IDEAS home Printed from https://ideas.repec.org/d/fdnyuus.html

Publications

by members of

New York University (NYU) → Stern School of Business → Finance Department

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. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.

| Working papers | Journal articles | Books | Chapters | Software components |

Working papers

2026

  1. Viral V. Acharya & Toomas Laarits, 2026, "Tariff War Shock and the Convenience Yield of US Treasuries — A Hedging Perspective," NBER Working Papers, National Bureau of Economic Research, Inc, number 34640, Jan.
  2. Viral V. Acharya & Nicola Cetorelli & Bruce Tuckman, 2026, "Transformed Intermediation: Credit Risk to NBFIs, Liquidity Risk to Banks," NBER Working Papers, National Bureau of Economic Research, Inc, number 34679, Jan.
  3. Viral V. Acharya & Guillaume Plantin & Olivier Wang, 2026, "Indebted Supply and Monetary Policy: A Theory of Financial Dominance," NBER Working Papers, National Bureau of Economic Research, Inc, number 34798, Feb.
  4. Joshua Coven & Sebastian Golder & Arpit Gupta & Abdoulaye Ndiaye, 2026, "Property Taxes and Housing Allocation Under Financial Constraints," NBER Working Papers, National Bureau of Economic Research, Inc, number 35587, Aug.
  5. Simone Lenzu, 2026, "Anatomy (not Autopsy) of the Phillips Curve," Liberty Street Economics, Federal Reserve Bank of New York, number 20260204, Feb, DOI: 10.59576/lse.20260204.
  6. Simone Lenzu, 2026, "Does the Phillips Curve Steepen When Costs Surge?," Liberty Street Economics, Federal Reserve Bank of New York, number 20260205, Feb, DOI: 10.59576/lse.20260205.
  7. Simone Lenzu, 2026, "AI’s Macroeconomic Challenges and Promises," Liberty Street Economics, Federal Reserve Bank of New York, number 20260520, May, DOI: 10.59576/lse.20260520.
  8. Simone Lenzu, 2026, "Artificial Intelligence and Monetary Policy: A Framework and Perspective on Cyclical Transmission, Structural Transition, and Financial Stability," Staff Reports, Federal Reserve Bank of New York, number 1192, Apr, DOI: 10.59576/sr.1192.
  9. Shi Hu & Simone Lenzu & David A. Rivers & Joris Tielens, 2026, "Financial Shocks, Productivity, and Prices," Staff Reports, Federal Reserve Bank of New York, number 1193, Apr, DOI: 10.59576/sr.1193.
  10. Luca Gagliardone & Mark Gertler & Simone Lenzu & Joris Tielens, 2026, "Micro and Macro Cost-Price Dynamics in Normal Times and During Inflation Surges," Staff Reports, Federal Reserve Bank of New York, number 1195, May, DOI: 10.59576/sr.1195.
  11. Callum J. Jones & David López-Salido & Thomas Philippon, 2026, "Is Growth Additive?," NBER Working Papers, National Bureau of Economic Research, Inc, number 35415, Jul.
  12. Zhengyang Jiang & Arvind Krishnamurthy & Hanno Lustig & Robert J. Richmond, 2026, "Dollar Erosion: Understanding the Loss of Reserve Currency Status," NBER Working Papers, National Bureau of Economic Research, Inc, number 35328, Jun.
  13. Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2026, "Credit Crunches and the Great Stagflation," NBER Working Papers, National Bureau of Economic Research, Inc, number 35057, Apr.
  14. Fabian Schär & Dario Thürkauf & David Yermack, 2026, "Unruly by Design: Fee Volatility and Strategic Attacks in Bitcoin Mining," NBER Working Papers, National Bureau of Economic Research, Inc, number 35443, Jul.

