Two Monetary Tools: Interest Rates and Haircuts In: CEPR Discussion Papers.
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paper41
2011Two Monetary Tools: Interest Rates and Haircuts.(2011) In: NBER Chapters.
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2010Two Monetary Tools: Interest Rates and Haircuts.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
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2010Two Monetary Tools: Interest-Rates and Haircuts.(2010) In: 2010 Meeting Papers.
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2012Measuring Systemic Risk In: CEPR Discussion Papers.
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2010Measuring systemic risk.(2010) In: Working Papers (Old Series).
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2013Buffett’s Alpha In: CEPR Discussion Papers.
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2013Buffetts Alpha.(2013) In: NBER Working Papers.
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2013Carry In: CEPR Discussion Papers.
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paper0
2013Carry.(2013) In: NBER Working Papers.
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2013Market Liquidity In: Cambridge Books.
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2013Market Liquidity.(2013) In: Cambridge Books.
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2011Monitoring Leverage In: Cowles Foundation Discussion Papers.
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2012Monitoring Leverage.(2012) In: NBER Chapters.
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2005Over-the-Counter Markets In: Econometrica.
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2004Over-the-Counter Markets.(2004) In: NBER Working Papers.
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2004Valuation in Dynamic Bargaining Markets In: Econometric Society 2004 North American Winter Meetings.
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2016Dynamic portfolio choice with frictions In: Journal of Economic Theory.
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2012Time series momentum In: Journal of Financial Economics.
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2002Securities lending, shorting, and pricing In: Journal of Financial Economics.
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2012How to Calculate Systemic Risk Surcharges In: NBER Chapters.
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2009Carry Trades and Currency Crashes In: NBER Chapters.
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2008Carry Trades and Currency Crashes.(2008) In: NBER Working Papers.
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2011Margin-Based Asset Pricing and Deviations from the Law of One Price In: NBER Working Papers.
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paper121
2011Margin-based Asset Pricing and Deviations from the Law of One Price.(2011) In: Review of Financial Studies.
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2012Embedded Leverage In: NBER Working Papers.
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2006Liquidity and Asset Prices In: Foundations and Trends(R) in Finance.
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2005Liquidity and Asset Prices.(2005) In: MPRA Paper.
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2004Adverse Selection and the Required Return In: Review of Financial Studies.
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2015Introduction In: Introductory Chapters.
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