23
H index
25
i10 index
6425
Citations
New York University (NYU) | 23 H index 25 i10 index 6425 Citations RESEARCH PRODUCTION: 21 Articles 44 Papers 3 Books 6 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: |
Journals with more than one article published | # docs |
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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 |
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Econometric Society 2004 North American Winter Meetings / Econometric Society | 2 |
Year | Title of citing document | |
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2020 | Origins of Mutual Fund Skill: Market versus Accounting Based Asset Pricing Anomalies. (2020). Christiansen, Charlotte ; Xu, Yue ; Xing, Ran. In: CREATES Research Papers. RePEc:aah:create:2020-14. Full description at Econpapers || Download paper | |
2020 | Trading in Crowded Markets. (2020). Gorban, Stepan ; Wang, Yajun ; Obizhaeva, Anna A. In: Working Papers. RePEc:abo:neswpt:w0275. Full description at Econpapers || Download paper | |
2020 | Systemic Risk: a Network Approach. (2020). Hasse, Jean-Baptiste. In: AMSE Working Papers. RePEc:aim:wpaimx:2025. Full description at Econpapers || Download paper | |
2020 | Exchange Rates, Stock Prices, and Stock Market Uncertainty. (2020). Salimi Namin, Fatemeh. In: AMSE Working Papers. RePEc:aim:wpaimx:2037. Full description at Econpapers || Download paper | |
2020 | Portfolio Choice with Small Temporary and Transient Price Impact. (2019). Muhle-Karbe, Johannes ; Ekren, Ibrahim. In: Papers. RePEc:arx:papers:1705.00672. Full description at Econpapers || Download paper | |
2020 | Liquidity in Competitive Dealer Markets. (2018). Muhle-Karbe, Johannes ; Ekren, Ibrahim ; Bank, Peter. In: Papers. RePEc:arx:papers:1807.08278. Full description at Econpapers || Download paper | |
2020 | Asymmetric Connectedness of Fears in the U.S. Financial Sector. (2018). BarunÃÂk, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:1810.12022. Full description at Econpapers || Download paper | |
2020 | Asymptotics 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 | |
2020 | Network effects in default clustering for large systems. (2019). Yang, Jia ; Spiliopoulos, Konstantinos. In: Papers. RePEc:arx:papers:1812.07645. Full description at Econpapers || Download paper | |
2020 | Equilibrium Asset Pricing with Transaction Costs. (2019). Possamai, Dylan ; Muhle-Karbe, Johannes ; Herdegen, Martin. In: Papers. RePEc:arx:papers:1901.10989. Full description at Econpapers || Download paper | |
2020 | Optimal 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 | |
2020 | Asset 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 | |
2020 | Asset 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 | |
2020 | Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2019). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:1909.11794. Full description at Econpapers || Download paper | |
2020 | Resolving asset pricing puzzles with price impact. (2019). Seppi, Duane J ; Larsen, Kasper ; Choi, Jin Hyuk ; Chen, Xiao. In: Papers. RePEc:arx:papers:1910.02466. Full description at Econpapers || Download paper | |
2020 | Valuing Tradeability in Exponential L\evy Models. (2019). Mathys, Ludovic. In: Papers. RePEc:arx:papers:1912.00469. Full description at Econpapers || Download paper | |
2020 | Corporate Governance, Noise Trading and Liquidity of Stocks. (2020). Su, Jianhao. In: Papers. RePEc:arx:papers:2001.06275. Full description at Econpapers || Download paper | |
2020 | Swap Portfolios and Reverse-Weighted Portfolios, with an Application to Commodity Futures. (2020). Fernholz, Robert. In: Papers. RePEc:arx:papers:2001.06914. Full description at Econpapers || Download paper | |
2020 | Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact. (2020). Voss, Moritz ; Neuman, Eyal. In: Papers. RePEc:arx:papers:2002.09549. Full description at Econpapers || Download paper | |
2020 | Deep Deterministic Portfolio Optimization. (2020). de Lataillade, Joachim ; Emmanuel, ; Schmidt, Christian ; Hardiman, Stephen ; Chaouki, Ayman. In: Papers. RePEc:arx:papers:2003.06497. Full description at Econpapers || Download paper | |
