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Anurag Gupta

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Deuskar, Prachi & Gupta, Anurag & Subrahmanyam, Marti G., 2011. "Liquidity effect in OTC options markets: Premium or discount?," Journal of Financial Markets, Elsevier, vol. 14(1), pages 127-160, February.

    Mentioned in:

    1. Liquidity as static
      by JP Koning in Moneyness on 2015-04-09 07:37:00

Working papers

  1. Marti G. Subrahmanyam & Anurag Gupta, 1998. "An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-068, New York University, Leonard N. Stern School of Business-.

    Cited by:

    1. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2019. "Benchmark Interest Rates When the Government is Risky," NBER Working Papers 26429, National Bureau of Economic Research, Inc.
    2. Josh Lerner, 2002. "Where Does State Street Lead? A First Look at Finance Patents, 1971 to 2000," Journal of Finance, American Finance Association, vol. 57(2), pages 901-930, April.
    3. Liu, Jun & Longstaff, Francis A. & Mandell, Ravit E., 2000. "The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads," University of California at Los Angeles, Anderson Graduate School of Management qt0zw4f9w6, Anderson Graduate School of Management, UCLA.
    4. Longstaff, Francis A. & Santa-Clara, Pedro & Schwartz, Eduardo S., 2001. "Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market," Journal of Financial Economics, Elsevier, vol. 62(1), pages 39-66, October.
    5. Teo, Melvyn, 2011. "The liquidity risk of liquid hedge funds," Journal of Financial Economics, Elsevier, vol. 100(1), pages 24-44, April.
    6. Urban Jermann, 2019. "Negative Swap Spreads and Limited Arbitrage," NBER Working Papers 25422, National Bureau of Economic Research, Inc.
    7. Vladimir Pozdnyakov & J. Michael Steele, 2009. "Convexity Bias in Eurodollar Futures Prices: A Dimension-Free HJM Criterion," Methodology and Computing in Applied Probability, Springer, vol. 11(4), pages 551-560, December.
    8. Gupta, Anurag & Subrahmanyam, Marti G., 2005. "Pricing and hedging interest rate options: Evidence from cap-floor markets," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 701-733, March.
    9. Don H. Kim & Athanasios Orphanides, 2005. "Term structure estimation with survey data on interest rate forecasts," Finance and Economics Discussion Series 2005-48, Board of Governors of the Federal Reserve System (U.S.).
    10. Azad, A.S.M. Sohel & Fang, Victor & Hung, Chi-Hsiou, 2012. "Linking the interest rate swap markets to the macroeconomic risk: The UK and us evidence," International Review of Financial Analysis, Elsevier, vol. 22(C), pages 38-47.
    11. Stefania D'Amico & Don H. Kim & Min Wei, 2010. "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," Finance and Economics Discussion Series 2010-19, Board of Governors of the Federal Reserve System (U.S.).
    12. Jun Liu & Francis A. Longstaff & Ravit E. Mandell, 2006. "The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2337-2360, September.
    13. Azad, A.S.M. Sohel & Batten, Jonathan A. & Fang, Victor, 2015. "What determines the yen swap spread?," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 1-13.
    14. Sandra Peterson & Richard C. Stapleton & Marti G. Subrahmanyam, 1999. "The Valuation of American-Style Swaptions in a Two-factor Spot-Futures Model," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-078, New York University, Leonard N. Stern School of Business-.
    15. Nneji, Ogonna, 2015. "Liquidity shocks and stock bubbles," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 132-146.
    16. Poskitt, Russell, 2006. "Swap pricing: Evidence from the sterling swap market," Global Finance Journal, Elsevier, vol. 17(2), pages 294-308, December.
    17. Antulio N. Bomfim, 2003. "Counterparty credit risk in interest rate swaps during times of market stress," Finance and Economics Discussion Series 2003-09, Board of Governors of the Federal Reserve System (U.S.).
    18. Rebonato, Riccardo & Ronzani, Riccardo, 2021. "Is convexity efficiently priced? Evidence from international swap markets," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 392-413.
    19. Tang, Tao & Wang, Yanchen, 2022. "Liquidity Shocks, Price Volatilities, and Risk-managed Strategy: Evidence from Bitcoin and Beyond," Journal of Multinational Financial Management, Elsevier, vol. 64(C).
    20. Vahidreza Yousefi & Siamak Haji Yakhchali & Jolanta Tamošaitienė, 2019. "Application of Duration Measure in Quantifying the Sensitivity of Project Returns to Changes in Discount Rates," Administrative Sciences, MDPI, vol. 9(1), pages 1-14, February.
    21. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2018. "Central bank-driven mispricing," SAFE Working Paper Series 226, Leibniz Institute for Financial Research SAFE, revised 2018.
    22. Adam Kobor & Lishan Shi & Ivan Zelenko, 2005. "What Determines U.S. Swap Spreads?," World Bank Publications - Books, The World Bank Group, number 7272, December.
    23. Sohel Azad, A.S.M. & Batten, Jonathan A. & Fang, Victor & Wickramanayake, Jayasinghe, 2015. "International swap market contagion and volatility," Economic Modelling, Elsevier, vol. 47(C), pages 355-371.
    24. Jyh-Horng Lin & Min-Li Yi, 2005. "Loan Portfolio Swaps and Optimal Lending," Review of Quantitative Finance and Accounting, Springer, vol. 24(2), pages 177-198, January.
    25. Conghui Hu & Zhibing Li & Xiaoyu Liu, 2020. "Liquidity shocks, commodity financialization, and market comovements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(9), pages 1315-1336, September.
    26. Boyson, Nicole M. & Stahel, Christof W. & Stulz, Rene M., 2011. "Liquidity Shocks and Hedge Fund Contagion," Working Paper Series 2011-12, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    27. Joslin, Scott & Konchitchki, Yaniv, 2018. "Interest rate volatility, the yield curve, and the macroeconomy," Journal of Financial Economics, Elsevier, vol. 128(2), pages 344-362.
    28. Dai, Qiang & Singleton, Kenneth J., 2003. "Fixed-income pricing," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 20, pages 1207-1246, Elsevier.
    29. Scott Joslin & Anh Le, 2021. "Interest Rate Volatility and No-Arbitrage Affine Term Structure Models," Management Science, INFORMS, vol. 67(12), pages 7391-7416, December.
    30. Longstaff, Francis A & Santa-Clara, Pedro & Schwartz, Eduardo S, 2000. "The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence," University of California at Los Angeles, Anderson Graduate School of Management qt65f1914p, Anderson Graduate School of Management, UCLA.
    31. Colin Lizieri & Gianluca Marcato & Paul Ogden & Andrew Baum, 2012. "Pricing Inefficiencies in Private Real Estate Markets Using Total Return Swaps," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 774-803, October.
    32. Nicole M. Boyson & Christof W. Stahel & René M. Stulz, 2010. "Hedge Fund Contagion and Liquidity Shocks," Journal of Finance, American Finance Association, vol. 65(5), pages 1789-1816, October.
    33. Peterson, Sandra & Stapleton, Richard C. & Subrahmanyam, Marti G., 2003. "A Multifactor Spot Rate Model for the Pricing of Interest Rate Derivatives," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(4), pages 847-880, December.
    34. Marti G. Subrahmanyam & Young Ho Eom & Jun Uno, 2000. "Credit Risk and the Pricing of Japanese Yen Interest Rate Swaps," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-069, New York University, Leonard N. Stern School of Business-.
    35. Hendrik Hülsbusch & Alexander Kraftschik, 2018. "Consistency between S&P500 and VIX derivatives: Insights from model‐free VIX futures pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(8), pages 977-995, August.

