Darrell Duffie : Citation Profile

Are you Darrell Duffie?

Stanford University

45

H index

73

i10 index

10655

Citations

RESEARCH PRODUCTION:

74

Articles

62

Papers

4

Books

15

Chapters

RESEARCH ACTIVITY:

   38 years (1985 - 2023). See details.
   Cites by year: 280
   Journals where Darrell Duffie has often published
   Relations with other researchers
   Recent citing documents: 499.    Total self citations: 33 (0.31 %)

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   Permalink: http://citec.repec.org/pdu341
   Updated: 2024-12-03    RAS profile: 2023-02-24    
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Relations with other researchers

Works with:

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

Is cited by:

Xiao, Tim (104)

Weill, Pierre-Olivier (68)

Riedel, Frank (54)

Lucas, Andre (51)

Chernov, Mikhail (45)

Schwaab, Bernd (43)

Acharya, Viral (40)

Cornet, Bernard (40)

Dionne, Georges (39)

Longstaff, Francis (39)

Miao, Jianjun (38)

Cites to:

Singleton, Kenneth (19)

Leland, Hayne (14)

Jarrow, Robert (11)

Kreps, David (9)

merton, robert (9)

Pedersen, Lasse (9)

Lando, David (9)

Constantinides, George (8)

DeMarzo, Peter (7)

Das, Sanjiv (7)

pan, jun (6)

Main data

Where Darrell Duffie has published?

Journals with more than one article published# docs
Econometrica13
Journal of Economic Theory9
Journal of Mathematical Economics9
Journal of Finance7
The Review of Financial Studies5
Journal of Economic Dynamics and Control4
Journal of Financial Economics3
American Economic Review2
Journal of Applied Corporate Finance2
Finance and Stochastics2
Journal of Economic Perspectives2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc23
Research Papers / Stanford University, Graduate School of Business7
Swiss Finance Institute Research Paper Series / Swiss Finance Institute4
Econometric Society 2004 North American Winter Meetings / Econometric Society3
BIS Working Papers / Bank for International Settlements3
Economics Working Papers / Hoover Institution, Stanford University3
Staff Reports / Federal Reserve Bank of New York2
Econometric Society 2004 Far Eastern Meetings / Econometric Society2

Recent works citing Darrell Duffie (2024 and 2023)

YearTitle of citing document
2023What Drives Credit Spreads of Oil Companies? Evidence from the Upstream, Integrated and Downstream Industries. (2023). Ha, Quan Tran ; Yihong, Simon Cottrell. In: The Energy Journal. RePEc:aen:journl:ej44-5-delpachitra.

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2024The role of CDS spreads in explaining bond recovery rates. (2024). Vrins, Frederic ; Gauthier, Genevieve ; Franois, Pascal ; Barbagli, Matteo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2024002.

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2023Risk Aversion and Changes in Regime. (2023). Sola, Martin ; Kenc, Turalay ; Driffill, John ; Caravello, Tomas E. In: Working Papers. RePEc:aoz:wpaper:237.

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2023A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2023Epstein-Zin Utility Maximization on Random Horizons. (2019). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:1903.08782.

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2023Identification in Economies with Frictions. (2020). Tryphonides, Andreas. In: Papers. RePEc:arx:papers:2005.02010.

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2023Credit Freezes, Equilibrium Multiplicity, and Optimal Bailouts in Financial Networks. (2020). Jackson, Matthew ; Pernoud, Agathe. In: Papers. RePEc:arx:papers:2012.12861.

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2024Three Remarks On Asset Pricing. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2105.13903.

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2023Composite Likelihood for Stochastic Migration Model with Unobserved Factor. (2021). Djogbenou, Antoine ; Gouri, Christian ; Bandehali, Maygol ; Jasiak, Joann. In: Papers. RePEc:arx:papers:2109.09043.

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2023Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567.

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2023Evolutionary Foundation for Heterogeneity in Risk Aversion. (2021). Nehama, Ilan ; Heller, Yuval. In: Papers. RePEc:arx:papers:2110.11245.

