Dimitri Vayanos : Citation Profile


Are you Dimitri Vayanos?

London School of Economics (LSE)

24

H index

31

i10 index

2659

Citations

RESEARCH PRODUCTION:

29

Articles

100

Papers

3

Chapters

RESEARCH ACTIVITY:

   28 years (1993 - 2021). See details.
   Cites by year: 94
   Journals where Dimitri Vayanos has often published
   Relations with other researchers
   Recent citing documents: 231.    Total self citations: 38 (1.41 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pva498
   Updated: 2021-02-20    RAS profile: 2021-01-20    
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Relations with other researchers


Works with:

Pagano, Marco (21)

Reis, Ricardo (21)

Brunnermeier, Markus (21)

Van Nieuwerburgh, Stijn (20)

Lane, Philip (12)

thesmar, david (12)

Garicano, Luis (12)

Langfield, Sam (9)

Gourinchas, Pierre-Olivier (6)

PHILIPPON, Thomas (6)

Gromb, Denis (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Dimitri Vayanos.

Is cited by:

Grabisch, Michel (36)

Rusinowska, Agnieszka (35)

Weill, Pierre-Olivier (34)

He, Zhiguo (30)

Pedersen, Lasse (24)

Lagos, Ricardo (23)

Longstaff, Francis (22)

Biais, Bruno (19)

Rocheteau, Guillaume (19)

Guidolin, Massimo (18)

Bacchetta, Philippe (18)

Cites to:

Pagano, Marco (20)

Pedersen, Lasse (16)

Brunnermeier, Markus (15)

Stoll, Hans (14)

Duffie, Darrell (14)

Reinhart, Carmen (14)

Shleifer, Andrei (14)

Subrahmanyam, Avanidhar (13)

Farhi, Emmanuel (12)

Reis, Ricardo (12)

Foucault, Thierry (11)

Main data


Where Dimitri Vayanos has published?


Journals with more than one article published# docs
Review of Financial Studies6
Journal of Finance5
Review of Economic Studies3
American Economic Review2
Journal of Economic Theory2
Journal of Financial Economics2

Working Papers Series with more than one paper published# docs
Discussion Papers / Centre for Macroeconomics (CFM)2
EIEF Working Papers Series / Einaudi Institute for Economics and Finance (EIEF)2

Recent works citing Dimitri Vayanos (2021 and 2020)


YearTitle of citing document
2020Adverse Selection and Liquidity: From Theory to Practice. (2020). Kyle, Albert S ; Obizhaeva, Anna A. In: Working Papers. RePEc:abo:neswpt:w0268.

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2020Smart TWAP trading in continuous-time equilibria. (2018). Seppi, Duane J ; Larsen, Kasper ; Choi, Jin Hyuk. In: Papers. RePEc:arx:papers:1803.08336.

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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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2020Pricing under Fairness Concerns. (2019). Michaillat, Pascal ; Madarasz, Kristof ; Eyster, Erik. In: Papers. RePEc:arx:papers:1904.05656.

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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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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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2020Price impact equilibrium with transaction costs and TWAP trading. (2020). Weston, Kim ; Noh, Eunjung. In: Papers. RePEc:arx:papers:2002.08286.

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2020Optimal Consumption with Reference to Past Spending Maximum. (2020). Yu, Xiang ; Pham, Huyen ; Li, Xun ; Deng, Shuoqing. In: Papers. RePEc:arx:papers:2006.07223.

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2020Equity Tail Risk in the Treasury Bond Market. (2020). Rubin, Mirco ; Ruzzi, Dario. In: Papers. RePEc:arx:papers:2007.05933.

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2020Optimal Echo Chambers. (2020). Tenev, Nicholas ; Martinez, Gabriel. In: Papers. RePEc:arx:papers:2010.01249.

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2020Social networks, confirmation bias and shock elections. (2020). Langtry, Alastair ; Gallo, Edoardo. In: Papers. RePEc:arx:papers:2011.00520.

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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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2020Implementation and Effectiveness of Extended Monetary Policy Tools: Lessons from the Literature. (2020). Yang, Jing ; Witmer, Jonathan ; Priftis, Romanos ; Kozicki, Sharon ; Suchanek, Lena ; Johnson, Grahame. In: Discussion Papers. RePEc:bca:bocadp:20-16.