Articles

  1. Deuskar, Prachi & Gupta, Anurag & Subrahmanyam, Marti G., 2011. "Liquidity effect in OTC options markets: Premium or discount?," Journal of Financial Markets, Elsevier, vol. 14(1), pages 127-160, February.

    Cited by:

    1. Loon, Yee Cheng & Zhong, Zhaodong (Ken), 2016. "Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports," Journal of Financial Economics, Elsevier, vol. 119(3), pages 645-672.
    2. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2019. "Benchmark Interest Rates When the Government is Risky," NBER Working Papers 26429, National Bureau of Economic Research, Inc.
    3. Loon, Yee Cheng & Zhong, Zhaodong Ken, 2014. "The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market," Journal of Financial Economics, Elsevier, vol. 112(1), pages 91-115.
    4. Nina Karnaukh & Angelo Ranaldo & Paul Söderlind, 2015. "Understanding FX Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3073-3108.
    5. Chunbo Liu & Cheng Zhang & Zhiping Zhou, 2018. "From funding liquidity to market liquidity: Evidence from the index options market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(10), pages 1189-1205, October.
    6. Chambers, David, 2019. "Commodity Option Pricing Efficiency before Black Scholes Merton," CEPR Discussion Papers 13975, C.E.P.R. Discussion Papers.
    7. David Chambers & Rasheed Saleuddin, 2020. "Commodity option pricing efficiency before Black, Scholes, and Merton," Economic History Review, Economic History Society, vol. 73(2), pages 540-564, May.
    8. Park, Yang-Ho, 2015. "Volatility-of-volatility and tail risk hedging returns," Journal of Financial Markets, Elsevier, vol. 26(C), pages 38-63.
    9. Lazar, Emese & Qi, Shuyuan, 2022. "Model risk in the over-the-counter market," European Journal of Operational Research, Elsevier, vol. 298(2), pages 769-784.
    10. Ramachandran, Lakshmi Shankar & Tayal, Jitendra, 2021. "Mispricing, short-sale constraints, and the cross-section of option returns," Journal of Financial Economics, Elsevier, vol. 141(1), pages 297-321.
    11. Cao, Melanie & Wei, Jason, 2010. "Option market liquidity: Commonality and other characteristics," Journal of Financial Markets, Elsevier, vol. 13(1), pages 20-48, February.
    12. Kanne, Stefan & Korn, Olaf & Uhrig-Homburg, Marliese, 2023. "Stock illiquidity and option returns," Journal of Financial Markets, Elsevier, vol. 63(C).
    13. Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Orłowski, Piotr & Subrahmanyam, Marti G., 2023. "Informed options strategies before corporate events," Journal of Financial Markets, Elsevier, vol. 63(C).
    14. Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2012. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers on Finance 1213, University of St. Gallen, School of Finance.
    15. Xuejun Jin & Jingyu Zhao & Xingguo Luo, 2022. "Why are the prices of European‐style derivatives greater than the prices of American‐style derivatives?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1772-1793, September.
    16. Szu, Wen-Ming & Wang, Ming-Chun & Yang, Wan-Ru, 2011. "The determinants of exchange settlement practices and the implication of volatility smile: Evidence from the Taiwan Futures Exchange," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 826-838, October.
    17. Amir Alizadeh & Konstantina Kappou & Dimitris Tsouknidis & Ilias Visvikis, 2014. "Liquidity Risk Premia in the International Shipping Derivatives Market," ICMA Centre Discussion Papers in Finance icma-dp2014-15, Henley Business School, University of Reading.
    18. Lovreta, Lidija & Silaghi, Florina, 2020. "The surface of implied firm’s asset volatility," Journal of Banking & Finance, Elsevier, vol. 112(C).
    19. Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2011. "Illiquidity Premia in the Equity Options Market," CREATES Research Papers 2011-43, Department of Economics and Business Economics, Aarhus University.
    20. Pan, Zheyao & Chan, Kam Fong, 2018. "A new government bond volatility index predictor for the U.S. equity premium," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 200-215.
    21. Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Subrahmanyam, Marti G., 2016. "How do insiders trade?," CFS Working Paper Series 541, Center for Financial Studies (CFS).
    22. Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Orłowski, Piotr & Subrahmanyam, Marti G., 2022. "Informed options strategies before corporate events," LawFin Working Paper Series 39, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
    23. Piccotti, Louis R. & Schreiber, Ben Z., 2015. "Information shares of two parallel currency options markets: Trading costs versus transparency/tradability," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 210-229.
    24. Jungmu Kim & Yuen Jung Park, 2020. "Predictability of OTC Option Volatility for Future Stock Volatility," Sustainability, MDPI, vol. 12(12), pages 1-23, June.
    25. Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2021. "Optimal investment, derivative demand, and arbitrage under price impact," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 3-35, January.
    26. Deuskar, Prachi & Gupta, Anurag & Subrahmanyam, Marti G., 2008. "The economic determinants of interest rate option smiles," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 714-728, May.
    27. Christian Meine & Hendrik Supper & Gregor Weiß, 2015. "Do CDS spreads move with commonality in liquidity?," Review of Derivatives Research, Springer, vol. 18(3), pages 225-261, October.
    28. Alizadeh, Amir H. & Kappou, Konstantina & Tsouknidis, Dimitris & Visvikis, Ilias, 2015. "Liquidity effects and FFA returns in the international shipping derivatives market," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 76(C), pages 58-75.
    29. Michele Bonollo & Irene Crimaldi & Andrea Flori & Laura Gianfagna & Fabio Pammolli, 2016. "Assessing financial distress dependencies in OTC markets: a new approach using trade repositories data," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(4), pages 397-426, November.
    30. Lin, Zih-Ying & Chang, Chuang-Chang & Wang, Yaw-Huei, 2018. "The impacts of asymmetric information and short sales on the illiquidity risk premium in the stock option market," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 152-165.
    31. Wei, Jason & Zheng, Jinguo, 2010. "Trading activity and bid-ask spreads of individual equity options," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2897-2916, December.
    32. Choy, Siu Kai & Wei, Jason, 2020. "Liquidity risk and expected option returns," Journal of Banking & Finance, Elsevier, vol. 111(C).

