28
H index
32
i10 index
9853
Citations
Copenhagen Business School (75% share) | 28 H index 32 i10 index 9853 Citations RESEARCH PRODUCTION: 32 Articles 52 Papers 3 Books 6 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Lasse Heje Pedersen. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Financial Economics | 10 |
Review of Financial Studies | 7 |
Journal of Finance | 5 |
American Economic Review | 2 |
Working Papers Series with more than one paper published | # docs |
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NBER Working Papers / National Bureau of Economic Research, Inc | 21 |
CEPR Discussion Papers / C.E.P.R. Discussion Papers | 20 |
Swiss Finance Institute Research Paper Series / Swiss Finance Institute | 2 |
Econometric Society 2004 North American Winter Meetings / Econometric Society | 2 |
Year | Title of citing document | |
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2021 | The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11. Full description at Econpapers || Download paper | |
2021 | Spillovers of Senior Mutual Fund Managers’ Capital Raising Ability. (2021). Xu, Yue. In: CREATES Research Papers. RePEc:aah:create:2022-03. Full description at Econpapers || Download paper | |
2022 | The Prior Adaptive Group Lasso and the Factor Zoo. (2022). Bertelsen, Kristoffer Pons. In: CREATES Research Papers. RePEc:aah:create:2022-05. Full description at Econpapers || Download paper | |
2023 | Exchange rate risk and sovereign debt risk in South Africa: A Regime Dependent Approach. (2023). Biyase, Mduduzi ; Manguzvane, Mathias. In: Economics Working Papers. RePEc:ady:wpaper:edwrg-04-2023. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2022 | Economic imperatives of financialization of agricultural commodity markets. (2022). Dbrowska, Anna ; Kosarchyn, Mariya ; Hrabynska, Iryna. In: Agricultural and Resource Economics: International Scientific E-Journal. RePEc:ags:areint:330337. Full description at Econpapers || Download paper | |
2021 | Loss Sharing in Central Clearinghouses: Winners and Losers. (2021). Sherman, Mila Getmansky ; Pelizzon, Loriana ; Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:066. Full description at Econpapers || Download paper | |
2021 | Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk. (2021). Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:079. Full description at Econpapers || Download paper | |
2021 | Responsible Investment and Responsible Consumption. (2021). Schliephake, Eva ; Hakenes, Hendrik. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:134. Full description at Econpapers || Download paper | |
2022 | Investor-Driven Corporate Finance: Evidence from Insurance Markets. (2022). Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:144. Full description at Econpapers || Download paper | |
2022 | Imperfect Competition in Derivatives Markets. (2022). Brinkmann, Christina. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:153. Full description at Econpapers || Download paper | |
2023 | Analysis of Dynamic Connectedness among Sovereign CDS Premia. (2023). Ceylan, Ozcan. In: World Journal of Applied Economics. RePEc:ana:journl:v:9:y:2023:i:1:p:33-47. Full description at Econpapers || Download paper | |
2022 | When is the Order to Trade Ratio fee effective?. (2022). Thomas, Susan ; Panchapagesan, Venkatesh ; Aggarwal, Nidhi. In: Working Papers. RePEc:anf:wpaper:11. Full description at Econpapers || Download paper | |
2022 | When is the Order to Trade fee effective?. (2021). Thomas, Susan ; Panchapagesan, Venkatesh ; Aggarwal, Nidhi. In: Working Papers. RePEc:anf:wpaper:8. Full description at Econpapers || Download paper | |
2022 | Out of Sync: Dispersed Short Selling and the Correction of Mispricing. (2022). Verwijmeren, Patrick ; Sotes-Paladino, Juan ; Gargano, Antonio. In: Working Papers. RePEc:aoz:wpaper:108. Full description at Econpapers || Download paper | |
2022 | Short of Capital: Stock Market Implications of Short Sellers’ Losses. (2022). Verwijmeren, Patrick ; Sotes-Paladino, Juan ; Gargano, Antonio. In: Working Papers. RePEc:aoz:wpaper:116. Full description at Econpapers || Download paper | |