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2020Primary Dealers and the Demand for Government Debt. (2020). Kastl, Jakub ; Allen, Jason ; Wittwer, Milena. In: Staff Working Papers. RePEc:bca:bocawp:20-29.

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2020Why Do Central Banks Make Public Announcements of Open Market Operations?. (2020). Bulusu, Narayan. In: Staff Working Papers. RePEc:bca:bocawp:20-35.

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2020A Portfolio-Balance Model of Inflation and Yield Curve Determination. (2020). de los Rios, Antonio Diez. In: Staff Working Papers. RePEc:bca:bocawp:20-6.

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2020The market stabilization role of central bank asset purchases: high-frequency evidence from the COVID-19 crisis. (2020). Bernardini, Marco ; de Nicola, Annalisa. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1310_20.

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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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2020Market Making and Proprietary Trading in the US Corporate Bond Market. (2020). Dastarac, Hugues. In: Working papers. RePEc:bfr:banfra:754.

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2020Optimal Fiscal Policy without Commitment: Revisiting Lucas-Stokey. (2020). Yared, Pierre ; Nunes, Ricardo ; Debortoli, Davide. In: Working Papers. RePEc:bge:wpaper:1144.

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2020Winners and Losers from Sovereign Debt Inflows: Evidence from the Stock Market. (2020). Williams, Tomas ; Pandolfi, Lorenzo ; Broner, Fernando ; Martin, Alberto. In: Working Papers. RePEc:bge:wpaper:1152.

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2021Optimal bank leverage and recapitalization in crowded markets. (2021). Bertsch, Christoph ; Mariathasan, Mike. In: BIS Working Papers. RePEc:bis:biswps:923.

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2020Social media bots and stock markets. (2020). Talavera, Oleksandr ; Tran, VU ; Fan, Rui. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:753-777.

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2020Banks home bias in government bond holdings: Will banks in low‐rated countries invest in European safe bonds (ESBies)?. (2020). Dermine, Jean. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:4:p:841-858.

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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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2020Less competitive bank markets: Conventional and unconventional monetary policies through bank‐lending channels. (2020). Yamamoto, Yasuhiro. In: International Finance. RePEc:bla:intfin:v:23:y:2020:i:2:p:277-296.

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2020Presidential Address: Social Transmission Bias in Economics and Finance. (2020). Hirshleifer, David. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:1779-1831.

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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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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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2020Effective risk aversion in thin risk‐sharing markets. (2020). Anthropelos, Michail ; Vichos, Georgios ; Kardaras, Constantinos. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1565-1590.

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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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2020Unconventional economic policies and sentiment: An international assessment. (2020). Gimet, Celine ; Gagnon, Mariehelene. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:6:p:1544-1591.

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2020PERFORMANCE-RISK NEXUS OF GLOBAL LOW-RATED ETFS DURING THE QE-TAPERING PERIOD. (2020). Koutsioukis, Anastasios-Taxiarchis ; Katsaros, Efthimios ; Anastasiadis, Panagiotis. In: Studies in Business and Economics. RePEc:blg:journl:v:15:y:2020:i:1:p:194-211.

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2020Liquidity and monetary transmission: a quasi-experimental approach. (2020). Wanengkirtyo, Boromeus ; Miller, Sam. In: Bank of England working papers. RePEc:boe:boeewp:0891.

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2020The effects of conventional and unconventional monetary policy : identification through the yield curve. (2020). Nelimarkka, Jaakko ; Kortela, Tomi . In: Research Discussion Papers. RePEc:bof:bofrdp:2020_003.

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2020Social Networks, Confirmation Bias and Shock Elections. (2020). Langtry, A ; Gallo, E. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2099.

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2020Nonlinear Business Cycle and Optimal Policy: A VSTAR Perspective. (2020). Polito, Vito. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8060.

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2020Macroeconomic Policy Lessons for Greece from the Debt Crisis. (2020). Economides, George ; Philippopoulos, Apostolis ; Papageorgiou, Dimitris. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8188.

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2020Italy in the Eurozone. (2020). Kogler, Michael ; Winterberg, Hannah ; Kirschner, Linda ; Keuschnigg, Christian. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8416.