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2023Correlation Estimation in Hybrid Systems. (2021). Law, Baron . In: Papers. RePEc:arx:papers:2111.06042.

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2023Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints. (2021). Tian, Dejian ; Feng, Zixin. In: Papers. RePEc:arx:papers:2111.09032.

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2023A 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.

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2024Theoretical Economics and the Second-Order Economic Theory. What is it?. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2112.04566.

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2023Universal 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.

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2023Optimal 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.

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2024Sequential Choices, Option Values, and the Returns to Education. (2022). Bhuller, Manudeep ; Mendel, Moritz ; Eisenhauer, Philipp. In: Papers. RePEc:arx:papers:2205.05444.

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2023A new self-exciting jump-diffusion process for option pricing. (2022). Oosterlee, Cornelis ; Cirillo, Pasquale ; Souto, Luis A. In: Papers. RePEc:arx:papers:2205.13321.

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2023Before 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.

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2023Stability of the Epstein-Zin problem. (2022). Mostovyi, Oleksii ; Monoyios, Michael. In: Papers. RePEc:arx:papers:2208.09895.

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2024Chaotic Hedging with Iterated Integrals and Neural Networks. (2022). Schmocker, Philipp ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2209.10166.

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2023A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997.

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2024Quantum-Inspired Tensor Neural Networks for Option Pricing. (2022). Tziritas, Kris ; Dominguez, Tomas ; Sharma, Shivam ; Jahromi, Saeed S ; Orus, Roman ; Palmer, Samuel ; Mugel, Samuel ; Sahin, Serkan ; Castellani, Pierre ; Hsing, Chia-Wei ; Aubert, Stephane ; Patel, Raj G ; Abid, Mustafa ; Porte, Vincent ; Michel, Christophe . In: Papers. RePEc:arx:papers:2212.14076.

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2023A pure jump model for the valuation of options on a credit index. (2023). Shirai, Yoshihiro. In: Papers. RePEc:arx:papers:2301.05332.

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2023Decarbonization of financial markets: a mean-field game approach. (2023). Tankov, Peter ; Lavigne, Pierre. In: Papers. RePEc:arx:papers:2301.09163.

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2023Labor Income Risk and the Cross-Section of Expected Returns. (2023). Pinchuk, Mykola. In: Papers. RePEc:arx:papers:2301.09173.

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2024Extreme Points of First-Order Stochastic Dominance Intervals: Theory and Applications. (2023). Zentefis, Alexander K ; Yang, Kai Hao. In: Papers. RePEc:arx:papers:2302.03135.

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2024The Market-Based Probability of Stock Returns. (2023). Olkhov, Victor. In: Papers. RePEc:arx:papers:2302.07935.

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2023The 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.

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2024Price Discovery for Derivatives. (2023). Tseng, Michael ; Keller, Christian. In: Papers. RePEc:arx:papers:2302.13426.

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2023Fast Option Pricing using Nonlinear Stencils. (2023). Zhu, Yimin ; Huang, Yushen ; Das, Rathish ; Chowdhury, Rezaul ; Ahmad, Zafar. In: Papers. RePEc:arx:papers:2303.02317.

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2023Pricing 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.

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2024Dynamic Transportation of Economic Agents. (2023). Lyasoff, Andrew. In: Papers. RePEc:arx:papers:2303.12567.

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2023Particle MCMC in forecasting frailty correlated default models with expert opinion. (2023). Nguyen, HA. In: Papers. RePEc:arx:papers:2304.11586.

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2023Yquilibrium: A Theory for (Non-) Convex Economies. (2023). Goeree, Jacob K. In: Papers. RePEc:arx:papers:2305.06256.

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2023Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617.

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2024iCOS: Option-Implied COS Method. (2023). Vladimirov, Evgenii. In: Papers. RePEc:arx:papers:2309.00943.

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2023From 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.