2022 | Sovereign Debt. (2022). Zettelmeyer, Jeromin ; Roldan, Francisco ; Roch, Francisco ; Martinez, Leonardo. In: Working Papers. RePEc:aoz:wpaper:167. Full description at Econpapers || Download paper | |
2021 | Does It Matter How Central Banks Accumulate Reserves? Evidence from Sovereign Spreads. (2021). Sturzenegger, Federico ; Sosa-Padilla, Cesar. In: Working Papers. RePEc:aoz:wpaper:79. Full description at Econpapers || Download paper | |
2021 | Maximum drawdown, recovery and momentum. (2015). Choi, Jaehyung . In: Papers. RePEc:arx:papers:1403.8125. Full description at Econpapers || Download paper | |
2022 | Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274. Full description at Econpapers || Download paper | |
2022 | News Co-Occurrence, Attention Spillover and Return Predictability. (2018). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715. Full description at Econpapers || Download paper | |
2022 | A Time-Varying Network for Cryptocurrencies. (2021). Tao, Yubo ; Hardle, Wolfgang Karl ; Guo, LI. In: Papers. RePEc:arx:papers:1802.03708. Full description at Econpapers || Download paper | |
2021 | Liquidity in Competitive Dealer Markets. (2018). Muhle-Karbe, Johannes ; Ekren, Ibrahim ; Bank, Peter. In: Papers. RePEc:arx:papers:1807.08278. Full description at Econpapers || Download paper | |
2021 | High-dimensional statistical arbitrage with factor models and stochastic control. (2019). Guijarro-Ordonez, Jorge. In: Papers. RePEc:arx:papers:1901.09309. Full description at Econpapers || Download paper | |
2021 | Deep Learning in Asset Pricing. (2019). Zhu, Jason ; Pelger, Markus ; Chen, Luyang. In: Papers. RePEc:arx:papers:1904.00745. Full description at Econpapers || Download paper | |
2022 | Weekly idiosyncratic risk metrics and idiosyncratic momentum: Evidence from the Chinese stock market. (2019). Zhou, Wei-Xing ; Shi, Huai-Long . In: Papers. RePEc:arx:papers:1910.13115. Full description at Econpapers || Download paper | |
2021 | Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Kuo, Weiyu ; Hardle, Wolfgang Karl ; Hu, Junjie. In: Papers. RePEc:arx:papers:1912.05228. Full description at Econpapers || Download paper | |
2022 | Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact. (2020). Voss, Moritz ; Neuman, Eyal. In: Papers. RePEc:arx:papers:2002.09549. Full description at Econpapers || Download paper | |
2021 | Low-volatility Anomaly and the Adaptive Multi-Factor Model. (2020). Jarrow, Robert ; Zhu, Liao ; Wells, Martin T ; Murataj, Rinald. In: Papers. RePEc:arx:papers:2003.08302. Full description at Econpapers || Download paper | |
2021 | The illiquidity network of stocks in Chinas market crash. (2020). Zhao, Jichang ; Tan, Xiaoling. In: Papers. RePEc:arx:papers:2004.01917. Full description at Econpapers || Download paper | |
2021 | Stress testing and systemic risk measures using multivariate conditional probability. (2020). Aste, Tomaso. In: Papers. RePEc:arx:papers:2004.06420. Full description at Econpapers || Download paper | |
2021 | Deep Learning for Portfolio Optimisation. (2020). Roberts, Stephen ; Zohren, Stefan ; Zhang, Zihao. In: Papers. RePEc:arx:papers:2005.13665. Full description at Econpapers || Download paper | |
2021 | Suffocating Fire Sales. (2020). Ritter, Daniel ; Panagiotou, Konstantinos ; Meyer-Brandis, Thilo ; Detering, Nils. In: Papers. RePEc:arx:papers:2006.08110. Full description at Econpapers || Download paper | |
2021 | Dynamic Networks in Large Financial and Economic Systems. (2020). BarunÃÂk, Jozef ; Ellington, Michael. In: Papers. RePEc:arx:papers:2007.07842. Full description at Econpapers || Download paper | |
2023 | Bitcoin Trading is Irrational! An Analysis of the Disposition Effect in Bitcoin. (2020). Haslhofer, Bernhard ; Schatzmann, Jurgen E. In: Papers. RePEc:arx:papers:2010.12415. Full description at Econpapers || Download paper | |
