Publications
by members of
Institut for Finansiering
Copenhagen Business School
København, Denmark
(Department of Finance, )
These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.| Working papers | Journal articles | Books | Chapters |
Working papers
Undated material is listed at the end2023
- Chen Tong & Peter Reinhard Hansen, 2023. "Characterizing Correlation Matrices that Admit a Clustered Factor Representation," Papers 2308.05895, arXiv.org.
- Peter Reinhard Hansen & Yiyao Luo, 2023. "Robust Estimation of Realized Correlation: New Insight about Intraday Fluctuations in Market Betas," Papers 2310.19992, arXiv.org.
2022
- Peter Reinhard Hansen & Chen Tong, 2022. "Option Pricing with Time-Varying Volatility Risk Aversion," Papers 2204.06943, arXiv.org, revised Oct 2022.
- Ilya Archakov & Peter Reinhard Hansen & Yiyao Luo, 2022. "A New Method for Generating Random Correlation Matrices," Papers 2210.08147, arXiv.org.
2021
- Peter Reinhard Hansen & Chan Kim & Wade Kimbrough, 2021. "Periodicity in Cryptocurrency Volatility and Liquidity," Papers 2109.12142, arXiv.org, revised Nov 2021.
- Peter Reinhard Hansen, 2021.
"Relative Contagiousness of Emerging Virus Variants: An Analysis of the Alpha, Delta, and Omicron SARS-CoV-2 Variants,"
Papers
2110.00533, arXiv.org, revised Jan 2022.
- Peter Reinhard Hansen, 2022. "Relative contagiousness of emerging virus variants: An analysis of the Alpha, Delta, and Omicron SARS-CoV-2 variants [Increased risk of hospitalisation associated with infection with SARS-CoV-2 lin," The Econometrics Journal, Royal Economic Society, vol. 25(3), pages 739-761.
- Peter Reinhard Hansen & Zhuo Huang & Chen Tong & Tianyi Wang, 2021. "Realized GARCH, CBOE VIX, and the Volatility Risk Premium," Papers 2112.05302, arXiv.org.
- Chen Tong & Peter Reinhard Hansen & Zhuo Huang, 2021.
"Option Pricing with State-dependent Pricing Kernel,"
Papers
2112.05308, arXiv.org, revised Apr 2022.
- Chen Tong & Peter Reinhard Hansen & Zhuo Huang, 2022. "Option pricing with state‐dependent pricing kernel," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1409-1433, August.
- Theis Ingerslev Jensen & Bryan T. Kelly & Lasse Heje Pedersen, 2021. "Is There A Replication Crisis In Finance?," NBER Working Papers 28432, National Bureau of Economic Research, Inc.
2020
- Ilya Archakov & Peter Reinhard Hansen, 2020.
"A New Parametrization of Correlation Matrices,"
Papers
2012.02395, arXiv.org.
- Ilya Archakov & Peter Reinhard Hansen, 2021. "A New Parametrization of Correlation Matrices," Econometrica, Econometric Society, vol. 89(4), pages 1699-1715, July.
- Ilya Archakov & Peter Reinhard Hansen, 2020. "A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices," Papers 2012.02698, arXiv.org, revised Nov 2021.
- Ilya Archakov & Peter Reinhard Hansen & Asger Lunde, 2020. "A Multivariate Realized GARCH Model," Papers 2012.02708, arXiv.org.
- Elena Ivona Dumitrescu & Peter Hansen, 2020.
"How Should Parameter Estimation Be Tailored to the Objective?,"
Post-Print
hal-03331109, HAL.
- Hansen, Peter Reinhard & Dumitrescu, Elena-Ivona, 2022. "How should parameter estimation be tailored to the objective?," Journal of Econometrics, Elsevier, vol. 230(2), pages 535-558.
- Bryan T. Kelly & Semyon Malamud & Lasse H. Pedersen, 2020.
"Principal Portfolios,"
NBER Working Papers
27388, National Bureau of Economic Research, Inc.
- Bryan T. Kelly & Semyon Malamud & Lasse Heje Pedersen, 2020. "Principal Portfolios," Swiss Finance Institute Research Paper Series 20-67, Swiss Finance Institute.
- Olafsson, Arna & Gathergood, John, 2020.
"The Co-holding Puzzle: New Evidence from Transaction-Level Data,"
CEPR Discussion Papers
14799, C.E.P.R. Discussion Papers.
- John Gathergood & Arna Olafsson, 2022. "The Co-holding Puzzle: New Evidence from Transactional-Level Data," Discussion Papers 2022-18, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham.
2019
- Leandro Carvalho & Arna Olafsson & Dan Silverman, 2019. "Misfortune and Mistake: The Financial Conditions and Decision-making Ability of High-cost Loan Borrowers," NBER Working Papers 26328, National Bureau of Economic Research, Inc.
- Sean Hundtofte & Arna Olafsson & Michaela Pagel, 2019. "Credit Smoothing," NBER Working Papers 26354, National Bureau of Economic Research, Inc.
2018
- Pedersen, Lasse Heje & Asness, Clifford S. & Liew, John M. & Thapar, Ashwin K, 2018. "Deep Value," CEPR Discussion Papers 12685, C.E.P.R. Discussion Papers.
- Pedersen, Lasse Heje & Bollerslev, Tim & Hood, Benjamin & Huss, John, 2018.
"Risk Everywhere: Modeling and Managing Volatility,"
CEPR Discussion Papers
12687, C.E.P.R. Discussion Papers.
- Tim Bollerslev & Benjamin Hood & John Huss & Lasse Heje Pedersen, 2018. "Risk Everywhere: Modeling and Managing Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 31(7), pages 2729-2773.
- Pedersen, Lasse Heje & Asness, Clifford S. & Frazzini, Andrea & Israel, Ronen, 2018.
"Size Matters, if You Control Your Junk,"
CEPR Discussion Papers
12684, C.E.P.R. Discussion Papers.
- Asness, Clifford & Frazzini, Andrea & Israel, Ronen & Moskowitz, Tobias J. & Pedersen, Lasse H., 2018. "Size matters, if you control your junk," Journal of Financial Economics, Elsevier, vol. 129(3), pages 479-509.
- Pedersen, Lasse Heje & Asness, Clifford S. & Frazzini, Andrea & Gormsen, Niels Joachim, 2018.
"Betting Against Correlation: Testing Theories of the Low-Risk Effect,"
CEPR Discussion Papers
12686, C.E.P.R. Discussion Papers.
- Asness, Cliff & Frazzini, Andrea & Gormsen, Niels Joachim & Pedersen, Lasse Heje, 2020. "Betting against correlation: Testing theories of the low-risk effect," Journal of Financial Economics, Elsevier, vol. 135(3), pages 629-652.
- Arna Olafsson & Michaela Pagel, 2018. "The Retirement-Consumption Puzzle: New Evidence from Personal Finances," NBER Working Papers 24405, National Bureau of Economic Research, Inc.
2017
- Pagel, Michaela & Olafsson, Arna, 2017.
"The Ostrich in Us: Selective Attention to Financial Accounts, Income, Spending, and Liquidity,"
CEPR Discussion Papers
12259, C.E.P.R. Discussion Papers.
- Arna Olafsson & Michaela Pagel, 2017. "The Ostrich in Us: Selective Attention to Financial Accounts, Income, Spending, and Liquidity," NBER Working Papers 23945, National Bureau of Economic Research, Inc.
- Bruce Carlin & Arna Olafsson & Michaela Pagel, 2017. "FinTech Adoption Across Generations: Financial Fitness in the Information Age," NBER Working Papers 23798, National Bureau of Economic Research, Inc.
2016
- Peter Reinhard Hansen & Pawel Janus & Siem Jan Koopman, 2016.
"Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model,"
Tinbergen Institute Discussion Papers
16-061/III, Tinbergen Institute.
- P Gorgi & P R Hansen & P Janus & S J Koopman, 2019. "Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model," Journal of Financial Econometrics, Oxford University Press, vol. 17(1), pages 1-32.
- Lasse Pedersen & David Lando & Christian Skov Jensen, 2016.
