47
H index
76
i10 index
11351
Citations
Stanford University | 47 H index 76 i10 index 11351 Citations RESEARCH PRODUCTION: 77 Articles 62 Papers 4 Books 15 Chapters RESEARCH ACTIVITY: 38 years (1985 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pdu341 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Darrell Duffie. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2023 | The Voice of Monetary Policy. (2023). Talavera, Oleksandr ; Pham, Tho ; Gorodnichenko, Yuriy. In: American Economic Review. RePEc:aea:aecrev:v:113:y:2023:i:2:p:548-84. Full description at Econpapers || Download paper | |
2023 | Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries. (2023). Nersisyan, Liana ; Lyrio, Marco ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023002. Full description at Econpapers || Download paper | |
2023 | Risk Aversion and Changes in Regime. (2023). Sola, Martin ; Kenc, Turalay ; Driffill, John ; Caravello, Tomas E. In: Working Papers. RePEc:aoz:wpaper:237. Full description at Econpapers || Download paper | |
2023 | A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456. Full description at Econpapers || Download paper | |
2023 | Epstein-Zin Utility Maximization on Random Horizons. (2019). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:1903.08782. Full description at Econpapers || Download paper | |
2023 | Identification in Economies with Frictions. (2020). Tryphonides, Andreas. In: Papers. RePEc:arx:papers:2005.02010. Full description at Econpapers || Download paper | |
2023 | Credit Freezes, Equilibrium Multiplicity, and Optimal Bailouts in Financial Networks. (2020). Jackson, Matthew ; Pernoud, Agathe. In: Papers. RePEc:arx:papers:2012.12861. Full description at Econpapers || Download paper | |
2023 | Composite Likelihood for Stochastic Migration Model with Unobserved Factor. (2021). Djogbenou, Antoine ; Gouri, Christian ; Bandehali, Maygol ; Jasiak, Joann. In: Papers. RePEc:arx:papers:2109.09043. Full description at Econpapers || Download paper | |
2023 | Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567. Full description at Econpapers || Download paper | |
2023 | Evolutionary Foundation for Heterogeneity in Risk Aversion. (2021). Nehama, Ilan ; Heller, Yuval. In: Papers. RePEc:arx:papers:2110.11245. Full description at Econpapers || Download paper | |
2023 | Correlation Estimation in Hybrid Systems. (2021). Law, Baron . In: Papers. RePEc:arx:papers:2111.06042. Full description at Econpapers || Download paper | |
2023 | Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints. (2021). Tian, Dejian ; Feng, Zixin. In: Papers. RePEc:arx:papers:2111.09032. Full description at Econpapers || Download paper | |
2023 | A transformer-based model for default prediction in mid-cap corporate markets. (2021). Bravo, Cristi'An ; Mues, Christophe ; Korangi, Kamesh. In: Papers. RePEc:arx:papers:2111.09902. Full description at Econpapers || Download paper | |
2023 | Universal approximation of credit portfolio losses using Restricted Boltzmann Machines. (2022). Genovese, Giuseppe ; Visentin, Gabriele ; Serra, Nicola ; Nikeghbali, Ashkan. In: Papers. RePEc:arx:papers:2202.11060. Full description at Econpapers || Download paper | |
2023 | Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\evy Models. (2022). Bayer, Christian ; Tempone, Ra'Ul ; Samet, Michael ; Papapantoleon, Antonis ; ben Hammouda, Chiheb. In: Papers. RePEc:arx:papers:2203.08196. Full description at Econpapers || Download paper | |
2023 | A new self-exciting jump-diffusion process for option pricing. (2022). Oosterlee, Cornelis ; Cirillo, Pasquale ; Souto, Luis A. In: Papers. RePEc:arx:papers:2205.13321. Full description at Econpapers || Download paper | |
2023 | Before and after default: information and optimal portfolio via anticipating calculus. (2022). D'Auria, Bernardo ; di Nunno, Giulia ; Jos'e A. Salmer'on, . In: Papers. RePEc:arx:papers:2208.07163. Full description at Econpapers || Download paper | |
2023 | Stability of the Epstein-Zin problem. (2022). Mostovyi, Oleksii ; Monoyios, Michael. In: Papers. RePEc:arx:papers:2208.09895. Full description at Econpapers || Download paper | |
2023 | Chaotic Hedging with Iterated Integrals and Neural Networks. (2022). Schmocker, Philipp ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2209.10166. Full description at Econpapers || Download paper | |
2023 | A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997. Full description at Econpapers || Download paper | |
2023 | A pure jump model for the valuation of options on a credit index. (2023). Shirai, Yoshihiro. In: Papers. RePEc:arx:papers:2301.05332. Full description at Econpapers || Download paper | |
2023 | Decarbonization of financial markets: a mean-field game approach. (2023). Tankov, Peter ; Lavigne, Pierre. In: Papers. RePEc:arx:papers:2301.09163. Full description at Econpapers || Download paper | |