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2023Default Process Modeling and Credit Valuation Adjustment. (2023). Xiao, David. In: Papers. RePEc:arx:papers:2309.03311.

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2023Kelvin Waves, Klein-Kramers and Kolmogorov Equations, Path-Dependent Financial Instruments: Survey and New Results. (2023). Lipton, Alexander. In: Papers. RePEc:arx:papers:2309.04547.

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2023Robust Minimum Distance Inference in Structural Models. (2023). Escanciano, Juan Carlos ; Alegre, Joan. In: Papers. RePEc:arx:papers:2310.05761.

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2023Supplement Liquidity based modeling of asset price bubbles via random matching. (2023). Mazzon, Andrea ; Biagini, Francesca ; Oberpriller, Katharina ; Meyer-Brandis, Thilo. In: Papers. RePEc:arx:papers:2311.15793.

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2024Hydrodynamics of Markets:Hidden Links Between Physics and Finance. (2024). Lipton, Alexander. In: Papers. RePEc:arx:papers:2403.09761.

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2024On the Hull-White model with volatility smile for Valuation Adjustments. (2024). Oosterlee, C W ; Grzelak, L A ; van der Zwaard, T. In: Papers. RePEc:arx:papers:2403.14841.

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2024Crypto Inverse-Power Options and Fractional Stochastic Volatility. (2024). Xia, Weixuan ; Li, Boyi. In: Papers. RePEc:arx:papers:2403.16006.

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2024Continuous-time Risk-sensitive Reinforcement Learning via Quadratic Variation Penalty. (2024). Jia, Yanwei. In: Papers. RePEc:arx:papers:2404.12598.

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2024Modelling Opaque Bilateral Market Dynamics in Financial Trading: Insights from a Multi-Agent Simulation Study. (2024). Walsh, Toby ; Vidler, Alicia. In: Papers. RePEc:arx:papers:2405.02849.

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2024Non cooperative Liquidity Games and their application to bond market trading. (2024). Walsh, Toby ; Vidler, Alicia. In: Papers. RePEc:arx:papers:2405.02865.

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2023Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303.

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2024Who should buy structured investment products and why?. (2024). Pedio, Manuela ; Leonetti, Giacomo ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp24222.

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2023Estimating 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.

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2023Stress Relief? Funding Structures and Resilience to the Covid Shock. (2023). . In: Staff Working Papers. RePEc:bca:bocawp:23-7.

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2024Optimal consumption and Investment under Relative Performance Criteria with Epstein-Zin Utility. (2024). Stanza, Lorenzo ; Riedel, Frank ; Dianetti, Jodi. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:685.

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2023Supervisory policy stimulus: evidence from the euro area dividend recommendation. (2023). Reghezza, Alessio ; Gambacorta, Leonardo ; Dautovi, Ernest. In: BIS Working Papers. RePEc:bis:biswps:1085.

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2023To 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.

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2023The cumulant risk premium. (2023). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:1128.

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2023Shorting 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.

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2023Corporate 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.

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2024CFO facial beauty and bank loan contracting. (2024). Lobo, Gerald ; Li, Jiyuan ; Hrazdil, Karel ; Zhang, Ray. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:975-1009.

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2024Time‐varying risk of rare disasters, investment, and asset pricing. (2020). Niu, Yingjie ; Liu, BO ; Zou, Zhentao ; Yang, Jinqiang. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:503-524.

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2023Credit 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.

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2023Disruption and Credit Markets. (2023). Becker, Bo ; Ivashina, Victoria. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:105-139.

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2023Optimal Financial Transaction Taxes. (2023). Davila, Eduardo. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:5-61.

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2023CLO 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.

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2023Pockets 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.

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2023Capital 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.

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2024Consistent time?homogeneous modeling of SPX and VIX derivatives. (2022). Papanicolaou, Andrew. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:3:p:907-940.

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2023.

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2023Analytical 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.

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2023Does SOFR-linked debt cost borrowers more than LIBOR-linked debt?. (2023). Syrstad, Olav ; Klingler, Sven. In: Working Paper. RePEc:bno:worpap:2023_7.