2020 | A wavelet analysis of inter-dependence, contagion and long memory among global equity markets. (2020). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2003.14110. Full description at Econpapers || Download paper | |
2020 | The illiquidity network of stocks in Chinas market crash. (2020). Zhao, Jichang ; Tan, Xiaoling. In: Papers. RePEc:arx:papers:2004.01917. Full description at Econpapers || Download paper | |
2020 | Spanning analysis of stock market anomalies under Prospect Stochastic Dominance. (2020). Scaillet, Olivier ; Topaloglou, Nikolas ; Arvanitis, Stelios. In: Papers. RePEc:arx:papers:2004.02670. Full description at Econpapers || Download paper | |
2020 | Predicting tail events in a RIA-EVT-Copula framework. (2020). Zhou, Wei-Xing ; Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhai, Jin-Rui ; Li, Wei-Zhen. In: Papers. RePEc:arx:papers:2004.03190. Full description at Econpapers || Download paper | |
2020 | Stress testing and systemic risk measures using multivariate conditional probability. (2020). Aste, Tomaso. In: Papers. RePEc:arx:papers:2004.06420. Full description at Econpapers || Download paper | |
2020 | Trends, Reversion, and Critical Phenomena in Financial Markets. (2020). Schmidhuber, Christof. In: Papers. RePEc:arx:papers:2006.07847. Full description at Econpapers || Download paper | |
2020 | Suffocating Fire Sales. (2020). Ritter, Daniel ; Panagiotou, Konstantinos ; Meyer-Brandis, Thilo ; Detering, Nils. In: Papers. RePEc:arx:papers:2006.08110. Full description at Econpapers || Download paper | |
2020 | Dynamic Networks in Large Financial and Economic Systems. (2020). BarunÃÂk, Jozef ; Ellington, Michael. In: Papers. RePEc:arx:papers:2007.07842. Full description at Econpapers || Download paper | |
2020 | Regularization Approach for Network Modeling of German Power Derivative Market. (2020). L'Opez, Brenda ; Hardle, Wolfgang Karl ; Chen, Shi. In: Papers. RePEc:arx:papers:2009.09739. Full description at Econpapers || Download paper | |
2020 | Copula-Based Factor Model for Credit Risk Analysis. (2020). Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan ; Lu, Meng-Jou. In: Papers. RePEc:arx:papers:2009.12092. Full description at Econpapers || Download paper | |
2020 | On the Pricing of Currency Options under Variance Gamma Process. (2020). Chandra, Abhijeet ; Jayprakash, Gowri ; Abdulsalam, Azwar. In: Papers. RePEc:arx:papers:2009.14113. Full description at Econpapers || Download paper | |
2020 | Fire Sales, the LOLR and Bank Runs with Continuous Asset Liquidity. (2020). Bindseil, Ulrich ; Lanari, Edoardo. In: Papers. RePEc:arx:papers:2010.11030. Full description at Econpapers || Download paper | |
2020 | Dirichlet policies for reinforced factor portfolios. (2020). Coqueret, Guillaume ; Andr, Eric. In: Papers. RePEc:arx:papers:2011.05381. Full description at Econpapers || Download paper | |
2020 | An Equilibrium Model for the Cross-Section of Liquidity Premia. (2020). Shi, Xiaofei ; Muhle-Karbe, Johannes ; Yang, Chen. In: Papers. RePEc:arx:papers:2011.13625. Full description at Econpapers || Download paper | |
2020 | Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach. (2020). Lee, Kyungsub ; Jang, Hyun Jin. In: Papers. RePEc:arx:papers:2012.04181. Full description at Econpapers || Download paper | |
2021 | A Model of Market Making and Price Impact. (2021). Singh, Angad . In: Papers. RePEc:arx:papers:2101.01388. Full description at Econpapers || Download paper | |
2021 | Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk. (2021). Roncalli, Thierry ; Regnault, Margaux ; Pan, Franccois ; Karray-Meziou, Fatma. In: Papers. RePEc:arx:papers:2101.02110. Full description at Econpapers || Download paper | |
2021 | Uncertainty Network Risk and Currency Returns. (2021). BarunÃk, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2101.09738. Full description at Econpapers || Download paper | |
2021 | Optimal investment in illiquid market with search frictions and transaction costs. (2021). Gang, Tae Ung ; Choi, Jin Hyuk. In: Papers. RePEc:arx:papers:2101.09936. Full description at Econpapers || Download paper | |