2023 | Labor Income Risk and the Cross-Section of Expected Returns. (2023). Pinchuk, Mykola. In: Papers. RePEc:arx:papers:2301.09173. Full description at Econpapers || Download paper | |
2023 | Extreme Points of First-Order Stochastic Dominance Intervals: Theory and Applications. (2023). Zentefis, Alexander K ; Yang, Kai Hao. In: Papers. RePEc:arx:papers:2302.03135. Full description at Econpapers || Download paper | |
2023 | The financial health of a company and the risk of its default: Back to the future. (2023). Fabrizi, Eugenio ; Dainelli, Francesco ; Bet, Gianmarco. In: Papers. RePEc:arx:papers:2302.10140. Full description at Econpapers || Download paper | |
2023 | Price Discovery for Derivatives. (2023). Tseng, Michael ; Keller, Christian. In: Papers. RePEc:arx:papers:2302.13426. Full description at Econpapers || Download paper | |
2023 | Fast Option Pricing using Nonlinear Stencils. (2023). Zhu, Yimin ; Huang, Yushen ; Das, Rathish ; Chowdhury, Rezaul ; Ahmad, Zafar. In: Papers. RePEc:arx:papers:2303.02317. Full description at Econpapers || Download paper | |
2023 | Pricing Transition Risk with a Jump-Diffusion Credit Risk Model: Evidences from the CDS market. (2023). Smaniotto, Elia ; Radi, Davide ; Livieri, Giulia. In: Papers. RePEc:arx:papers:2303.12483. Full description at Econpapers || Download paper | |
2023 | Dynamic Transportation of Economic Agents. (2023). Lyasoff, Andrew. In: Papers. RePEc:arx:papers:2303.12567. Full description at Econpapers || Download paper | |
2023 | The Elasticity of Quantitative Investment. (2023). Davis, Carter. In: Papers. RePEc:arx:papers:2303.14533. Full description at Econpapers || Download paper | |
2023 | Particle MCMC in forecasting frailty correlated default models with expert opinion. (2023). Nguyen, HA. In: Papers. RePEc:arx:papers:2304.11586. Full description at Econpapers || Download paper | |
2023 | Yquilibrium: A Theory for (Non-) Convex Economies. (2023). Goeree, Jacob K. In: Papers. RePEc:arx:papers:2305.06256. Full description at Econpapers || Download paper | |
2023 | Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617. Full description at Econpapers || Download paper | |
2023 | iCOS: Option-Implied COS Method. (2023). Vladimirov, Evgenii. In: Papers. RePEc:arx:papers:2309.00943. Full description at Econpapers || Download paper | |
2023 | From constant to rough: A survey of continuous volatility modeling. (2023). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2309.01033. Full description at Econpapers || Download paper | |
2023 | Default Process Modeling and Credit Valuation Adjustment. (2023). Xiao, David. In: Papers. RePEc:arx:papers:2309.03311. Full description at Econpapers || Download paper | |
2023 | Kelvin Waves, Klein-Kramers and Kolmogorov Equations, Path-Dependent Financial Instruments: Survey and New Results. (2023). Lipton, Alexander. In: Papers. RePEc:arx:papers:2309.04547. Full description at Econpapers || Download paper | |
2023 | Robust Minimum Distance Inference in Structural Models. (2023). Escanciano, Juan Carlos ; Alegre, Joan. In: Papers. RePEc:arx:papers:2310.05761. Full description at Econpapers || Download paper | |
2023 | Supplement Liquidity based modeling of asset price bubbles via random matching. (2023). Oberpriller, Katharina ; Meyer-Brandis, Thilo ; Mazzon, Andrea ; Biagini, Francesca. In: Papers. RePEc:arx:papers:2311.15793. Full description at Econpapers || Download paper | |
2023 | Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303. Full description at Econpapers || Download paper | |
2023 | Estimating the Appropriate Quantity of Settlement Balances in a Floor System. (2023). Bulusu, Narayan ; Witmer, Jonathan ; McRae, Kaetlynd ; McNeely, Matthew. In: Discussion Papers. RePEc:bca:bocadp:23-26. Full description at Econpapers || Download paper | |
2023 | Stress Relief? Funding Structures and Resilience to the Covid Shock. (2023). . In: Staff Working Papers. RePEc:bca:bocawp:23-7. Full description at Econpapers || Download paper | |
2023 | Evaluating central bank asset purchases in a term structure model with a forward-looking supply factor. (2023). Equiza-Goñi, Juan ; Moreno, Antonio ; Gimeno, Ricardo ; Thomas, Carlos. In: Working Papers. RePEc:bde:wpaper:2303. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Supervisory policy stimulus: evidence from the euro area dividend recommendation. (2023). Reghezza, Alessio ; Gambacorta, Leonardo ; Dautovi, Ernest. In: BIS Working Papers. RePEc:bis:biswps:1085. Full description at Econpapers || Download paper | |
2023 | To lend or not to lend: the Bank of Japans ETF purchase program and securities lending. (2023). Takahashi, Koji ; Shino, Junnosuke ; Katagiri, Mitsuru. In: BIS Working Papers. RePEc:bis:biswps:1113. Full description at Econpapers || Download paper | |
2023 | The cumulant risk premium. (2023). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:1128. Full description at Econpapers || Download paper | |