2025

  1. Viral V. Acharya & Robert F. Engle III & Olivier Wang, 2025, "Strategic Commitments to Decarbonize: The Role of Large Firms, Common Ownership, and Governments," NBER Working Papers, National Bureau of Economic Research, Inc, number 33335, Jan.
  2. Viral V. Acharya & Heitor Almeida & Yakov Amihud & Ping Liu, 2025, "Corporate Resiliency and the Choice Between Financial and Operational Hedging," NBER Working Papers, National Bureau of Economic Research, Inc, number 33340, Jan.
  3. Viral V. Acharya & Stefano Giglio & Stefano Pastore & Johannes Stroebel & Zhenhao Tan & Tiffany Yong, 2025, "Climate Transition Risks and the Energy Sector," NBER Working Papers, National Bureau of Economic Research, Inc, number 33413, Jan.
  4. Viral V. Acharya & Manasa Gopal & Maximilian Jager & Sascha Steffen, 2025, "Shadow Always Touches the Feet: Implications of Bank Credit Lines to Non-Bank Financial Intermediaries," NBER Working Papers, National Bureau of Economic Research, Inc, number 33590, Mar.
  5. Viral V. Acharya & Manasa Gopal & Sascha Steffen, 2025, "Fragile Financing? How Corporate Reliance on Shadow Banking Affects their Access to Bank Liquidity," NBER Working Papers, National Bureau of Economic Research, Inc, number 33760, May.
  6. Viral V. Acharya & Raghuram Rajan & Zhi Quan (Bill) Shu, 2025, "When is Less More? Bank Arrangements for Liquidity vs Central Bank Support," NBER Working Papers, National Bureau of Economic Research, Inc, number 34099, Aug.
  7. Xavier Gabaix & Ralph S. J. Koijen & Robert J. Richmond & Motohiro Yogo, 2025, "Asset Embeddings," NBER Working Papers, National Bureau of Economic Research, Inc, number 33651, Apr.
  8. Zhengyang Jiang & Robert J. Richmond & Tony Zhang, 2025, "Convenience Lost," NBER Working Papers, National Bureau of Economic Research, Inc, number 33940, Jun.
  9. Toomas Laarits & Jeffrey Wurgler, 2025, "The Research Behavior of Individual Investors," NBER Working Papers, National Bureau of Economic Research, Inc, number 33625, Mar.

2024

  1. Viral V. Acharya & V. Ravi Anshuman & S. Vish Viswanathan, 2024, "Bankruptcy Exemption of Repo Markets: Too Much Today for Too Little Tomorrow?," NBER Working Papers, National Bureau of Economic Research, Inc, number 32027, Jan.
  2. Viral V. Acharya & Qian Jun & Yang Su & Zhishu Yang, 2024, "Fiscal Stimulus, Deposit Competition, and the Rise of Shadow Banking: Evidence from China," NBER Working Papers, National Bureau of Economic Research, Inc, number 32034, Jan.
  3. Viral V. Acharya & Nicola Cetorelli & Bruce Tuckman, 2024, "Where Do Banks End and NBFIs Begin?," NBER Working Papers, National Bureau of Economic Research, Inc, number 32316, Apr.
  4. Viral V. Acharya & Zhengyang Jiang & Robert J. Richmond & Ernst-Ludwig Von Thadden, 2024, "International Policy Coordination in a Multisectoral Model of Trade and Health Policy," NBER Working Papers, National Bureau of Economic Research, Inc, number 32566, Jun.
  5. Viral V. Acharya & Markus K. Brunnermeier & Diane Pierret, 2024, "Systemic Risk Measures: From the Panic of 1907 to the Banking Stress of 2023," NBER Working Papers, National Bureau of Economic Research, Inc, number 33211, Nov.
  6. Robert Engle & Shan Ge & Hyeyoon Jung & Xuran Zeng, 2024, "Physical Climate Risk and Insurers," Liberty Street Economics, Federal Reserve Bank of New York, number 20240403, Apr.
  7. Joris Tielens & Luca Gagliardone & Mark Gertler & Simone Lenzu, 2024, "Anatomy of the Phillips Curve: micro evidence and macro implications," Working Paper Research, National Bank of Belgium, number 453, Aug.
  8. Zhengyang Jiang & Robert J. Richmond, 2024, "Reserve Asset Competition and the Global Fiscal Cycle," NBER Working Papers, National Bureau of Economic Research, Inc, number 32841, Aug.
  9. Pauline Lam & Jeffrey Wurgler, 2024, "Green Bonds: New Label, Same Projects," NBER Working Papers, National Bureau of Economic Research, Inc, number 32960, Sep.
  10. Yuanzhi Li & David Yermack, 2024, "Partisan Politics and Annual Shareholder Meeting Formats," NBER Working Papers, National Bureau of Economic Research, Inc, number 32652, Jul.