2021 | Dirichlet policies for reinforced factor portfolios. (2020). Coqueret, Guillaume ; Andr, Eric. In: Papers. RePEc:arx:papers:2011.05381. Full description at Econpapers || Download paper | |
2021 | A Model of Market Making and Price Impact. (2021). Singh, Angad . In: Papers. RePEc:arx:papers:2101.01388. Full description at Econpapers || Download paper | |
2021 | Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk. (2021). Roncalli, Thierry ; Regnault, Margaux ; Pan, Franccois ; Karray-Meziou, Fatma. In: Papers. RePEc:arx:papers:2101.02110. Full description at Econpapers || Download paper | |
2021 | Dynamic Ordering Learning in Multivariate Forecasting. (2021). Lopes, Hedibert F ; Bruno, . In: Papers. RePEc:arx:papers:2101.04164. Full description at Econpapers || Download paper | |
2021 | Uncertainty Network Risk and Currency Returns. (2021). BarunÃk, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2101.09738. Full description at Econpapers || Download paper | |
2021 | Optimal investment in illiquid market with search frictions and transaction costs. (2021). Choi, Jin Hyuk ; Gang, Tae Ung. In: Papers. RePEc:arx:papers:2101.09936. Full description at Econpapers || Download paper | |
2022 | Integrating prediction in mean-variance portfolio optimization. (2021). Kwon, Roy H ; Butler, Andrew. In: Papers. RePEc:arx:papers:2102.09287. Full description at Econpapers || Download paper | |
2021 | Multi-Period Portfolio Optimization using Model Predictive Control with Mean-Variance and Risk Parity Frameworks. (2021). Mulvey, John M ; Uysal, Sinem A ; Li, Xiaoyue. In: Papers. RePEc:arx:papers:2103.10813. Full description at Econpapers || Download paper | |
2021 | Research on Portfolio Liquidation Strategy under Discrete Times. (2021). Li, Handong ; Shi, YU ; Luo, Qixuan. In: Papers. RePEc:arx:papers:2103.15400. Full description at Econpapers || Download paper | |
2022 | Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673. Full description at Econpapers || Download paper | |
2022 | An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975. Full description at Econpapers || Download paper | |
2023 | Deep Reinforcement Trading with Predictable Returns. (2021). Brini, Alessio ; Tantari, Daniele. In: Papers. RePEc:arx:papers:2104.14683. Full description at Econpapers || Download paper | |
2021 | Why and how systematic strategies decay. (2021). Falck, Antoine ; Thesmar, David ; Rej, Adam. In: Papers. RePEc:arx:papers:2105.01380. Full description at Econpapers || Download paper | |
2021 | Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk. (2021). Roncalli, Thierry ; Karray-Meziou, Fatma ; Cherief, Amina ; Regnault, Margaux. In: Papers. RePEc:arx:papers:2105.08377. Full description at Econpapers || Download paper | |
2022 | Enhancing Cross-Sectional Currency Strategies by Ranking Refinement with Transformer-based Architectures. (2021). Zohren, Stefan ; Lim, Bryan ; Poh, Daniel ; Roberts, Stephen. In: Papers. RePEc:arx:papers:2105.10019. Full description at Econpapers || Download paper | |
2021 | Learning about latent dynamic trading demand. (2021). Choi, Jin Hyuk ; Chen, Xiao ; Seppi, Duane J ; Larsen, Kasper. In: Papers. RePEc:arx:papers:2105.13401. Full description at Econpapers || Download paper | |
2021 | Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection. (2021). Zohren, Stefan ; Roberts, Stephen ; Wood, Kieran. In: Papers. RePEc:arx:papers:2105.13727. Full description at Econpapers || Download paper | |
2021 | Deep Reinforcement Learning in Quantitative Algorithmic Trading: A Review. (2021). Pricope, Tidor-Vlad. In: Papers. RePEc:arx:papers:2106.00123. Full description at Econpapers || Download paper | |
2021 | Learning Multiple Stock Trading Patterns with Temporal Routing Adaptor and Optimal Transport. (2021). Bian, Jiang ; Liu, Weiqing ; Zhou, Dong ; Lin, Hengxu. In: Papers. RePEc:arx:papers:2106.12950. Full description at Econpapers || Download paper | |
2021 | Financial Markets and the Phase Transition between Water and Steam. (2021). Schmidhuber, Christof. In: Papers. RePEc:arx:papers:2107.03857. Full description at Econpapers || Download paper | |