2023 | Dollar and government bond liquidity: evidence from Korea. (2023). Lee, Jieun. In: BIS Working Papers. RePEc:bis:biswps:1145. Full description at Econpapers || Download paper | |
2023 | Shorting costs and profitability of long–short strategies. (2023). Lee, Byeungjoo ; Kim, Dongcheol. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:1:p:277-316. Full description at Econpapers || Download paper | |
2023 | Corporate reputation and hedging activities. (2023). Yang, Jimmy J ; Deng, Zero. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:1223-1247. Full description at Econpapers || Download paper | |
2023 | Credit information sharing and cost of debt: Evidence from the introduction of credit bureaus in developing countries. (2023). Agyeiboapeah, Henry ; Fosu, Samuel ; Ciftci, Neytullah. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:4:p:783-810. Full description at Econpapers || Download paper | |
2023 | Disruption and Credit Markets. (2023). Becker, Bo ; Ivashina, Victoria. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:105-139. Full description at Econpapers || Download paper | |
2023 | Optimal Financial Transaction Taxes. (2023). Davila, Eduardo. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:5-61. Full description at Econpapers || Download paper | |
2023 | CLO Performance. (2023). Schwert, Michael ; Roberts, Michael R ; Cordell, Larry. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1235-1278. Full description at Econpapers || Download paper | |
2023 | Pockets of Predictability. (2023). Timmermann, Allan ; Schmidt, Lawrence ; Farmer, Leland E. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1279-1341. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Capital requirements and claims recovery: A new perspective on solvency regulation. (2023). Wilhelmy, Lutz ; Weber, Stefan ; Munari, Cosimo. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:329-380. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps. (2023). Kwok, Yue Kuen ; Jiang, Pingping ; Xu, Ziqing ; Zeng, Pingping. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:842-890. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Does SOFR-linked debt cost borrowers more than LIBOR-linked debt?. (2023). Syrstad, Olav ; Klingler, Sven. In: Working Paper. RePEc:bno:worpap:2023_7. Full description at Econpapers || Download paper | |
2023 | The market for sharing interest rate risk: quantities behind prices. (2023). Sen, Ishita ; Neamu, Ioana ; Khetan, Umang. In: Bank of England working papers. RePEc:boe:boeewp:1031. Full description at Econpapers || Download paper | |
2023 | Mispricing in inflation markets. (2023). Pinter, Gabor ; Barria, Rodrigo. In: Bank of England working papers. RePEc:boe:boeewp:1034. Full description at Econpapers || Download paper | |
2023 | Clear(ed) Decision: The Effect of Central Clearing on Firms Financing Decision. (2023). Zadow, Frederick ; Jager, Maximilian. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2023_445. Full description at Econpapers || Download paper | |
2023 | Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data. (2023). GUPTA, RANGAN ; Dimitrios, Vortelinos ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:1:p:25-47:n:8. Full description at Econpapers || Download paper | |
2023 | The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets. (2023). Bachmair, K. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2303. Full description at Econpapers || Download paper | |
2023 | Intergenerational Altruism and Transfers of Time and Money: A Life Cycle Perspective. (2023). french, eric ; O'Dea, C ; MacCuish, Hentall J ; Bolt, U. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2374. Full description at Econpapers || Download paper | |
2023 | A Probabilistic Solution to High-Dimensional Continuous-Time Macro and Finance Models. (2023). Huang, JI. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10600. Full description at Econpapers || Download paper | |
2023 | Ambiguous Business Cycles, Recessions and Uncertainty: A Quantitative Analysis. (2023). Piccillo, Giulia ; Poonpakdee, Poramapa. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10646. Full description at Econpapers || Download paper | |
2023 | Extreme Points of First-Order Stochastic Dominance Intervals: Theory and Applications. (2023). Zentefis, Alexander K ; Yang, Kai Hao. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2355. Full description at Econpapers || Download paper | |
2023 | Macroprudential Regulation: A Risk Management Approach. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:765. Full description at Econpapers || Download paper | |
2023 | Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:768. Full description at Econpapers || Download paper | |
