21
H index
23
i10 index
4198
Citations
Lasse Heje Pedersen : Citation Profile
New York University (NYU) | RESEARCH PRODUCTION: 21 Articles 42 Papers 3 Books 6 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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14 years (2002 - 2016). 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:
| Cites to:
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Main data
Where Lasse Heje Pedersen has published?
| Journals with more than one article published | # docs |
|---|---|
| Review of Financial Studies | 5 |
| Journal of Financial Economics | 5 |
| Journal of Finance | 4 |
| American Economic Review | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Econometric Society 2004 North American Winter Meetings / Econometric Society | 2 |
Recent works citing Lasse Heje Pedersen (2018 and 2017)
| Year | Title of citing document | |
|---|---|---|
| 2017 | Working 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 | |
| 2017 | The 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. Full description at Econpapers || Download paper | |
| 2017 | Decentralized Exchange. (2017). Malamud, Semyon ; Rostek, Marzena. In: American Economic Review. RePEc:aea:aecrev:v:107:y:2017:i:11:p:3320-62. Full description at Econpapers || Download paper | |
| 2017 | The 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 | |
| 2017 | A 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 | |
| 2017 | Rebalancing 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 | |
| 2017 | The Limits of Leverage. (2017). Guasoni, Paolo ; Mayerhofer, Eberhard . In: Papers. RePEc:arx:papers:1506.02802. Full description at Econpapers || Download paper | |
| 2017 | Liquidity Effects of Trading Frequency. (2017). Gayduk, Roman ; Nadtochiy, Sergey. In: Papers. RePEc:arx:papers:1508.07914. Full description at Econpapers || Download paper | |
| 2017 | Optimal 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 | |
| 2017 | Equilibrium 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 | |
| 2017 | Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070. Full description at Econpapers || Download paper | |
| 2017 | Are Order Anticipation Strategies Harmful? A Theoretical Approach. (2017). Strehle, Elias . In: Papers. RePEc:arx:papers:1609.00599. Full description at Econpapers || Download paper | |
| 2017 | Dynamic 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 | |
| 2017 | A 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 | |
| 2017 | A 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 | |
| 2017 | Time 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 | |
| 2017 | Optimal 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 | |
| 2018 | Portfolio Choice with Small Temporary and Transient Price Impact. (2018). Ekren, Ibrahim ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1705.00672. Full description at Econpapers || Download paper | |
| 2017 | Mini-Flash Crashes, Model Risk, and Optimal Execution. (2017). Bayraktar, Erhan ; Munk, Alexander . In: Papers. RePEc:arx:papers:1705.09827. Full description at Econpapers || Download paper | |
| 2017 | Heterogeneous Preferences, Constraints, and the Cyclicality of Leverage. (2017). Abbot, Tyler . In: Papers. RePEc:arx:papers:1706.05877. Full description at Econpapers || Download paper | |
| 2017 | Effective risk aversion in thin risk-sharing markets. (2017). Anthropelos, Michail ; Vichos, Georgios ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:1707.05096. Full description at Econpapers || Download paper | |
| 2017 | Wax 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 | |
| 2017 | Equilibrium Liquidity Premia. (2017). Bouchard, Bruno ; Muhle-Karbe, Johannes ; Herdegen, Martin ; Fukasawa, Masaaki. In: Papers. RePEc:arx:papers:1707.08464. Full description at Econpapers || Download paper | |
| 2017 | The 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 | |
| 2017 | Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2017). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296. Full description at Econpapers || Download paper | |
| 2017 | Black 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 | |
| 2018 | An 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 | |
| 2018 | Quantification 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 | |
| 2017 | The 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 | |
| 2017 | Momentum 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 | |
| 2017 | Financial 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 | |