2021 | The Adaptive Multi-Factor Model and the Financial Market. (2021). Zhu, Liao. In: Papers. RePEc:arx:papers:2107.14410. Full description at Econpapers || Download paper | |
2022 | The Inelastic Market Hypothesis: A Microstructural Interpretation. (2021). Bouchaud, Jean-Philippe. In: Papers. RePEc:arx:papers:2108.00242. Full description at Econpapers || Download paper | |
2022 | Welfare implications of noise traders. (2021). Weston, Kim ; Choi, Jin Hyuk. In: Papers. RePEc:arx:papers:2108.00973. Full description at Econpapers || Download paper | |
2021 | Deep Sequence Modeling: Development and Applications in Asset Pricing. (2021). Zhang, Yang ; Wang, Jingyuan ; Tang, KE ; Cong, Lin William. In: Papers. RePEc:arx:papers:2108.08999. Full description at Econpapers || Download paper | |
2021 | A Time-Varying Network for Cryptocurrencies. (2021). Tao, Yubo ; Hardle, Wolfgang Karl ; Guo, LI. In: Papers. RePEc:arx:papers:2108.11921. Full description at Econpapers || Download paper | |
2021 | A Wavelet Method for Panel Models with Jump Discontinuities in the Parameters. (2021). Kneip, Alois ; Bada, Oualid ; Sickles, Robin C ; Gualtieri, James ; Mensinger, Tim ; Liebl, Dominik. In: Papers. RePEc:arx:papers:2109.10950. Full description at Econpapers || Download paper | |
2021 | Reinforcement Learning for Quantitative Trading. (2021). An, BO ; Wang, Rundong ; Sun, Shuo. In: Papers. RePEc:arx:papers:2109.13851. Full description at Econpapers || Download paper | |
2021 | Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk. (2021). Roncalli, Thierry. In: Papers. RePEc:arx:papers:2110.01302. Full description at Econpapers || Download paper | |
2021 | Costly Trading. (2021). Isichenko, Michael. In: Papers. RePEc:arx:papers:2110.15239. Full description at Econpapers || Download paper | |
2022 | Deep Learning Algorithms for Hedging with Frictions. (2021). Zhang, Zhanhao ; Xu, Daran ; Shi, Xiaofei. In: Papers. RePEc:arx:papers:2111.01931. Full description at Econpapers || Download paper | |
2021 | The Evolving Causal Structure of Equity Risk Factors. (2021). BONCHI, FRANCESCO ; Bajardi, Paolo ; D'Acunto, Gabriele ; de Francisci, Gianmarco. In: Papers. RePEc:arx:papers:2111.05072. Full description at Econpapers || Download paper | |
2021 | Securities Lending Haircuts and Indemnification Pricing. (2021). Lou, Wujiang. In: Papers. RePEc:arx:papers:2111.13228. Full description at Econpapers || Download paper | |
2022 | Deep differentiable reinforcement learning and optimal trading. (2021). Jaisson, Thibault. In: Papers. RePEc:arx:papers:2112.02944. Full description at Econpapers || Download paper | |
2023 | Closed-Loop Nash Competition for Liquidity. (2021). Neuman, Eyal ; Muhle-Karbe, Johannes ; Micheli, Alessandro. In: Papers. RePEc:arx:papers:2112.02961. Full description at Econpapers || Download paper | |
2022 | Data-driven integration of regularized mean-variance portfolios. (2021). Kwon, Roy H ; Butler, Andrew. In: Papers. RePEc:arx:papers:2112.07016. Full description at Econpapers || Download paper | |
2022 | NumHTML: Numeric-Oriented Hierarchical Transformer Model for Multi-task Financial Forecasting. (2022). Dong, Ruihai ; Li, Jiazheng ; Yang, Linyi ; Smyth, Barry ; Zhang, Yue. In: Papers. RePEc:arx:papers:2201.01770. Full description at Econpapers || Download paper | |
2022 | Optimal trend following portfolios. (2022). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2201.06635. Full description at Econpapers || Download paper | |
2022 | Decomposing LIBOR in Transition: Evidence from the Futures Markets. (2022). Skov, Jacob Bjerre ; Skovmand, David. In: Papers. RePEc:arx:papers:2201.06930. Full description at Econpapers || Download paper | |
2022 | DeepScalper: A Risk-Aware Deep Reinforcement Learning Framework for Intraday Trading with Micro-level Market Embedding. (2021). He, XU ; Wang, Rundong ; Sun, Shuo ; Li, Jian ; Zhu, Junlei. In: Papers. RePEc:arx:papers:2201.09058. Full description at Econpapers || Download paper | |