2023 | CCP initial margin models in Europe. (2023). Vacirca, Francesco ; Scheicher, Martin ; Boudiaf, Ismael Alexander. In: Occasional Paper Series. RePEc:ecb:ecbops:2023314. Full description at Econpapers || Download paper | |
2023 | Supervisory policy stimulus: evidence from the euro area dividend recommendation. (2023). Reghezza, Alessio ; Gambacorta, Leonardo ; Dautovi, Ernest. In: Working Paper Series. RePEc:ecb:ecbwps:20232796. Full description at Econpapers || Download paper | |
2023 | Loss sharing in central clearinghouses: winners and losers. (2023). Kubitza, Christian ; Sherman, Mila Getmansky ; Pelizzon, Loriana. In: Working Paper Series. RePEc:ecb:ecbwps:20232873. Full description at Econpapers || Download paper | |
2023 | CVA in fractional and rough volatility models. (2023). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio ; Alos, Elisa. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:442:y:2023:i:c:s0096300322007834. Full description at Econpapers || Download paper | |
2023 | A stochastic-local volatility model with Le´vy jumps for pricing derivatives. (2023). Kim, Jeong-Hoon. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:451:y:2023:i:c:s0096300323002035. Full description at Econpapers || Download paper | |
2023 | Firms’ rollover risk, capital structure and unequal exposure to aggregate shocks. (2023). Varghese, Richard ; Haque, Sharjil. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000652. Full description at Econpapers || Download paper | |
2023 | On current and future carbon prices in a risky world. (2023). van Wijnbergen, Sweder ; van der Ploeg, Frederick (Rick) ; Olijslagers, Stan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s016518892200272x. Full description at Econpapers || Download paper | |
2023 | Interaction effects in the adjustment cost function of firms. (2023). Amundsen, Alexander. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002731. Full description at Econpapers || Download paper | |
2023 | Counter-cyclical Margins for Option Portfolios. (2023). Li, Duan ; Wu, QI ; Chen, Yuanyuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002755. Full description at Econpapers || Download paper | |
2023 | The financial market effects of unwinding the Federal Reserve’s balance sheet. (2023). Valcarcel, Victor (Vic) ; Smith, Lee A. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002858. Full description at Econpapers || Download paper | |
2023 | Interest rate changes and the cross-section of global equity returns. (2023). Long, Huaigang ; Bianchi, Robert J ; Cakici, Nusret ; Zaremba, Adam. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s0165188923000027. Full description at Econpapers || Download paper | |
2023 | Coexistence of money and interest-bearing bonds. (2023). van Buggenum, Hugo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923000982. Full description at Econpapers || Download paper | |
2023 | How does the bond market price corporate ESG engagement? Evidence from China. (2023). Tao, Chunhua ; Tang, Ziling ; Fang, Mei ; Xu, Yue ; Jiang, Zhiqian. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1406-1423. Full description at Econpapers || Download paper | |
2023 | Does public behavior and research development matters for economic growth in SMEs: Evidence from Chinese listed firms. (2023). Lin, Huifang ; Zhang, LI ; Xu, Yuanlu ; Zhou, Wuhao. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:107-119. Full description at Econpapers || Download paper | |
2023 | Macroeconomic conditions, corporate default, and default clustering. (2023). Liu, Lanlan ; Luo, Dan ; Xing, Kai. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003169. Full description at Econpapers || Download paper | |
2023 | Economic policy uncertainty and information intermediary: The case of short seller. (2023). Wang, Xiaoming. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003984. Full description at Econpapers || Download paper | |
2023 | A long-run approach to money, unemployment, and equity prices. (2023). Pyun, Ju Hyun ; Mo, Kuk. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001499. Full description at Econpapers || Download paper | |
2023 | A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444. Full description at Econpapers || Download paper | |
2023 | A GMM approach to estimate the roughness of stochastic volatility. (2023). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:745-778. Full description at Econpapers || Download paper | |
2023 | Euro area sovereign bond risk premia before and during the Covid-19 pandemic. (2023). Schwaab, Bernd ; Corradin, Stefano. In: European Economic Review. RePEc:eee:eecrev:v:153:y:2023:i:c:s0014292123000314. Full description at Econpapers || Download paper | |
2023 | Diamond–Dybvig and beyond: On the instability of banking. (2023). Wright, Randall ; Nosal, ED ; Monnet, Cyril ; Gu, Chao. In: European Economic Review. RePEc:eee:eecrev:v:154:y:2023:i:c:s0014292123000430. Full description at Econpapers || Download paper | |