| 2018 | Government 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 | |
| 2017 | Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns. (2017). Ravazzolo, Francesco ; Foroni, Claudia ; Sadaba, Barbara . In: Staff Working Papers. RePEc:bca:bocawp:17-19. Full description at Econpapers || Download paper | |
| 2018 | What 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 | |
| 2017 | The 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 | |
| 2017 | A 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 | |
| 2017 | Pairwise 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 | |
| 2017 | Sovereign 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 | |
| 2017 | Role 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 | |
| 2017 | Pandemic 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 | |
| 2018 | A General Equilibrium Appraisal of Capital Shortfall. (2018). Jondeau, E ; J-G. Sahuc, . In: Working papers. RePEc:bfr:banfra:668. Full description at Econpapers || Download paper | |
| 2017 | How to reach all Basel requirements at the same time?. (2017). Dietsch, Michel ; Durant, D ; Birn, M. In: Débats économiques et financiers. RePEc:bfr:decfin:28. Full description at Econpapers || Download paper | |
| 2017 | Safety, Liquidity, and the Natural Rate of Interest. (2017). Giannone, Domenico ; Del Negro, Marco ; Tambalotti, Andrea ; 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 | |
| 2017 | Green bond finance and certification. (2017). Packer, Frank ; Ehlers, Torsten. In: BIS Quarterly Review. RePEc:bis:bisqtr:1709h. Full description at Econpapers || Download paper | |
| 2017 | The 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 | |
| 2017 | The 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. Full description at Econpapers || Download paper | |
| 2017 | Syndicated loans and CDS positioning. (2017). Barth, Andreas ; Aldasoro, Iñaki. In: BIS Working Papers. RePEc:bis:biswps:679. Full description at Econpapers || Download paper | |
| 2018 | Are credit rating agencies discredited? Measuring market price effects from agency sovereign debt announcements. (2018). Binici, Mahir ; Miao, Evan Weicheng ; Hutchison, Michael M. In: BIS Working Papers. RePEc:bis:biswps:704. Full description at Econpapers || Download paper | |
| 2017 | Unexpected 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. Full description at Econpapers || Download paper | |
| 2017 | The 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. Full description at Econpapers || Download paper | |
| 2017 | LIQUIDITY RISK AND TIME-VARYING CORRELATION BETWEEN EQUITY AND CURRENCY RETURNS. (2017). Mo, Kuk . In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:2:p:898-919. Full description at Econpapers || Download paper | |
| 2017 | The 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. Full description at Econpapers || Download paper | |
| 2017 | Time-Varying Linkage of Possible Safe Haven Assets: A Cross-Market and Cross-asset Analysis. (2017). Nguyen, Phong ; Liu, Wei-Han. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:1:p:43-76. Full description at Econpapers || Download paper | |
| 2017 | EXPLOITING CLOSED-END FUND DISCOUNTS: A SYSTEMATIC EXAMINATION OF ALPHAS. (2017). Patro, Dilip ; Wu, Yangru ; Piccotti, Louis R. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:2:p:223-248. Full description at Econpapers || Download paper | |
| 2017 | Distressed Sales in OTC Markets. (2017). Selcuk, Cemil. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:3:p:357-393. Full description at Econpapers || Download paper | |
| 2017 | How Has the Behavior of Cross-Market Correlations Altered During Financial and Debt Crises?. (2017). demiralay, sercan ; Ulusoy, Veysel. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:6:p:765-794. Full description at Econpapers || Download paper | |
| 2017 | Carry Trade Incentives and Turbulence in the Foreign Exchange Market in Colombia. (2017). Gamboa-Estrada, Fredy. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i::p:57-78. Full description at Econpapers || Download paper | |
| 2017 | Do Shadow Banks Create Money? ‘Financialisation’ and the Monetary Circuit. (2017). Fontana, Giuseppe ; Michell, JO ; Realfonzo, Riccardo. In: Metroeconomica. RePEc:bla:metroe:v:68:y:2017:i:2:p:354-377. Full description at Econpapers || Download paper | |
| 2017 | Uncovered interest parity in Central and Eastern Europe: Expectations and structural breaks. (2017). Staehr, Karsten ; Filipozzi, Fabio ; Cuestas, Juan. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:4:p:695-710. Full description at Econpapers || Download paper | |
