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Citations for "Market Liquidity, Hedging and Crashes"

by Gerard Gennotte and Hayne Leland.

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Cited by (explanations, 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.):
  1. Milo Bianchi & Philippe Jehiel, 2008. "Bubbles and crashes with partially sophisticated investors," PSE Working Papers 2008-62, PSE (Ecole normale supérieure). [Downloadable!]
  2. John Kambhu & Til Schuermann & Kevin J. Stiroh, 2007. "Hedge funds, financial intermediation, and systemic risk," Staff Reports 291, Federal Reserve Bank of New York. [Downloadable!]
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  3. Suleyman Basak & David Cass & Juan Manuel Licari & Anna Pavlova, 2006. "Multiplicity in General Financial Equilibrium with Portfolio Constraints, Second Version," PIER Working Paper Archive 06-020, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 17 Jul 2006. [Downloadable!]
  4. Albert Wang & Joon Chae, 2004. "Who makes markets? The Role of Dealers and Liquidity Provision," Econometric Society 2004 North American Summer Meetings 364, Econometric Society. [Downloadable!]
  5. Bertram Düring & Michel Fournié & Ansgar Jüngel, 2001. "High order compact finite difference schemes for a nonlinear Black-Scholes equation," CoFE Discussion Paper 01-07, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  6. Benjamin M. Friedman, 1996. "Economic Implications of Changing Share Ownership," NBER Working Papers 5141, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  7. Marsh, Terry A. & Takao Kobayashi, 1998. ""The Work of Fischer Black, Robert Merton, and Myron Scholes, and its Continuing Legacy"," CIRJE F-Series 98-F-4, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  8. Bertram Düring & Michel Fournié & Ansgar Jüngel, 2004. "Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation," CoFE Discussion Paper 04-02, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  9. Peter Temin & Hans-Joachim Voth, 2004. "Riding the South Sea Bubble," American Economic Review, American Economic Association, vol. 94(5), pages 1654-1668, December. [Downloadable!]
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  10. Georges Prat & Remzi Uctum, 2006. "Anticipations, prime de risque et structure par terme des taux d'intérêt : une analyse des comportements d'experts," EconomiX Working Papers 2006-11, University of Paris West - Nanterre la Défense, EconomiX. [Downloadable!]
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  11. Tobias Adrian & Joshua Rosenberg, 2006. "Stock returns and volatility: pricing the short-run and long-run components of market risk," Staff Reports 254, Federal Reserve Bank of New York. [Downloadable!]
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  12. Joseph Chen & Harrison Hong & Jeremy C. Stein, 2000. "Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices," NBER Working Papers 7687, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  13. Riccardo Rebonato & Valerio Gaspari, 2006. "Analysis of drawdowns and drawups in the US$ interest-rate market," Quantitative Finance, Taylor and Francis Journals, vol. 6(4), pages 297-326, August. [Downloadable!] (restricted)
  14. José M. Marín & Jacques Olivier, 2007. "The dog that did not bark: Insider trading and crashes," Working Papers 2007-20, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales. [Downloadable!]
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  15. Simon van Norden & Huntley Schaller & ), 1995. "Speculative Behaviour, Regime-Switching, and Stock Market Crashes," Econometrics 9502003, EconWPA. [Downloadable!]
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  16. Lasse H. Pedersen & Markus Brunnermeier, 2004. "Predatory Trading," Econometric Society 2004 North American Winter Meetings 425, Econometric Society. [Downloadable!]
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  17. Alvaro Sandroni, 1997. "Learning Rare Events," Discussion Papers 1199, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
  18. Gadi Barlevy & Pietro Veronesi, 1999. "On the Possibility of Stock Market Crashes in the Absence of Portfolio Insurance," Discussion Papers 1252, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
  19. Avanidhar Subrahmanyam & Sheridan Titman, 1998. "Feedback from Stock Prices to Cash Flows" (formerly called "Real Effects of Financial Market Trading)," University of California at Los Angeles, Anderson Graduate School of Management 1116, Anderson Graduate School of Management, UCLA. [Downloadable!]
  20. Joon Chae & Albert Wang, 2004. "Who makes market," Econometric Society 2004 Far Eastern Meetings 605, Econometric Society. [Downloadable!]