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2020Arbitrage and Beliefs. (2020). Zentefis, Alexander K ; Khorrami, Paymon. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8490.

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2020Call It a Day: History Dependent Stopping Behavior. (2020). Mekerishvili, Giorgi ; Khubulashvili, Robizon ; Avoyan, Ala. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8603.

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2020Its What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities. (2020). Kovner, Anna ; Boyarchenko, Nina ; Shachar, OR. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8679.

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2021A novel approach to asset pricing with choice of probability measures. (2019). Takahashi, Akihiko ; Saito, Taiga. In: CARF F-Series. RePEc:cfi:fseres:cf471.

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2020Unconventional Monetary Policy through Open Market Operations: A Principal Component Analysis. (2020). Nishimura, Kiyohiko G ; Heckel, Markus. In: CARF F-Series. RePEc:cfi:fseres:cf501.

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2020Heterogeneity in Decentralized Asset Markets. (2020). Weill, Pierre-Olivier ; Lester, Benjamin ; Hugonnier, Julien. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14274.

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2020Household Finance. (2020). Gomes, Francisco J ; Haliassos, Michael ; Ramadorai, Tarun. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14502.

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2020Demand shocks for public debt in the Eurozone. (2020). Giuliodori, Massimo ; Lengyel, Andras. In: DNB Working Papers. RePEc:dnb:dnbwpp:674.

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2020A quantitative easing experiment. (2020). Penalver, Adrian ; Funaki, Yukihiko ; Akiyama, Eizo ; Hanaki, Nobuyuki. In: ISER Discussion Paper. RePEc:dpr:wpaper:1094.

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2020Financial policy in an exuberant world. (2020). Walther, Ansgar. In: Working Paper Series. RePEc:ecb:ecbwps:20202380.

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2020International capital flows at the security level: evidence from the ECB’s Asset Purchase Programme. (2020). Fidora, Michael ; Bergant, Katharina ; Schmitz, Martin. In: Working Paper Series. RePEc:ecb:ecbwps:20202388.

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2020Risk and return in international corporate bond markets. (2020). Bekaert, Geert ; de Santis, Roberto A. In: Working Paper Series. RePEc:ecb:ecbwps:20202452.

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2020The (ir)relevance of the nominal lower bound for real yield curve analysis. (2020). Schupp, Fabian. In: Working Paper Series. RePEc:ecb:ecbwps:20202476.

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2020Interest rate-growth differentials on government debt: an empirical investigation for the euro area. (2020). Semeano, Joo Domingues ; Checherita-Westphal, Cristina. In: Working Paper Series. RePEc:ecb:ecbwps:20202486.

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2021Issuance and valuation of corporate bonds with quantitative easing. (2021). Pegoraro, Stefano ; Montagna, Mattia. In: Working Paper Series. RePEc:ecb:ecbwps:20212520.

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2020Corporate disclosure quality and institutional investors holdings during market downturns∗. (2020). Cheng, Hua ; Luo, Yan ; Huang, Dayong. In: Journal of Corporate Finance. RePEc:eee:corfin:v:60:y:2020:i:c:s0929119919301828.

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2020Asset mispricing in peer-to-peer loan secondary markets. (2020). Talavera, Oleksandr ; Pham, Tho ; Caglayan, Mustafa ; Xiong, Xiong. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920302133.

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2020The distribution of information and the price efficiency of markets. (2020). Porter, David ; Corgnet, Brice ; Desantis, Mark. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:110:y:2020:i:c:s0165188919300314.

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2020A quantitative easing experiment. (2020). Penalver, Adrian ; Ishikawa, Ryuichiro ; Funaki, Yukihiko ; Akiyama, Eizo ; Hanaki, Nobuyuki. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301469.

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2020The heterogeneous volume-volatility relations in the exchange-traded fund market: Evidence from China. (2020). Xu, Liao ; Zhao, Yang ; Shi, Yukun ; Gao, Han. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:400-408.

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2020Expectile CAPM. (2020). Zheng, Zhenlong ; Hu, Wei. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:386-397.

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2020A new investor sentiment indicator (ISI) based on artificial intelligence: A powerful return predictor in China. (2020). Lv, Dayong ; Zhou, Yaping ; Wang, Zilin ; Ruan, Qingsong. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:47-58.