  2. Berndt, Antje & Gupta, Anurag, 2009. "Moral hazard and adverse selection in the originate-to-distribute model of bank credit," Journal of Monetary Economics, Elsevier, vol. 56(5), pages 725-743, July.

    Cited by:

    1. Segura, Anatoli & Zeng, Jing, 2020. "Off-balance sheet funding, voluntary support and investment efficiency," Journal of Financial Economics, Elsevier, vol. 137(1), pages 90-107.
    2. Gary Biglaiser & Fei Li & Charles Murry & Yiyi Zhou, 2020. "Intermediaries and product quality in used car markets," RAND Journal of Economics, RAND Corporation, vol. 51(3), pages 905-933, September.
    3. Spiros Bougheas, 2014. "Pooling, tranching, and credit expansion," Oxford Economic Papers, Oxford University Press, vol. 66(2), pages 557-579.
    4. Cécile Bastidon, 2014. "Households credits and financial stability," Post-Print hal-01021280, HAL.
    5. Cerutti, Eugenio & Hale, Galina & Minoiu, Camelia, 2023. "Financial Crises and the Composition of Cross-Border Lending," Santa Cruz Department of Economics, Working Paper Series qt9m42j1b7, Department of Economics, UC Santa Cruz.
    6. Vincenzo D’Apice & Giovanni Ferri & Punziana Lacitignola, 2016. "Rating Performance and Bank Business Models: Is There a Change with the 2007–2009 Crisis?," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 2(3), pages 385-420, November.
    7. Gopalakrishnan, Balagopal & Mohapatra, Sanket, 2019. "Diversified Syndicate Structure and Loan Spreads for Non-U.S. Firms," MPRA Paper 96297, University Library of Munich, Germany.
    8. Agnès Bénassy-Quéré & Benoît Coeuré & Pierre Jacquet & Jean Pisani-Ferry, 2009. "The Crisis: Policy Lessons and Policy Challenges," Working Papers 2009-28, CEPII research center.
    9. Mico APOSTOLOV, 2016. "Ownership And Control Structures A Case Study," Management Research and Practice, Research Centre in Public Administration and Public Services, Bucharest, Romania, vol. 8(2), pages 23-37, June.
    10. Amélie Artis & Simon Cornée, 2013. "Transformation informationnelle, certification et intermédiation financière : le cas de la banque solidaire," Economics Working Paper Archive (University of Rennes 1 & University of Caen) 201326, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS.
    11. Shanuka Senarath & Pelma Rajapakse & Jan Job de Vries Robbé & Naveen Wickremeratne & Maduka Subasinghage, 2022. "Being Naked - et Quo hinc ?: Developing a ‘Skin-in-the-Game’ Solution for Credit Default Swaps," IJFS, MDPI, vol. 10(4), pages 1-14, October.
    12. Ing-Haw Cheng & Sahil Raina & Wei Xiong, 2014. "Wall Street and the Housing Bubble," American Economic Review, American Economic Association, vol. 104(9), pages 2797-2829, September.
    13. Butzbach Olivier & von Mettenheim Kurt E., 2015. "Alternative Banking and Theory," Accounting, Economics, and Law: A Convivium, De Gruyter, vol. 5(2), pages 105-171, July.
    14. Liu, Wenzhen & Wu, Wenfeng, 2023. "Underwriter reputation and the pricing of securities: Evidence from asset-backed securities," International Review of Financial Analysis, Elsevier, vol. 88(C).
    15. Fabian Lindner, 2014. "The Interaction of Mortgage Credit and Housing Prices in the US," IMK Working Paper 133-2014, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    16. Wagner, Wolf & Bongaerts, Dion & Mazzola, Francesco, 2021. "Fire Sale Risk and Credit," CEPR Discussion Papers 15798, C.E.P.R. Discussion Papers.
    17. Seog, S. Hun & Hong, Jimin, 2019. "The efficiency effects of life settlement on the life insurance market," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 395-412.
    18. Francesc Dilmé & Fei Li, 2016. "Dynamic Signaling with Dropout Risk," American Economic Journal: Microeconomics, American Economic Association, vol. 8(1), pages 57-82, February.
    19. Caprio, Gerard Jr. & D'Apice, Vincenzo & Ferri, Giovanni & Puopolo, Giovanni Walter, 2010. "Macro Financial Determinants of the Great Financial Crisis: Implications for Financial Regulation," MPRA Paper 26088, University Library of Munich, Germany.
    20. Arnold, Marc, 2014. "Banks’ Loan Screening Incentives with Credit Risk Transfer: An Alternative to Risk Retention," Working Papers on Finance 1402, University of St. Gallen, School of Finance.
    21. Li, Xianghong & Zhao, Xinlei, 2016. "Strategic Default Induced by Loan Modification Programs," MPRA Paper 73594, University Library of Munich, Germany.
    22. Gong, Di & Wu, Jin & Zhu, Jigao, 2023. "When banks' shadow fades and shadow banking rises: Securitization and loan performance in China," BOFIT Discussion Papers 4/2023, Bank of Finland Institute for Emerging Economies (BOFIT).
    23. Buchak, Greg & Matvos, Gregor & Piskorski, Tomasz & Seru, Amit, 2018. "Fintech, regulatory arbitrage, and the rise of shadow banks," Journal of Financial Economics, Elsevier, vol. 130(3), pages 453-483.
    24. Christopher J. Mayer & Edward Morrison & Tomasz Piskorski & Arpit Gupta, 2011. "Mortgage Modification and Strategic Behavior: Evidence from a Legal Settlement with Countrywide," NBER Working Papers 17065, National Bureau of Economic Research, Inc.
    25. Hou, Canran & Liu, Huan, 2023. "Institutional cross-ownership and stock price crash risk," Research in International Business and Finance, Elsevier, vol. 65(C).
    26. van der Plaat, Mark, 2020. "Loan sales and the tyranny of tistance in U.S. residential mortgage lending," MPRA Paper 107519, University Library of Munich, Germany, revised 20 Apr 2021.
    27. Cécile Bastidon, 2013. "Un modèle théorique d'intermédiation : transmission et gestion des chocs," Post-Print hal-00806524, HAL.
    28. Nada Mora, 2015. "Lender Exposure and Effort in the Syndicated Loan Market," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 82(1), pages 205-252, March.
    29. Ahn, J-H. & Breton, R., 2013. "Securitization, Competition and Monitoring," Working papers 457, Banque de France.
    30. Malekan, Sara & Dionne, Georges, 2012. "Securitization and optimal retention under moral hazard," Working Papers 12-6, HEC Montreal, Canada Research Chair in Risk Management.
    31. Hassan, M. Kabir & Karim, M. Sydul & Lawrence, Shari & Risfandy, Tastaftiyan, 2022. "Weathering the COVID-19 storm: The case of community banks," Research in International Business and Finance, Elsevier, vol. 60(C).
    32. Arnold, Marc, 2013. "This article analyzes the impact of the introduction of centrally cleared credit risk transfer on a loan originating bank's lending discipline in the primary loan market. Under Basel III, a bank can t," Working Papers on Finance 1321, University of St. Gallen, School of Finance, revised Dec 2014.
    33. Arnold, M., 2017. "The impact of central clearing on banks’ lending discipline," Journal of Financial Markets, Elsevier, vol. 36(C), pages 91-114.
    34. Amélie Artis & Simon Cornée, 2017. "Composition, Interpretation and Memorisation of the Idiosyncratic Knowledge in Social Banking," Working Papers CEB 17-002, ULB -- Universite Libre de Bruxelles.
    35. Christopher J. Green, 2011. "‘The Day the Music Died’: The Financial Tsunami of 2007–09," Chapters, in: Christopher J. Green & Eric J. Pentecost & Tom Weyman-Jones (ed.), The Financial Crisis and the Regulation of Finance, chapter 2, Edward Elgar Publishing.