2022 | Derivatives Holdings and Systemic Risk in the U.S. Banking Sector. (2022). Mayordomo, Sergio ; Pena, Juan Ignacio ; Rodriguez-Moreno, Maria. In: Papers. RePEc:arx:papers:2202.02254. Full description at Econpapers || Download paper | |
2023 | Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962. Full description at Econpapers || Download paper | |
2022 | Weighted-average quantile regression. (2022). Chetverikov, Denis ; Tsyvinski, Aleh ; Liu, Yukun. In: Papers. RePEc:arx:papers:2203.03032. Full description at Econpapers || Download paper | |
2022 | Vulnerability-CoVaR: Investigating the Crypto-market. (2022). Okhrin, Ostap ; Singh, Abhay Kumar ; Waltz, Martin. In: Papers. RePEc:arx:papers:2203.10777. Full description at Econpapers || Download paper | |
2022 | The echo chamber effect resounds on financial markets: a social media alert system for meme stocks. (2022). Riccaboni, Massimo ; Longo, Luigi ; Gianstefani, Ilaria. In: Papers. RePEc:arx:papers:2203.13790. Full description at Econpapers || Download paper | |
2022 | A Model of Financial Market Control. (2022). Ohashi, Yoshihiro . In: Papers. RePEc:arx:papers:2205.01260. Full description at Econpapers || Download paper | |
2022 | Randomized geometric tools for anomaly detection in stock markets. (2022). Tsigaridas, Elias ; Fisikopoulos, Vissarion ; Chalkis, Apostolos ; Bachelard, Cyril. In: Papers. RePEc:arx:papers:2205.03852. Full description at Econpapers || Download paper | |
2022 | Russias Ruble during the onset of the Russian invasion of Ukraine in early 2022: The role of implied volatility and attention. (2022). Pl, Tom'Avs ; Ly, Vstefan. In: Papers. RePEc:arx:papers:2205.09179. Full description at Econpapers || Download paper | |
2022 | ESG-Valued Portfolio Optimization and Dynamic Asset Pricing. (2022). Rachev, Svetlozar T ; Mittnik, Stefan ; Lindquist, Brent W ; Lauria, Davide. In: Papers. RePEc:arx:papers:2206.02854. Full description at Econpapers || Download paper | |
2022 | Reducing Obizhaeva-Wang type trade execution problems to LQ stochastic control problems. (2022). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia. In: Papers. RePEc:arx:papers:2206.03772. Full description at Econpapers || Download paper | |
2022 | Trading constraints in continuous-time Kyle models. (2022). Larsen, Kasper ; Kwon, Heeyoung ; Choi, Jin Hyuk. In: Papers. RePEc:arx:papers:2206.08117. Full description at Econpapers || Download paper | |
2022 | Increasing countries financial resilience through global catastrophe risk pooling. (2022). Bresch, David N ; Martius, Olivia ; Meiler, Simona ; Strobl, Eric ; Ciullo, Alessio. In: Papers. RePEc:arx:papers:2206.13895. Full description at Econpapers || Download paper | |
2023 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper | |
2022 | Most claimed statistical findings in cross-sectional return predictability are likely true. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2206.15365. Full description at Econpapers || Download paper | |
2023 | A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies. (2022). Xia, Xiaonyu ; Horst, Ulrich ; Fu, Guanxing. In: Papers. RePEc:arx:papers:2207.00446. Full description at Econpapers || Download paper | |
2022 | Quantitative Stock Investment by Routing Uncertainty-Aware Trading Experts: A Multi-Task Learning Approach. (2022). An, BO ; Wang, Rundong ; Sun, Shuo. In: Papers. RePEc:arx:papers:2207.07578. Full description at Econpapers || Download paper | |
2022 | The Impact of Retail Investors Sentiment on Conditional Volatility of Stocks and Bonds. (2022). Kedar-Levy, Haim ; Hadad, Elroi. In: Papers. RePEc:arx:papers:2208.01538. Full description at Econpapers || Download paper | |
2023 | Beta-Sorted Portfolios. (2022). Wang, Weining ; Crump, Richard K ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:2208.10974. Full description at Econpapers || Download paper | |
2022 | Systemic Risk of Optioned Portfolios: Controllability and Optimization. (2022). Ma, Jiali ; Cui, Xueting ; Zhu, Shushang ; Pang, Xiaochuan. In: Papers. RePEc:arx:papers:2209.04685. Full description at Econpapers || Download paper | |