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2020Monetary policy efficiency and macroeconomic stability: Do financial openness and economic globalization matter?. (2020). de Mendonça, Helder ; Nascimento, Natalia Cunha ; de Mendona, Helder Ferreira ; deMendona, Helder Ferreira . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302651.

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2020The rise of passive investing and index-linked comovement. (2020). Gregoire, Vincent. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302992.

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2020What drives the liquidity premium in the Chinese stock market?. (2020). Zhang, Zhaoyong ; Ho, Kin-Yip. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819302918.

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2020Japan’s impactful augmentation of quantitative easing sovereign-bond purchases. (2020). Inaba, Kei-Ichiro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301492.

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2020The gambler’s and hot-hand fallacies: Empirical evidence from trading data. (2020). Pelster, Matthias. In: Economics Letters. RePEc:eee:ecolet:v:187:y:2020:i:c:s0165176519304471.

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2020The impact of quantitative and qualitative easing on term structure: Evidence from micro-level data. (2020). Hattori, Takahiro. In: Economics Letters. RePEc:eee:ecolet:v:195:y:2020:i:c:s0165176520302238.

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2020On unemployment cycles in the Euro Area, 1999–2018. (2020). Charalampidis, Nikolaos. In: European Economic Review. RePEc:eee:eecrev:v:121:y:2020:i:c:s0014292119301898.

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2020Macroeconomic adjustment in the euro area. (2020). Terzi, Alessio. In: European Economic Review. RePEc:eee:eecrev:v:128:y:2020:i:c:s0014292120301471.

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2020The long-run reversal in the long run: Insights from two centuries of international equity returns. (2020). Zaremba, Adam ; Raza, Muhammad Wajid ; Kizys, Renatas. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:177-199.

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2020Stock market illiquidity, bargaining power and the cost of borrowing. (2020). Muckley, Cal ; Gong, DI ; Chen, Jiayuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:181-206.

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2020Determinants of the bid-to-cover ratio in Eurozone sovereign debt auctions. (2020). Beetsma, Roel ; de Jong, Frank ; Hanson, Jesper ; Giuliodori, Massimo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:96-120.

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2020Retail investor attention and herding behavior. (2020). Wang, Ming-Chun ; Chan, Chia-Ying ; Hsieh, Shu-Fan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:109-132.

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2020Which risk factors drive oil futures price curves?. (2020). Shevchenko, Pavel V ; Peters, Gareth W ; Matsui, Tomoko ; Bagnarosa, Guillaume ; Ames, Matthew. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988320300153.

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2020Dynamic complexity and causality of crude oil and major stock markets. (2020). Wang, Jun ; Xiao, DI. In: Energy. RePEc:eee:energy:v:193:y:2020:i:c:s0360544219324867.

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2020The role of hormones in financial markets. (2020). Bose, Subir ; Li, Xin ; Ladley, Daniel. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521918307890.

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2020Hedge fund strategies: A non-parametric analysis. (2020). Canepa, Alessandra ; Skinner, Frank S ; De, Maria. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521919301802.

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2020Liquidity commonality and high frequency trading: Evidence from the French stock market. (2020). Fontaine, Patrice ; Anagnostidis, Panagiotis. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521919305320.

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2020Monetary policy and commodity markets: Unconventional versus conventional impact and the role of economic uncertainty. (2020). Cooray, Arusha ; Chatziantoniou, Ioannis ; Apergis, Nicholas. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301800.

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2020Macroeconomic uncertainty, information competition, and liquidity. (2020). Chiu, Yen-Chen . In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319303629.

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2020The leverage ratio and liquidity in the gilt and gilt repo markets. (2020). Elliott, David ; Bicu-Lieb, Andreea ; Chen, Louisa. In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s1386418118302039.

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2020The role of an aligned investor sentiment index in predicting bond risk premia of the U.S. (2020). GUPTA, RANGAN ; Epni, Ouzhan ; Wohar, Mark E ; Guney, Ethem I. In: Journal of Financial Markets. RePEc:eee:finmar:v:51:y:2020:i:c:s1386418120300100.

