Erik Vogt : Citation Profile


Are you Erik Vogt?

Federal Reserve Bank of New York

4

H index

2

i10 index

100

Citations

RESEARCH PRODUCTION:

16

Papers

RESEARCH ACTIVITY:

   2 years (2015 - 2017). See details.
   Cites by year: 50
   Journals where Erik Vogt has often published
   Relations with other researchers
   Recent citing documents: 43.    Total self citations: 1 (0.99 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pvo214
   Updated: 2020-11-21    RAS profile: 2016-08-15    
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Relations with other researchers


Works with:

Adrian, Tobias (14)

Fleming, Michael (11)

Shachar, Or (4)

Crump, Richard (2)

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

Is cited by:

Adrian, Tobias (14)

Boyarchenko, Nina (8)

Shachar, Or (7)

Elliott, David (6)

Giannone, Domenico (6)

Bicu-Lieb, Andreea (6)

Broto, Carmen (5)

Lamas, Matías (5)

Foley-Fisher, Nathan (4)

Verani, Stephane (4)

Fleming, Michael (4)

Cites to:

Adrian, Tobias (12)

Campbell, John (9)

Crump, Richard (7)

Vayanos, Dimitri (7)

Bollerslev, Tim (7)

Bekaert, Geert (6)

Shiller, Robert (5)

Cochrane, John (5)

Tauchen, George (5)

pan, jun (4)

Moench, Emanuel (4)

Main data


Where Erik Vogt has published?


Working Papers Series with more than one paper published# docs
Liberty Street Economics / Federal Reserve Bank of New York8
Staff Reports / Federal Reserve Bank of New York7

Recent works citing Erik Vogt (2020 and 2019)


YearTitle of citing document
2020Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09.

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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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2020Banking sector and bank liquidity – key actors within financial crises?. (2020). Ciurel, Adriana Daniela ; DUN, Florin Alexandru ; Niescu, Dan Costin. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(623):y:2020:i:2(623):p:147-168.

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2019Optimal Bookmaking. (2019). Zou, Bin ; Zhou, Zhou ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1907.01056.

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2020On bid and ask side-specific tick sizes. (2020). Rosenbaum, Mathieu ; Derchu, Joffrey ; Bergault, Philippe ; Baldacci, Bastien. In: Papers. RePEc:arx:papers:2005.14126.

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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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2019Is market liquidity less resilient after the financial crisis? Evidence for us treasuries. (2019). Lamas, Matías ; Broto, Carmen. In: Working Papers. RePEc:bde:wpaper:1917.

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2020Capital inflows to emerging countries and their sensitivity to the global financial cycle. (2020). Corneli, Flavia ; buono, ines ; di Stefano, Enrica. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1262_20.

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2019Over-the-counter market liquidity and securities lending. (2019). Verani, Stephane ; Foley-Fisher, Nathan ; Gissler, Stefan. In: BIS Working Papers. RePEc:bis:biswps:768.

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2020WHAT HAPPENED TO THE WILLINGNESS OF COMPANIES TO INVEST AFTER THE FINANCIAL CRISIS? EVIDENCE FROM LATIN AMERICAN COUNTRIES. (2020). del Rocio, Maria ; Yildiz, Yilmaz ; YilmazYildiz, ; Santillansalgado, Roberto J ; Ozkan, Aydin. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:2:p:231-262.

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2019Decomposing changes in the functioning of the sterling repo market. (2019). Patel, Rupal ; Noss, Joseph. In: Bank of England working papers. RePEc:boe:boeewp:0797.

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2019Resilience of trading networks: evidence from the sterling corporate bond market. (2019). Roberts-Sklar, Matt ; Silvestri, Laura ; Mallaburn, David. In: Bank of England working papers. RePEc:boe:boeewp:0813.

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2019A regime switching skew-normal model of contagion. (2019). Fry-McKibbin, Renee ; Chan, Joshua ; Yu-Ling, Hsiao Cody ; Renee, Fry-Mckibbin. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:1:p:24:n:3.

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2019Global Dimensions of U.S. Monetary Policy. (2019). Obstfeld, Maurice. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13887.

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2020Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks. (2020). Shen, Yifan ; Yang, Mengying ; Zeng, Ting. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:209-220.

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2020Liquidity and volatility in the U.S. Treasury market. (2020). Fleming, Michael ; Engle, Robert ; Ghysels, Eric ; Nguyen, Giang. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:207-229.

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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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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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2020Estimating the term structure of corporate bond liquidity premiums: An analysis of default free bank bonds. (2020). Stock, Duane ; Stanhouse, Bryan ; Leal, Diego . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120301013.

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2019The decline in idiosyncratic values of US Treasury securities. (2019). Zhou, Lei ; Wu, Yanbin ; Livingston, Miles. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:107:y:2019:i:c:8.

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2019Banking regulation and market making. (2019). Garriott, Corey ; Cimon, David. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:109:y:2019:i:c:s0378426619302286.

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2019Uncovered equity “disparity” in emerging markets. (2019). Phylaktis, Kate ; Fuertes, Ana-Maria ; Yan, Cheng. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:98:y:2019:i:c:5.

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2019Over-the-Counter Market Liquidity and Securities Lending. (2019). Verani, Stephane ; Foley-Fisher, Nathan ; Gissler, Stefan. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2019-11.