2023

  1. Viral V. Acharya & Rahul S. Chauhan & Raghuram Rajan & Sascha Steffen, 2023, "Liquidity Dependence and the Waxing and Waning of Central Bank Balance Sheets," NBER Working Papers, National Bureau of Economic Research, Inc, number 31050, Mar.
  2. Viral V. Acharya & Timothy Johnson & Suresh Sundaresan & Steven Zheng, 2023, "Disasters with Unobservable Duration and Frequency: Intensified Responses and Diminished Preparedness," NBER Working Papers, National Bureau of Economic Research, Inc, number 31067, Mar.
  3. Viral V. Acharya & Richard Berner & Robert F. Engle III & Hyeyoon Jung & Johannes Stroebel & Xuran Zeng & Yihao Zhao, 2023, "Climate Stress Testing," NBER Working Papers, National Bureau of Economic Research, Inc, number 31097, Apr.
  4. Viral V. Acharya & Matteo Crosignani & Tim Eisert & Christian Eufinger, 2023, "How Do Supply Shocks to Inflation Generalize? Evidence from the Pandemic Era in Europe," NBER Working Papers, National Bureau of Economic Research, Inc, number 31790, Oct.
  5. Viral V. Acharya & Toomas Laarits, 2023, "When do Treasuries Earn the Convenience Yield? — A Hedging Perspective," NBER Working Papers, National Bureau of Economic Research, Inc, number 31863, Nov.
  6. Viral V. Acharya & Maximilian Jager & Sascha Steffen, 2023, "Contingent Credit Under Stress," NBER Working Papers, National Bureau of Economic Research, Inc, number 31909, Nov.
  7. Viral V. Acharya & Abhishek Bhardwaj & Tuomas Tomunen, 2023, "Do Firms Mitigate Climate Impact on Employment? Evidence from US Heat Shocks," NBER Working Papers, National Bureau of Economic Research, Inc, number 31967, Dec.
  8. Engle, Robert F. & Emambakhsh, Tina & Manganelli, Simone & Parisi, Laura & Pizzeghello, Riccardo, 2023, "Estimating systemic risk for non-listed euro-area banks," Working Paper Series, European Central Bank, number 2856, Oct.
  9. Robert Engle & Shan Ge & Hyeyoon Jung & Xuran Zeng, 2023, "Physical Climate Risk Factors and an Application to Measuring Insurers’ Climate Risk Exposure," Staff Reports, Federal Reserve Bank of New York, number 1066, Jul.
  10. Gianluca De Nard & Robert F. Engle & Bryan Kelly, 2023, "Factor mimicking portfolios for climate risk," ECON - Working Papers, Department of Economics - University of Zurich, number 429, Mar, revised Mar 2024.
  11. Arpit Gupta & Candy Martinez & Stijn Van Nieuwerburgh, 2023, "Converting Brown Offices to Green Apartments," NBER Working Papers, National Bureau of Economic Research, Inc, number 31530, Aug.
  12. Daniel Greenwald & Sabrina T. Howell & Cangyuan Li & Emmanuel Yimfor, 2023, "Regulatory Arbitrage or Random Errors? Implications of Race Prediction Algorithms in Fair Lending Analysis," NBER Working Papers, National Bureau of Economic Research, Inc, number 31646, Aug.
  13. Itamar Drechsler & Alexi Savov & Philipp Schnabl & Olivier Wang, 2023, "Deposit Franchise Runs," NBER Working Papers, National Bureau of Economic Research, Inc, number 31138, Apr.
    • Itamar Drechsler & Alexi Savov & Philipp Schnabl & Olivier Wang, 2026, "Deposit Franchise Runs," Journal of Finance, American Finance Association, volume 81, issue 3, pages 1573-1617, June, DOI: 10.1111/jofi.70034.
  14. Mengyu Wang & Jeffrey Wurgler & Hong Zhang, 2023, "Policy Uncertainty Reduces Green Investment," NBER Working Papers, National Bureau of Economic Research, Inc, number 31401, Jun.
  15. Hanna Halaburda & David Yermack, 2023, "Bitcoin Mining Meets Wall Street: A Study of Publicly Traded Crypto Mining Companies," NBER Working Papers, National Bureau of Economic Research, Inc, number 30923, Feb.