2023 | Costly multi-unit search. (2023). Harrison, Rodrigo ; Carrasco, Jose A. In: European Economic Review. RePEc:eee:eecrev:v:154:y:2023:i:c:s0014292123000612. Full description at Econpapers || Download paper | |
2023 | Soccer labour market equilibrium and efficient training of players. (2023). TERRIAU, Anthony ; Pelgrin, Florian ; Cheron, Arnaud ; Amand, Marnix. In: European Economic Review. RePEc:eee:eecrev:v:156:y:2023:i:c:s0014292123000909. Full description at Econpapers || Download paper | |
2023 | Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics. (2023). Christopoulos, Apostolos ; Zopounidis, Constantin ; Karanasos, Menelaos ; Yfanti, Stavroula. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:813-831. Full description at Econpapers || Download paper | |
2023 | Robust consumption and portfolio choice with derivatives trading. (2023). Zhuang, YI ; Yang, Charles ; Wei, Pengyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:832-850. Full description at Econpapers || Download paper | |
2023 | Pandemic portfolio choice. (2023). Weiss, Farina ; Kraft, Holger. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:1:p:451-462. Full description at Econpapers || Download paper | |
2023 | Contagion effects of UK small business failures: A spatial hierarchical autoregressive model for binary data. (2023). Calabrese, Raffaella. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:989-997. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2013 | Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group In: Journal of Applied Corporate Finance. [Full Text][Citation analysis] | article | 6 |
1996 | Special Repo Rates. In: Journal of Finance. [Full Text][Citation analysis] | article | 187 |
1996 | Swap Rates and Credit Quality. In: Journal of Finance. [Full Text][Citation analysis] | article | 205 |
1997 | An Econometric Model of the Term Structure of Interest-Rate Swap Yields. In: Journal of Finance. [Full Text][Citation analysis] | article | 283 |
2003 | Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance. [Full Text][Citation analysis] | article | 188 |
2007 | Common Failings: How Corporate Defaults Are Correlated In: Journal of Finance. [Full Text][Citation analysis] | article | 254 |
2006 | Common Failings: How Corporate Defaults are Correlated.(2006) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 254 | paper | |
2009 | Frailty Correlated Default In: Journal of Finance. [Full Text][Citation analysis] | article | 220 |
2008 | Frailty Correlated Default.(2008) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 220 | paper | |
2010 | Presidential Address: Asset Price Dynamics with Slow?Moving Capital In: Journal of Finance. [Full Text][Citation analysis] | article | 241 |
2017 | Benchmarks in Search Markets In: Journal of Finance. [Full Text][Citation analysis] | article | 57 |
2014 | Benchmarks in Search Markets.(2014) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 57 | paper | |
2015 | Benchmarks in Search Markets.(2015) In: 2015 Meeting Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 57 | paper | |
1992 | From Discrete? to Continuous?Time Finance: Weak Convergence of the Financial Gain Process1 In: Mathematical Finance. [Full Text][Citation analysis] | article | 28 |
1993 | Optimal Investment With Undiversifiable Income Risk In: Mathematical Finance. [Full Text][Citation analysis] | article | 31 |
1996 | A YIELD?FACTOR MODEL OF INTEREST RATES In: Mathematical Finance. [Full Text][Citation analysis] | article | 737 |
2005 | Multi-Period Corporate Default Prediction With Stochastic Covariates In: CARF F-Series. [Full Text][Citation analysis] | paper | 336 |
2007 | Multi-period corporate default prediction with stochastic covariates.(2007) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 336 | article | |
2006 | Multi-Period Corporate Default Prediction With Stochastic Covariates.(2006) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 336 | paper | |
2005 | Multi-Period Corporate Default Prediction With Stochastic Covariates.(2005) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 336 | paper | |
2009 | Information Percolation with Equilibrium Search Dynamics In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 80 |
2009 | Information Percolation With Equilibrium Search Dynamics.(2009) In: Econometrica. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 80 | article | |
2009 | The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 7 |
2009 | The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation.(2009) In: Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2010 | The relative contributions of private information sharing and public information releases to information aggregation.(2010) In: Journal of Economic Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
2010 | Information Percolation in Segmented Markets In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 48 |