"Generalized Recovery,"
2016 Meeting Papers
935, Society for Economic Dynamics.
- Jensen, Christian Skov & Lando, David & Pedersen, Lasse Heje, 2019. "Generalized recovery," Journal of Financial Economics, Elsevier, vol. 133(1), pages 154-174.
- Pedersen, Lasse Heje & Skov Jensen, Christian & Lando, David, 2018. "Generalized Recovery," CEPR Discussion Papers 12665, C.E.P.R. Discussion Papers.
2015
- Peter Reinhard Hansen, 2015.
"A Martingale Decomposition of Discrete Markov Chains,"
CREATES Research Papers
2015-18, Department of Economics and Business Economics, Aarhus University.
- Hansen, Peter Reinhard, 2015. "A martingale decomposition of discrete Markov chains," Economics Letters, Elsevier, vol. 133(C), pages 14-18.
- Peter Reinhard Hansen & Guillaume Horel & Asger Lunde & Ilya Archakov, 2015. "A Markov Chain Estimator of Multivariate Volatility from High Frequency Data," CREATES Research Papers 2015-19, Department of Economics and Business Economics, Aarhus University.
- Nicolae B. Gârleanu & Lasse H. Pedersen, 2015.
"Efficiently Inefficient Markets for Assets and Asset Management,"
NBER Working Papers
21563, National Bureau of Economic Research, Inc.
- Nicolae Gârleanu & Lasse Heje Pedersen, 2018. "Efficiently Inefficient Markets for Assets and Asset Management," Journal of Finance, American Finance Association, vol. 73(4), pages 1663-1712, August.
- Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan, 2018. "Efficiently Inefficient Markets for Assets and Asset Management," CEPR Discussion Papers 12664, C.E.P.R. Discussion Papers.
- Pedersen, Lasse Heje & Vestergaard Jensen, Mads, 2015.
"Early Option Exercise: Never Say Never,"
CEPR Discussion Papers
11019, C.E.P.R. Discussion Papers.
- Jensen, Mads Vestergaard & Pedersen, Lasse Heje, 2016. "Early option exercise: Never say never," Journal of Financial Economics, Elsevier, vol. 121(2), pages 278-299.
2013
- Ralph S.J. Koijen & Tobias J. Moskowitz & Lasse Heje Pedersen & Evert B. Vrugt, 2013.
"Carry,"
NBER Working Papers
19325, National Bureau of Economic Research, Inc.
- Koijen, Ralph S.J. & Moskowitz, Tobias J. & Pedersen, Lasse Heje & Vrugt, Evert B., 2018. "Carry," Journal of Financial Economics, Elsevier, vol. 127(2), pages 197-225.
- Moskowitz, Tobias J & Pedersen, Lasse Heje & Koijen, Ralph & Vrugt, Evert B., 2013. "Carry," CEPR Discussion Papers 9771, C.E.P.R. Discussion Papers.
- Andrea Frazzini & David Kabiller & Lasse H. Pedersen, 2013.
"Buffett's Alpha,"
NBER Working Papers
19681, National Bureau of Economic Research, Inc.
- Pedersen, Lasse Heje & Frazzini, Andrea & Kabiller, David, 2013. "Buffett?s Alpha," CEPR Discussion Papers 9769, C.E.P.R. Discussion Papers.
2012
- Peter Reinhard Hansen & Allan Timmermann, 2012.
"Choice of Sample Split in Out-of-Sample Forecast Evaluation,"
CREATES Research Papers
2012-43, Department of Economics and Business Economics, Aarhus University.
- Peter Reinhard HANSEN & Allan TIMMERMANN, 2012. "Choice of Sample Split in Out-of-Sample Forecast Evaluation," Economics Working Papers ECO2012/10, European University Institute.
- Peter Reinhard Hansen & Zhuo Huang, 2012.
"Exponential GARCH Modeling with Realized Measures of Volatility,"
CREATES Research Papers
2012-44, Department of Economics and Business Economics, Aarhus University.
- Peter Reinhard Hansen & Zhuo Huang, 2016. "Exponential GARCH Modeling With Realized Measures of Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 269-287, April.
- Peter Reinhard Hansen & Zhuo Huang, 2012. "Exponential GARCH Modeling with Realized Measures of Volatility," Economics Working Papers ECO2012/26, European University Institute.
- Peter Reinhard Hansen & Allan Timmermann, 2012.
"Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics,"
CREATES Research Papers
2012-45, Department of Economics and Business Economics, Aarhus University.
- Peter Reinhard Hansen & Allan Timmermann, 2015. "Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics," Econometrica, Econometric Society, vol. 83, pages 2485-2505, November.
- Peter Reinhard Hansen & Allan Timmermann, 2012. "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," Economics Working Papers ECO2012/24, European University Institute.
- Andrea Frazzini & Lasse H. Pedersen, 2012.
"Embedded Leverage,"
NBER Working Papers
18558, National Bureau of Economic Research, Inc.
- Andrea Frazzini & Lasse Heje Pedersen, 2022. "Embedded Leverage [Asset pricing with liquidity risk]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 12(1), pages 1-52.
2011
- Nicolae Gârleanu & Lasse Heje Pedersen, 2011.
"Margin-Based Asset Pricing and Deviations from the Law of One Price,"
NBER Working Papers
16777, National Bureau of Economic Research, Inc.
- Nicolae Gârleanu & Lasse Heje Pedersen, 2011. "Margin-based Asset Pricing and Deviations from the Law of One Price," The Review of Financial Studies, Society for Financial Studies, vol. 24(6), pages 1980-2022.
- John Geanakoplos & Lasse H. Pedersen, 2011.
"Monitoring Leverage,"
Cowles Foundation Discussion Papers
1838, Cowles Foundation for Research in Economics, Yale University.
- John Geanakoplos & Lasse Heje Pedersen, 2012. "Monitoring Leverage," NBER Chapters, in: Risk Topography: Systemic Risk and Macro Modeling, pages 113-127, National Bureau of Economic Research, Inc.
2010
- Peter R. Hansen & Asger Lunde, 2010.
"Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error,"
CREATES Research Papers
2010-08, Department of Economics and Business Economics, Aarhus University.
- Hansen, Peter R. & Lunde, Asger, 2014. "Estimating The Persistence And The Autocorrelation Function Of A Time Series That Is Measured With Error," Econometric Theory, Cambridge University Press, vol. 30(1), pages 60-93, February.
- Peter R. Hansen & Asger Lunde & Valeri Voev, 2010.
"Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility,"
CREATES Research Papers
2010-74, Department of Economics and Business Economics, Aarhus University.
- Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012. "Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," Economics Working Papers ECO2012/28, European University Institute.
- Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012. "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility," Global COE Hi-Stat Discussion Paper Series gd12-269, Institute of Economic Research, Hitotsubashi University.
- Peter R. Hansen & Asger Lunde & James M. Nason, 2010.
"The Model Confidence Set,"
CREATES Research Papers
2010-76, Department of Economics and Business Economics, Aarhus University.
- Peter R. Hansen & Asger Lunde & James M. Nason, 2011. "The Model Confidence Set," Econometrica, Econometric Society, vol. 79(2), pages 453-497, March.
- Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2010.
"Measuring systemic risk,"
Working Papers (Old Series)
1002, Federal Reserve Bank of Cleveland.
- Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2017. "Measuring Systemic Risk," The Review of Financial Studies, Society for Financial Studies, vol. 30(1), pages 2-47.
- Viral V. Acharya & Christian Brownlees & Robert Engle & Farhang Farazmand & Matthew Richardson, 2013. "Measuring Systemic Risk," World Scientific Book Chapters, in: Oliviero Roggi & Edward I Altman (ed.), Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis, chapter 3, pages 65-98, World Scientific Publishing Co. Pte. Ltd..
- Viral V. Acharya, 2011. "Measuring Systemic Risk," World Scientific Book Chapters, in: Stijn Claessens & Douglas D Evanoff & George G Kaufman & Laura E Kodres (ed.), Macroprudential Regulatory Policies The New Road to Financial Stability?, chapter 10, pages 133-143, World Scientific Publishing Co. Pte. Ltd..