2022

  1. Viral V Acharya & Ryan Niladri & Matteo Crosignani & Tim Eisert & Renée Spigt, 2022, "Exorbitant privilege? Quantitative easing and the bond market subsidy of prospective fallen angels," BIS Working Papers, Bank for International Settlements, number 1002, Feb.
  2. Acharya, Viral & Plantin, Guillaume, 2022, "Monetary Easing, Leveraged Payouts and Lack of Investment," CEPR Discussion Papers, Centre for Economic Policy Research, number 14958, Mar.
  3. Acharya, Viral & Rajan, Raghuram & Shim, Jack B., 2022, "Sovereign Debt and Economic Growth when Government is Myopic and Self-interested," CEPR Discussion Papers, Centre for Economic Policy Research, number 14961, Jun.
  4. Acharya, Viral & Parlatore Siritto, Cecilia & Sundaresan, Suresh, 2022, "Financing Infrastructure in the Shadow of Expropriation," CEPR Discussion Papers, Centre for Economic Policy Research, number 15288, Jun.
  5. Acharya, Viral & Crosignani, Matteo & Eisert, Tim & Steffen, Sascha, 2022, "Zombie Lending: Theoretical, International, and Historical Perspectives," CEPR Discussion Papers, Centre for Economic Policy Research, number 16685, Mar.
  6. Acharya, Viral & Rajan, Raghuram, 2022, "Liquidity, liquidity everywhere, not a drop to use - Why flooding banks with central bank reserves may not expand liquidity," CEPR Discussion Papers, Centre for Economic Policy Research, number 16907, Apr.
  7. Viral V. Acharya & Ryan N. Banerjee & Matteo Crosignani & Tim Eisert & Renée Spigt, 2022, "The Making of Fallen Angels—and What QE and Credit Rating Agencies Have to Do with It," Liberty Street Economics, Federal Reserve Bank of New York, number 20220216a, Feb.
  8. Viral V. Acharya & Timothy Johnson & Suresh Sundaresan & Tuomas Tomunen, 2022, "Is Physical Climate Risk Priced? Evidence from Regional Variation in Exposure to Heat Stress," NBER Working Papers, National Bureau of Economic Research, Inc, number 30445, Sep.
  9. Viral V. Acharya & Abhiman Das & Nirupama Kulkarni & Prachi Mishra & Nagpurnanand R. Prabhala, 2022, "Deposit and Credit Reallocation in a Banking Panic: The Role of State-Owned Banks," NBER Working Papers, National Bureau of Economic Research, Inc, number 30557, Oct.
  10. Altman, Edward I. & Balzano, Marco & Giannozzi, Alessandro & Srhoj, Stjepan, 2022, "Revisiting SME default predictors: The Omega Score," GLO Discussion Paper Series, Global Labor Organization (GLO), number 1207.
  11. Michael Ewens & Arpit Gupta & Sabrina T. Howell, 2022, "Local Journalism under Private Equity Ownership," NBER Working Papers, National Bureau of Economic Research, Inc, number 29743, Feb.
  12. Arpit Gupta & Vrinda Mittal & Stijn Van Nieuwerburgh, 2022, "Work From Home and the Office Real Estate Apocalypse," NBER Working Papers, National Bureau of Economic Research, Inc, number 30526, Sep.
  13. Xavier Giroud & Simone Lenzu & Quinn Maingi & Holger Mueller, 2022, "Propagation and Amplification of Local Productivity Spillovers," Working Papers, Center for Economic Studies, U.S. Census Bureau, number 22-32, Aug.
  14. Theis Ingerslev Jensen & Bryan T. Kelly & Semyon Malamud & Lasse Heje Pedersen, 2022, "Machine Learning and the Implementable Efficient Frontier," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-63, Aug.
  15. Cecilia Parlatore & Thomas Philippon, 2022, "Designing Stress Scenarios," NBER Working Papers, National Bureau of Economic Research, Inc, number 29901, Apr.
  16. Thomas Philippon, 2022, "Additive Growth," NBER Working Papers, National Bureau of Economic Research, Inc, number 29950, Apr.
  17. Zhengyang Jiang & Robert J. Richmond & Tony Zhang, 2022, "A Portfolio Approach to Global Imbalances," NBER Working Papers, National Bureau of Economic Research, Inc, number 30253, Jul.
  18. Zhengyang Jiang & Robert J. Richmond, 2022, "Origins of International Factor Structures," NBER Working Papers, National Bureau of Economic Research, Inc, number 30319, Aug.
  19. Zhengyang Jiang & Robert J. Richmond & Tony Zhang, 2022, "Understanding the Strength of the Dollar," NBER Working Papers, National Bureau of Economic Research, Inc, number 30558, Oct.
  20. Robin Greenwood & Toomas Laarits & Jeffrey Wurgler, 2022, "Stock Market Stimulus," NBER Working Papers, National Bureau of Economic Research, Inc, number 29827, Mar.

