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)

23

H index

25

i10 index

6425

Citations

RESEARCH PRODUCTION:

21

Articles

44

Papers

3

Books

6

Chapters

RESEARCH ACTIVITY:

   19 years (2002 - 2021). See details.
   Cites by year: 338
   Journals where Lasse Heje Pedersen has often published
   Relations with other researchers
   Recent citing documents: 542.    Total self citations: 29 (0.45 %)

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   Permalink: http://citec.repec.org/ppe174
   Updated: 2021-02-20    RAS profile: 2020-11-18    
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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)

Acharya, Viral (44)

Sarno, Lucio (43)

Adrian, Tobias (41)

He, Zhiguo (34)

Ranaldo, Angelo (30)

Shin, Hyun Song (28)

Schrimpf, Andreas (26)

Pelizzon, Loriana (25)

Weill, Pierre-Olivier (24)

Brunnermeier, Markus (23)

Cites to:

Shleifer, Andrei (13)

Vayanos, Dimitri (9)

Summers, Lawrence (9)

Lo, Andrew (8)

Fama, Eugene (8)

Acharya, Viral (8)

van Binsbergen, Jules (7)

French, Kenneth (7)

Campbell, John (6)

Gabaix, Xavier (6)

Wurgler, Jeffrey (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 (2021 and 2020)


YearTitle of citing document
2020Origins 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.

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2020Trading in Crowded Markets. (2020). Gorban, Stepan ; Wang, Yajun ; Obizhaeva, Anna A. In: Working Papers. RePEc:abo:neswpt:w0275.

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2020Systemic Risk: a Network Approach. (2020). Hasse, Jean-Baptiste. In: AMSE Working Papers. RePEc:aim:wpaimx:2025.

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2020Exchange Rates, Stock Prices, and Stock Market Uncertainty. (2020). Salimi Namin, Fatemeh. In: AMSE Working Papers. RePEc:aim:wpaimx:2037.

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2020Portfolio Choice with Small Temporary and Transient Price Impact. (2019). Muhle-Karbe, Johannes ; Ekren, Ibrahim. In: Papers. RePEc:arx:papers:1705.00672.

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2020Liquidity in Competitive Dealer Markets. (2018). Muhle-Karbe, Johannes ; Ekren, Ibrahim ; Bank, Peter. In: Papers. RePEc:arx:papers:1807.08278.

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2020Asymmetric 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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2020Asymptotics 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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2020Network effects in default clustering for large systems. (2019). Yang, Jia ; Spiliopoulos, Konstantinos. In: Papers. RePEc:arx:papers:1812.07645.

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2020Equilibrium Asset Pricing with Transaction Costs. (2019). Possamai, Dylan ; Muhle-Karbe, Johannes ; Herdegen, Martin. In: Papers. RePEc:arx:papers:1901.10989.

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2020Optimal 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.

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2020Asset Pricing with General Transaction Costs: Theory and Numerics. (2019). Shi, Xiaofei ; Muhle-Karbe, Johannes ; Gonon, Lukas. In: Papers. RePEc:arx:papers:1905.05027.

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2020Asset Pricing with Heterogeneous Beliefs and Illiquidity. (2019). Tan, Xiaowei ; Nutz, Marcel ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1905.05730.

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2020Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2019). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:1909.11794.

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2020Resolving asset pricing puzzles with price impact. (2019). Seppi, Duane J ; Larsen, Kasper ; Choi, Jin Hyuk ; Chen, Xiao. In: Papers. RePEc:arx:papers:1910.02466.

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2020Valuing Tradeability in Exponential L\evy Models. (2019). Mathys, Ludovic. In: Papers. RePEc:arx:papers:1912.00469.

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2020Corporate Governance, Noise Trading and Liquidity of Stocks. (2020). Su, Jianhao. In: Papers. RePEc:arx:papers:2001.06275.

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2020Swap Portfolios and Reverse-Weighted Portfolios, with an Application to Commodity Futures. (2020). Fernholz, Robert. In: Papers. RePEc:arx:papers:2001.06914.

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2020Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact. (2020). Voss, Moritz ; Neuman, Eyal. In: Papers. RePEc:arx:papers:2002.09549.

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2020Deep Deterministic Portfolio Optimization. (2020). de Lataillade, Joachim ; Emmanuel, ; Schmidt, Christian ; Hardiman, Stephen ; Chaouki, Ayman. In: Papers. RePEc:arx:papers:2003.06497.

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2020A wavelet analysis of inter-dependence, contagion and long memory among global equity markets. (2020). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2003.14110.