- Richardson, Matthew P & Philippon, Thomas & Acharya, Viral & Pedersen, Lasse Heje, 2012. "Measuring Systemic Risk," CEPR Discussion Papers 8824, C.E.P.R. Discussion Papers.
- Viral V. Acharya, 2010. "Measuring systemic risk," Proceedings 1140, Federal Reserve Bank of Chicago.
- Adam Ashcraft & Nicolae Gârleanu & Lasse Heje Pedersen, 2010.
"Two Monetary Tools: Interest Rates and Haircuts,"
NBER Working Papers
16337, National Bureau of Economic Research, Inc.
- Adam Ashcraft & Nicolae Gârleanu & Lasse Heje Pedersen, 2011. "Two Monetary Tools: Interest Rates and Haircuts," NBER Chapters, in: NBER Macroeconomics Annual 2010, volume 25, pages 143-180, National Bureau of Economic Research, Inc.
- Nicolae B. Garleanu & Lasse Heje Pedersen & Adam B. Ashcraft, 2010. "Two Monetary Tools: Interest-Rates and Haircuts," 2010 Meeting Papers 1102, Society for Economic Dynamics.
- Pedersen, Lasse Heje & Ashcraft, Adam & Garleanu, Nicolae Bogdan, 2010. "Two Monetary Tools: Interest Rates and Haircuts," CEPR Discussion Papers 8000, C.E.P.R. Discussion Papers.
- Andrea Frazzini & Lasse H. Pedersen, 2010.
"Betting Against Beta,"
NBER Working Papers
16601, National Bureau of Economic Research, Inc.
- Frazzini, Andrea & Pedersen, Lasse Heje, 2014. "Betting against beta," Journal of Financial Economics, Elsevier, vol. 111(1), pages 1-25.
- Andrea Frazzini & Lasse Heje Pedersen, 2012. "Betting Against Beta," Swiss Finance Institute Research Paper Series 12-17, Swiss Finance Institute.
2009
- Peter Reinhard Hansen & Guillaume Horel, 2009. "Quadratic Variation by Markov Chains," CREATES Research Papers 2009-13, Department of Economics and Business Economics, Aarhus University.
- Nicolae B. Garleanu & Lasse H. Pedersen, 2009.
"Dynamic Trading with Predictable Returns and Transaction Costs,"
NBER Working Papers
15205, National Bureau of Economic Research, Inc.
- Nicolae Gârleanu & Lasse Heje Pedersen, 2013. "Dynamic Trading with Predictable Returns and Transaction Costs," Journal of Finance, American Finance Association, vol. 68(6), pages 2309-2340, December.
- Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan, 2009. "Dynamic Trading with Predictable Returns and Transaction Costs," CEPR Discussion Papers 7392, C.E.P.R. Discussion Papers.
- Lasse Heje Pedersen, 2009.
"When Everyone Runs for the Exit,"
NBER Working Papers
15297, National Bureau of Economic Research, Inc.
- Lasse Pedersen, 2009. "When Everyone Runs for the Exit," International Journal of Central Banking, International Journal of Central Banking, vol. 5(4), pages 177-199, December.
- Pedersen, Lasse Heje, 2009. "When Everyone Runs for the Exit," CEPR Discussion Papers 7436, C.E.P.R. Discussion Papers.
2008
- Peter Reinhard Hansen, 2008. "Reduced-Rank Regression: A Useful Determinant Identity," CREATES Research Papers 2008-02, Department of Economics and Business Economics, Aarhus University.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008.
"Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading,"
CREATES Research Papers
2008-63, Department of Economics and Business Economics, Aarhus University.
- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011. "Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Journal of Econometrics, Elsevier, vol. 162(2), pages 149-169, June.
- Neil Shephard & Ole E. Barndorff-Nielsen & Peter Reinhard Hansen, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Series Working Papers 397, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," OFRC Working Papers Series 2008fe29, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2009. "Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading," Global COE Hi-Stat Discussion Paper Series gd08-037, Institute of Economic Research, Hitotsubashi University.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Papers 2008-W10, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2011. "Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Post-Print hal-00815564, HAL.
- Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008.
"Carry Trades and Currency Crashes,"
NBER Working Papers
14473, National Bureau of Economic Research, Inc.
- Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2009. "Carry Trades and Currency Crashes," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 313-347, National Bureau of Economic Research, Inc.
- Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008. "Carry Trades and Currency Crashes," Working Papers 2008-1, Princeton University. Economics Department..
2007
- Mark Mitchell & Lasse Heje Pedersen & Todd Pulvino, 2007.
"Slow Moving Capital,"
NBER Working Papers
12877, National Bureau of Economic Research, Inc.
- Lasse Heje Pedersen & Mark Mitchell & Todd Pulvino, 2007. "Slow Moving Capital," American Economic Review, American Economic Association, vol. 97(2), pages 215-220, May.
- Pedersen, Lasse Heje & Mitchell, Mark & Pulvino, Todd, 2007. "Slow Moving Capital," CEPR Discussion Papers 6117, C.E.P.R. Discussion Papers.
- Nicolae B. Garleanu & Lasse H. Pedersen, 2007.
"Liquidity and Risk Management,"
NBER Working Papers
12887, National Bureau of Economic Research, Inc.
- Nicolae Gârleanu & Lasse Heje Pedersen, 2007. "Liquidity and Risk Management," American Economic Review, American Economic Association, vol. 97(2), pages 193-197, May.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2007.
"Market Liquidity and Funding Liquidity,"
NBER Working Papers
12939, National Bureau of Economic Research, Inc.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2009. "Market Liquidity and Funding Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 22(6), pages 2201-2238, June.
- Brunnermeier, Markus K. & Pedersen, Lasse Heje, 2007. "Market liquidity and funding liquidity," LSE Research Online Documents on Economics 24478, London School of Economics and Political Science, LSE Library.
- Lasse Heje Pederson & Markus K Brunnermeier, 2007. "Market Liquidity and Funding Liquidity," FMG Discussion Papers dp580, Financial Markets Group.
- Brunnermeier, Markus & Pedersen, Lasse Heje, 2007. "Market Liquidity and Funding Liquidity," CEPR Discussion Papers 6179, C.E.P.R. Discussion Papers.
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2007.
"How Sovereign is Sovereign Credit Risk?,"
NBER Working Papers
13658, National Bureau of Economic Research, Inc.
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2011. "How Sovereign Is Sovereign Credit Risk?," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 75-103, April.
2006
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006.
"Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise,"
Economics Papers
2006-W03, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise," Econometrica, Econometric Society, vol. 76(6), pages 1481-1536, November.
- Ole E Barndorff-Nielsen & Peter Hansen & Asger Lunde & Neil Shephard, 2006. "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," OFRC Working Papers Series 2006fe05, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006.
"Subsampling realised kernels,"
Economics Papers
2006-W10, Economics Group, Nuffield College, University of Oxford.
- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011. "Subsampling realised kernels," Journal of Econometrics, Elsevier, vol. 160(1), pages 204-219, January.
- Ole E. Barndorff-Nielsen & Peter R. Hansen & Asger Lunde & Neil Shephard, 2006. "Subsampling realised kernels," OFRC Working Papers Series 2006fe06, Oxford Financial Research Centre.
- Neil Shephard & Ole E. Barndorff-Nielsen & Asger Lunde, 2006. "Subsampling realised kernels," Economics Series Working Papers 278, University of Oxford, Department of Economics.
- Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2006.
"Valuation in Over-the-Counter Markets,"
NBER Working Papers
12020, National Bureau of Economic Research, Inc.
- Darrell Duffie & Nicolae Gârleanu & Lasse Heje Pedersen, 2007. "Valuation in Over-the-Counter Markets," The Review of Financial Studies, Society for Financial Studies, vol. 20(6), pages 1865-1900, November.
- Duffie, Darrell & Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan, 2006. "Valuation in Over-the-Counter Markets," CEPR Discussion Papers 5491, C.E.P.R. Discussion Papers.