2021

  1. Acharya, Viral & Almeida, Heitor & Amihud, Yakov & Liu, Ping, 2021, "Efficiency or resiliency? Corporate choice between financial and operational hedging," CEPR Discussion Papers, Centre for Economic Policy Research, number 15885, Mar.
  2. Acharya, Viral & Engle, Robert & Steffen, Sascha, 2021, "Why did bank stocks crash during COVID-19?," CEPR Discussion Papers, Centre for Economic Policy Research, number 15901, Mar.
  3. Acharya, Viral & , & Johnson, Timothy, 2021, "Bank Use of Sovereign CDS in the Eurozone Crisis: Hedging and Risk Incentives," CEPR Discussion Papers, Centre for Economic Policy Research, number 16628, Oct.
  4. Acharya, Viral & Lenzu, Simone & Wang, Olivier, 2021, "Zombie Lending and Policy Traps," CEPR Discussion Papers, Centre for Economic Policy Research, number 16658, Oct.
  5. Acharya, Viral & Mukherjee, Saptarshi & Sundaram, Rangarajan K, 2021, "Investment and Contagion Tradeoffs between Fair Value and Historical Cost Accounting," CEPR Discussion Papers, Centre for Economic Policy Research, number 16835, Dec.
  6. Viral V. Acharya & Yang Liu & Mr. Yunhui Zhao, 2021, "COVID-19 Containment Measures and Expected Stock Volatility: High-Frequency Evidence from Selected Advanced Economies," IMF Working Papers, International Monetary Fund, number 2021/157, Jun.
  7. Jennifer N. Carpenter & Fangzhou Lu & Robert F. Whitelaw, 2021, "The Price and Quantity of Interest Rate Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 28444, Feb.
  8. Chavleishvili, Sulkhan & Engle, Robert F. & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021, "The risk management approach to macro-prudential policy," Working Paper Series, European Central Bank, number 2565, Jun.
  9. Richard Berner & Robert Engle & Hyeyoon Jung, 2021, "CRISK: Measuring the Climate Risk Exposure of the Financial System," Staff Reports, Federal Reserve Bank of New York, number 977, Sep.
  10. Arpit Gupta & Vrinda Mittal & Jonas Peeters & Stijn Van Nieuwerburgh, 2021, "Flattening the Curve: Pandemic-Induced Revaluation of Urban Real Estate," NBER Working Papers, National Bureau of Economic Research, Inc, number 28675, Apr.
  11. Arpit Gupta & Anup Malani & Bartek Woda, 2021, "Explaining the Income and Consumption Effects of COVID in India," NBER Working Papers, National Bureau of Economic Research, Inc, number 28935, Jun.
  12. Arpit Gupta & Anup Malani & Bartosz Woda, 2021, "Inequality in India Declined During COVID," NBER Working Papers, National Bureau of Economic Research, Inc, number 29597, Dec.
  13. Theis Ingerslev Jensen & Bryan T. Kelly & Lasse Heje Pedersen, 2021, "Is There A Replication Crisis In Finance?," NBER Working Papers, National Bureau of Economic Research, Inc, number 28432, Feb.
  14. Thomas Philippon & Olivier Wang, 2021, "Let the Worst One Fail: A Credible Solution to the Too-Big-To-Fail Conundrum," NBER Working Papers, National Bureau of Economic Research, Inc, number 29560, Dec.
  15. Johannes Stroebel & Jeffrey Wurgler, 2021, "What Do You Think about Climate Finance?," CESifo Working Paper Series, CESifo, number 9350.