    36. Leo F. Goodstadt, 2009. "The Global Crisis: Why Regulators Resist Reforms," Working Papers 322009, Hong Kong Institute for Monetary Research.
    37. Degryse, Hans & Kokas, Sotirios & Minetti, Raoul & Peruzzi, Valentina, 2022. "Bank Information and Firm Growth. Microeconomic Evidence from the US Credit Market," Working Papers 2022-3, Michigan State University, Department of Economics.
    38. International Monetary Fund, 2015. "United States: Selected Issues," IMF Staff Country Reports 2015/169, International Monetary Fund.
    39. van der Plaat, Mark T., 2021. "How to Measure Securitization: A Structural Equation Approach," MPRA Paper 109735, University Library of Munich, Germany.
    40. Araujo, Luis & Minetti, Raoul & Murro, Pierluigi, 2021. "Relationship finance, informed liquidity, and monetary policy," Journal of Economic Theory, Elsevier, vol. 193(C).
    41. Xu, Minhong & Xu, Yilan, 2017. "Environmental Hazards and Mortgage Credit Risk: Evidence from Texas Pipeline Incidents," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258019, Agricultural and Applied Economics Association.
    42. Gehrig, Thomas & Bester, Helmut & ,, 2012. "Loan Sales and Screening Incentives," CEPR Discussion Papers 9084, C.E.P.R. Discussion Papers.
    43. Robert M. Bushman & Regina Wittenberg‐Moerman, 2012. "The Role of Bank Reputation in “Certifying” Future Performance Implications of Borrowers’ Accounting Numbers," Journal of Accounting Research, Wiley Blackwell, vol. 50(4), pages 883-930, September.
    44. Deku, Solomon Y. & Kara, Alper & Marqués-Ibáñez, David, 2019. "Do reputable issuers provide better-quality securitizations?," Working Paper Series 2236, European Central Bank.
    45. Liu, Luke, 2011. "Securitization and moral hazard: Does security price matter?," MPRA Paper 35004, University Library of Munich, Germany.
    46. Jarrow, Robert A., 2011. "Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate," Finance Research Letters, Elsevier, vol. 8(1), pages 2-7, March.
    47. Yu-Lin Wang & Chien-Hui Lee & Po-Sheng Ko, 2020. "Do Loan Guarantees Alleviate Credit Rationing and Improve Economic Welfare?," Sustainability, MDPI, vol. 12(9), pages 1-16, May.
    48. Pagès, H., 2009. "Bank incentives and optimal CDOs," Working papers 253, Banque de France.
    49. Viral V. Acharya & Philipp Schnabl, 2010. "Do Global Banks Spread Global Imbalances? The Case of Asset-Backed Commercial Paper During the Financial Crisis of 2007-09," NBER Working Papers 16079, National Bureau of Economic Research, Inc.
    50. Zagonov, Maxim, 2011. "Securitization and bank intermediation function," MPRA Paper 34961, University Library of Munich, Germany, revised Sep 2011.
    51. Balasubramanyan, Lakshmi & Berger, Allen N. & Koepke, Matthew M., 2019. "How do lead banks use their private information about loan quality in the syndicated loan market?," Journal of Financial Stability, Elsevier, vol. 43(C), pages 53-78.
    52. Parlour, Christine A. & Winton, Andrew, 2013. "Laying off credit risk: Loan sales versus credit default swaps," Journal of Financial Economics, Elsevier, vol. 107(1), pages 25-45.
    53. Giovanni Ferri, 2016. "Regolamentazione bancaria: serve un cambio di approccio," ECONOMIA E DIRITTO DEL TERZIARIO, FrancoAngeli Editore, vol. 2016(3), pages 383-408.
    54. Lilit Popoyan, 2020. "Macroprudential Policy: a Blessing or a Curse?," Review of Economics and Institutions, Università di Perugia, vol. 11(1-2).
    55. Rustom M. Irani & Ralf R. Meisenzahl, 2015. "Loan Sales and Bank Liquidity Risk Management: Evidence from a U.S. Credit Register," Finance and Economics Discussion Series 2015-1, Board of Governors of the Federal Reserve System (U.S.).
    56. Eliana Lauretta & Sajid M. Chaudhry & Daniel Santamaria, 2023. "Unveiling the black swan of the finance‐growth Nexus: Assumptions and preliminary evidence of virtuous and unvirtuous cycles," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3749-3773, October.
    57. Georges Dionne & Sara Malekan, 2017. "Optimal Form of Retention for Securitized Loans under Moral Hazard," Risks, MDPI, vol. 5(4), pages 1-13, October.
    58. Constantin ANGHELACHE & Alexandru MANOLE & Mădălina Gabriela ANGHEL & Diana Valentina SOARE, 2016. "Statistical-econometric model used to analyze the operational and insolvency risks," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(608), A), pages 221-228, Autumn.
    59. Al-Yahyaee, Khamis Hamed, 2014. "Shareholder wealth effects of stock dividends in a unique environment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 66-81.
    60. Nam, Tong-yob & Oh, Seungjoon, 2021. "Non-recourse mortgage law and housing speculation," Journal of Banking & Finance, Elsevier, vol. 133(C).
    61. Li, Zhe & Sun, Jianfei, 2011. "Bank competition, securitization and risky investment," MPRA Paper 34173, University Library of Munich, Germany.
    62. Braun, Tobias, 2011. "Wie interagieren Banken und Ratingagenturen? Eine ökonomische Analyse des Bewertungsmarktes für strukturierte Finanzprodukte," Discussion Papers 2011-17, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics.
    63. Beyhaghi, Mehdi & Massoud, Nadia & Saunders, Anthony, 2017. "Why and how do banks lay off credit risk? The choice between retention, loan sales and credit default swaps," Journal of Corporate Finance, Elsevier, vol. 42(C), pages 335-355.
    64. van der Plaat, Mark & Spierdijk, Laura, 2020. "Recourse, asymmetric information, and credit risk over the business cycle," MPRA Paper 104718, University Library of Munich, Germany.
    65. M. Imtiaz Mazumder & Nazneen Ahmad, 2010. "Greed, financial innovation or laxity of regulation?," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 27(2), pages 110-134, June.
    66. Elyasiani, Elyas & Jia, Jingyi (Jane), 2019. "Relative performance and systemic risk contributions of small and large banks during the financial crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 220-241.
    67. Norvald INSTEFJORD & NAKATA Hiroyuki, 2015. "Loan Monitoring and Bank Risk," Discussion papers 15121, Research Institute of Economy, Trade and Industry (RIETI).
    68. Mico Apostolov, 2017. "The impact of FDI on the performance and entrepreneurship of domestic firms," Journal of International Entrepreneurship, Springer, vol. 15(4), pages 390-415, December.
    69. Bouwman, Christa H. S., 2013. "Liquidity: How Banks Create It and How It Should Be Regulated," Working Papers 13-32, University of Pennsylvania, Wharton School, Weiss Center.
    70. Lauretta, Eliana, 2018. "The hidden soul of financial innovation: An agent-based modelling of home mortgage securitization and the finance-growth nexus," Economic Modelling, Elsevier, vol. 68(C), pages 51-73.
    71. Minhong Xu & Yilan Xu, 2020. "Environmental Hazards and Mortgage Credit Risk: Evidence from Texas Pipeline Incidents," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 48(4), pages 1096-1135, December.
    72. Chen, Zhizhen & Liu, Frank Hong & Opong, Kwaku & Zhou, Mingming, 2017. "Short-term safety or long-term failure? Empirical evidence of the impact of securitization on bank risk," Journal of International Money and Finance, Elsevier, vol. 72(C), pages 48-74.