2005
- Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Testing the significance of calendar effects," FRB Atlanta Working Paper 2005-02, Federal Reserve Bank of Atlanta.
- Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Model confidence sets for forecasting models," FRB Atlanta Working Paper 2005-07, Federal Reserve Bank of Atlanta.
- Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2005.
"Demand-Based Option Pricing,"
NBER Working Papers
11843, National Bureau of Economic Research, Inc.
- Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2009. "Demand-Based Option Pricing," The Review of Financial Studies, Society for Financial Studies, vol. 22(10), pages 4259-4299, October.
- Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan & ,, 2005. "Demand-Based Option Pricing," CEPR Discussion Papers 5420, C.E.P.R. Discussion Papers.
- Amihud, Yakov & Mendelson, Haim & Pedersen, Lasse Heje, 2005.
"Liquidity and Asset Prices,"
MPRA Paper
24768, University Library of Munich, Germany.
- Amihud, Yakov & Mendelson, Haim & Pedersen, Lasse Heje, 2006. "Liquidity and Asset Prices," Foundations and Trends(R) in Finance, now publishers, vol. 1(4), pages 269-364, February.
2004
- Asger Lunde & Peter Reinhard Hansen, 2004. "Realized Variance and IID Market Microstructure Noise," Econometric Society 2004 North American Summer Meetings 526, Econometric Society.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004.
"Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise,"
Economics Papers
2004-W28, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004. "Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise," OFRC Working Papers Series 2004fe20, Oxford Financial Research Centre.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2004.
"Predatory Trading,"
NBER Working Papers
10755, National Bureau of Economic Research, Inc.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2005. "Predatory Trading," Journal of Finance, American Finance Association, vol. 60(4), pages 1825-1863, August.
- Lasse H. Pedersen & Markus Brunnermeier, 2004. "Predatory Trading," Econometric Society 2004 North American Winter Meetings 425, Econometric Society.
- Markus K Brunnermeier & Lasse Heje Pederson, 2003. "Predatory Trading," FMG Discussion Papers dp441, Financial Markets Group.
- Brunnermeier, Markus K. & Pederson, Lasse Heje, 2003. "Predatory trading," LSE Research Online Documents on Economics 24829, London School of Economics and Political Science, LSE Library.
- Brunnermeier, Markus & Pedersen, Lasse Heje, 2004. "Predatory Trading," CEPR Discussion Papers 4639, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Lasse Heje Pedersen, 2004.
"Asset Pricing with Liquidity Risk,"
NBER Working Papers
10814, National Bureau of Economic Research, Inc.
- Acharya, Viral V. & Pedersen, Lasse Heje, 2005. "Asset pricing with liquidity risk," Journal of Financial Economics, Elsevier, vol. 77(2), pages 375-410, August.
- Acharya, Viral & Pedersen, Lasse Heje, 2004. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 4718, C.E.P.R. Discussion Papers.
- Acharya, Viral & Pedersen, Lasse Heje, 2003. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 3749, C.E.P.R. Discussion Papers.
- Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2004.
"Over-the-Counter Markets,"
NBER Working Papers
10816, National Bureau of Economic Research, Inc.
- Darrell Duffie, 2012. "Over-The-Counter Markets," Introductory Chapters, in: Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets, Princeton University Press.
- Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2005. "Over-the-Counter Markets," Econometrica, Econometric Society, vol. 73(6), pages 1815-1847, November.
- Lasse Pedersen & Darrell Duffie & Nicolae Garleanu, 2004.
"Valuation in Dynamic Bargaining Markets,"
Econometric Society 2004 North American Winter Meetings
649, Econometric Society.
- duffie, 2004. "Valuation in Dynamic Bargaining Markets," Econometric Society 2004 North American Winter Meetings 633, Econometric Society.
2003
- Peter Hansen & Asger Lunde & James M. Nason, 2003.
"Choosing the Best Volatility Models:The Model Confidence Set Approach,"
Working Papers
2003-05, Brown University, Department of Economics.
- Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the Best Volatility Models: The Model Confidence Set Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 839-861, December.
- Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the best volatility models: the model confidence set approach," FRB Atlanta Working Paper 2003-28, Federal Reserve Bank of Atlanta.
- Peter Hansen, 2003. "Asymptotic Tests of Composite Hypotheses," Working Papers 2003-09, Brown University, Department of Economics.
2001
- Asger Lunde & Peter Reinhard Hansen, 2001.
"A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?,"
Working Papers
2001-04, Brown University, Department of Economics.
- Asger Lunde & Peter R. Hansen, 2005. "A forecast comparison of volatility models: does anything beat a GARCH(1,1)?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 873-889.
- Peter Reinhard Hansen, 2001. "An Unbiased and Powerful Test for Superior Predictive Ability," Working Papers 2001-06, Brown University, Department of Economics.
2000
- Peter Reinhard Hansen, 2000.
"Structural Changes in the Cointegrated Vector Autoregressive Model,"
Working Papers
2000-20, Brown University, Department of Economics.
- Hansen, Peter Reinhard, 2003. "Structural changes in the cointegrated vector autoregressive model," Journal of Econometrics, Elsevier, vol. 114(2), pages 261-295, June.
- Hansen, Peter Reinhard, 2000. "The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes," University of California at San Diego, Economics Working Paper Series qt832256dg, Department of Economics, UC San Diego.
- Peter Reinhard Hansen, 2000. "Structural Breaks in the Cointegrated Vector Autoregressive Model," Econometric Society World Congress 2000 Contributed Papers 1240, Econometric Society.
1996
- Philip Molyneux & Rama Seth, 1996.
"Foreign banks, profits and commercial credit extension in the United States,"
Research Paper
9628, Federal Reserve Bank of New York.
- Daniel E. Nolle & Rama Seth, 1996. "Do banks follow their customers abroad?," Research Paper 9620, Federal Reserve Bank of New York.
1993
- Rama Seth, 1993. "Foreign banks' contribution to excess capacity in U.S. banking," Research Paper 9315, Federal Reserve Bank of New York.
1992
- Rama Seth, 1992. "Profitability of foreign banks in the United States," Research Paper 9225, Federal Reserve Bank of New York.
1991
- Rama Seth, 1991. "Patterns of corporate leverage in selected industrialized countries," Research Paper 9107, Federal Reserve Bank of New York.
- Alicia Quijano & Rama Seth, 1991.
"Growth in Japanese lending and direct investment in the United States: are they related?,"
Research Paper
9101, Federal Reserve Bank of New York.
- Seth, Rama & Quijano, Alicia M., 1993. "Growth in Japanese lending and direct investment in the United States: are they related?," Japan and the World Economy, Elsevier, vol. 5(4), pages 363-372, December.
1990
- Rama Seth, 1990.
"Leverage and cyclicality,"
Research Paper
9027, Federal Reserve Bank of New York.
- Rama Seth, 1990. "Leverage and cyclicality," Monograph, Federal Reserve Bank of New York, number 1990la.
- Rama Seth, 1990. "Leverage and cyclicality," Working Papers in Applied Economic Theory 90-01, Federal Reserve Bank of San Francisco.
- Rama Seth, 1990. "Explaining LBOs and acquisitions," Research Paper 9020, Federal Reserve Bank of New York.
Undated
- Peter Reinhard Hansen & Zhuo (Albert) Huang & Howard Howan Shek, "undated". "Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility," CREATES Research Papers 2010-13, Department of Economics and Business Economics, Aarhus University.
- Niels Kleis Frederiksen & Peter Reinhard Hansen & Henrik Jacobsen & Peter Birch Soerensen, "undated". "Consumer Services, Employment and the Informal Economy," EPRU Working Paper Series 94-13, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
Journal articles
2023
- Bruce Carlin & Arna Olafsson & Michaela Pagel, 2023. "Mobile Apps and Financial Decision Making," Review of Finance, European Finance Association, vol. 27(3), pages 977-996.
2022
- Hansen, Peter Reinhard & Dumitrescu, Elena-Ivona, 2022.
"How should parameter estimation be tailored to the objective?,"
Journal of Econometrics, Elsevier, vol. 230(2), pages 535-558.