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2020The illiquidity network of stocks in Chinas market crash. (2020). Zhao, Jichang ; Tan, Xiaoling. In: Papers. RePEc:arx:papers:2004.01917.

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2020Spanning analysis of stock market anomalies under Prospect Stochastic Dominance. (2020). Scaillet, Olivier ; Topaloglou, Nikolas ; Arvanitis, Stelios. In: Papers. RePEc:arx:papers:2004.02670.

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2020Predicting 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.

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2020Stress testing and systemic risk measures using multivariate conditional probability. (2020). Aste, Tomaso. In: Papers. RePEc:arx:papers:2004.06420.

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2020Trends, Reversion, and Critical Phenomena in Financial Markets. (2020). Schmidhuber, Christof. In: Papers. RePEc:arx:papers:2006.07847.

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2020Suffocating Fire Sales. (2020). Ritter, Daniel ; Panagiotou, Konstantinos ; Meyer-Brandis, Thilo ; Detering, Nils. In: Papers. RePEc:arx:papers:2006.08110.

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2020Dynamic Networks in Large Financial and Economic Systems. (2020). Baruník, Jozef ; Ellington, Michael. In: Papers. RePEc:arx:papers:2007.07842.

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2020Regularization 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.

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2020Copula-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.

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2020On the Pricing of Currency Options under Variance Gamma Process. (2020). Chandra, Abhijeet ; Jayprakash, Gowri ; Abdulsalam, Azwar. In: Papers. RePEc:arx:papers:2009.14113.

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2020Fire Sales, the LOLR and Bank Runs with Continuous Asset Liquidity. (2020). Bindseil, Ulrich ; Lanari, Edoardo. In: Papers. RePEc:arx:papers:2010.11030.

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2020Dirichlet policies for reinforced factor portfolios. (2020). Coqueret, Guillaume ; Andr, Eric. In: Papers. RePEc:arx:papers:2011.05381.

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2020An Equilibrium Model for the Cross-Section of Liquidity Premia. (2020). Shi, Xiaofei ; Muhle-Karbe, Johannes ; Yang, Chen. In: Papers. RePEc:arx:papers:2011.13625.

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2020Systemic 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.

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2021A Model of Market Making and Price Impact. (2021). Singh, Angad . In: Papers. RePEc:arx:papers:2101.01388.

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2021Liquidity 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.

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2021Uncertainty Network Risk and Currency Returns. (2021). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2101.09738.

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2021Optimal investment in illiquid market with search frictions and transaction costs. (2021). Gang, Tae Ung ; Choi, Jin Hyuk. In: Papers. RePEc:arx:papers:2101.09936.

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2020Modelling 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.

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2020Regulatory Banking Leverage: what do you know?. (2020). Kimura, Herbert ; da Rosa, Douglas. In: Working Papers Series. RePEc:bcb:wpaper:540.

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2020Macroprudential stress testing: A proposal for the Luxembourg investment fund sector. (2020). Lee, Kang-Soek. In: BCL working papers. RePEc:bcl:bclwop:bclwp141.

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2020An 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.

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2020Monetary Momentum. (2020). Weber, Michael ; Neuhierl, Andreas. In: Working Papers. RePEc:bfi:wpaper:2020-39.

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2020Treasury Inconvenience Yields during the COVID-19 Crisis. (2020). He, Zhiguo ; Song, Zhaogang ; Nagel, Stefan. In: Working Papers. RePEc:bfi:wpaper:2020-79.

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2020Determinants 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.

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2021Structural 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.

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2020Leverage 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.

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2020Cross-border commercial real estate investment in Asia-Pacific. (2020). SHIM, ILHYOCK ; Sushko, Vladyslav ; Liu, Amanda. In: BIS Quarterly Review. RePEc:bis:bisqtr:2009b.

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2020On fintech and financial inclusion. (2020). Philippon, Thomas. In: BIS Working Papers. RePEc:bis:biswps:841.

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2020Debt De-risking. (2020). Schrimpf, Andreas ; Parise, Gianpaolo ; Cutura, Jannic. In: BIS Working Papers. RePEc:bis:biswps:868.

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2021Sovereign 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.

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2020Quality 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.

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2020Beyond 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.

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2020Too 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.

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2020UNDERSTANDING 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.

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2020Moving 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.

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2020Idiosyncratic momentum and the cross‐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.

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2020Mispriced 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.

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2020Glamour 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.

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2020How much should portfolios shrink?. (2020). Han, Chulwoo. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:707-740.