  3. Gupta, Anurag & Singh, Ajai K. & Zebedee, Allan A., 2008. "Liquidity in the pricing of syndicated loans," Journal of Financial Markets, Elsevier, vol. 11(4), pages 339-376, November.

    Cited by:

    1. Godlewski, Christophe J., 2015. "The certification value of private debt renegotiation and the design of financial contracts: Empirical evidence from Europe," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 1-17.
    2. Engelberg, Joseph & Gao, Pengjie & Parsons, Christopher A., 2012. "Friends with money," Journal of Financial Economics, Elsevier, vol. 103(1), pages 169-188.
    3. Issam Hallak & Paul Schure, 2011. "Why Larger Lenders Obtain Higher Returns: Evidence from Sovereign Syndicated Loans," Financial Management, Financial Management Association International, vol. 40(2), pages 427-453, June.
    4. Max Bruche & Anatoli Segura, 2013. "Debt Maturity and the Liquidity of Secondary Debt Markets," Working Papers wp2013_1303, CEMFI.
    5. Berndt, Antje & Gupta, Anurag, 2009. "Moral hazard and adverse selection in the originate-to-distribute model of bank credit," Journal of Monetary Economics, Elsevier, vol. 56(5), pages 725-743, July.
    6. João A. C. Santos & Pei Shao, 2023. "Investor Diversity and Liquidity in The Secondary Loan Market," Journal of Financial Services Research, Springer;Western Finance Association, vol. 63(3), pages 249-272, June.
    7. Martin, Xiumin & Roychowdhury, Sugata, 2015. "Do financial market developments influence accounting practices? Credit default swaps and borrowers׳ reporting conservatism," Journal of Accounting and Economics, Elsevier, vol. 59(1), pages 80-104.
    8. Anthony, John & Docherty, Paul & Lee, Doowon & Shamsuddin, Abul, 2017. "Liquidity commonality in the secondary corporate loan market," Economics Letters, Elsevier, vol. 161(C), pages 10-14.
    9. Brian J. Henderson & Heather Tookes, 2012. "Do Investment Banks' Relationships with Investors Impact Pricing? The Case of Convertible Bond Issues," Management Science, INFORMS, vol. 58(12), pages 2272-2291, December.
    10. Benmelech, Efraim & Dlugosz, Jennifer & Ivashina, Victoria, 2012. "Securitization without adverse selection: The case of CLOs," Journal of Financial Economics, Elsevier, vol. 106(1), pages 91-113.
    11. Deuskar, Prachi & Gupta, Anurag & Subrahmanyam, Marti G., 2011. "Liquidity effect in OTC options markets: Premium or discount?," Journal of Financial Markets, Elsevier, vol. 14(1), pages 127-160, February.
    12. Santos, João A.C. & Nigro, Peter, 2009. "Is the secondary loan market valuable to borrowers?," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(4), pages 1410-1428, November.
    13. Parlour, Christine A. & Winton, Andrew, 2013. "Laying off credit risk: Loan sales versus credit default swaps," Journal of Financial Economics, Elsevier, vol. 107(1), pages 25-45.
    14. Isin, Adnan Anil, 2018. "Tax avoidance and cost of debt: The case for loan-specific risk mitigation and public debt financing," Journal of Corporate Finance, Elsevier, vol. 49(C), pages 344-378.
    15. A. Burietz & L. Ureche-Rangau, 2020. "Better the devil you know: Home and sectoral biases in bank lending," International Economics, CEPII research center, issue 164, pages 69-85.
    16. Ivashina, Victoria & Sun, Zheng, 2011. "Institutional stock trading on loan market information," Journal of Financial Economics, Elsevier, vol. 100(2), pages 284-303, May.
    17. Jian Cai, 2009. "Competition or collaboration? The reciprocity effect in loan syndication," Working Papers (Old Series) 0909, Federal Reserve Bank of Cleveland.
    18. Bouwman, Christa H. S., 2013. "Liquidity: How Banks Create It and How It Should Be Regulated," Working Papers 13-32, University of Pennsylvania, Wharton School, Weiss Center.

