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Asset Prices and Asset Correlations in Illiquid Markets Author info | Abstract | Publisher info | Download info | Related research | Statistics Alessio Caldarera
Celso Brunetti () (Finance Johns Hopkins University)
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Paper provided by Society for Economic Dynamics in its series 2005 Meeting Papers with number
288.
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Date of creation: 2005Date of revision:
Handle: RePEc:red:sed005:288Contact details of provider: Postal: Society for Economic Dynamics Anne Stubing CV Starr Center for Applied Economics 269 Mercer Street, Room 303 New York University New York, NY 10003 Fax: 1-860-486-4463 Email: Web page: http://www.EconomicDynamics.org/society.htm More information through EDIRC
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Keywords: Market Liquidity ; Asset Pricing ; Volatilities ; Correlations ; GMM ; Other versions of this item:
Find related papers by JEL classification: G12 - Financial Economics - - General Financial Markets - - - Asset Pricing G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.:
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CEPR Discussion Papers
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Other versions:
Viral V. Acharya & Lasse Heje Pedersen, 2004.
"Asset Pricing with Liquidity Risk ,"
NBER Working Papers
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[Downloadable!] (restricted) Acharya, Viral V & Pedersen, Lasse Heje, 2003.
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Longstaff, Francis A, 1989.
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Journal of Finance ,
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He, Hua & Leland, Hayne, 1993.
"On Equilibrium Asset Price Processes ,"
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Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004.
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NBER Working Papers
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Other versions: Brennan, Michael J. & Schwartz, Eduardo S., 1982.
"An Equilibrium Model of Bond Pricing and a Test of Market Efficiency ,"
Journal of Financial and Quantitative Analysis ,
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Gourieroux, C & Monfort, A & Renault, E, 1993.
"Indirect Inference ,"
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Other versions: Bick, Avi, 1987.
"On the Consistency of the Black-Scholes Model with a General Equilibrium Framework ,"
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Pástor, Luboš & Stambaugh, Robert F, 2002.
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CEPR Discussion Papers
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Other versions:
Lubos Pastor & Robert F. Stambaugh, 2001.
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NBER Working Papers
8462, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Luboš Pástor & Robert F. Stambaugh, .
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531, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
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Journal of Political Economy ,
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Dietrich-Campbell, Bruce & Schwartz, Eduardo, 1986.
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Amihud, Yakov, 2002.
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Journal of Financial Markets ,
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Francis A. Longstaff, 2004.
"Financial Claustrophobia: Asset Pricing in Illiquid Markets ,"
NBER Working Papers
10411, National Bureau of Economic Research, Inc.
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Umut Çetin & Robert Jarrow & Philip Protter, 2004.
"Liquidity risk and arbitrage pricing theory ,"
Finance and Stochastics ,
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K. Ronnie Sircar, George Papanicolaou, 1998.
"General Black-Scholes models accounting for increased market volatility from hedging strategies ,"
Applied Mathematical Finance ,
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Vineer Bhansali & Mark B. Wise, 2001.
"Forecasting Portfolio Risk in Normal and Stressed Markets ,"
Quantitative Finance Papers
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[Downloadable!]
Jarrow, Robert A & Turnbull, Stuart M, 1995.
" Pricing Derivatives on Financial Securities Subject to Credit Risk ,"
Journal of Finance ,
American Finance Association, vol. 50(1), pages 53-85, March.
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