2023 | Fast and Slow Optimal Trading with Exogenous Information. (2022). Neuman, Eyal ; Micheli, Alessandro. In: Papers. RePEc:arx:papers:2210.01901. Full description at Econpapers || Download paper | |
2022 | Institutional ownership and liquidity commonality: evidence from Australia. (2022). Wu, Winston ; Elliott, Robert ; Bradrania, Reza. In: Papers. RePEc:arx:papers:2211.03287. Full description at Econpapers || Download paper | |
2022 | Gambling on Momentum. (2022). de Angelis, Luca ; Singleton, Carl ; Deutscher, Christian ; Otting, Marius. In: Papers. RePEc:arx:papers:2211.06052. Full description at Econpapers || Download paper | |
2022 | Smoothing volatility targeting. (2022). Bianco, Nicolas ; Bianchi, Daniele ; Bernardi, Mauro. In: Papers. RePEc:arx:papers:2212.07288. Full description at Econpapers || Download paper | |
2022 | Systemic robustness: a mean-field particle system approach. (2022). Bayraktar, Erhan ; Zhang, Yuming Paul ; Tang, Wenpin ; Guo, Gaoyue. In: Papers. RePEc:arx:papers:2212.08518. Full description at Econpapers || Download paper | |
2023 | Peer-reviewed theory does not help predict the cross-section of stock returns. (2022). Zimmermann, Tom ; Lopez-Lira, Alejandro ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2212.10317. Full description at Econpapers || Download paper | |
2023 | View fusion vis-\`a-vis a Bayesian interpretation of Black-Litterman for portfolio allocation. (2023). Roberts, Stephen ; Zohren, Stefan ; Spears, Trent. In: Papers. RePEc:arx:papers:2301.13594. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2007 | Liquidity and Risk Management In: American Economic Review. [Full Text][Citation analysis] | article | 66 |
2007 | Liquidity and Risk Management.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 66 | paper | |
2007 | Slow Moving Capital In: American Economic Review. [Full Text][Citation analysis] | article | 171 |
2007 | Slow Moving Capital.(2007) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 171 | paper | |
2007 | Slow Moving Capital.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 171 | paper | |
2011 | How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics. [Full Text][Citation analysis] | article | 586 |
2007 | How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 586 | paper | |
2003 | Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance. [Full Text][Citation analysis] | article | 186 |
2005 | Predatory Trading In: Journal of Finance. [Full Text][Citation analysis] | article | 141 |
2004 | Predatory Trading.(2004) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 141 | paper | |
2004 | Predatory Trading.(2004) In: Econometric Society 2004 North American Winter Meetings. [Full Text][Citation analysis] This paper has another version. Agregated cites: 141 | paper | |
2004 | Predatory Trading.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 141 | paper | |
2013 | Value and Momentum Everywhere In: Journal of Finance. [Full Text][Citation analysis] | article | 692 |
2013 | Dynamic Trading with Predictable Returns and Transaction Costs In: Journal of Finance. [Full Text][Citation analysis] | article | 145 |
2009 | Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 145 | paper | |
2009 | Dynamic Trading with Predictable Returns and Transaction Costs.(2009) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 145 | paper | |
2018 | Efficiently Inefficient Markets for Assets and Asset Management In: Journal of Finance. [Full Text][Citation analysis] | article | 46 |
2018 | Efficiently Inefficient Markets for Assets and Asset Management.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 46 | paper | |
2015 | Efficiently Inefficient Markets for Assets and Asset Management.(2015) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 46 | paper | |
2012 | Betting Against Beta In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 507 |