| 2017 | External Public Debt, Trade Linkages and Contagion During the Eurozone Crisis. (2017). Cutrini, Eleonora ; Galeazzi, Giorgio . In: The World Economy. RePEc:bla:worlde:v:40:y:2017:i:9:p:1718-1749. Full description at Econpapers || Download paper | |
| 2017 | The Future of Money: Liquidity co-movement between financial institutions and real estate firms: evidence from China. (2017). Huang, Sheng ; Xie, RU ; Williams, Jonathan. In: Working Papers. RePEc:bng:wpaper:17004. Full description at Econpapers || Download paper | |
| 2017 | Multi yield curve stress-testing framework incorporating temporal and cross tenor structural dependencies. (2017). Karimalis, Emmanouil ; Peters, Gareth ; Kosmidis, Ioannis . In: Bank of England working papers. RePEc:boe:boeewp:0655. Full description at Econpapers || Download paper | |
| 2017 | Measuring the systemic importance of banks. (2017). Moratis, Georgios ; Sakellaris, Plutarchos. In: Working Papers. RePEc:bog:wpaper:240. Full description at Econpapers || Download paper | |
| 2017 | Sovereign default risk and debt limits: Case of Slovakia. (2017). Odor, Ludovit ; Mucka, Zuzana . In: Working Papers. RePEc:cbe:wpaper:201701. Full description at Econpapers || Download paper | |
| 2017 | What Drives Systemic Bank Risk in Europe: the balance sheet effect. (2017). Wosser, Michael . In: Research Technical Papers. RePEc:cbi:wpaper:08/rt/17. Full description at Econpapers || Download paper | |
| 2018 | Positive Liquidity Spillovers from Sovereign Bond-Backed Securities. (2018). Dunne, Peter G. In: Research Technical Papers. RePEc:cbi:wpaper:5/rt/18. Full description at Econpapers || Download paper | |
| 2017 | Investor Sentiment Dynamics, the Cross-section of Stock Returns and the MAX Effect. (2017). Nartea, Gilbert ; Cheema, Muhammad. In: Working Papers in Economics. RePEc:cbt:econwp:17/13. Full description at Econpapers || Download paper | |
| 2017 | Cross-Sectional and Time-Series Momentum Returns and Market Dynamics: Are Islamic Stocks Different?. (2017). Nartea, Gilbert ; Cheema, Muhammad. In: Working Papers in Economics. RePEc:cbt:econwp:17/14. Full description at Econpapers || Download paper | |
| 2017 | What Slice of the Pie? The Corporate Bond Market Boom in Emerging Economies. (2017). Saborowski, Christian ; Nedeljkovic, Milan ; Ayala, Diana . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6376. Full description at Econpapers || Download paper | |
| 2017 | Dissecting Characteristics Nonparametrically. (2017). Weber, Michael ; Freyberger, Joachim ; Neuhierl, Andreas . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6391. Full description at Econpapers || Download paper | |
| 2017 | A Theory of Repurchase Agreements, Collateral Re-use, and Repo Intermediation. (2017). Monnet, Cyril ; Gottardi, Piero ; Maurin, Vincent . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6579. Full description at Econpapers || Download paper | |
| 2017 | Monetary Momentum. (2017). Weber, Michael ; Neuhierl, Andreas . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6648. Full description at Econpapers || Download paper | |
| 2017 | Dispersed Information and Sovereign Risk Premia. (2017). Margaretic, Paula ; Becerra, Sebastian. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:808. Full description at Econpapers || Download paper | |
| 2017 | Disentangling the relationship between liquidity and returns in Latin America. (2017). Taborda, Rodrigo ; French, Joseph. In: DOCUMENTOS CEDE. RePEc:col:000089:015606. Full description at Econpapers || Download paper | |
| 2017 | Corporate Bond Guarantees and The Value of Financial Flexibility. (2017). Manconi, Alberto ; Altieri, Michela ; Massa, Massimo . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11992. Full description at Econpapers || Download paper | |
| 2017 | Canary in a Coalmine: Securities Lending Predicting the Performance of Securitized Bonds. (2017). Manconi, Alberto ; Kempf, Elisabeth ; Massa, Massimo . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11993. Full description at Econpapers || Download paper | |
| 2017 | Asset encumbrance and bank risk: First evidence from public disclosures in Europe. (2017). Banal-Estanol, Albert ; Khametshin, Dmitry ; Benito, Enrique. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12168. Full description at Econpapers || Download paper | |