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2020Self-fulfilling arbitrages necessitate crash risk. (2020). Kim, Soohun ; Ahn, Dong-Hyun ; Seo, Kyoungwon. In: Journal of Financial Markets. RePEc:eee:finmar:v:51:y:2020:i:c:s1386418120300161.

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2020Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets. (2020). Szersze, Pawe J ; Aramonte, Sirio. In: Journal of Financial Markets. RePEc:eee:finmar:v:51:y:2020:i:c:s1386418120300288.

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2020Sovereign bonds, coskewness, and monetary policy regimes. (2020). Wald, John K ; Li, Yulin ; Wang, Zijun. In: Journal of Financial Stability. RePEc:eee:finsta:v:50:y:2020:i:c:s1572308920300826.

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2020Distributions of centrality on networks. (2020). Dasaratha, Krishna. In: Games and Economic Behavior. RePEc:eee:gamebe:v:122:y:2020:i:c:p:1-27.

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2020Dynamic price discovery: Transparency vs. information design. (2020). Song, Fei ; Kakhbod, Ali. In: Games and Economic Behavior. RePEc:eee:gamebe:v:122:y:2020:i:c:p:203-232.

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2020On the financial market impact of euro area monetary policy: A comparative study before and after the Global Financial Crisis. (2020). Frenkel, Michael ; Collingro, Franziska. In: Global Finance Journal. RePEc:eee:glofin:v:45:y:2020:i:c:s1044028319300298.

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2020The role of carry trades on the effectiveness of Japans quantitative easing. (2020). Chuffart, Thomas ; Dell'Eva, Cyril. In: International Economics. RePEc:eee:inteco:v:161:y:2020:i:c:p:30-40.

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2020The price of international equity ETFs: The role of relative liquidity. (2020). Weisskopf, Jean-Philippe ; Atanasova, Christina. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:65:y:2020:i:c:s1042443120300743.

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2020Can social media distort price discovery? Evidence from merger rumors. (2020). Zhao, Jingran ; Shu, Susan ; Redigolo, Giulia ; Jia, Weishi. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:70:y:2020:i:1:s0165410120300367.

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2020Disclosure processing costs, investors’ information choice, and equity market outcomes: A review. (2020). Marinovic, Ivan ; Dehaan, ED ; Blankespoor, Elizabeth. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:70:y:2020:i:2:s016541012030046x.

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2020Dissecting long-term Bund yields in the run-up to the ECB’s public sector purchase programme. (2020). Lemke, Wolfgang ; Werner, Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302560.

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2020Stock extreme illiquidity and the cost of capital. (2020). Samet, Anis ; Saad, Mohsen ; Belkhir, Mohamed. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426618300128.

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2020The distributional effects of conventional monetary policy and quantitative easing: Evidence from an estimated DSGE model. (2020). Vogel, Lukas ; Priftis, Romanos ; Hohberger, Stefan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426619300020.

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2020International effects of a compression of euro area yield curves. (2020). Huber, Florian ; Feldkircher, Martin ; Gruber, Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:113:y:2020:i:c:s037842661930072x.

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2020On the term structure of liquidity in the European sovereign bond market. (2020). Papavassiliou, Vassilios ; Osullivan, Conall. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:114:y:2020:i:c:s0378426620300455.

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2020How safe are european safe bonds? An analysis from the perspective of modern credit risk models. (2020). Damian, Camilla ; Kurt, Kevin ; Frey, Rudiger. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620302016.

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2021Bond market intermediation and the Role of Repo. (2021). Infante, Sebastian ; Huh, Yesol. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:122:y:2021:i:c:s0378426620302612.

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2020Collectivism and commonality in liquidity. (2020). Samet, Anis ; Saad, Mohsen. In: Journal of Business Research. RePEc:eee:jbrese:v:116:y:2020:i:c:p:137-162.

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More than 100 citations found, this list is not complete...