2020 | Modelling Small Open Developing Economies in a Financialized World: A Stock-Flow Consistent Prototype Growth Model. (2020). Yilmaz, Sakir ; Godin, Antoine. In: Working Paper. RePEc:avg:wpaper:en10824. Full description at Econpapers || Download paper | |
2020 | Regulatory Banking Leverage: what do you know?. (2020). Kimura, Herbert ; da Rosa, Douglas. In: Working Papers Series. RePEc:bcb:wpaper:540. Full description at Econpapers || Download paper | |
2020 | Macroprudential stress testing: A proposal for the Luxembourg investment fund sector. (2020). Lee, Kang-Soek. In: BCL working papers. RePEc:bcl:bclwop:bclwp141. Full description at Econpapers || Download paper | |
2020 | An analysis of sovereign credit risk premia in the euro area: are they explained by local or global factors?. (2020). Cecchetti, Sara. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1271_20. Full description at Econpapers || Download paper | |
2020 | Monetary Momentum. (2020). Weber, Michael ; Neuhierl, Andreas. In: Working Papers. RePEc:bfi:wpaper:2020-39. Full description at Econpapers || Download paper | |
2020 | Treasury Inconvenience Yields during the COVID-19 Crisis. (2020). He, Zhiguo ; Song, Zhaogang ; Nagel, Stefan. In: Working Papers. RePEc:bfi:wpaper:2020-79. Full description at Econpapers || Download paper | |
2020 | Determinants of Banks’ Liquidity: a French Perspective on Interactions between Market and Regulatory Requirements. (2020). Pouvelle, Cyril ; DE BANDT, OLIVIER ; Cyril, Pouvelle ; Sandrine, Lecarpentier ; Olivier, De Bandt. In: Working papers. RePEc:bfr:banfra:782. Full description at Econpapers || Download paper | |
2021 | Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission. (2021). Arthur, Stalla-Bourdillon ; Lukas, Boeckelmann. In: Working papers. RePEc:bfr:banfra:798. Full description at Econpapers || Download paper | |
2020 | Leverage and margin spirals in fixed income markets during the Covid-19 crisis. (2020). Sushko, Vladyslav ; Shin, Hyun Song ; Schrimpf, Andreas. In: BIS Bulletins. RePEc:bis:bisblt:2. Full description at Econpapers || Download paper | |
2020 | Cross-border commercial real estate investment in Asia-Pacific. (2020). SHIM, ILHYOCK ; Sushko, Vladyslav ; Liu, Amanda. In: BIS Quarterly Review. RePEc:bis:bisqtr:2009b. Full description at Econpapers || Download paper | |
2020 | On fintech and financial inclusion. (2020). Philippon, Thomas. In: BIS Working Papers. RePEc:bis:biswps:841. Full description at Econpapers || Download paper | |
2020 | Debt De-risking. (2020). Schrimpf, Andreas ; Parise, Gianpaolo ; Cutura, Jannic. In: BIS Working Papers. RePEc:bis:biswps:868. Full description at Econpapers || Download paper | |
2021 | Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds. (2021). Creal, Drew ; Chernov, Mikhail ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:918. Full description at Econpapers || Download paper | |
2020 | Quality investing in Asian stock markets. (2020). Shen, Jianfu ; Allen, Chi Cheong . In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:3033-3064. Full description at Econpapers || Download paper | |
2020 | Beyond the efficient markets hypothesis: Towards a new paradigm. (2020). Fender, John . In: Bulletin of Economic Research. RePEc:bla:buecrs:v:72:y:2020:i:3:p:333-351. Full description at Econpapers || Download paper | |
2020 | Too Connected to Fail? Evidence from a Chinese Financial Risk Spillover Network. (2020). Hu, Jie ; Chen, YU ; Zhang, Weiping. In: China & World Economy. RePEc:bla:chinae:v:28:y:2020:i:6:p:78-100. Full description at Econpapers || Download paper | |
2020 | UNDERSTANDING THE MACROECONOMIC IMPACT OF ILLIQUIDITY SHOCKS IN THE UNITED STATES. (2020). Chou, Yu-Hsi ; Yen, Chiayi. In: Economic Inquiry. RePEc:bla:ecinqu:v:58:y:2020:i:3:p:1245-1278. Full description at Econpapers || Download paper | |
2020 | Moving markets? Government bond investors and microeconomic policy changes. (2020). Wibbels, Erik ; Paniagua, Victoria ; Mosley, Layna. In: Economics and Politics. RePEc:bla:ecopol:v:32:y:2020:i:2:p:197-249. Full description at Econpapers || Download paper | |
2020 | Idiosyncratic momentum and the crossâ€section of stock returns: Further evidence. (2020). Lin, QI. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:579-627. Full description at Econpapers || Download paper | |