  21. David Romer, 1992. "Rational Asset Price Movements Without News," NBER Working Papers 4121, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  22. Eric van Wincoop & Philippe Bacchetta, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," NBER Working Papers 9498, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  23. Ariadna Dumitrescu, 2003. "Imperfect Competition and Market Liquidity with a Supply Informed Trader," UFAE and IAE Working Papers 591.03, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC). [Downloadable!]
  24. Frey, Rüdiger, 1996. "The Pricing and Hedging of Options in Finitely Elastic Markets," Discussion Paper Serie B 372, University of Bonn, Germany. [Downloadable!]
  25. Han N. Ozsoylev, 2005. "Amplification and Asymmetry in Crashes and Frenzies," OFRC Working Papers Series 2005fe11, Oxford Financial Research Centre. [Downloadable!]
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  26. John Kambhu, 1997. "Interest rate options dealers' hedging in the US dollar fixed income market," Research Paper 9719, Federal Reserve Bank of New York. [Downloadable!]
  27. Takao Kobayashi & Hiroyuki Yamada, 2000. "Publicly Listed Parent/Subsidiary Pairs: Benchmarking to TOPIX and Market Distortion," CIRJE F-Series CIRJE-F-72, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  28. Frankel, David M., 2007. "Adaptive Expectations and Stock Market Crashes," Staff General Research Papers 12817, Iowa State University, Department of Economics. [Downloadable!]
  29. Tro Kortian, 1995. "Modern Approaches to Asset Price Formation: A Survey of Recent Theoretical Literature," RBA Research Discussion Papers rdp9501, Reserve Bank of Australia. [Downloadable!]
  30. Giovanni Cespa, 2003. "Giffen Goods and Market Making," CSEF Working Papers 97, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy. [Downloadable!]
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  31. Tomas Dvorak, 2001. "Gross Capital Flows and Asymmetric Information," Department of Economics Working Papers 189, Department of Economics, Williams College. [Downloadable!]
  32. James T. Moser, 2002. "The immediacy implications of exchange organization," Working Paper Series WP-02-09, Federal Reserve Bank of Chicago. [Downloadable!]
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  33. Craig H. Furfine & Eli M. Remolona, 2005. "Price discovery in a market under stress: the U.S. Treasury market in fall 1998," Working Paper Series WP-05-06, Federal Reserve Bank of Chicago. [Downloadable!]
  34. Dengta CHEN & Yinggang ZHOU, 2004. "Rational Panics, Absorbing Regime Switching and Stock Market," Econometric Society 2004 Far Eastern Meetings 680, Econometric Society. [Downloadable!]
  35. Christian Hellwig & Arijit Mukherji & Aleh Tsyvinski, 2005. "Self-Fulfilling Currency Crises: The Role of Interest Rates," NBER Working Papers 11191, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  36. Alexandra Lai, 2002. "Modelling Financial Instability: A Survey of the Literature," Working Papers 02-12, Bank of Canada. [Downloadable!]
  37. Jennifer Huang & Jiang Wang, 2008. "Liquidity and Market Crashes," NBER Working Papers 14013, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  38. Terry Marsh & Takao Kobayashi, 2001. "The Contributions of Professors Fischer Black, Robert Merton, and Myron Scholes to the Financial Services Industry," CIRJE F-Series CIRJE-F-120, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  39. Yinggang ZHOU, 2004. "Rational Panics, Absorbing Regime Switching And Stock Market," Econometric Society 2004 Far Eastern Meetings 681, Econometric Society. [Downloadable!]
  40. Tobias Adrian, 2004. "Inference, arbitrage, and asset price volatility," Staff Reports 187, Federal Reserve Bank of New York. [Downloadable!]
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  41. Christian Hellwig, 2004. "Self-Fulfilling Currency Crises: The Role of Interest Rates (A.E.R., December 2006)," UCLA Economics Online Papers 338, UCLA Department of Economics. [Downloadable!]
  42. John E. Kambhu, 1998. "Dealers' hedging of interest rate options in the U.S. dollar fixed-income market," Economic Policy Review, Federal Reserve Bank of New York, issue Jun, pages 35-58. [Downloadable!]
  43. Bronka Rzepkowski, 2001. "Heterogeneous Expectations, Currency Options and the Euro/Dollar Exchange Rate," Working Papers 2001-03, CEPII research center. [Downloadable!]