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2023Mispricing in inflation markets. (2023). Pinter, Gabor ; Barria, Rodrigo. In: Bank of England working papers. RePEc:boe:boeewp:1034.

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2023Clear(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.

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

Works by Darrell Duffie:

YearTitleTypeCited
2007Information Percolation in Large Markets In: American Economic Review.
[Full Text][Citation analysis]		article65
2007Systemic Illiquidity in the Federal Funds Market In: American Economic Review.
[Full Text][Citation analysis]		article108
2010Information Percolation In: American Economic Journal: Microeconomics.
[Full Text][Citation analysis]		article19
2008Information Percolation.(2008) In: 2008 Meeting Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		paper
1989Arrow and General Equilibrium Theory. In: Journal of Economic Literature.
[Full Text][Citation analysis]		article12
2010The Failure Mechanics of Dealer Banks In: Journal of Economic Perspectives.
[Full Text][Citation analysis]		article93
2010The failure mechanics of dealer banks.(2010) In: BIS Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 93		paper
2010The Failure Mechanics of Dealer Banks.(2010) In: Ekonomicheskaya Politika / Economic Policy.
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This paper has nother version. Agregated cites: 93		article
2015Reforming LIBOR and Other Financial Market Benchmarks In: Journal of Economic Perspectives.
[Full Text][Citation analysis]		article58
2010Is there a case for banning short speculation in sovereign bond markets? In: Financial Stability Review.
[Full Text][Citation analysis]		article31
2005Measuring default risk premia from default swap rates and EDFs In: BIS Working Papers.
[Full Text][Citation analysis]		paper108
2003Measuring Default Risk Premia from Default Swap Rates and EDFs.(2003) In: GSIA Working Papers.
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This paper has nother version. Agregated cites: 108		paper
2008Innovations in credit risk transfer: implications for financial stability In: BIS Working Papers.
[Full Text][Citation analysis]		paper76
2010The Squam Lake Report: Fixing the Financial System In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]		article125
2010The Squam Lake Report: Fixing the Financial System.(2010) In: Economics Books.
[Citation analysis]
This paper has nother version. Agregated cites: 125		book
2013Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]		article6
1996 Special Repo Rates. In: Journal of Finance.
[Full Text][Citation analysis]		article187
1996 Swap Rates and Credit Quality. In: Journal of Finance.
[Full Text][Citation analysis]		article205
1997 An Econometric Model of the Term Structure of Interest-Rate Swap Yields. In: Journal of Finance.
[Full Text][Citation analysis]		article287
2003Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance.
[Full Text][Citation analysis]		article195
2007Common Failings: How Corporate Defaults Are Correlated In: Journal of Finance.
[Full Text][Citation analysis]		article260
2006Common Failings: How Corporate Defaults are Correlated.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 260		paper
2009Frailty Correlated Default In: Journal of Finance.
[Full Text][Citation analysis]		article225
2008Frailty Correlated Default.(2008) In: Swiss Finance Institute Research Paper Series.
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This paper has nother version. Agregated cites: 225		paper
2017Benchmarks in Search Markets In: Journal of Finance.
[Full Text][Citation analysis]		article58
2014Benchmarks in Search Markets.(2014) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 58		paper
2015Benchmarks in Search Markets.(2015) In: 2015 Meeting Papers.
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This paper has nother version. Agregated cites: 58		paper
1993Optimal Investment With Undiversifiable Income Risk In: Mathematical Finance.
[Full Text][Citation analysis]		article31
2005Multi-Period Corporate Default Prediction With Stochastic Covariates In: CARF F-Series.
[Full Text][Citation analysis]		paper350
2007Multi-period corporate default prediction with stochastic covariates.(2007) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 350		article
2006Multi-Period Corporate Default Prediction With Stochastic Covariates.(2006) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 350		paper
2005Multi-Period Corporate Default Prediction With Stochastic Covariates.(2005) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 350		paper
2009Information Percolation with Equilibrium Search Dynamics In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper82
2009Information Percolation With Equilibrium Search Dynamics.(2009) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 82		article
2009The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper7
2009The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation.(2009) In: Research Papers.
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This paper has nother version. Agregated cites: 7		paper