  4. Deuskar, Prachi & Gupta, Anurag & Subrahmanyam, Marti G., 2008. "The economic determinants of interest rate option smiles," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 714-728, May.

    Cited by:

    1. Chen, Jing & Han, Qian & Ryu, Doojin & Tang, Jing, 2022. "Does the world smile together? A network analysis of global index option implied volatilities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    2. Fearghal Kearney & Han Lin Shang & Lisa Sheenan, 2019. "Implied volatility surface predictability: the case of commodity markets," Papers 1909.11009, arXiv.org.
    3. Qian Han & Jufang Liang & Boqiang Wu, 2016. "Cross Economic Determinants of Implied Volatility Smile Dynamics: Three Major European Currency Options," European Financial Management, European Financial Management Association, vol. 22(5), pages 817-852, November.
    4. Chalamandaris, Georgios & Rompolis, Leonidas S., 2012. "Exploring the role of the realized return distribution in the formation of the implied volatility smile," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1028-1044.
    5. Cathy Chen & I-Doun Kuo, 2014. "Investor sentiment and interest rate volatility smile: evidence from Eurodollar options markets," Review of Quantitative Finance and Accounting, Springer, vol. 43(2), pages 367-391, August.
    6. Shang, Han Lin & Kearney, Fearghal, 2022. "Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1025-1049.
    7. I Doun Kuo, 2017. "Irrationality and Term Structure Anomaly," Proceedings of Economics and Finance Conferences 4507033, International Institute of Social and Economic Sciences.
    8. Kai‐Min Huang & I‐Doun Kuo & Rong‐Tsorng Wang, 2022. "Resale options and heterogeneous beliefs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 1067-1083, June.
    9. Chen, Cathy Yi-Hsuan & Kuo, I-Doun, 2015. "Survey sentiment and interest rate option smile," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 125-137.
    10. Câmara, António & Krehbiel, Tim & Li, Weiping, 2011. "Expected returns, risk premia, and volatility surfaces implicit in option market prices," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 215-230, January.
    11. Cathy Yi-Hsuan Chen & Thomas C. Chiang, 2017. "Surprises, sentiments, and the expectations hypothesis of the term structure of interest rates," Review of Quantitative Finance and Accounting, Springer, vol. 49(1), pages 1-28, July.
    12. Chen, Cathy Yi-Hsuan & Kuo, I-Doun & Chiang, Thomas C., 2014. "What explains deviations in the unbiased expectations hypothesis? Market irrationality vs. the peso problem," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 172-190.
    13. Arjoon, Vaalmikki & Bhatnagar, Chandra Shekhar, 2017. "Dynamic herding analysis in a frontier market," Research in International Business and Finance, Elsevier, vol. 42(C), pages 496-508.
    14. Rubia, Antonio & Sanchis-Marco, Lidia & Serrano, Pedro, 2016. "Market frictions and the pricing of sovereign credit default swaps," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 223-252.
    15. Bedendo, Mascia & Hodges, Stewart D., 2009. "The dynamics of the volatility skew: A Kalman filter approach," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1156-1165, June.

  5. Gupta, Anurag & Liang, Bing, 2005. "Do hedge funds have enough capital? A value-at-risk approach," Journal of Financial Economics, Elsevier, vol. 77(1), pages 219-253, July.

    Cited by:

    1. John Kambhu & Til Schuermann & Kevin J. Stiroh, 2007. "Hedge funds, financial intermediation, and systemic risk," Staff Reports 291, Federal Reserve Bank of New York.
    2. Kouwenberg, Roy & Ziemba, William T., 2007. "Incentives and risk taking in hedge funds," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3291-3310, November.
    3. Patrick M McGuire & Kostas Tsatsaronis, 2008. "Estimating hedge fund leverage," BIS Working Papers 260, Bank for International Settlements.
    4. Agarwal, Vikas & Fung, William H. & Loon, Yee Cheng & Naik, Narayan Y., 2011. "Risk and return in convertible arbitrage: Evidence from the convertible bond market," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 175-194, March.
    5. Danielsson, Jon & Taylor, Ashley & Zigrand, Jean-Pierre, 2005. "Highwaymen or heroes: Should hedge funds be regulated?: A survey," Journal of Financial Stability, Elsevier, vol. 1(4), pages 522-543, October.
    6. Bali, Turan G. & Gokcan, Suleyman & Liang, Bing, 2007. "Value at risk and the cross-section of hedge fund returns," Journal of Banking & Finance, Elsevier, vol. 31(4), pages 1135-1166, April.
    7. Wong, Wing-Keung & Phoon, Kok Fai & Lean, Hooi Hooi, 2008. "Stochastic dominance analysis of Asian hedge funds," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 204-223, June.
    8. Ali, Sara & Badshah, Ihsan & Demirer, Riza, 2022. "Value-at-risk and the cross section of emerging market hedge fund returns," Global Finance Journal, Elsevier, vol. 52(C).
    9. Mustafa Onur Caglayan & Sevan Ulutas, 2014. "Emerging Market Exposures and the Predictability of Hedge Fund Returns," Financial Management, Financial Management Association International, vol. 43(1), pages 149-180, March.
    10. Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008. "Crisis and Hedge Fund Risk," Working Papers 2008_10, Department of Economics, University of Venice "Ca' Foscari".
    11. Agarwal, Vikas & Fung, William H. & Loon, Yee Cheng & Naik, Narayan Y., 2004. "Risk and return in convertible arbitrage: Evidence from the convertible bond market," CFR Working Papers 04-03, University of Cologne, Centre for Financial Research (CFR).
    12. Mei-Ling Tang & Trung K. Do, 2019. "In search of robust methods for multi-currency portfolio construction by value at risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(1), pages 107-126, March.
    13. Faff, Robert W. & Parwada, Jerry T. & Tan, Eric K.M., 2019. "Did connected hedge funds benefit from bank bailouts during the financial crisis?," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
    14. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
    15. Ying Li & Hossein Kazemi, 2007. "Conditional Properties of Hedge Funds: Evidence from Daily Returns," European Financial Management, European Financial Management Association, vol. 13(2), pages 211-238, March.
    16. Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015. "Hedge Funds: A Dynamic Industry in Transition," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 483-577, December.
    17. Zeno Adams & Roland Füss & Volker Wohlschieß, 2012. "Investment choice and performance potential in the mutual fund industry," Journal of Asset Management, Palgrave Macmillan, vol. 13(2), pages 84-101, April.
    18. Young Shin Kim & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J., 2010. "Time series analysis for financial market meltdowns," Working Paper Series in Economics 2, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    19. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2006. "Phase-Locking and Switching Volatility in Hedge Funds," Working Papers 2006_54, Department of Economics, University of Venice "Ca' Foscari".
    20. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2014. "Semi-nonparametric VaR forecasts for hedge funds during the recent crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 330-343.
    21. Soumya Guha Deb, 2019. "A VaR-based Downside Risk Analysis of Indian Equity Mutual Funds in the Pre- and Post-global Financial Crisis Periods," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(2), pages 210-236, August.
    22. Billio, Monica & Getmansky, Mila & Pelizzon, Loriana, 2012. "Dynamic risk exposures in hedge funds," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3517-3532.
    23. Andrew J. Patton, 2009. "Are "Market Neutral" Hedge Funds Really Market Neutral?," The Review of Financial Studies, Society for Financial Studies, vol. 22(7), pages 2295-2330, July.
    24. Puneet Prakash & Vikas Sangwan & Kewal Singh, 2021. "Transformational Approach to Analytical Value-at-Risk for near Normal Distributions," JRFM, MDPI, vol. 14(2), pages 1-19, January.
    25. Gan, Lirong & Wang, Huamao & Yang, Zhaojun, 2020. "Machine learning solutions to challenges in finance: An application to the pricing of financial products," Technological Forecasting and Social Change, Elsevier, vol. 153(C).
    26. Reber, Beat, 2017. "Does mispricing, liquidity or third-party certification contribute to IPO downside risk?," International Review of Financial Analysis, Elsevier, vol. 51(C), pages 25-53.
    27. Andrea J. Heuson & Mark C. Hutchinson & Alok Kumar, 2020. "Predicting hedge fund performance when fund returns are skewed," Financial Management, Financial Management Association International, vol. 49(4), pages 877-896, December.
    28. Meilan Yan & Maximilian J. B. Hall & Paul Turner, 2014. "Estimating Liquidity Risk Using The Exposure‐Based Cash‐Flow‐At‐Risk Approach: An Application To The Uk Banking Sector," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 19(3), pages 225-238, July.
    29. Douglas Cumming & Na Dai, 2010. "A Law and Finance Analysis of Hedge Funds," Financial Management, Financial Management Association International, vol. 39(3), pages 997-1026, September.
    30. Katherine Uylangco & Siqiwen Li, 2016. "An evaluation of the effectiveness of Value-at-Risk (VaR) models for Australian banks under Basel III," Australian Journal of Management, Australian School of Business, vol. 41(4), pages 699-718, November.
    31. Bakshi, Gurdip & Panayotov, George, 2010. "First-passage probability, jump models, and intra-horizon risk," Journal of Financial Economics, Elsevier, vol. 95(1), pages 20-40, January.
    32. Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa Onur, 2011. "Do hedge funds' exposures to risk factors predict their future returns?," Journal of Financial Economics, Elsevier, vol. 101(1), pages 36-68, July.
    33. Jiaqi Chen & Michael Tindall, 2012. "Hedge fund dynamic market sensitivity," Occasional Papers 12-1, Federal Reserve Bank of Dallas.
    34. Cumming, Douglas & Dai, Na & Johan, Sofia, 2015. "Are hedge funds registered in Delaware different?," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 232-246.
    35. Ozun, Alper & Cifter, Atilla & Yilmazer, Sait, 2007. "Filtered Extreme Value Theory for Value-At-Risk Estimation," MPRA Paper 3302, University Library of Munich, Germany.
    36. Grau-Carles, Pilar & Sainz, Jorge & Otamendi, Javier & Doncel, Luis Miguel, 2009. "Different risk-adjusted fund performance measures: a comparison," Economics Discussion Papers 2009-54, Kiel Institute for the World Economy (IfW Kiel).
    37. El Kalak, Izidin & Azevedo, Alcino & Hudson, Robert, 2016. "Reviewing the hedge funds literature II: Hedge funds' returns and risk management characteristics," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 55-66.
    38. Judy Qiu & Leilei Tang & Ingo Walter, 2018. "Hedge fund incentives, management commitment and survivorship," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(2), pages 115-142, May.
    39. Stefan Kassberger & Rüdiger Kiesel, 2006. "A fully parametric approach to return modelling and risk management of hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(4), pages 472-491, December.
    40. Yannick Hoga, 2023. "The Estimation Risk in Extreme Systemic Risk Forecasts," Papers 2304.10349, arXiv.org.
    41. Ewelina Sokołowska, 2017. "Does growing wealth influence hedge funds’ development? An empirical analysis," Applied Economics, Taylor & Francis Journals, vol. 49(8), pages 756-768, February.

  6. Gupta, Anurag & Subrahmanyam, Marti G., 2005. "Pricing and hedging interest rate options: Evidence from cap-floor markets," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 701-733, March.

    Cited by:

    1. Roel C.A. Oomen, 2004. "Statistical Models for High Frequency Security Prices," Econometric Society 2004 North American Winter Meetings 77, Econometric Society.
    2. Svenstrup, Mikkel, 2003. "On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions," Finance Working Papers 02-24, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    3. I‐Doun Kuo & Yueh‐Neng Lin, 2009. "Empirical performance of multifactor term structure models for pricing and hedging Eurodollar futures options," Review of Financial Economics, John Wiley & Sons, vol. 18(1), pages 23-32, January.
    4. Robert Jarrow & Haitao Li & Feng Zhao, 2007. "Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?," Journal of Finance, American Finance Association, vol. 62(1), pages 345-382, February.
    5. Kuo, I-Doun & Lin, Yueh-Neng, 2009. "Empirical performance of multifactor term structure models for pricing and hedging Eurodollar futures options," Review of Financial Economics, Elsevier, vol. 18(1), pages 23-32, January.
    6. Raoul Pietersz & Antoon Pelsser, 2010. "A comparison of single factor Markov-functional and multi factor market models," Review of Derivatives Research, Springer, vol. 13(3), pages 245-272, October.
    7. Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch, 2006. "The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps," Working Paper 1188, Economics Department, Queen's University.
    8. I‐Doun Kuo & Kai‐Li Wang, 2009. "Implied deterministic volatility functions: An empirical test for Euribor options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 29(4), pages 319-347, April.
    9. Cathy Chen & I-Doun Kuo, 2014. "Investor sentiment and interest rate volatility smile: evidence from Eurodollar options markets," Review of Quantitative Finance and Accounting, Springer, vol. 43(2), pages 367-391, August.
    10. Backwell, Alex, 2021. "Unspanned stochastic volatility from an empirical and practical perspective," Journal of Banking & Finance, Elsevier, vol. 122(C).
    11. Sami Attaoui, 2011. "Hedging performance of the Libor market model: the cap market case," Post-Print hal-00653437, HAL.
    12. M. Krivko & M. V. Tretyakov, 2011. "Numerical integration of Heath-Jarrow-Morton model of interest rates," Papers 1109.2557, arXiv.org.
    13. Chen, Cathy Yi-Hsuan & Kuo, I-Doun, 2015. "Survey sentiment and interest rate option smile," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 125-137.
    14. Antonio Mannolini & Carlo Mari & Roberto Renò, 2008. "Pricing caps and floors with the extended CIR model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 386-400.
    15. Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
    16. Piet Sercu & Tom Vinaimont, 2008. "Selecting a Bond‐Pricing Model for Trading: Benchmarking, Pooling, and Other Issues," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(1‐2), pages 250-280, January.
    17. Falini, Jury, 2010. "Pricing caps with HJM models: The benefits of humped volatility," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1358-1367, December.
    18. Jaroslav Brada, 2014. "Use of Forward Interest Rates and Forward Exchange Rates for the Valuation of Currency-Interest Rate Derivatives [Použití forwardových úrokových sazeb a forwardových měnových kurzů při oceňování mě," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2014(1), pages 6-18.
    19. I.-Doun Kuo, 2011. "Pricing and hedging volatility smile under multifactor interest rate models," Review of Quantitative Finance and Accounting, Springer, vol. 36(1), pages 83-104, January.
    20. Deuskar, Prachi & Gupta, Anurag & Subrahmanyam, Marti G., 2008. "The economic determinants of interest rate option smiles," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 714-728, May.
    21. Haitao Li & Feng Zhao, 2009. "Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4335-4376, November.
    22. Jury Falini, 2009. "Pricing caps with HJM models: the benefits of humped volatility," Department of Economics University of Siena 563, Department of Economics, University of Siena.
    23. Svenstrup, Mikkel, 2005. "On the suboptimality of single-factor exercise strategies for Bermudan swaptions," Journal of Financial Economics, Elsevier, vol. 78(3), pages 651-684, December.

  7. Rong Fan & Anurag Gupta & Peter Ritchken, 2003. "Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets," Journal of Finance, American Finance Association, vol. 58(5), pages 2219-2248, October.

    Cited by:

    1. Collin-Dufresne, Pierre & Goldstein, Robert S. & Jones, Christopher S., 2009. "Can interest rate volatility be extracted from the cross section of bond yields?," Journal of Financial Economics, Elsevier, vol. 94(1), pages 47-66, October.
    2. Svenstrup, Mikkel, 2003. "On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions," Finance Working Papers 02-24, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    3. Chiarella, Carl & Kang, Boda & Nikitopoulos, Christina Sklibosios & Tô, Thuy-Duong, 2013. "Humps in the volatility structure of the crude oil futures market: New evidence," Energy Economics, Elsevier, vol. 40(C), pages 989-1000.
    4. Bernd Engelmann & Matthias Fengler & Morten Nalholm & Peter Schwendner, 2006. "Static versus dynamic hedges: an empirical comparison for barrier options," Review of Derivatives Research, Springer, vol. 9(3), pages 239-264, November.
    5. Robert Jarrow & Haitao Li & Feng Zhao, 2007. "Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?," Journal of Finance, American Finance Association, vol. 62(1), pages 345-382, February.
    6. Raoul Pietersz & Antoon Pelsser, 2010. "A comparison of single factor Markov-functional and multi factor market models," Review of Derivatives Research, Springer, vol. 13(3), pages 245-272, October.
    7. Takamizawa, Hideyuki & 髙見澤, 秀幸, 2012. "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series G-1-3, Hitotsubashi University Center for Financial Research.
    8. TAKAMIZAWA, Hideyuki & 高見澤, 秀幸, 2017. "A Term Structure Model of Interest Rates with Quadratic Volatility," Working Paper Series G-1-18, Hitotsubashi University Center for Financial Research.
    9. Torben G. Andersen & Luca Benzoni, 2007. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models," NBER Working Papers 12962, National Bureau of Economic Research, Inc.
    10. Gupta, Anurag & Subrahmanyam, Marti G., 2005. "Pricing and hedging interest rate options: Evidence from cap-floor markets," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 701-733, March.
    11. Antje Berndt & Peter Ritchken & Zhiqiang Sun, 2010. "On Correlation and Default Clustering in Credit Markets," The Review of Financial Studies, Society for Financial Studies, vol. 23(7), pages 2680-2729, July.
    12. Don H Kim, 2007. "Spanned stochastic volatility in bond markets: a reexamination of the relative pricing between bonds and bond options," BIS Working Papers 239, Bank for International Settlements.
    13. Backwell, Alex, 2021. "Unspanned stochastic volatility from an empirical and practical perspective," Journal of Banking & Finance, Elsevier, vol. 122(C).
    14. Sami Attaoui, 2011. "Hedging performance of the Libor market model: the cap market case," Post-Print hal-00653437, HAL.
    15. Peter Feldhütter & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2018. "Risk Premia and Volatilities in a Nonlinear Term Structure Model [Quadratic term structure models: theory and evidence]," Review of Finance, European Finance Association, vol. 22(1), pages 337-380.
    16. Antje Berndt & Peter Ritchken & Zhiqiang Sun, "undated". "On Correlation Effects and Default Clustering in Credit Models," GSIA Working Papers 2008-E36, Carnegie Mellon University, Tepper School of Business.
    17. Alfredo Ibáñez, 2005. "Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach," Computing in Economics and Finance 2005 216, Society for Computational Economics.
    18. Yunbi An & Wulin Suo, 2008. "The compatibility of one‐factor market models in caps and swaptions markets: Evidence from their dynamic hedging performance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(2), pages 109-130, February.
    19. Jacobs, Kris & Karoui, Lotfi, 2009. "Conditional volatility in affine term-structure models: Evidence from Treasury and swap markets," Journal of Financial Economics, Elsevier, vol. 91(3), pages 288-318, March.
    20. Markus Leippold & Jacob Stromberg, 2012. "Time-Changed Lévy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube," Swiss Finance Institute Research Paper Series 12-23, Swiss Finance Institute.
    21. Mireille Bossy & Rajna Gibson & Francois-Serge Lhabitant & Nathalie Pistre & Denis Talay, 2006. "Model misspecification analysis for bond options and Markovian hedging strategies," Review of Derivatives Research, Springer, vol. 9(2), pages 109-135, September.
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    See citations under working paper version above.
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