  44. Niklas Wagner & Terry Marsh, 2000. "Return-Volume Dependence and Extremes in International Equity Markets," Research Program in Finance, Working Paper Series 1002, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
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  45. Harrison Hong & Jeremy C. Stein, 1999. "Differences of Opinion, Rational Arbitrage and Market Crashes," NBER Working Papers 7376, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  46. Frey, Rüdiger & Alexander Stremme, 1995. "Market Volatility and Feedback Effects from Dynamic Hedging," Discussion Paper Serie B 310, University of Bonn, Germany. [Downloadable!]
  47. Suleyman Basak & David Cass & Juan Manuel Licari & Anna Pavlova, 2006. "Multiplicity and Sunspots in General Financial Equilibrium with Portfolio Constraints," PIER Working Paper Archive 06-012, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
  48. K. Ronnie Sircar, George Papanicolaou, 1998. "General Black-Scholes models accounting for increased market volatility from hedging strategies," Applied Mathematical Finance, Taylor and Francis Journals, vol. 5(1), pages 45-82, March. [Downloadable!] (restricted)
  49. Georges Prat & Remzi Uctum, 2006. "Economically rational expectations theory: evidence from the WTI oil price survey data," Post-Print halshs-00173113_v1, HAL. [Downloadable!]
  50. Jens Grossklags & Carsten Schmidt, 2002. "Artificial Software Agents on Thin Double Auction Markets - A Human Trader Experiment," Papers on Strategic Interaction 2002-45, Max Planck Institute of Economics, Strategic Interaction Group. [Downloadable!]
  51. Jeremy Bulow & Paul Klemperer, 1991. "Rational Frenzies and Crashes," NBER Technical Working Papers 0112, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  52. Adlai Fisher, 1999. "Multivariate Stock Returns Around Extreme Events: A Reassessment of Economic Fundamentals and the 1987 Market Crash," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-071, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  53. Laura E. Kodres & Matthew Pritsker, 1998. "A rational expectations model of financial contagion," Finance and Economics Discussion Series 1998-48, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  54. Bronka Rzepkowski, 2003. "Order Flows, Delta Hedging and Exchange Rate Dynamics," Working Papers 2003-18, CEPII research center. [Downloadable!]
  55. Eric Hillebrand, 2005. "Mean Reversion Expectations and the 1987 Stock Market Crash: An Empirical Investigation," Finance 0501015, EconWPA. [Downloadable!]
  56. David Bakstein & Sam Howison, 2002. "A Risk-Neutral Parametric Liquidity Model for Derivatives," OFRC Working Papers Series 2002mf02, Oxford Financial Research Centre. [Downloadable!]
  57. R. Andergassen, 2002. "financial contagion and asset price dynamics," Working Papers 448, Dipartimento Scienze Economiche, Universita' di Bologna. [Downloadable!]
  58. John Kambhu & Patricia C. Mosser, 2001. "The effect of interest rate options hedging on term-structure dynamics," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 51-70. [Downloadable!]
  59. Cédric Tille & Eric van Wincoop, 2008. "International Capital Flows under Dispersed Information: Theory and Evidence," NBER Working Papers 14390, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  60. Guillermo A. Calvo & Enrique G. Mendoza, 2000. "Capital-Markets Crises and Economic Collapse in Emerging Markets: An Informational-Frictions Approach," American Economic Review, American Economic Association, vol. 90(2), pages 59-64, May. [Downloadable!] (restricted)
  61. Carl Chiarella, 1992. "The Dynamics of Speculative Behaviour," Working Paper Series 13, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
  62. Bhamra, Harjoat Singh & Uppal, Raman, 2006. "The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns," CEPR Discussion Papers 5726, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  63. Joseph Zeira, 2000. "Informational overshooting, booms and crashes," Proceedings, Federal Reserve Bank of San Francisco, issue Apr. [Downloadable!]
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  64. C. L. Osler, 2002. "Stop-loss orders and price cascades in currency markets," Staff Reports 150, Federal Reserve Bank of New York. [Downloadable!]
  65. David Bowman & Jon Faust, 1995. "Options, sunspots, and the creation of uncertainty," International Finance Discussion Papers 510, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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This page was last updated on 2009-12-23.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.