- Elena Ivona Dumitrescu & Peter Hansen, 2020. "How Should Parameter Estimation Be Tailored to the Objective?," Post-Print hal-03331109, HAL.
- Peter Reinhard Hansen, 2022.
"Relative contagiousness of emerging virus variants: An analysis of the Alpha, Delta, and Omicron SARS-CoV-2 variants [Increased risk of hospitalisation associated with infection with SARS-CoV-2 lin,"
The Econometrics Journal, Royal Economic Society, vol. 25(3), pages 739-761.
- Peter Reinhard Hansen, 2021. "Relative Contagiousness of Emerging Virus Variants: An Analysis of the Alpha, Delta, and Omicron SARS-CoV-2 Variants," Papers 2110.00533, arXiv.org, revised Jan 2022.
- Chen Tong & Peter Reinhard Hansen & Zhuo Huang, 2022.
"Option pricing with state‐dependent pricing kernel,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1409-1433, August.
- Chen Tong & Peter Reinhard Hansen & Zhuo Huang, 2021. "Option Pricing with State-dependent Pricing Kernel," Papers 2112.05308, arXiv.org, revised Apr 2022.
- Andrea Frazzini & Lasse Heje Pedersen, 2022.
"Embedded Leverage [Asset pricing with liquidity risk],"
The Review of Asset Pricing Studies, Society for Financial Studies, vol. 12(1), pages 1-52.
- Andrea Frazzini & Lasse H. Pedersen, 2012. "Embedded Leverage," NBER Working Papers 18558, National Bureau of Economic Research, Inc.
2021
- Peter Reinhard Hansen & Matthias Schmidtblaicher, 2021. "A Dynamic Model of Vaccine Compliance: How Fake News Undermined the Danish HPV Vaccine Program," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(1), pages 259-271, January.
- Ilya Archakov & Peter Reinhard Hansen, 2021.
"A New Parametrization of Correlation Matrices,"
Econometrica, Econometric Society, vol. 89(4), pages 1699-1715, July.
- Ilya Archakov & Peter Reinhard Hansen, 2020. "A New Parametrization of Correlation Matrices," Papers 2012.02395, arXiv.org.
- Rai, Anoop & Seth, Rama & Mohanty, Sunil K., 2021. "Foreign bank lending in the U.S. during three U.S. recessions," Global Finance Journal, Elsevier, vol. 48(C).
- Pedersen, Lasse Heje & Fitzgibbons, Shaun & Pomorski, Lukasz, 2021. "Responsible investing: The ESG-efficient frontier," Journal of Financial Economics, Elsevier, vol. 142(2), pages 572-597.
2020
- Hegde, Shantaram & Seth, Rama & Vishwanatha, S.R., 2020. "Ownership concentration and stock returns: Evidence from family firms in India," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
- Asness, Cliff & Frazzini, Andrea & Gormsen, Niels Joachim & Pedersen, Lasse Heje, 2020.
"Betting against correlation: Testing theories of the low-risk effect,"
Journal of Financial Economics, Elsevier, vol. 135(3), pages 629-652.
- Pedersen, Lasse Heje & Asness, Clifford S. & Frazzini, Andrea & Gormsen, Niels Joachim, 2018. "Betting Against Correlation: Testing Theories of the Low-Risk Effect," CEPR Discussion Papers 12686, C.E.P.R. Discussion Papers.
- Arna Olafsson & Herdis Steingrimsdottir, 2020. "How Does Daddy at Home Affect Marital Stability?," The Economic Journal, Royal Economic Society, vol. 130(629), pages 1471-1500.
2019
- P Gorgi & P R Hansen & P Janus & S J Koopman, 2019.
"Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model,"
Journal of Financial Econometrics, Oxford University Press, vol. 17(1), pages 1-32.
- Peter Reinhard Hansen & Pawel Janus & Siem Jan Koopman, 2016. "Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model," Tinbergen Institute Discussion Papers 16-061/III, Tinbergen Institute.
- Rama Seth & S. R. Vishwanatha & Durga Prasad, 2019. "Allocation to Anchor Investors, Underpricing, and the After‐Market Performance of IPOs," Financial Management, Financial Management Association International, vol. 48(1), pages 159-186, March.
- Aggarwal, Raj & Jindal, Varun & Seth, Rama, 2019. "Board diversity and firm performance: The role of business group affiliation," International Business Review, Elsevier, vol. 28(6), pages 1-1.
- Jindal, Varun & Seth, Rama, 2019. "A new order of financing investments: Evidence from acquisitions by India’s listed firms," Journal of Corporate Finance, Elsevier, vol. 58(C), pages 307-328.
- Clifford S. Asness & Andrea Frazzini & Lasse Heje Pedersen, 2019. "Quality minus junk," Review of Accounting Studies, Springer, vol. 24(1), pages 34-112, March.
- Acharya, Viral V. & Pedersen, Lasse Heje, 2019. "Economics with Market Liquidity Risk," Critical Finance Review, now publishers, vol. 8(1-2), pages 111-125, December.
- Jensen, Christian Skov & Lando, David & Pedersen, Lasse Heje, 2019.
"Generalized recovery,"
Journal of Financial Economics, Elsevier, vol. 133(1), pages 154-174.
- Lasse Pedersen & David Lando & Christian Skov Jensen, 2016. "Generalized Recovery," 2016 Meeting Papers 935, Society for Economic Dynamics.
- Pedersen, Lasse Heje & Skov Jensen, Christian & Lando, David, 2018. "Generalized Recovery," CEPR Discussion Papers 12665, C.E.P.R. Discussion Papers.
- Bruce Carlin & Arna Olafsson & Michaela Pagel, 2019. "Generational Differences in Managing Personal Finances," AEA Papers and Proceedings, American Economic Association, vol. 109, pages 54-59, May.
2018
- Rohan Chinchwadkar & Rama Seth, 2018. "The Choice of Exit: Influence of Private Equity Investors and Buyout Entry," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(1_suppl), pages 1-26, April.
- Asness, Clifford & Frazzini, Andrea & Israel, Ronen & Moskowitz, Tobias J. & Pedersen, Lasse H., 2018.
"Size matters, if you control your junk,"
Journal of Financial Economics, Elsevier, vol. 129(3), pages 479-509.
- Pedersen, Lasse Heje & Asness, Clifford S. & Frazzini, Andrea & Israel, Ronen, 2018. "Size Matters, if You Control Your Junk," CEPR Discussion Papers 12684, C.E.P.R. Discussion Papers.
- Koijen, Ralph S.J. & Moskowitz, Tobias J. & Pedersen, Lasse Heje & Vrugt, Evert B., 2018.
"Carry,"
Journal of Financial Economics, Elsevier, vol. 127(2), pages 197-225.
- Ralph S.J. Koijen & Tobias J. Moskowitz & Lasse Heje Pedersen & Evert B. Vrugt, 2013. "Carry," NBER Working Papers 19325, National Bureau of Economic Research, Inc.
- Moskowitz, Tobias J & Pedersen, Lasse Heje & Koijen, Ralph & Vrugt, Evert B., 2013. "Carry," CEPR Discussion Papers 9771, C.E.P.R. Discussion Papers.
- Tim Bollerslev & Benjamin Hood & John Huss & Lasse Heje Pedersen, 2018.
"Risk Everywhere: Modeling and Managing Volatility,"
The Review of Financial Studies, Society for Financial Studies, vol. 31(7), pages 2729-2773.
- Pedersen, Lasse Heje & Bollerslev, Tim & Hood, Benjamin & Huss, John, 2018. "Risk Everywhere: Modeling and Managing Volatility," CEPR Discussion Papers 12687, C.E.P.R. Discussion Papers.
- Nicolae Gârleanu & Lasse Heje Pedersen, 2018.
"Efficiently Inefficient Markets for Assets and Asset Management,"
Journal of Finance, American Finance Association, vol. 73(4), pages 1663-1712, August.
- Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan, 2018. "Efficiently Inefficient Markets for Assets and Asset Management," CEPR Discussion Papers 12664, C.E.P.R. Discussion Papers.