2014 | Information percolation in segmented markets.(2014) In: Journal of Economic Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 48 | article | |
2011 | Information Percolation in Segmented Markets.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 48 | paper | |
2006 | Valuation in Over-the-Counter Markets In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 198 |
2006 | Valuation in Over-the-Counter Markets.(2006) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 198 | paper | |
2007 | Valuation in Over-the-Counter Markets.(2007) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 198 | article | |
2007 | Report on “The Committee on Yen Risk-free-rate Model Estimation†In: Finance Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Central clearing and collateral demand In: Working Paper Series. [Full Text][Citation analysis] | paper | 156 |
2015 | Central clearing and collateral demand.(2015) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 156 | article | |
2014 | Central Clearing and Collateral Demand.(2014) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 156 | paper | |
2014 | Central Clearing and Collateral Demand.(2014) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 156 | paper | |
2010 | Policy Perspectives on OTC Derivatives Market Infrastructure In: Research Papers. [Full Text][Citation analysis] | paper | 38 |
2010 | Policy perspectives on OTC derivatives market infrastructure.(2010) In: Staff Reports. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 38 | paper | |
2016 | Size Discovery In: Research Papers. [Full Text][Citation analysis] | paper | 3 |
2015 | Size Discovery.(2015) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2017 | Size Discovery.(2017) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
2016 | Financial Regulatory Reform after the Crisis: An Assessment In: Research Papers. [Full Text][Citation analysis] | paper | 20 |
2017 | Dynamic Directed Random Matching In: Research Papers. [Full Text][Citation analysis] | paper | 6 |
2018 | Dynamic directed random matching.(2018) In: Journal of Economic Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2015 | Dynamic Directed Random Matching.(2015) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2017 | Corporate Credit Risk Premia In: Research Papers. [Full Text][Citation analysis] | paper | 30 |
2018 | Corporate Credit Risk Premia.(2018) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | paper | |
2017 | Augmenting Markets with Mechanisms In: Research Papers. [Full Text][Citation analysis] | paper | 1 |
2017 | Augmenting Markets with Mechanisms.(2017) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
1985 | Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities. In: Econometrica. [Full Text][Citation analysis] | article | 139 |
2005 | IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES.(2005) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 139 | chapter | |
1986 | Stochastic Equilibria: Existence, Spanning Number, and the No Expected Financial Gain from Trade Hypothesis. In: Econometrica. [Full Text][Citation analysis] | article | 23 |
1989 | The Consumption-Based Capital Asset Pricing Model. In: Econometrica. [Full Text][Citation analysis] | article | 76 |
1988 | The Consumption-Based Capital Asset Pricing Model.(1988) In: Discussion Papers. [Citation analysis] This paper has nother version. Agregated cites: 76 | paper | |
1992 | Stochastic Differential Utility. In: Econometrica. [Full Text][Citation analysis] | article | 387 |
1993 | Simulated Moments Estimation of Markov Models of Asset Prices. In: Econometrica. [Full Text][Citation analysis] | article | 480 |
1990 | Simulated Moments Estimation of Markov Models of Asset Prices.(1990) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 480 | paper | |
1994 | Stationary Markov Equilibria. In: Econometrica. [Full Text][Citation analysis] | article | 128 |
1999 | A Liquidity-Based Model of Security Design In: Econometrica. [Citation analysis] | article | 281 |
2000 | Transform Analysis and Asset Pricing for Affine Jump-Diffusions In: Econometrica. [Citation analysis] | article | 1053 |
1999 | Transform Analysis and Asset Pricing for Affine Jump-Diffusions.(1999) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1053 | paper | |
2001 | Term Structures of Credit Spreads with Incomplete Accounting Information. In: Econometrica. [Citation analysis] | article | 379 |
2004 | Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals In: Econometrica. [Full Text][Citation analysis] | article | 27 |
2005 | Over-the-Counter Markets In: Econometrica. [Full Text][Citation analysis] | article | 355 |
2004 | Over-the-Counter Markets.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 355 | paper | |
2012 | Over-The-Counter Markets.(2012) In: Introductory Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 355 | chapter | |