2020 | Mispriced index option portfolios. (2020). Perrakis, Stylianos ; Czerwonko, Michal ; Constantinides, George M. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:2:p:297-330. Full description at Econpapers || Download paper | |
2020 | Glamour among value: P/E ratios and value investor attention. (2020). Moore, Jordan. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:673-706. Full description at Econpapers || Download paper | |
2020 | How much should portfolios shrink?. (2020). Han, Chulwoo. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:707-740. Full description at Econpapers || Download paper | |
2020 | Portfolio manager homeâ€country culture and mutual fund riskâ€taking. (2020). Jiao, Wei. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:805-838. Full description at Econpapers || Download paper | |
2020 | Stock market anomalies and baseball cards. (2020). Thompson, Linh ; Engelberg, Joseph ; Williams, Jared. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:461-479. Full description at Econpapers || Download paper | |
2020 | Commonality in liquidity and multilateral trading facilities. (2020). Mekhaimer, Mohamed ; Jain, Pankaj K ; Mortal, Sandra. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:481-502. Full description at Econpapers || Download paper | |
2020 | Are Gold and Government Bond Safeâ€Haven Assets? An Extremal Quantile Regression Analysis. (2020). Liu, WeiHan . In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:2:p:451-483. Full description at Econpapers || Download paper | |
2020 | The Banking View of Bond Risk Premia. (2020). Sraer, David ; Haddad, Valentin. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2465-2502. Full description at Econpapers || Download paper | |
2020 | Lowâ€Risk Anomalies?. (2020). Zechner, Josef ; Wagner, Christian ; Schneider, Paul. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2673-2718. Full description at Econpapers || Download paper | |
2020 | A Macrofinance View of U.S. Sovereign CDS Premiums. (2020). Chernov, Mikhail ; Schneider, Andres ; Schmid, Lukas. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2809-2844. Full description at Econpapers || Download paper | |
2020 | Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs. (2020). Shkilko, Andriy ; Sokolov, Konstantin. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:6:p:2899-2927. Full description at Econpapers || Download paper | |
2020 | Tick Size and Financial Reporting Quality in Smallâ€Cap Firms: Evidence from a Natural Experiment. (2020). Xu, Nina ; Li, Yiwen ; Ahmed, Anwer S. In: Journal of Accounting Research. RePEc:bla:joares:v:58:y:2020:i:4:p:869-914. Full description at Econpapers || Download paper | |
2020 | Asset pricing with heterogeneous beliefs and illiquidity. (2020). Tan, Xiaowei ; Nutz, Marcel ; Muhlekarbe, Johannes. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1392-1421. Full description at Econpapers || Download paper | |
2020 | Interest rate volatility and macroeconomic dynamics: Heterogeneity matters. (2020). Velic, Adnan ; Curran, Michael. In: Review of International Economics. RePEc:bla:reviec:v:28:y:2020:i:4:p:957-975. Full description at Econpapers || Download paper | |
2020 | Dissecting interbank risk using basis swap spreads. (2020). Serrano, Pedro ; Ruiz, Jesus ; Petit, Nuria ; Lafuente, Juan Angel. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:3:p:729-757. Full description at Econpapers || Download paper | |
2020 | Impact of IFRS 9 on the cost of funding of banks in Europe. (2020). Ouenniche, Jamal ; Bock, Robert ; Fatouh, Mahmoud. In: Bank of England working papers. RePEc:boe:boeewp:0851. Full description at Econpapers || Download paper | |
2020 | Workers, capitalists, and the government: fiscal policy and income (re)distribution. (2020). Freund, Lukas ; Cantore, Cristiano. In: Bank of England working papers. RePEc:boe:boeewp:0858. Full description at Econpapers || Download paper | |
2020 | Foundations of system-wide financial stress testing with heterogeneous institutions. (2020). Wetzer, Thom ; Nahai-Williamson, Paul ; Kleinnijenhuis, Alissa M ; Farmer, Doyne J. In: Bank of England working papers. RePEc:boe:boeewp:0861. Full description at Econpapers || Download paper | |