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2019Deconstructing the yield curve. (2019). Gospodinov, Nikolay ; Crump, Richard. In: Staff Reports. RePEc:fip:fednsr:884.

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2020It’s What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities. (2020). Shachar, Or ; Kovner, Anna ; Boyarchenko, Nina. In: Staff Reports. RePEc:fip:fednsr:88407.

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2020Intermediation in Over-the-Counter Markets with Price Transparency. (2020). Kospentaris, Ioannis ; Gabrovski, Miroslav. In: Working Papers. RePEc:hai:wpaper:202017.

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2019Regulation and Market Liquidity. (2019). Xiao, Kairong ; Trebbi, Francesco. In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:5:p:1949-1968.

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2019Global Dimensions of U.S. Monetary Policy. (2019). Obstfeld, Maurice. In: NBER Working Papers. RePEc:nbr:nberwo:26039.

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2020Measuring the Perceived Liquidity of the Corporate Bond Market. (2020). Sunderam, Adi ; Chernenko, Sergey. In: NBER Working Papers. RePEc:nbr:nberwo:27092.

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2020Treasury Inconvenience Yields during the COVID-19 Crisis. (2020). Nagel, Stefan ; He, Zhiguo ; Song, Zhaogang. In: NBER Working Papers. RePEc:nbr:nberwo:27416.

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2019Market-Making Costs and Liquidity: Evidence from CDS Markets. (2019). Paddrik, Mark ; Tompaidis, Stathis. In: Working Papers. RePEc:ofr:wpaper:19-01.

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2019Global Price of Risk and Stabilization Policies. (2019). Adrian, Tobias ; Vogt, Erik ; Stackman, Daniel. In: IMF Economic Review. RePEc:pal:imfecr:v:67:y:2019:i:1:d:10.1057_s41308-019-00075-3.

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2019The conditional Fama-French model and endogenous illiquidity: A robust instrumental variables test. (2019). Racicot, François-Éric ; Theoret, Raymond ; Tessier, David ; Rentz, William F. In: PLOS ONE. RePEc:plo:pone00:0221599.

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2020The Conditional Risk and Return Trade-Off on Currency Portfolios. (2020). Sakemoto, Ryuta ; Byrne, Joseph ; Joseph, Byrne. In: MPRA Paper. RePEc:pra:mprapa:99497.

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2019Over-the-Counter Market Liquidity and Securities Lending. (2019). Verani, Stephane ; Foley-Fisher, Nathan ; Gissler, Stefan. In: Review of Economic Dynamics. RePEc:red:issued:18-283.

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2019The CDS-bond Basis: Negativity Persistence and Limits to Arbitrage. (2019). Dionne, Georges ; Breton, Michele ; Ben-Abdallah, Ramzi ; Guesmi, Sahar. In: Working Papers. RePEc:ris:crcrmw:2019_004.

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2019The length of the trading day and trading volume. (2019). Aharon, David Y ; Qadan, Mahmoud. In: Eurasian Business Review. RePEc:spr:eurasi:v:9:y:2019:i:2:d:10.1007_s40821-019-00119-8.

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2020Informed options trading on the implied volatility surface: A cross‐sectional approach. (2020). Kim, Dahea ; Park, Haehean. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:5:p:776-803.

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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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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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2019Banking regulation and market making. (2019). Garriott, Corey ; Cimon, David. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:109:y:2019:i:c:s0378426619302286.

Full description at Econpapers || Download paper

2019Uncovered equity “disparity” in emerging markets. (2019). Phylaktis, Kate ; Fuertes, Ana-Maria ; Yan, Cheng. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:98:y:2019:i:c:5.

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Works by Erik Vogt:


YearTitleTypeCited
2016Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds In: CEPR Discussion Papers.
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paper21
2016Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds.(2016) In: Staff Reports.
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This paper has another version. Agregated cites: 21
paper
2015Has U.S. Treasury Market Liquidity Deteriorated? In: Liberty Street Economics.
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paper2
2015Whats Driving Dealer Balance Sheet Stagnation? In: Liberty Street Economics.
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paper4
2015Has Liquidity Risk in the Treasury and Equity Markets Increased? In: Liberty Street Economics.
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paper5
2015Has Liquidity Risk in the Corporate Bond Market Increased? In: Liberty Street Economics.
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paper4
2015Changes in the Returns to Market Making In: Liberty Street Economics.
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paper1
2015Redemption Risk of Bond Mutual Funds and Dealer Positioning In: Liberty Street Economics.
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paper2
2016Corporate Bond Market Liquidity Redux: More Price-Based Evidence In: Liberty Street Economics.
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paper2
2016Did Third Avenues Liquidation Reduce Corporate Bond Market Liquidity? In: Liberty Street Economics.
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paper0
2016Option-implied term structures In: Staff Reports.
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paper1
2016Global price of risk and stabilization policies In: Staff Reports.
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paper4
2016Global variance term premia and intermediary risk appetite In: Staff Reports.
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2016Market liquidity after the financial crisis In: Staff Reports.
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paper47
2016Intraday market making with overnight inventory costs In: Staff Reports.
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2017An index of Treasury Market liquidity: 1991-2017 In: Staff Reports.
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paper3

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