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)

22

H index

25

i10 index

5672

Citations

RESEARCH PRODUCTION:

21

Articles

42

Papers

3

Books

6

Chapters

RESEARCH ACTIVITY:

   14 years (2002 - 2016). See details.
   Cites by year: 405
   Journals where Lasse Heje Pedersen has often published
   Relations with other researchers
   Recent citing documents: 1490.    Total self citations: 29 (0.51 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppe174
   Updated: 2020-05-16    RAS profile: 2017-06-08    
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Relations with other researchers


Works with:

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

Is cited by:

Vayanos, Dimitri (45)

Adrian, Tobias (40)

Sarno, Lucio (39)

He, Zhiguo (29)

Ranaldo, Angelo (28)

Shin, Hyun Song (28)

Schrimpf, Andreas (25)

Acharya, Viral (24)

Pelizzon, Loriana (23)

Brunnermeier, Markus (23)

Longstaff, Francis (22)

Cites to:

Shleifer, Andrei (13)

Summers, Lawrence (9)

Vayanos, Dimitri (9)

Fama, Eugene (8)

Lo, Andrew (8)

Acharya, Viral (8)

French, Kenneth (7)

Hansen, Lars (6)

Gabaix, Xavier (6)

Stambaugh, Robert (6)

Constantinides, George (6)

Main data


Where Lasse Heje Pedersen has published?


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

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

Recent works citing Lasse Heje Pedersen (2018 and 2017)


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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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2017A Primer on Portfolio Choice with Small Transaction Costs. (2017). Muhle-Karbe, Johannes ; Soner, Mete H ; Reppen, Max. In: Papers. RePEc:arx:papers:1612.01302.

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

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

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2017Optimal excess-of-loss reinsurance and investment problem for an insurer with default risk under a stochastic volatility model. (2017). Yang, Zhiming ; Yao, Nian. In: Papers. RePEc:arx:papers:1704.08234.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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2019High-dimensional statistical arbitrage with factor models and stochastic control. (2019). Guijarro-Ordonez, Jorge. In: Papers. RePEc:arx:papers:1901.09309.

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

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

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

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

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

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2019Markov 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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2019Partial Uncertainty and Applications to Risk-Averse Valuation. (2019). Kratsios, Anastasis. In: Papers. RePEc:arx:papers:1909.13610.

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2019Optimal Convergence Trading with Unobservable Pricing Errors. (2019). Eksi, Zehra ; Colaneri, Katia ; Altay, Suhan. In: Papers. RePEc:arx:papers:1910.01438.

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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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2019Weekly idiosyncratic risk metrics and idiosyncratic momentum: Evidence from the Chinese stock market. (2019). Zhou, Wei-Xing ; Shi, Huai-Long . In: Papers. RePEc:arx:papers:1910.13115.

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2019The Reactive Beta Model. (2019). Aboura, Sofiane ; Grebenkov, Denis S ; Valeyre, Sebastien. In: Papers. RePEc:arx:papers:1911.00919.

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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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2019Market Price of Trading Liquidity Risk and Market Depth. (2019). Ting, Christopher ; Kijima, Masaaki. In: Papers. RePEc:arx:papers:1912.04565.

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

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

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

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

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

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2019How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs. (2019). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19117.

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

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

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

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

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

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

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

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

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

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

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

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2019Loss Aversion and Search for Yield in Emerging Markets Sovereign Debt. (2019). Sabbadini, Ricardo. In: Working Papers Series. RePEc:bcb:wpaper:500.

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

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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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2017Dealing with dealers: sovereign CDS comovements. (). Rodriguez-Moreno, Maria ; Mayordomo, Sergio ; Anton, Miguel. In: Working Papers. RePEc:bde:wpaper:1723.

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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]
article40
2007Liquidity and Risk Management.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40
paper
2007Slow Moving Capital In: American Economic Review.
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article85
2007Slow Moving Capital.(2007) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 85
paper
2007Slow Moving Capital.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 85
paper
2011How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics.
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article391
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 391
paper
2003Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance.
[Full Text][Citation analysis]
article147
2005Predatory Trading In: Journal of Finance.
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article141
2004Predatory Trading.(2004) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 141
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2004Predatory Trading.(2004) In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 141
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2004Predatory Trading.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 141
paper
2013Value and Momentum Everywhere In: Journal of Finance.
[Full Text][Citation analysis]
article362
2013Dynamic Trading with Predictable Returns and Transaction Costs In: Journal of Finance.
[Full Text][Citation analysis]
article73
2009Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 73
paper
2009Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: NBER Working Papers.
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paper
2012Betting Against Beta In: Swiss Finance Institute Research Paper Series.
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paper218
2014Betting against beta.(2014) In: Journal of Financial Economics.
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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.
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paper6
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.
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paper788
2004Asset Pricing with Liquidity Risk.(2004) In: CEPR Discussion Papers.
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2005Asset pricing with liquidity risk.(2005) In: Journal of Financial Economics.
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2004Asset Pricing with Liquidity Risk.(2004) In: NBER Working Papers.
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2005Demand-Based Option Pricing In: CEPR Discussion Papers.
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paper152
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]
paper119
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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paper1350
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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This paper has another version. Agregated cites: 1350
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2009Market Liquidity and Funding Liquidity.(2009) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 1350
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2009When Everyone Runs for the Exit In: CEPR Discussion Papers.
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paper31
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.
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2010Two Monetary Tools: Interest Rates and Haircuts In: CEPR Discussion Papers.
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paper47
2011Two Monetary Tools: Interest Rates and Haircuts.(2011) In: NBER Chapters.
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chapter
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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paper422
2010Measuring systemic risk.(2010) In: Working Papers (Old Series).
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2013Buffett’s Alpha In: CEPR Discussion Papers.
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paper1
2013Buffetts Alpha.(2013) In: NBER Working Papers.
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2013Carry In: CEPR Discussion Papers.
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paper0
2013Carry.(2013) In: NBER Working Papers.
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2013Market Liquidity In: Cambridge Books.
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book0
2013Market Liquidity.(2013) In: Cambridge Books.
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2011Monitoring Leverage In: Cowles Foundation Discussion Papers.
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paper1
2012Monitoring Leverage.(2012) In: NBER Chapters.
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chapter
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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paper5
2016Dynamic portfolio choice with frictions In: Journal of Economic Theory.
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article16
2012Time series momentum In: Journal of Financial Economics.
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article202
2002Securities lending, shorting, and pricing In: Journal of Financial Economics.
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article161
2012How to Calculate Systemic Risk Surcharges In: NBER Chapters.
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chapter0
2009Carry Trades and Currency Crashes In: NBER Chapters.
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chapter350
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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paper152
2011Margin-based Asset Pricing and Deviations from the Law of One Price.(2011) In: Review of Financial Studies.
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2012Embedded Leverage In: NBER Working Papers.
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2015Efficiently Inefficient Markets for Assets and Asset Management In: NBER Working Papers.
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paper13
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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article22
2015Introduction In: Introductory Chapters.
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2015Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined In: Economics Books.
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book11
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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