Works by Dimitri Vayanos:


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2010Price Pressure in the Government Bond Market In: American Economic Review.
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2010Price pressure in the government bond market.(2010) In: LSE Research Online Documents on Economics.
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2016The Sovereign-Bank Diabolic Loop and ESBies In: American Economic Review.
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2016The Sovereign-Bank Diabolic Loop and ESBies.(2016) In: CEP Discussion Papers.
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2016The Sovereign-Bank Diabolic Loop and ESBies.(2016) In: Discussion Papers.
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2016The Sovereign-Bank Diabolic Loop and ESBies.(2016) In: CEPR Discussion Papers.
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2016The Sovereign-Bank Diabolic Loop and Esbies.(2016) In: HEC Research Papers Series.
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2016The sovereign-bank diabolic loop and ESBies.(2016) In: LSE Research Online Documents on Economics.
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2016The sovereign-bank diabolic loop and ESBies.(2016) In: LSE Research Online Documents on Economics.
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2016The sovereign-bank diabolic loop and ESBies.(2016) In: LSE Research Online Documents on Economics.
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2016The Sovereign-Bank Diabolic Loop and ESBies.(2016) In: EIEF Working Papers Series.
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2016The Sovereign-Bank Diabolic Loop and Esbies.(2016) In: Working Papers.
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2016The Sovereign-Bank Diabolic Loop and ESBies.(2016) In: NBER Working Papers.
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2016The Sovereign-Bank Diabolic Loop and ESBies.(2016) In: CSEF Working Papers.
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2010Limits of Arbitrage In: Annual Review of Financial Economics.
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2001Strategic Trading in a Dynamic Noisy Market In: Journal of Finance.
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2001Strategic trading in a dynamic noisy market.(2001) In: LSE Research Online Documents on Economics.
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2008A Search‐Based Theory of the On‐the‐Run Phenomenon In: Journal of Finance.
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2006A Search-Based Theory of the On-the-Run Phenomenon.(2006) In: CEPR Discussion Papers.
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2007A search-based theory of the on-the-run phenomenon.(2007) In: LSE Research Online Documents on Economics.
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2005A search-based theory of the on-the-run phenomenon.(2005) In: LSE Research Online Documents on Economics.
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2007A Search-Based Theory of the On-the-Run Phenomenon.(2007) In: FMG Discussion Papers.
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2006A Search-Based Theory of the On-the-Run Phenomenon.(2006) In: NBER Working Papers.
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2005A Search-Based Theory of the On-the-Run Phenomenon.(2005) In: 2005 Meeting Papers.
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2018The Dynamics of Financially Constrained Arbitrage In: Journal of Finance.
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2015The Dynamics of Financially Constrained Arbitrage.(2015) In: CEPR Discussion Papers.
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2015The dynamics of financially constrained arbitrage.(2015) In: LSE Research Online Documents on Economics.
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2018The dynamics of financially constrained arbitrage.(2018) In: LSE Research Online Documents on Economics.
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2015The Dynamics of Financially Constrained Arbitrage.(2015) In: NBER Working Papers.
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2019Financial Markets Where Traders Neglect the Informational Content of Prices In: Journal of Finance.
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2015Financial Markets where Traders Neglect the Informational Content of Prices.(2015) In: CEPR Discussion Papers.
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2019Financial markets where traders neglect the informational content of prices.(2019) In: LSE Research Online Documents on Economics.
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2015Financial Markets where Traders Neglect the Informational Content of Prices.(2015) In: NBER Working Papers.
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2019Liquidity Risk and the Dynamics of Arbitrage Capital In: Journal of Finance.
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2014Liquidity Risk and the Dynamics of Arbitrage Capital.(2014) In: CEPR Discussion Papers.
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2014Liquidity risk and the dynamics of arbitrage capital.(2014) In: LSE Research Online Documents on Economics.
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2014Liquidity Risk and the Dynamics of Arbitrage Capital.(2014) In: FMG Discussion Papers.
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2014Liquidity Risk and the Dynamics of Arbitrage Capital.(2014) In: NBER Working Papers.
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2014Liquidity Risk and the Dynamics of Arbitrage Capital.(2014) In: 2014 Meeting Papers.
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2011Preferred-habitat investors and the US term structure of real rates In: Bank of England working papers.
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2011Preferred-Habitat Investors and the US Term Structure of Real Rates.(2011) In: FMG Discussion Papers.
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2016ESBies: Safety in the tranches In: Discussion Papers.
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2016ESBies: Safety in the Tranches.(2016) In: CEPR Discussion Papers.