2012 | Capital Mobility and Asset Pricing In: Econometrica. [Full Text][Citation analysis] | article | 56 |
2011 | Capital Mobility and Asset Pricing.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 56 | paper | |
2009 | Capital Mobility and Asset Pricing.(2009) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 56 | paper | |
2009 | Capital Mobility and Asset Pricing.(2009) In: 2009 Meeting Papers. [Citation analysis] This paper has nother version. Agregated cites: 56 | paper | |
2004 | Multi-Period Corporate Failure Prediction With Stochastic Covariates In: Econometric Society 2004 Far Eastern Meetings. [Citation analysis] | paper | 21 |
2004 | Multi-Period Corporate Failure Prediction With Stochastic Covariates.(2004) In: Econometric Society 2004 Far Eastern Meetings. [Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
2004 | Multi-Period Corporate Failure Prediction with Stochastic Covariates.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
2004 | Valuation in Dynamic Bargaining Markets In: Econometric Society 2004 North American Winter Meetings. [Citation analysis] | paper | 6 |
2004 | Valuation in Dynamic Bargaining Markets.(2004) In: Econometric Society 2004 North American Winter Meetings. [Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2004 | Liquidity Premia in Dynamic Bargaining Markets In: Econometric Society 2004 North American Winter Meetings. [Citation analysis] | paper | 0 |
1990 | Optimal hedging and equilibrium in a dynamic futures market In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 32 |
1990 | Transactions costs and portfolio choice in a discrete-continuous-time setting In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 60 |
1992 | Pricing continuously resettled contingent claims In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 18 |
1997 | Hedging in incomplete markets with HARA utility In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 86 |
2003 | Intertemporal asset pricing theory In: Handbook of the Economics of Finance. [Full Text][Citation analysis] | chapter | 3 |
2005 | Credit risk modeling with affine processes In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 27 |
2012 | The exact law of large numbers for independent random matching In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 37 |
2011 | The Exact Law of Large Numbers for Independent Random Matching.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
2015 | Reprint of: Information percolation in segmented markets In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 8 |
1987 | Stochastic equilibria with incomplete financial markets In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 29 |
1988 | An extension of the Black-Scholes model of security valuation In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 7 |
1991 | Corporate financial hedging with proprietary information In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 85 |
1995 | Financial Market Innovation and Security Design: An Introduction In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 123 |
2002 | Securities lending, shorting, and pricing In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 243 |
1991 | The theory of value in security markets In: Handbook of Mathematical Economics. [Full Text][Citation analysis] | chapter | 5 |
1985 | Equilibrium in incomplete markets: I : A basic model of generic existence In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 200 |
1986 | Competitive equilibria in general choice spaces In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 3 |
1986 | Equilibrium in incomplete markets: II : Generic existence in stochastic economies In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 73 |
1986 | Multiperiod security markets with differential information : Martingales and resolution times In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 29 |
1992 | PDE solutions of stochastic differential utility In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 248 |
1994 | Continuous-time security pricing : A utility gradient approach In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 81 |
1994 | Efficient and equilibrium allocations with stochastic differential utility In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 12 |
1996 | Incomplete security markets with infinitely many states: An introduction In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 5 |
2002 | Universal state prices and asymmetric information In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 0 |
1990 | Money in general equilibrium theory In: Handbook of Monetary Economics. [Full Text][Citation analysis] | chapter | 5 |
1990 | The New Palgrave: Finance : A book review In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 0 |