2020 | Central bank independence and systemic risk. (2020). AndrieÈ™, Alin Marius ; Sprincean, Nicu ; Podpiera, Anca Maria. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2020_013. Full description at Econpapers || Download paper | |
2020 | A DEEP MARKET IN ISRAELI CORPORATE BONDS: MACRO AND MICROECONOMIC ANALYSIS IN LIGHT OF THE ACCOUNTING STANDARDS. (2020). Hadad, Elroi ; Gershgoren, Gitit Gur ; Kedar-Levy, Haim. In: Israel Economic Review. RePEc:boi:isrerv:v:18:y:2020:i:1:p:139-176. Full description at Econpapers || Download paper | |
2020 | A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model. (2020). Ge, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20114. Full description at Econpapers || Download paper | |
2020 | Workers, Capitalists, and the Government: Fiscal Policy and Income (Re)Distribution. (2020). Cantore, Cristiano ; Freund, L B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2095. Full description at Econpapers || Download paper | |
2020 | Systematic Liquidity Risk Premia. (2020). Hong, Sanghyun ; Boyle, Glenn. In: Working Papers in Economics. RePEc:cbt:econwp:20/15. Full description at Econpapers || Download paper | |
2020 | Emissions Trading with Transaction Costs. (2020). Baudry, marc ; Quemin, Simon ; Faure, Anouk. In: Working Papers. RePEc:cec:wpaper:2007. Full description at Econpapers || Download paper | |
2020 | Retaining Alpha: The Effect of Trade Size and Rebalancing Frequency on FX Strategy Returns. (2020). Melvin, Michael ; Pan, Wenqiang ; Wikstrom, Petra. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8143. Full description at Econpapers || Download paper | |
2020 | Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market. (2020). Gil-Alana, Luis ; Martin-Valmayor, Miguel ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8171. Full description at Econpapers || Download paper | |
2020 | Chinese Exchange Rate Policy: Lessons for Global Investors. (2020). Westermann, Frank ; Melvin, Michael . In: CESifo Working Paper Series. RePEc:ces:ceswps:_8493. Full description at Econpapers || Download paper | |
2020 | The Relationship between Capital and Liquidity Prudential Instruments. (2020). Pfeifer, Lukas ; Hodula, Martin ; Komarkova, Zlatuse. In: Occasional Publications - Chapters in Edited Volumes. RePEc:cnb:ocpubc:tafs2020/1. Full description at Econpapers || Download paper | |
2020 | La interconexión en las instituciones de inversión colectiva no alternativas y el riesgo sistémico. (2020). Laborda, Ricardo ; Losada, Ramiro. In: CNMV Documentos de Trabajo. RePEc:cnv:docutr:dt_71es. Full description at Econpapers || Download paper | |
2020 | Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models. (2020). Favero, Carlo A ; Melone, Alessandro. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14417. Full description at Econpapers || Download paper | |
2020 | The Non-U.S. Bank Demand for U.S. Dollar Assets. (2020). Adrian, Tobias ; Xie, Peichu. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14437. Full description at Econpapers || Download paper | |
2020 | The aggregate demand for bank capital. (2020). Harris, Milton ; Opp, Christian . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14524. Full description at Econpapers || Download paper | |
2020 | Crowded trades, market clustering, and price instability. (2020). Lelyveld, Iman ; van Lelyveld, Iman ; Scholtus, Karolina ; Garlaschelli, Diego ; van Kralingen, Marc. In: DNB Working Papers. RePEc:dnb:dnbwpp:668. Full description at Econpapers || Download paper | |
2020 | How banks respond to distress: Shifting risks in Europes banking union. (2020). Mink, Mark ; Lelyveld, Iman ; van Lelyveld, Iman ; Ramcharan, Rodney. In: DNB Working Papers. RePEc:dnb:dnbwpp:669. Full description at Econpapers || Download paper | |
2020 | Emissions Trading with Transaction Costs. (2020). Baudry, marc ; Quemin, Simon ; Faure, Anouk. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-19. Full description at Econpapers || Download paper | |