| 2017 | Dissecting interbank risk. (2017). Aguilar, Pedro Serrano ; Lafuente, Juan Angel ; Petit, Nuria . In: DEE - Working Papers. Business Economics. WB. RePEc:cte:wbrepe:24553. Full description at Econpapers || Download paper | |
| 2018 | Nonlinear Intermediary Pricing in the Oil Futures Market. (2018). Bierbaumer, Daniel ; Velinov, Anton ; Rieth, Malte. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1722. Full description at Econpapers || Download paper | |
| 2017 | Pension funds illiquid assets allocation under liquidity and capital constraints. (2017). Broeders, Dirk ; Werker, Bas ; Jansen, Kristy . In: DNB Working Papers. RePEc:dnb:dnbwpp:555. Full description at Econpapers || Download paper | |
| 2018 | Mortgage debt and shadow banks. (2018). Pool, Sebastiaan. In: DNB Working Papers. RePEc:dnb:dnbwpp:588. Full description at Econpapers || Download paper | |
| 2017 | Taking Diversity into Account: the Diversity of Financial Institutions and Accounting Regulation. (2017). Le Quang, Gaëtan. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-10. Full description at Econpapers || Download paper | |
| 2018 | Stock market integration in the Asia-Pacific region: Evidence from cointegration of liquidity risk. (2018). Soedarmono, Wahyoe. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00810. Full description at Econpapers || Download paper | |
| 2017 | Collateral, central clearing counterparties and regulation. (2017). Heider, Florian. In: Research Bulletin. RePEc:ecb:ecbrbu:2017:0041:1. Full description at Econpapers || Download paper | |
| 2017 | Spillovers among sovereign debt markets: identification by absolute magnitude restrictions. (2017). De Santis, Roberto A ; Zimic, Sreko . In: Working Paper Series. RePEc:ecb:ecbwps:20172055. Full description at Econpapers || Download paper | |
| 2017 | On collateral: implications for financial stability and monetary policy. (2017). Hoerova, Marie ; Heider, Florian ; Corradin, Stefano . In: Working Paper Series. RePEc:ecb:ecbwps:20172107. Full description at Econpapers || Download paper | |
| 2017 | Japan’s quantitative monetary easing policy: Effect on the level and volatility of yield spreads. (2017). Hanabusa, Kunihiro. In: Journal of Asian Economics. RePEc:eee:asieco:v:53:y:2017:i:c:p:56-66. Full description at Econpapers || Download paper | |
| 2017 | Options, equity risks, and the value of capital structure adjustments. (2017). Borochin, Paul ; Yang, Jie. In: Journal of Corporate Finance. RePEc:eee:corfin:v:42:y:2017:i:c:p:150-178. Full description at Econpapers || Download paper | |
| 2017 | Do tax havens create firm value?. (2017). Ng, Travis ; Lai, Tat-kei ; Choy, Siu Kai . In: Journal of Corporate Finance. RePEc:eee:corfin:v:42:y:2017:i:c:p:198-220. Full description at Econpapers || Download paper | |
| 2017 | Limelight on dark markets: Theory and experimental evidence on liquidity and information. (2017). Berentsen, Aleksander ; McBride, Michael ; Rocheteau, Guillaume. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:75:y:2017:i:c:p:70-90. Full description at Econpapers || Download paper | |
| 2017 | Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:180-201. Full description at Econpapers || Download paper | |
| 2017 | Basel III capital surcharges for G-SIBs are far less effective in managing systemic risk in comparison to network-based, systemic risk-dependent financial transaction taxes. (2017). Poledna, Sebastian ; Thurner, Stefan ; Bochmann, Olaf . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:230-246. Full description at Econpapers || Download paper | |
| 2017 | On the optimal quantity of liquid bonds. (2017). Huber, Samuel ; Kim, Jae Hong. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:184-200. Full description at Econpapers || Download paper | |
| 2017 | A unified approach to Bermudan and barrier options under stochastic volatility models with jumps. (2017). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:75-100. Full description at Econpapers || Download paper | |
| 2017 | Impact of value-at-risk models on market stability. (2017). Llacay, Barbara ; Peffer, Gilbert. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:223-256. Full description at Econpapers || Download paper | |
| 2018 | Level and slope of volatility smiles in long-run risk models. (2018). Branger, Nicole ; Schlag, Christian ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:95-122. Full description at Econpapers || Download paper | |
| 2017 | Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models. (2017). Xue, Wen-Jun ; Zhang, Li-Wen . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:391-401. Full description at Econpapers || Download paper | |