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2020Portfolio manager home‐country culture and mutual fund risk‐taking. (2020). Jiao, Wei. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:805-838.

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2020Stock 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.

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2020Commonality 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.

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2020Are Gold and Government Bond Safe‐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.

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2020The 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.

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2020Low‐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.

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2020A 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.

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2020Every 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.

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2020Tick Size and Financial Reporting Quality in Small‐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.

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2020Asset 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.

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2020Interest 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.

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2020Dissecting 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.

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2020Impact 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.

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2020Workers, 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.

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2020Foundations 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.

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2020Central bank independence and systemic risk. (2020). AndrieÈ™, Alin Marius ; Sprincean, Nicu ; Podpiera, Anca Maria. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2020_013.

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2020A 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.

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2020A 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.

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2020Workers, 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.

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2020Systematic Liquidity Risk Premia. (2020). Hong, Sanghyun ; Boyle, Glenn. In: Working Papers in Economics. RePEc:cbt:econwp:20/15.

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2020Emissions Trading with Transaction Costs. (2020). Baudry, marc ; Quemin, Simon ; Faure, Anouk. In: Working Papers. RePEc:cec:wpaper:2007.

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2020Retaining 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.

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2020Persistence 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.

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2020Chinese Exchange Rate Policy: Lessons for Global Investors. (2020). Westermann, Frank ; Melvin, Michael . In: CESifo Working Paper Series. RePEc:ces:ceswps:_8493.

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2020The 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.

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2020La 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.

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2020Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models. (2020). Favero, Carlo A ; Melone, Alessandro. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14417.

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2020The Non-U.S. Bank Demand for U.S. Dollar Assets. (2020). Adrian, Tobias ; Xie, Peichu. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14437.

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2020The aggregate demand for bank capital. (2020). Harris, Milton ; Opp, Christian . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14524.

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2020Crowded 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.

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2020How 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.

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2020Emissions Trading with Transaction Costs. (2020). Baudry, marc ; Quemin, Simon ; Faure, Anouk. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-19.

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2020Dependence 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.

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2020Unconventional monetary policy and funding liquidity risk. (2020). DARRACQ PARIES, Matthieu ; Vandeweyer, Quentin ; D'Avernas, Adrien. In: Working Paper Series. RePEc:ecb:ecbwps:20202350.

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2020Firm-specific shocks and contagion: are banks special?. (2020). Stracca, Livio ; Engljahringer, Hannah Katharina. In: Working Paper Series. RePEc:ecb:ecbwps:20202481.

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2020Money 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.

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2020Illiquidity 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.

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2020Blockchain Technology and Systemic Risk. (2020). Mselmi, Aymen. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-02-7.

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2020Business 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.

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2020Can 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.

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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]
article48
2007Liquidity and Risk Management.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48
paper
2007Slow Moving Capital In: American Economic Review.
[Full Text][Citation analysis]
article89
2007Slow Moving Capital.(2007) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 89
paper
2007Slow Moving Capital.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 89
paper
2011How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]
article433
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
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2003Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance.
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article152
2005Predatory Trading In: Journal of Finance.
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article142
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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article444
2013Dynamic Trading with Predictable Returns and Transaction Costs In: Journal of Finance.
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article92
2009Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
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2009Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
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2012Betting Against Beta In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper276
2014Betting against beta.(2014) In: Journal of Financial Economics.
[Full Text][Citation analysis]
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2010Betting Against Beta.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
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2015Early Option Exercise: Never Say Never In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper7
2016Early option exercise: Never say never.(2016) In: Journal of Financial Economics.
[Full Text][Citation analysis]
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2003Asset Pricing with Liquidity Risk In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper870
2004Asset Pricing with Liquidity Risk.(2004) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
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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.
[Full Text][Citation analysis]
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2005Demand-Based Option Pricing In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper184
2005Demand-Based Option Pricing.(2005) In: NBER Working Papers.
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2009Demand-Based Option Pricing.(2009) In: Review of Financial Studies.
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2006Valuation in Over-the-Counter Markets In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper130
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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paper1500
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.
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2009Market Liquidity and Funding Liquidity.(2009) In: Review of Financial Studies.
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2009When Everyone Runs for the Exit In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper34
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.
[Full Text][Citation analysis]
paper52
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.
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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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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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chapter382
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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paper176
2011Margin-based Asset Pricing and Deviations from the Law of One Price.(2011) In: Review of Financial Studies.
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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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2016Generalized Recovery In: 2016 Meeting Papers.
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2013TAXING SYSTEMIC RISK In: World Scientific Book Chapters.
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chapter1

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