- Nicolae B. Gârleanu & Lasse H. Pedersen, 2015. "Efficiently Inefficient Markets for Assets and Asset Management," NBER Working Papers 21563, National Bureau of Economic Research, Inc.
- Arna Olafsson & Michaela Pagel, 2018. "The Liquid Hand-to-Mouth: Evidence from Personal Finance Management Software," The Review of Financial Studies, Society for Financial Studies, vol. 31(11), pages 4398-4446.
2017
- Zhuo Huang & Tianyi Wang & Peter Reinhard Hansen, 2017. "Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(4), pages 328-358, April.
- Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2017.
"Measuring Systemic Risk,"
The Review of Financial Studies, Society for Financial Studies, vol. 30(1), pages 2-47.
- Viral V. Acharya & Christian Brownlees & Robert Engle & Farhang Farazmand & Matthew Richardson, 2013. "Measuring Systemic Risk," World Scientific Book Chapters, in: Oliviero Roggi & Edward I Altman (ed.), Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis, chapter 3, pages 65-98, World Scientific Publishing Co. Pte. Ltd..
- Viral V. Acharya, 2011. "Measuring Systemic Risk," World Scientific Book Chapters, in: Stijn Claessens & Douglas D Evanoff & George G Kaufman & Laura E Kodres (ed.), Macroprudential Regulatory Policies The New Road to Financial Stability?, chapter 10, pages 133-143, World Scientific Publishing Co. Pte. Ltd..
- Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2010. "Measuring systemic risk," Working Papers (Old Series) 1002, Federal Reserve Bank of Cleveland.
- Richardson, Matthew P & Philippon, Thomas & Acharya, Viral & Pedersen, Lasse Heje, 2012. "Measuring Systemic Risk," CEPR Discussion Papers 8824, C.E.P.R. Discussion Papers.
- Viral V. Acharya, 2010. "Measuring systemic risk," Proceedings 1140, Federal Reserve Bank of Chicago.
2016
- Peter Reinhard Hansen & Zhuo Huang, 2016.
"Exponential GARCH Modeling With Realized Measures of Volatility,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 269-287, April.
- Peter Reinhard Hansen & Zhuo Huang, 2012. "Exponential GARCH Modeling with Realized Measures of Volatility," Economics Working Papers ECO2012/26, European University Institute.
- Peter Reinhard Hansen & Zhuo Huang, 2012. "Exponential GARCH Modeling with Realized Measures of Volatility," CREATES Research Papers 2012-44, Department of Economics and Business Economics, Aarhus University.
- Gârleanu, Nicolae & Pedersen, Lasse Heje, 2016. "Dynamic portfolio choice with frictions," Journal of Economic Theory, Elsevier, vol. 165(C), pages 487-516.
- Jensen, Mads Vestergaard & Pedersen, Lasse Heje, 2016.
"Early option exercise: Never say never,"
Journal of Financial Economics, Elsevier, vol. 121(2), pages 278-299.
- Pedersen, Lasse Heje & Vestergaard Jensen, Mads, 2015. "Early Option Exercise: Never Say Never," CEPR Discussion Papers 11019, C.E.P.R. Discussion Papers.
- Arna Olafsson, 2016. "Household Financial Distress and Initial Endowments: Evidence from the 2008 Financial Crisis," Health Economics, John Wiley & Sons, Ltd., vol. 25(S2), pages 43-56, November.
2015
- Hansen, Peter Reinhard, 2015.
"A martingale decomposition of discrete Markov chains,"
Economics Letters, Elsevier, vol. 133(C), pages 14-18.
- Peter Reinhard Hansen, 2015. "A Martingale Decomposition of Discrete Markov Chains," CREATES Research Papers 2015-18, Department of Economics and Business Economics, Aarhus University.
- Peter Reinhard Hansen & Allan Timmermann, 2015. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 17-21, January.
- Peter Reinhard Hansen & Allan Timmermann, 2015.
"Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics,"
Econometrica, Econometric Society, vol. 83, pages 2485-2505, November.
- Peter Reinhard Hansen & Allan Timmermann, 2012. "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," Economics Working Papers ECO2012/24, European University Institute.
- Peter Reinhard Hansen & Allan Timmermann, 2012. "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," CREATES Research Papers 2012-45, Department of Economics and Business Economics, Aarhus University.
- Vardardottir, Arna, 2015. "The impact of classroom peers in a streaming system," Economics of Education Review, Elsevier, vol. 49(C), pages 110-128.
2014
- Hansen, Peter R. & Lunde, Asger, 2014.
"Estimating The Persistence And The Autocorrelation Function Of A Time Series That Is Measured With Error,"
Econometric Theory, Cambridge University Press, vol. 30(1), pages 60-93, February.
- Peter R. Hansen & Asger Lunde, 2010. "Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error," CREATES Research Papers 2010-08, Department of Economics and Business Economics, Aarhus University.
- Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2014. "Realized Beta Garch: A Multivariate Garch Model With Realized Measures Of Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 774-799, August.
- Haq, Mamiza & Faff, Robert & Seth, Rama & Mohanty, Sunil, 2014. "Disciplinary tools and bank risk exposure," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 37-64.
- Frazzini, Andrea & Pedersen, Lasse Heje, 2014.
"Betting against beta,"
Journal of Financial Economics, Elsevier, vol. 111(1), pages 1-25.
- Andrea Frazzini & Lasse H. Pedersen, 2010. "Betting Against Beta," NBER Working Papers 16601, National Bureau of Economic Research, Inc.
- Andrea Frazzini & Lasse Heje Pedersen, 2012. "Betting Against Beta," Swiss Finance Institute Research Paper Series 12-17, Swiss Finance Institute.
2013
- Clifford S. Asness & Tobias J. Moskowitz & Lasse Heje Pedersen, 2013. "Value and Momentum Everywhere," Journal of Finance, American Finance Association, vol. 68(3), pages 929-985, June.
- Nicolae Gârleanu & Lasse Heje Pedersen, 2013.
"Dynamic Trading with Predictable Returns and Transaction Costs,"
Journal of Finance, American Finance Association, vol. 68(6), pages 2309-2340, December.
- Nicolae B. Garleanu & Lasse H. Pedersen, 2009. "Dynamic Trading with Predictable Returns and Transaction Costs," NBER Working Papers 15205, National Bureau of Economic Research, Inc.
- Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan, 2009. "Dynamic Trading with Predictable Returns and Transaction Costs," CEPR Discussion Papers 7392, C.E.P.R. Discussion Papers.
- Vardardottir, Arna, 2013. "Peer effects and academic achievement: a regression discontinuity approach," Economics of Education Review, Elsevier, vol. 36(C), pages 108-121.
2012
- Peter Reinhard Hansen & Zhuo Huang & Howard Howan Shek, 2012. "Realized GARCH: a joint model for returns and realized measures of volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 877-906, September.
- Moskowitz, Tobias J. & Ooi, Yao Hua & Pedersen, Lasse Heje, 2012. "Time series momentum," Journal of Financial Economics, Elsevier, vol. 104(2), pages 228-250.
2011
- Peter R. Hansen & Asger Lunde & James M. Nason, 2011.
"The Model Confidence Set,"
Econometrica, Econometric Society, vol. 79(2), pages 453-497, March.
- Peter R. Hansen & Asger Lunde & James M. Nason, 2010. "The Model Confidence Set," CREATES Research Papers 2010-76, Department of Economics and Business Economics, Aarhus University.
- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011.
"Subsampling realised kernels,"
Journal of Econometrics, Elsevier, vol. 160(1), pages 204-219, January.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006. "Subsampling realised kernels," Economics Papers 2006-W10, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Peter R. Hansen & Asger Lunde & Neil Shephard, 2006. "Subsampling realised kernels," OFRC Working Papers Series 2006fe06, Oxford Financial Research Centre.
- Neil Shephard & Ole E. Barndorff-Nielsen & Asger Lunde, 2006. "Subsampling realised kernels," Economics Series Working Papers 278, University of Oxford, Department of Economics.
- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011.
"Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading,"
Journal of Econometrics, Elsevier, vol. 162(2), pages 149-169, June.
- Neil Shephard & Ole E. Barndorff-Nielsen & Peter Reinhard Hansen, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Series Working Papers 397, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," OFRC Working Papers Series 2008fe29, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2009. "Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading," Global COE Hi-Stat Discussion Paper Series gd08-037, Institute of Economic Research, Hitotsubashi University.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Papers 2008-W10, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2011. "Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Post-Print hal-00815564, HAL.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," CREATES Research Papers 2008-63, Department of Economics and Business Economics, Aarhus University.
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2011.
"How Sovereign Is Sovereign Credit Risk?,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 75-103, April.
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2007. "How Sovereign is Sovereign Credit Risk?," NBER Working Papers 13658, National Bureau of Economic Research, Inc.
- Nicolae Gârleanu & Lasse Heje Pedersen, 2011.
"Margin-based Asset Pricing and Deviations from the Law of One Price,"
The Review of Financial Studies, Society for Financial Studies, vol. 24(6), pages 1980-2022.
- Nicolae Gârleanu & Lasse Heje Pedersen, 2011. "Margin-Based Asset Pricing and Deviations from the Law of One Price," NBER Working Papers 16777, National Bureau of Economic Research, Inc.
2009
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2009.
"Market Liquidity and Funding Liquidity,"
The Review of Financial Studies, Society for Financial Studies, vol. 22(6), pages 2201-2238, June.
- Brunnermeier, Markus K. & Pedersen, Lasse Heje, 2007. "Market liquidity and funding liquidity," LSE Research Online Documents on Economics 24478, London School of Economics and Political Science, LSE Library.
- Lasse Heje Pederson & Markus K Brunnermeier, 2007. "Market Liquidity and Funding Liquidity," FMG Discussion Papers dp580, Financial Markets Group.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2007. "Market Liquidity and Funding Liquidity," NBER Working Papers 12939, National Bureau of Economic Research, Inc.
- Brunnermeier, Markus & Pedersen, Lasse Heje, 2007. "Market Liquidity and Funding Liquidity," CEPR Discussion Papers 6179, C.E.P.R. Discussion Papers.
- Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2009.
"Demand-Based Option Pricing,"
The Review of Financial Studies, Society for Financial Studies, vol. 22(10), pages 4259-4299, October.
- Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2005. "Demand-Based Option Pricing," NBER Working Papers 11843, National Bureau of Economic Research, Inc.
- Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan & ,, 2005. "Demand-Based Option Pricing," CEPR Discussion Papers 5420, C.E.P.R. Discussion Papers.
- Lasse Pedersen, 2009.
"When Everyone Runs for the Exit,"
International Journal of Central Banking, International Journal of Central Banking, vol. 5(4), pages 177-199, December.
- Lasse Heje Pedersen, 2009. "When Everyone Runs for the Exit," NBER Working Papers 15297, National Bureau of Economic Research, Inc.
- Pedersen, Lasse Heje, 2009. "When Everyone Runs for the Exit," CEPR Discussion Papers 7436, C.E.P.R. Discussion Papers.
2008
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008.
"Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise,"
Econometrica, Econometric Society, vol. 76(6), pages 1481-1536, November.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006. "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," Economics Papers 2006-W03, Economics Group, Nuffield College, University of Oxford.
- Ole E Barndorff-Nielsen & Peter Hansen & Asger Lunde & Neil Shephard, 2006. "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," OFRC Working Papers Series 2006fe05, Oxford Financial Research Centre.
- Allan Zebedee & Eric Bentzen & Peter Hansen & Asger Lunde, 2008. "The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 22(1), pages 3-20, March.
- Peter Hansen & Jeremy Large & Asger Lunde, 2008. "Moving Average-Based Estimators of Integrated Variance," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 79-111.
2007
- Rai, Anoop & Seth, Rama & Mohanty, Sunil K., 2007. "The impact of discount rate changes on market interest rates: Evidence from three European countries and Japan," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 905-923, October.
- Nicolae Gârleanu & Lasse Heje Pedersen, 2007.
"Liquidity and Risk Management,"
American Economic Review, American Economic Association, vol. 97(2), pages 193-197, May.
- Nicolae B. Garleanu & Lasse H. Pedersen, 2007. "Liquidity and Risk Management," NBER Working Papers 12887, National Bureau of Economic Research, Inc.
- Darrell Duffie & Nicolae Gârleanu & Lasse Heje Pedersen, 2007.
"Valuation in Over-the-Counter Markets,"
The Review of Financial Studies, Society for Financial Studies, vol. 20(6), pages 1865-1900, November.
- Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2006. "Valuation in Over-the-Counter Markets," NBER Working Papers 12020, National Bureau of Economic Research, Inc.
- Duffie, Darrell & Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan, 2006. "Valuation in Over-the-Counter Markets," CEPR Discussion Papers 5491, C.E.P.R. Discussion Papers.
- Lasse Heje Pedersen & Mark Mitchell & Todd Pulvino, 2007.
"Slow Moving Capital,"
American Economic Review, American Economic Association, vol. 97(2), pages 215-220, May.
- Pedersen, Lasse Heje & Mitchell, Mark & Pulvino, Todd, 2007. "Slow Moving Capital," CEPR Discussion Papers 6117, C.E.P.R. Discussion Papers.
- Mark Mitchell & Lasse Heje Pedersen & Todd Pulvino, 2007. "Slow Moving Capital," NBER Working Papers 12877, National Bureau of Economic Research, Inc.
2006
- Hansen, Peter R. & Lunde, Asger, 2006. "Realized Variance and Market Microstructure Noise," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 127-161, April.
- Hansen, Peter R. & Lunde, Asger, 2006. "Rejoinder," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 208-218, April.
- Hansen, Peter Reinhard & Lunde, Asger, 2006. "Consistent ranking of volatility models," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 97-121.
- Amihud, Yakov & Mendelson, Haim & Pedersen, Lasse Heje, 2006.
"Liquidity and Asset Prices,"
Foundations and Trends(R) in Finance, now publishers, vol. 1(4), pages 269-364, February.
- Amihud, Yakov & Mendelson, Haim & Pedersen, Lasse Heje, 2005. "Liquidity and Asset Prices," MPRA Paper 24768, University Library of Munich, Germany.
2005
- Hansen, Peter Reinhard, 2005. "A Test for Superior Predictive Ability," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 365-380, October.
- Peter Reinhard Hansen, 2005. "Granger's representation theorem: A closed-form expression for I(1) processes," Econometrics Journal, Royal Economic Society, vol. 8(1), pages 23-38, March.
- Asger Lunde & Peter R. Hansen, 2005.
"A forecast comparison of volatility models: does anything beat a GARCH(1,1)?,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 873-889.
- Asger Lunde & Peter Reinhard Hansen, 2001. "A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?," Working Papers 2001-04, Brown University, Department of Economics.
- Peter Reinhard Hansen & Asger Lunde, 2005. "A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data," Journal of Financial Econometrics, Oxford University Press, vol. 3(4), pages 525-554.
- Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2005.
"Over-the-Counter Markets,"
Econometrica, Econometric Society, vol. 73(6), pages 1815-1847, November.
- Darrell Duffie, 2012. "Over-The-Counter Markets," Introductory Chapters, in: Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets, Princeton University Press.
- Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2004. "Over-the-Counter Markets," NBER Working Papers 10816, National Bureau of Economic Research, Inc.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2005.
"Predatory Trading,"
Journal of Finance, American Finance Association, vol. 60(4), pages 1825-1863, August.
- Lasse H. Pedersen & Markus Brunnermeier, 2004. "Predatory Trading," Econometric Society 2004 North American Winter Meetings 425, Econometric Society.
- Markus K Brunnermeier & Lasse Heje Pederson, 2003. "Predatory Trading," FMG Discussion Papers dp441, Financial Markets Group.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2004. "Predatory Trading," NBER Working Papers 10755, National Bureau of Economic Research, Inc.