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2017ESBies: safety in the tranches.(2017) In: LSE Research Online Documents on Economics.
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2016ESBies: safety in the tranches.(2016) In: LSE Research Online Documents on Economics.
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2016ESBies - Safety in the tranches.(2016) In: EIEF Working Papers Series.
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2017ESBies: safety in the tranches.(2017) In: Economic Policy.
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2016ESBies: Safety in the Tranches.(2016) In: CSEF Working Papers.
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2016ESBies: Safety in the tranches.(2016) In: ESRB Working Paper Series.
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2016ESBies: Safety in the tranches.(2016) In: CFS Working Paper Series.
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2016Forward Guidance in the Yield Curve: Short Rates versus Bond Supply In: Central Banking, Analysis, and Economic Policies Book Series.
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2015Forward Guidance in the Yield Curve: Short Rates versus Bond Supply.(2015) In: CEPR Discussion Papers.
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2015Forward Guidance in the Yield Curve: Short Rates versus Bond Supply.(2015) In: NBER Working Papers.
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2005The Gamblers and Hot-Hand Fallacies In a Dynamic-Inference Model In: Levine's Bibliography.
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2014Asset Management Contracts and Equilibrium Prices In: CEPR Discussion Papers.
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2014Asset Management Contracts and Equilibrium Prices.(2014) In: NBER Working Papers.
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2016The Analytics of the Greek Crisis In: CEPR Discussion Papers.
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2017The analytics of the Greek crisis.(2017) In: LSE Research Online Documents on Economics.
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2016The Analytics of the Greek Crisis.(2016) In: GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe.
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2016The Analytics of the Greek Crisis.(2016) In: NBER Chapters.
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2016The Analytics of the Greek Crisis.(2016) In: NBER Working Papers.
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2017The Analytics of the Greek Crisis.(2017) In: NBER Macroeconomics Annual.
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2001Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs In: CEPR Discussion Papers.
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2002Equilibrium and welfare in markets with financially constrained arbitrageurs.(2002) In: Journal of Financial Economics.
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2002Equilibrium and welfare in markets with financially constrained arbitrageurs.(2002) In: LSE Research Online Documents on Economics.
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2007The Gamblers and Hot-Hand Fallacies: Theory and Applications In: CEPR Discussion Papers.
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2007The gamblers and hot-hand fallacies: theory and applications.(2007) In: LSE Research Online Documents on Economics.
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2007The Gamblers and Hot-Hand Fallacies:Theory and Applications.(2007) In: FMG Discussion Papers.
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2010The Gamblers and Hot-Hand Fallacies: Theory and Applications.(2010) In: Review of Economic Studies.
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2008Bond Supply and Excess Bond Returns In: CEPR Discussion Papers.
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2008Bond supply and excess bond returns.(2008) In: LSE Research Online Documents on Economics.
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2008Bond Supply and Excess Bond Returns.(2008) In: FMG Discussion Papers.
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2008Bond Supply and Excess Bond Returns.(2008) In: NBER Working Papers.
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2014Bond Supply and Excess Bond Returns.(2014) In: Review of Financial Studies.
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2008An Institutional Theory of Momentum and Reversal In: CEPR Discussion Papers.
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2008An institutional theory of momentum and reversal.(2008) In: LSE Research Online Documents on Economics.
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2008An Institutional Theory of Momentum and Reversal.(2008) In: FMG Discussion Papers.
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2011An institutional Theory of Momentum and Reversal.(2011) In: FMG Discussion Papers.
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2008An Institutional Theory of Momentum and Reversal.(2008) In: NBER Working Papers.
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2013An Institutional Theory of Momentum and Reversal.(2013) In: Review of Financial Studies.
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2009Liquidity and Asset Prices: A Unified Framework In: CEPR Discussion Papers.
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2009Liquidity and asset prices: a united framework.(2009) In: LSE Research Online Documents on Economics.
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2009Liquidity and Asset Prices: A Unified Framework.(2009) In: FMG Discussion Papers.
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2009Liquidity and Asset Prices: A Unified Framework.(2009) In: NBER Working Papers.
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2009A Preferred-Habitat Model of the Term Structure of Interest Rates In: CEPR Discussion Papers.
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2021A preferred-habitat model of the term structure of interest rates.(2021) In: LSE Research Online Documents on Economics.
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2009A preferred-habitat model of the term structure of interest rates.(2009) In: LSE Research Online Documents on Economics.