2020 | Dependence structure between oil price volatility and sovereign credit risk of oil exporters: Evidence using a Copula Approach. (2020). Ehouman, Yao Axel. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-31. Full description at Econpapers || Download paper | |
2020 | Unconventional monetary policy and funding liquidity risk. (2020). DARRACQ PARIES, Matthieu ; Vandeweyer, Quentin ; D'Avernas, Adrien. In: Working Paper Series. RePEc:ecb:ecbwps:20202350. Full description at Econpapers || Download paper | |
2020 | Firm-specific shocks and contagion: are banks special?. (2020). Stracca, Livio ; Engljahringer, Hannah Katharina. In: Working Paper Series. RePEc:ecb:ecbwps:20202481. Full description at Econpapers || Download paper | |
2020 | Money markets, central bank balance sheet and regulation. (2020). Sigaux, Jean-David ; Hoerova, Marie ; Eisenschmidt, Jens ; Schepens, Glenn ; Linzert, Tobias ; Corradin, Stefano. In: Working Paper Series. RePEc:ecb:ecbwps:20202483. Full description at Econpapers || Download paper | |
2020 | Illiquidity Premium and Monetary Conditions in Emerging Markets: An Empirical Examination of Taiwan Stock Markets. (2020). Liu, Yi-Sheng ; Tai, Chia-Li ; Chen, Chia-Cheng. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-01-14. Full description at Econpapers || Download paper | |
2020 | Blockchain Technology and Systemic Risk. (2020). Mselmi, Aymen. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-02-7. Full description at Econpapers || Download paper | |
2020 | Business connectedness or market risk? Evidence from financial institutions in China. (2020). Li, Zheng ; Lu, Yanchen ; Liang, QI. In: China Economic Review. RePEc:eee:chieco:v:62:y:2020:i:c:s1043951x20301000. Full description at Econpapers || Download paper | |
2020 | Can systemic risk measures predict economic shocks? Evidence from China. (2020). Zhang, YU ; Liu, Yanzhen ; Chen, Guojin. In: China Economic Review. RePEc:eee:chieco:v:64:y:2020:i:c:s1043951x20301541. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2007 | Liquidity and Risk Management In: American Economic Review. [Full Text][Citation analysis] | article | 48 |
2007 | Liquidity and Risk Management.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 48 | paper | |
2007 | Slow Moving Capital In: American Economic Review. [Full Text][Citation analysis] | article | 89 |
2007 | Slow Moving Capital.(2007) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 89 | paper | |
2007 | Slow Moving Capital.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 89 | paper | |
2011 | How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics. [Full Text][Citation analysis] | article | 433 |
2007 | How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 433 | paper | |
2003 | Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance. [Full Text][Citation analysis] | article | 152 |
2005 | Predatory Trading In: Journal of Finance. [Full Text][Citation analysis] | article | 142 |
2004 | Predatory Trading.(2004) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 142 | paper | |
2004 | Predatory Trading.(2004) In: Econometric Society 2004 North American Winter Meetings. [Full Text][Citation analysis] This paper has another version. Agregated cites: 142 | paper | |
2004 | Predatory Trading.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 142 | paper | |
2013 | Value and Momentum Everywhere In: Journal of Finance. [Full Text][Citation analysis] | article | 444 |
2013 | Dynamic Trading with Predictable Returns and Transaction Costs In: Journal of Finance. [Full Text][Citation analysis] | article | 92 |
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: 92 | 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: 92 | paper | |
2012 | Betting Against Beta In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 276 |
2014 | Betting against beta.(2014) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 276 | article | |
2010 | Betting Against Beta.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 276 | paper | |
2015 | Early Option Exercise: Never Say Never In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
2016 | Early option exercise: Never say never.(2016) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
2003 | Asset Pricing with Liquidity Risk In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 870 |