- Brunnermeier, Markus K. & Pederson, Lasse Heje, 2003. "Predatory trading," LSE Research Online Documents on Economics 24829, London School of Economics and Political Science, LSE Library.
- Brunnermeier, Markus & Pedersen, Lasse Heje, 2004. "Predatory Trading," CEPR Discussion Papers 4639, C.E.P.R. Discussion Papers.
- Acharya, Viral V. & Pedersen, Lasse Heje, 2005.
"Asset pricing with liquidity risk,"
Journal of Financial Economics, Elsevier, vol. 77(2), pages 375-410, August.
- Acharya, Viral & Pedersen, Lasse Heje, 2004. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 4718, C.E.P.R. Discussion Papers.
- Acharya, Viral & Pedersen, Lasse Heje, 2003. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 3749, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Lasse Heje Pedersen, 2004. "Asset Pricing with Liquidity Risk," NBER Working Papers 10814, National Bureau of Economic Research, Inc.
2004
- Nicolae Gârleanu, 2004. "Adverse Selection and the Required Return," The Review of Financial Studies, Society for Financial Studies, vol. 17(3), pages 643-665.
2003
- Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2003.
"Choosing the Best Volatility Models: The Model Confidence Set Approach,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 839-861, December.
- Peter Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the Best Volatility Models:The Model Confidence Set Approach," Working Papers 2003-05, Brown University, Department of Economics.
- Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the best volatility models: the model confidence set approach," FRB Atlanta Working Paper 2003-28, Federal Reserve Bank of Atlanta.
- Hansen, Peter Reinhard, 2003.
"Structural changes in the cointegrated vector autoregressive model,"
Journal of Econometrics, Elsevier, vol. 114(2), pages 261-295, June.
- Peter Reinhard Hansen, 2000. "Structural Changes in the Cointegrated Vector Autoregressive Model," Working Papers 2000-20, Brown University, Department of Economics.
- Darrell Duffie & Lasse Heje Pedersen & Kenneth J. Singleton, 2003. "Modeling Sovereign Yield Spreads: A Case Study of Russian Debt," Journal of Finance, American Finance Association, vol. 58(1), pages 119-159, February.
2002
- Duffie, Darrell & Garleanu, Nicolae & Pedersen, Lasse Heje, 2002. "Securities lending, shorting, and pricing," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 307-339.
2000
- Altunbas, Yener & Liu, Ming-Hau & Molyneux, Philip & Seth, Rama, 2000. "Efficiency and risk in Japanese banking," Journal of Banking & Finance, Elsevier, vol. 24(10), pages 1605-1628, October.
1995
- Niels Fredriksen & Peter Hansen & Henrik Jacobsen & Peter Sørensen, 1995. "Subsidising consumer services: effects on employment, welfare and the informal economy," Fiscal Studies, Institute for Fiscal Studies, vol. 16(2), pages 71-93, May.
1993
- Seth, Rama & Quijano, Alicia M., 1993.
"Growth in Japanese lending and direct investment in the United States: are they related?,"
Japan and the World Economy, Elsevier, vol. 5(4), pages 363-372, December.
- Alicia Quijano & Rama Seth, 1991. "Growth in Japanese lending and direct investment in the United States: are they related?," Research Paper 9101, Federal Reserve Bank of New York.
1992
- Rama Seth, 1992. "Corporate Leverage And The Business Cycle," Contemporary Economic Policy, Western Economic Association International, vol. 10(1), pages 65-80, January.
- Robert N. McCauley & Rama Seth, 1992. "Foreign bank credit to U.S. corporations: the implications of offshore loans," Quarterly Review, Federal Reserve Bank of New York, vol. 17(Spr), pages 52-65.
1991
- Alicia Quijano & Rama Seth, 1991. "In brief economic capsules: Japanese banks' customers in the United States," Quarterly Review, Federal Reserve Bank of New York, vol. 16(Spr), pages 79-82.
1990
- Rama Seth, 1990. "Is rising leverage a problem?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue mar30.
1989
- Rama Seth, 1989. "Distributional issues in privatization," Quarterly Review, Federal Reserve Bank of New York, vol. 14(Sum), pages 29-43.
1987
- Robert N. McCauley & Rama Seth, 1987. "Financial consequences of new Asian surpluses," Quarterly Review, Federal Reserve Bank of New York, vol. 12(Sum), pages 32-44.
Books
2015
- Lasse Heje Pedersen, 2015. "Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined," Economics Books, Princeton University Press, edition 1, number 10441.
2013
- Amihud,Yakov & Mendelson,Haim & Pedersen,Lasse Heje, 2013.
"Market Liquidity,"
Cambridge Books,
Cambridge University Press, number 9780521139656.
- Amihud,Yakov & Mendelson,Haim & Pedersen,Lasse Heje, 2013. "Market Liquidity," Cambridge Books, Cambridge University Press, number 9780521191760.
1998
- Hansen, Peter Reinhard & Johansen, Soren, 1998. "Workbook on Cointegration," OUP Catalogue, Oxford University Press, number 9780198776079, Decembrie.
1994
- Rama Seth, 1994. "Foreign credit expansion in the United States," Monograph, Federal Reserve Bank of New York, number 1994fceitu.
1990
- Rama Seth, 1990.
"Leverage and cyclicality,"
Monograph,
Federal Reserve Bank of New York, number 1990la.
- Rama Seth, 1990. "Leverage and cyclicality," Research Paper 9027, Federal Reserve Bank of New York.
- Rama Seth, 1990. "Leverage and cyclicality," Working Papers in Applied Economic Theory 90-01, Federal Reserve Bank of San Francisco.
Chapters
2015
- Lasse Heje Pedersen, 2015. "Introduction," Introductory Chapters, in: Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined, Princeton University Press.
2013
- Viral V. Acharya & Lasse Pedersen & Thomas Philippon & Matthew Richardson, 2013. "Taxing Systemic Risk," World Scientific Book Chapters, in: Oliviero Roggi & Edward I Altman (ed.), Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis, chapter 4, pages 99-122, World Scientific Publishing Co. Pte. Ltd..
2012
- Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2012. "How to Calculate Systemic Risk Surcharges," NBER Chapters, in: Quantifying Systemic Risk, pages 175-212, National Bureau of Economic Research, Inc.
- John Geanakoplos & Lasse Heje Pedersen, 2012.
"Monitoring Leverage,"
NBER Chapters, in: Risk Topography: Systemic Risk and Macro Modeling, pages 113-127,
National Bureau of Economic Research, Inc.
- John Geanakoplos & Lasse H. Pedersen, 2011. "Monitoring Leverage," Cowles Foundation Discussion Papers 1838, Cowles Foundation for Research in Economics, Yale University.
2011
- Adam Ashcraft & Nicolae Gârleanu & Lasse Heje Pedersen, 2011.
"Two Monetary Tools: Interest Rates and Haircuts,"
NBER Chapters, in: NBER Macroeconomics Annual 2010, volume 25, pages 143-180,
National Bureau of Economic Research, Inc.
- Nicolae B. Garleanu & Lasse Heje Pedersen & Adam B. Ashcraft, 2010. "Two Monetary Tools: Interest-Rates and Haircuts," 2010 Meeting Papers 1102, Society for Economic Dynamics.
- Pedersen, Lasse Heje & Ashcraft, Adam & Garleanu, Nicolae Bogdan, 2010. "Two Monetary Tools: Interest Rates and Haircuts," CEPR Discussion Papers 8000, C.E.P.R. Discussion Papers.
- Adam Ashcraft & Nicolae Gârleanu & Lasse Heje Pedersen, 2010. "Two Monetary Tools: Interest Rates and Haircuts," NBER Working Papers 16337, National Bureau of Economic Research, Inc.
2009
- Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2009.
"Carry Trades and Currency Crashes,"
NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 313-347,
National Bureau of Economic Research, Inc.
- Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008. "Carry Trades and Currency Crashes," Working Papers 2008-1, Princeton University. Economics Department..
- Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008. "Carry Trades and Currency Crashes," NBER Working Papers 14473, National Bureau of Economic Research, Inc.