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2009A Preferred-Habitat Model of the Term Structure of Interest Rates.(2009) In: FMG Discussion Papers.
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2009A Preferred-Habitat Model of the Term Structure of Interest Rates.(2009) In: NBER Working Papers.
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2021A Preferred?Habitat Model of the Term Structure of Interest Rates.(2021) In: Econometrica.
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2010Limits of Arbitrage: The State of the Theory In: CEPR Discussion Papers.
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2010Limits of Arbitrage: The State of the Theory.(2010) In: FMG Discussion Papers.
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2010Limits of Arbitrage: The State of the Theory.(2010) In: NBER Working Papers.
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2013Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt In: CEPR Discussion Papers.
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2011Bond Market Clienteles, the Yield Curve and the Optimal Maturity Structure of Government Debt.(2011) In: FMG Discussion Papers.
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2013Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt.(2013) In: NBER Working Papers.
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2013Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt.(2013) In: Review of Financial Studies.
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2012Quantitative Easing and Unconventional Monetary Policy – an Introduction In: Economic Journal.
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2001Persuasion Bias, Social Influence, and Uni-Dimensional Opinions In: Research Papers.
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2003Persuasion bias, social influence, and uni-dimensional opinions.(2003) In: LSE Research Online Documents on Economics.
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2003Persuasion Bias, Social Influence, and Unidimensional Opinions.(2003) In: The Quarterly Journal of Economics.
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2004Search and Endogenous Concentration of Liquidity in Asset Markets In: Econometric Society 2004 North American Winter Meetings.
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2007Search and endogenous concentration of liquidity in asset markets.(2007) In: Journal of Economic Theory.
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2004Search and endogenous concentration of liquidity in asset markets.(2004) In: LSE Research Online Documents on Economics.
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2000A Model of Persuasion - With Implications for Financial Markets In: Econometric Society World Congress 2000 Contributed Papers.
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2003Corrigendum to Equilibrium and welfare in markets with financially constrained arbitrageurs [J. Financial Economics 66 (2002) 361] In: Journal of Financial Economics.
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1999Strategic trading and welfare in a dynamic market In: LSE Research Online Documents on Economics.
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1999Strategic Trading and Welfare in a Dynamic Market.(1999) In: Review of Economic Studies.
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1998Transaction costs and asset prices : a dynamic equilibrium model In: LSE Research Online Documents on Economics.
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1998Transaction Costs and Asset Prices: A Dynamic Equilibrium Model..(1998) In: Review of Financial Studies.
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2003The decentralization of information processing in the presence of interactions In: LSE Research Online Documents on Economics.
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2003The Decentralization of Information Processing in the Presence of Interactions.(2003) In: Review of Economic Studies.
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1999Equilibrium interest rate and liquidity premium with transaction costs In: LSE Research Online Documents on Economics.
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1999Equilibrium interest rate and liquidity premium with transaction costs.(1999) In: Economic Theory.
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2004Flight to quality, flight to liquidity, and the pricing of risk In: LSE Research Online Documents on Economics.
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2004Flight to Quality, Flight to Liquidity, and the Pricing of Risk.(2004) In: NBER Working Papers.
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2005Strong-form efficiency with monopolistic insiders In: LSE Research Online Documents on Economics.
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2008Strong-Form Efficiency with Monopolistic Insiders.(2008) In: Review of Financial Studies.
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2016The analytics of the Greek crisis: celebratory centenary issue In: LSE Research Online Documents on Economics.
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2011Fund Flows and Asset Prices: A Baseline Model In: FMG Discussion Papers.
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2012Liquidity and Asset Returns under Asymmetric Information and Imperfect Competition In: FMG Discussion Papers.
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2012Market Liquidity - Theory and Empirical Evidence In: FMG Discussion Papers.
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2012Market Liquidity -- Theory and Empirical Evidence.(2012) In: NBER Working Papers.
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2020Tracking Biased Weights: Asset Pricing Implications of Value-Weighted Indexing In: NBER Working Papers.
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2012Financially constrained arbitrage and cross-market contagion In: 2012 Meeting Papers.
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2010A Model of Financial Market Liquidity Based on Intermediary Capital In: Journal of the European Economic Association.
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