2004 | Asset Pricing with Liquidity Risk.(2004) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 870 | paper | |
2005 | Asset pricing with liquidity risk.(2005) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 870 | article | |
2004 | Asset Pricing with Liquidity Risk.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 870 | paper | |
2005 | Demand-Based Option Pricing In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 184 |
2005 | Demand-Based Option Pricing.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 184 | paper | |
2009 | Demand-Based Option Pricing.(2009) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 184 | article | |
2006 | Valuation in Over-the-Counter Markets In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 130 |
2006 | Valuation in Over-the-Counter Markets.(2006) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 130 | 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: 130 | article | |
2007 | Market Liquidity and Funding Liquidity In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 1500 |
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: 1500 | paper | |
2007 | Market Liquidity and Funding Liquidity.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1500 | paper | |
2009 | Market Liquidity and Funding Liquidity.(2009) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1500 | article | |
2009 | When Everyone Runs for the Exit In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 34 |
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: 34 | article | |
2009 | When Everyone Runs for the Exit.(2009) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
2010 | Two Monetary Tools: Interest Rates and Haircuts In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 52 |
2011 | Two Monetary Tools: Interest Rates and Haircuts.(2011) In: NBER Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 52 | 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: 52 | 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: 52 | paper | |
2012 | Measuring Systemic Risk In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 506 |
2010 | Measuring systemic risk.(2010) In: Working Papers (Old Series). [Full Text][Citation analysis] This paper has another version. Agregated cites: 506 | 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 | 2 |
2012 | Monitoring Leverage.(2012) In: NBER Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | chapter | |
2005 | Over-the-Counter Markets In: Econometrica. [Full Text][Citation analysis] | article | 280 |
2004 | Over-the-Counter Markets.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 280 | 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 | 24 |
2012 | Time series momentum In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 257 |
2002 | Securities lending, shorting, and pricing In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 174 |
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 | 382 |
2008 | Carry Trades and Currency Crashes.(2008) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 382 | paper | |
2011 | Margin-Based Asset Pricing and Deviations from the Law of One Price In: NBER Working Papers. [Full Text][Citation analysis] | paper | 176 |
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: 176 | 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 | 14 |
2020 | Principal Portfolios In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Is There A Replication Crisis In Finance? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2006 | Liquidity and Asset Prices In: Foundations and Trends(R) in Finance. [Full Text][Citation analysis] | article | 101 |
2005 | Liquidity and Asset Prices.(2005) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 101 | paper | |
2004 | Adverse Selection and the Required Return In: Review of Financial Studies. [Full Text][Citation analysis] | article | 24 |
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 | 16 |
2016 | Generalized Recovery In: 2016 Meeting Papers. [Full Text][Citation analysis] | paper | 3 |
2013 | TAXING SYSTEMIC RISK In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 1 |
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