2001 | Liquidation Risk In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2012 | Explaining the U.S. tri-party repo market In: Economic Policy Review. [Full Text][Citation analysis] | article | 1 |
2013 | A sampling-window approach to transactions-based Libor fixing In: Staff Reports. [Full Text][Citation analysis] | paper | 7 |
2016 | National and International Monetary Reform In: Book Chapters. [Full Text][Citation analysis] | chapter | 4 |
2009 | Policy Issues Facing the Market for Credit Derivatives In: Book Chapters. [Full Text][Citation analysis] | chapter | 2 |
2012 | A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements In: Book Chapters. [Full Text][Citation analysis] | chapter | 20 |
2014 | Financial Market Infrastructure: Too Important to Fail In: Book Chapters. [Full Text][Citation analysis] | chapter | 1 |
2014 | Financial Market Infrastructure: Too Important to Fail.(2014) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2015 | Resolution of Failing Central Counterparties In: Book Chapters. [Citation analysis] | chapter | 16 |
2014 | Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs In: Economics Working Papers. [Full Text][Citation analysis] | paper | 14 |
2014 | Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs.(2014) In: The Journal of Legal Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
2013 | Replumbing Our Financial System: Uneven Progress In: International Journal of Central Banking. [Full Text][Citation analysis] | article | 10 |
2016 | Preface to the Special Issue on Systemic Risk: Models and Mechanisms In: Operations Research. [Full Text][Citation analysis] | article | 0 |
2003 | Market Pricing of Deposit Insurance In: Journal of Financial Services Research. [Full Text][Citation analysis] | article | 32 |
2008 | Market Pricing of Deposit Insurance.(2008) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | chapter | |
2011 | Comment on Risk Topography In: NBER Chapters. [Full Text][Citation analysis] | chapter | 0 |
2013 | Systemic Risk Exposures: A 10-by-10-by-10 Approach In: NBER Chapters. [Full Text][Citation analysis] | chapter | 13 |
2011 | Systemic Risk Exposures: A 10-by-10-by-10 Approach.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
2002 | Affine Processes and Application in Finance In: NBER Technical Working Papers. [Full Text][Citation analysis] | paper | 9 |
2014 | Robust Benchmark Design In: NBER Working Papers. [Full Text][Citation analysis] | paper | 17 |
2017 | Funding Value Adjustments In: NBER Working Papers. [Full Text][Citation analysis] | paper | 8 |
2020 | Market Fragmentation In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2021 | Reserves Were Not So Ample After All In: NBER Working Papers. [Full Text][Citation analysis] | paper | 12 |
2022 | How Abundant Are Reserves? Evidence from the Wholesale Payment System In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
2023 | Bank Funding Risk, Reference Rates, and Credit Supply In: NBER Working Papers. [Full Text][Citation analysis] | paper | 2 |
2002 | Large Portfolio Losses In: NBER Working Papers. [Full Text][Citation analysis] | paper | 30 |
2004 | Large portfolio losses.(2004) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | article | |
2011 | Does a Central Clearing Counterparty Reduce Counterparty Risk? In: The Review of Asset Pricing Studies. [Full Text][Citation analysis] | article | 80 |
1999 | Modeling Term Structures of Defaultable Bonds. In: Review of Financial Studies. [Citation analysis] | article | 803 |
1992 | Asset Pricing with Stochastic Differential Utility. In: Review of Financial Studies. [Full Text][Citation analysis] | article | 347 |
1995 | Corporate Incentives for Hedging and Hedge Accounting. In: Review of Financial Studies. [Full Text][Citation analysis] | article | 212 |
2011 | Measuring Corporate Default Risk In: OUP Catalogue. [Citation analysis] | book | 16 |
2010 | Introduction In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 0 |
2011 | Introduction In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 0 |
2011 | How Big Banks Fail and What to Do about It In: Economics Books. [Citation analysis] | book | 18 |
2012 | Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets In: Economics Books. [Citation analysis] | book | 78 |
2007 | Over the Counter Search Frictions: A Case Study of the Federal Funds Market In: 2007 Meeting Papers. [Full Text][Citation analysis] | paper | 2 |
2001 | Analytical value-at-risk with jumps and credit risk In: Finance and Stochastics. [Full Text][Citation analysis] | article | 50 |
1996 | A term structure model with preferences for the timing of resolution of uncertainty (*) In: Economic Theory. [Citation analysis] | article | 0 |
1996 | Asset Pricing with Heterogeneous Consumers. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 675 |
2012 | Comment In: NBER Macroeconomics Annual. [Full Text][Citation analysis] | article | 0 |
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