2014 | Betting against beta.(2014) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 507 | article | |
2010 | Betting Against Beta.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 507 | paper | |
2020 | Principal Portfolios In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2020 | Principal Portfolios.(2020) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2015 | Early Option Exercise: Never Say Never In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 11 |
2016 | Early option exercise: Never say never.(2016) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
2018 | Generalized Recovery In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
2019 | Generalized recovery.(2019) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
2016 | Generalized Recovery.(2016) In: 2016 Meeting Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2018 | Size Matters, if You Control Your Junk In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 35 |
2018 | Size matters, if you control your junk.(2018) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 35 | article | |
2018 | Deep Value In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | Betting Against Correlation: Testing Theories of the Low-Risk Effect In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 22 |
2020 | Betting against correlation: Testing theories of the low-risk effect.(2020) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | article | |
2018 | Risk Everywhere: Modeling and Managing Volatility In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 98 |
2018 | Risk Everywhere: Modeling and Managing Volatility.(2018) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 98 | article | |
2003 | Asset Pricing with Liquidity Risk In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 1096 |
2004 | Asset Pricing with Liquidity Risk.(2004) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1096 | paper | |
2005 | Asset pricing with liquidity risk.(2005) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1096 | article | |
2004 | Asset Pricing with Liquidity Risk.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1096 | paper | |
2005 | Demand-Based Option Pricing In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 225 |
2005 | Demand-Based Option Pricing.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 225 | paper | |
2009 | Demand-Based Option Pricing.(2009) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 225 | article | |
2006 | Valuation in Over-the-Counter Markets In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 190 |
2006 | Valuation in Over-the-Counter Markets.(2006) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 190 | paper | |
2007 | Valuation in Over-the-Counter Markets.(2007) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 190 | article | |
2007 | Market Liquidity and Funding Liquidity In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 2219 |
2007 | Market liquidity and funding liquidity.(2007) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2219 | paper | |
2007 | Market Liquidity and Funding Liquidity.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2219 | paper | |
2009 | Market Liquidity and Funding Liquidity.(2009) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2219 | article | |
2009 | When Everyone Runs for the Exit In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 51 |
2009 | When Everyone Runs for the Exit.(2009) In: International Journal of Central Banking. [Full Text][Citation analysis] This paper has another version. Agregated cites: 51 | article | |
2009 | When Everyone Runs for the Exit.(2009) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 51 | paper | |
2010 | Two Monetary Tools: Interest Rates and Haircuts In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 90 |
2011 | Two Monetary Tools: Interest Rates and Haircuts.(2011) In: NBER Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 90 | chapter | |
2010 | Two Monetary Tools: Interest Rates and Haircuts.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 90 | paper | |