2010The relative contributions of private information sharing and public information releases to information aggregation.(2010) In: Journal of Economic Theory.
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This paper has nother version. Agregated cites: 7		article
2010Information Percolation in Segmented Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper50
2014Information percolation in segmented markets.(2014) In: Journal of Economic Theory.
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2011Information Percolation in Segmented Markets.(2011) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 50		paper
2006Valuation in Over-the-Counter Markets In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper206
2006Valuation in Over-the-Counter Markets.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 206		paper
2007Valuation in Over-the-Counter Markets.(2007) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 206		article
2007Report on “The Committee on Yen Risk-free-rate Model Estimation†In: Finance Working Papers.
[Full Text][Citation analysis]		paper0
2014Central clearing and collateral demand In: Working Paper Series.
[Full Text][Citation analysis]		paper165
2015Central clearing and collateral demand.(2015) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 165		article
2014Central Clearing and Collateral Demand.(2014) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 165		paper
2014Central Clearing and Collateral Demand.(2014) In: NBER Working Papers.
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2010Policy Perspectives on OTC Derivatives Market Infrastructure In: Research Papers.
[Full Text][Citation analysis]		paper38
2010Policy perspectives on OTC derivatives market infrastructure.(2010) In: Staff Reports.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		paper
2016Size Discovery In: Research Papers.
[Full Text][Citation analysis]		paper3
2015Size Discovery.(2015) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2017Size Discovery.(2017) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 3		article
2016Financial Regulatory Reform after the Crisis: An Assessment In: Research Papers.
[Full Text][Citation analysis]		paper20
2017Dynamic Directed Random Matching In: Research Papers.
[Full Text][Citation analysis]		paper7
2018Dynamic directed random matching.(2018) In: Journal of Economic Theory.
[Full Text][Citation analysis]
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2012Capital Mobility and Asset Pricing In: Econometrica.
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2011Capital Mobility and Asset Pricing.(2011) In: NBER Working Papers.
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2004Multi-Period Corporate Failure Prediction with Stochastic Covariates.(2004) In: NBER Working Papers.
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2004Valuation in Dynamic Bargaining Markets In: Econometric Society 2004 North American Winter Meetings.
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2004Valuation in Dynamic Bargaining Markets.(2004) In: Econometric Society 2004 North American Winter Meetings.
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2004Liquidity Premia in Dynamic Bargaining Markets In: Econometric Society 2004 North American Winter Meetings.
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2015Resolution of Failing Central Counterparties In: Book Chapters.
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2014Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs In: Economics Working Papers.
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2014Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs.(2014) In: The Journal of Legal Studies.
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2013Replumbing Our Financial System: Uneven Progress In: International Journal of Central Banking.
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2016Preface to the Special Issue on Systemic Risk: Models and Mechanisms In: Operations Research.
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2008Market Pricing of Deposit Insurance.(2008) In: World Scientific Book Chapters.
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2011Comment on Risk Topography In: NBER Chapters.
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2013Systemic Risk Exposures: A 10-by-10-by-10 Approach In: NBER Chapters.
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2011Systemic Risk Exposures: A 10-by-10-by-10 Approach.(2011) In: NBER Working Papers.
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2002Affine Processes and Application in Finance In: NBER Technical Working Papers.
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2014Robust Benchmark Design In: NBER Working Papers.
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2020Market Fragmentation In: NBER Working Papers.
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2022How Abundant Are Reserves? Evidence from the Wholesale Payment System In: NBER Working Papers.
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2011How Big Banks Fail and What to Do about It In: Economics Books.
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2001Analytical value-at-risk with jumps and credit risk In: Finance and Stochastics.
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