| 2017 | Modelling European sovereign bond yields with international portfolio effects. (2017). Martin, Franck ; Zhang, Jiangxingyun . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:178-200. Full description at Econpapers || Download paper | |
| 2017 | Regional spillovers across transitioning emerging and frontier equity markets: A multi-time scale wavelet analysis. (2017). Masih, Abul ; Dewandaru, Ginanjar . In: Economic Modelling. RePEc:eee:ecmode:v:65:y:2017:i:c:p:30-40. Full description at Econpapers || Download paper | |
| 2017 | The cross section of international government bond returns. (2017). Zaremba, Adam ; Czapkiewicz, Anna. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:171-183. Full description at Econpapers || Download paper | |
| 2017 | Lending conditions in EU: The role of credit demand and supply. (2017). Kučerová, Zuzana ; Kapounek, Svatopluk ; Fidrmuc, Jarko ; Kuerova, Zuzana. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:285-293. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Works by Lasse Heje Pedersen:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2007 | Liquidity and Risk Management In: American Economic Review. [Full Text][Citation analysis] | article | 33 |
| 2007 | Liquidity and Risk Management.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
| 2007 | Slow Moving Capital In: American Economic Review. [Full Text][Citation analysis] | article | 80 |
| 2007 | Slow Moving Capital.(2007) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 80 | paper | |
| 2007 | Slow Moving Capital.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 80 | paper | |
| 2011 | How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics. [Full Text][Citation analysis] | article | 277 |
| 2007 | How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 277 | paper | |
| 2003 | Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance. [Full Text][Citation analysis] | article | 126 |
| 2005 | Predatory Trading In: Journal of Finance. [Full Text][Citation analysis] | article | 138 |
| 2004 | Predatory Trading.(2004) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 138 | paper | |
| 2004 | Predatory Trading.(2004) In: Econometric Society 2004 North American Winter Meetings. [Full Text][Citation analysis] This paper has another version. Agregated cites: 138 | paper | |
| 2004 | Predatory Trading.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 138 | paper | |
| 2013 | Value and Momentum Everywhere In: Journal of Finance. [Full Text][Citation analysis] | article | 213 |
| 2013 | Dynamic Trading with Predictable Returns and Transaction Costs In: Journal of Finance. [Full Text][Citation analysis] | article | 42 |
| 2009 | Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 42 | paper | |
| 2009 | Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 42 | paper | |
| Betting Against Beta In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 119 | |
| 2014 | Betting against beta.(2014) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 119 | article | |
| 2010 | Betting Against Beta.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 119 | paper | |
| 2015 | Early Option Exercise: Never Say Never In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
| 2016 | Early option exercise: Never say never.(2016) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
| 2003 | Asset Pricing with Liquidity Risk In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 618 |
| 2004 | Asset Pricing with Liquidity Risk.(2004) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 618 | paper | |
| 2005 | Asset pricing with liquidity risk.(2005) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 618 | article | |
| 2004 | Asset Pricing with Liquidity Risk.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 618 | paper | |
| 2005 | Demand-Based Option Pricing In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 122 |
| 2005 | Demand-Based Option Pricing.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 122 | paper | |
| 2009 | Demand-Based Option Pricing.(2009) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 122 | article | |
| 2006 | Valuation in Over-the-Counter Markets In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 99 |
| 2006 | Valuation in Over-the-Counter Markets.(2006) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 99 | paper | |
| 2007 | Valuation in Over-the-Counter Markets.(2007) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 99 | article | |