2010 | Two Monetary Tools: Interest-Rates and Haircuts.(2010) In: 2010 Meeting Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 90 | paper | |
2012 | Measuring Systemic Risk In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 911 |
2010 | Measuring systemic risk.(2010) In: Working Papers (Old Series). [Full Text][Citation analysis] This paper has another version. Agregated cites: 911 | paper | |
2017 | Measuring Systemic Risk.(2017) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 911 | article | |
2013 | Buffett’s Alpha In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2013 | Buffetts Alpha.(2013) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2013 | Carry In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | Carry.(2018) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2013 | Carry.(2013) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2013 | Market Liquidity In: Cambridge Books. [Citation analysis] | book | 0 |
2013 | Market Liquidity.(2013) In: Cambridge Books. [Citation analysis] This paper has another version. Agregated cites: 0 | book | |
2011 | Monitoring Leverage In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2012 | Monitoring Leverage.(2012) In: NBER Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | chapter | |
2005 | Over-the-Counter Markets In: Econometrica. [Full Text][Citation analysis] | article | 339 |
2004 | Over-the-Counter Markets.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 339 | paper | |
2004 | Valuation in Dynamic Bargaining Markets In: Econometric Society 2004 North American Winter Meetings. [Citation analysis] | paper | 5 |
2016 | Dynamic portfolio choice with frictions In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 55 |
2012 | Time series momentum In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 449 |
2021 | Responsible investing: The ESG-efficient frontier In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 93 |
2002 | Securities lending, shorting, and pricing In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 233 |
2012 | How to Calculate Systemic Risk Surcharges In: NBER Chapters. [Full Text][Citation analysis] | chapter | 0 |
2009 | Carry Trades and Currency Crashes In: NBER Chapters. [Full Text][Citation analysis] | chapter | 585 |
2008 | Carry Trades and Currency Crashes.(2008) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 585 | paper | |
.() In: . [Full Text][Citation analysis] This paper has another version. Agregated cites: 585 | paper | ||
2011 | Margin-Based Asset Pricing and Deviations from the Law of One Price In: NBER Working Papers. [Full Text][Citation analysis] | paper | 259 |
2011 | Margin-based Asset Pricing and Deviations from the Law of One Price.(2011) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 259 | article | |
2012 | Embedded Leverage In: NBER Working Papers. [Full Text][Citation analysis] | paper | 6 |
2022 | Embedded Leverage.(2022) In: The Review of Asset Pricing Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2021 | Is There A Replication Crisis In Finance? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 17 |
2006 | Liquidity and Asset Prices In: Foundations and Trends(R) in Finance. [Full Text][Citation analysis] | article | 215 |
2005 | Liquidity and Asset Prices.(2005) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 215 | paper | |
2019 | Economics with Market Liquidity Risk In: Critical Finance Review. [Full Text][Citation analysis] | article | 5 |
2004 | Adverse Selection and the Required Return In: Review of Financial Studies. [Full Text][Citation analysis] | article | 30 |
2015 | Introduction In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 0 |
2015 | Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined In: Economics Books. [Citation analysis] | book | 27 |
2019 | Quality minus junk In: Review of Accounting Studies. [Full Text][Citation analysis] | article | 32 |
2013 | TAXING SYSTEMIC RISK In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 5 |
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