| 2007 | Market Liquidity and Funding Liquidity In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 1078 |
| 2007 | Market liquidity and funding liquidity.(2007) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1078 | paper | |
| 2007 | Market Liquidity and Funding Liquidity.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1078 | paper | |
| 2009 | Market Liquidity and Funding Liquidity.(2009) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1078 | article | |
| 2009 | When Everyone Runs for the Exit In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 21 |
| 2009 | When Everyone Runs for the Exit.(2009) In: International Journal of Central Banking. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | article | |
| 2009 | When Everyone Runs for the Exit.(2009) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
| 2010 | Two Monetary Tools: Interest Rates and Haircuts In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 36 |
| 2011 | Two Monetary Tools: Interest Rates and Haircuts.(2011) In: NBER Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | chapter | |
| 2010 | Two Monetary Tools: Interest Rates and Haircuts.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
| 2010 | Two Monetary Tools: Interest-Rates and Haircuts.(2010) In: 2010 Meeting Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
| 2012 | Measuring Systemic Risk In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 234 |
| 2010 | Measuring systemic risk.(2010) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 234 | paper | |
| 2013 | Buffett’s Alpha In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2013 | Buffetts Alpha.(2013) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2013 | Carry In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Carry.(2013) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2013 | Market Liquidity In: Cambridge Books. [Citation analysis] | book | 0 |
| 2013 | Market Liquidity.(2013) In: Cambridge Books. [Citation analysis] This paper has another version. Agregated cites: 0 | book | |
| 2011 | Monitoring Leverage In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Monitoring Leverage.(2012) In: NBER Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | chapter | |
| 2005 | Over-the-Counter Markets In: Econometrica. [Full Text][Citation analysis] | article | 207 |
| 2004 | Over-the-Counter Markets.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 207 | paper | |
| 2004 | Valuation in Dynamic Bargaining Markets In: Econometric Society 2004 North American Winter Meetings. [Citation analysis] | paper | 5 |
| 2016 | Dynamic portfolio choice with frictions In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 3 |
| 2012 | Time series momentum In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 113 |
| 2002 | Securities lending, shorting, and pricing In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 138 |
| 2012 | How to Calculate Systemic Risk Surcharges In: NBER Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2009 | Carry Trades and Currency Crashes In: NBER Chapters. [Full Text][Citation analysis] | chapter | 282 |
| 2008 | Carry Trades and Currency Crashes.(2008) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 282 | paper | |
| 2011 | Margin-Based Asset Pricing and Deviations from the Law of One Price In: NBER Working Papers. [Full Text][Citation analysis] | paper | 96 |
| 2011 | Margin-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: 96 | article | |
| 2012 | Embedded Leverage In: NBER Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2015 | Efficiently Inefficient Markets for Assets and Asset Management In: NBER Working Papers. [Full Text][Citation analysis] | paper | 10 |
| 2006 | Liquidity and Asset Prices In: Foundations and Trends(R) in Finance. [Full Text][Citation analysis] | article | 78 |
| 2005 | Liquidity and Asset Prices.(2005) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 78 | paper | |
| 2004 | Adverse Selection and the Required Return In: Review of Financial Studies. [Full Text][Citation analysis] | article | 17 |
| 2015 | Introduction In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2015 | Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined In: Economics Books. [Citation analysis] | book | 3 |
| 2016 | Generalized Recovery In: 2016 Meeting Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | TAXING SYSTEMIC RISK In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 1 2018. Contact: CitEc Team