2020

  1. Viral V. Acharya & Raghuram G. Rajan & Jack B. Shim, 2020, "When is Debt Odious? A Theory of Repression and Growth Traps," Working Papers, Becker Friedman Institute for Research In Economics, number 2020-18.
  2. Viral Acharya & Zhengyang Jiang & Robert J. Richmond & Ernst-Ludwig von Thadden, 2020, "Divided We Fall: International Health and Trade Coordination During a Pandemic," CRC TR 224 Discussion Paper Series, University of Bonn and University of Mannheim, Germany, number crctr224_2020_248, Dec.
  3. Acharya, Viral & Qian, Jun & Su, Yang & Yang, Zhishu, 2020, "In the Shadow of Banks: Wealth Management Products and Issuing Banks’ Risks in China," CEPR Discussion Papers, Centre for Economic Policy Research, number 14957, Jun.
  4. Acharya, Viral & Bergant, Katharina & Crosignani, Matteo & Eisert, Tim & McCann, Fergal, 2020, "The Anatomy of the Transmission of Macroprudential Policies," CEPR Discussion Papers, Centre for Economic Policy Research, number 14959, Jun.
  5. Acharya, Viral & Crosignani, Matteo & Eisert, Tim & Eufinger, Christian, 2020, "Zombie Credit and (Dis-)Inflation: Evidence from Europe," CEPR Discussion Papers, Centre for Economic Policy Research, number 14960, Jun.
  6. Acharya, Viral & Bhadury, Soumya & Surti, Jay, 2020, "Financial Vulnerability and Risks to Growth in Emerging Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 14962, Jun.
  7. Acharya, Viral & Steffen, Sascha & Steinruecke, Lea & Jager, Maximilian, 2020, "Kicking the can down the road: government interventions in the European banking sector," CEPR Discussion Papers, Centre for Economic Policy Research, number 15009, Jul.
  8. Acharya, Viral & Byoun, Soku & Xu, Zhaoxia, 2020, "The Sensitivity of Cash Savings to the Cost of Capital," CEPR Discussion Papers, Centre for Economic Policy Research, number 15059, Jul.
  9. Acharya, Viral & Steffen, Sascha, 2020, "The risk of being a fallen angel and the corporate dash for cash in the midst of COVID," CEPR Discussion Papers, Centre for Economic Policy Research, number 15073, Jul.
  10. Acharya, Viral & Iyer, Aaditya M. & Sundaram, Rangarajan K, 2020, "Risk-Sharing and the Creation of Systemic Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 15269, Sep.
  11. Acharya, Viral & Vij, Siddharth, 2020, "Foreign Currency Borrowing of Corporations as Carry Trades: Evidence from India," CEPR Discussion Papers, Centre for Economic Policy Research, number 15440, Nov.
  12. Acharya, Viral & Johnson, Timothy & Sundaresan, Suresh & Zheng, Steven, 2020, "The Value of a Cure: An Asset Pricing Perspective," CEPR Discussion Papers, Centre for Economic Policy Research, number 15558, Dec.
  13. Viral V. Acharya & Matteo Crosignani & Tim Eisert & Christian Eufinger, 2020, "How Does Zombie Credit Affect Inflation? Lessons from Europe," Liberty Street Economics, Federal Reserve Bank of New York, number 20201222, Dec.
  14. Robert F. Engle & Susana Campos-Martins, 2020, "Measuring and Hedging Geopolitical Risk," NIPE Working Papers, NIPE - Universidade do Minho, number 08/2020.
  15. Gianluca De Nard & Robert F. Engle & Olivier Ledoit & Michael Wolf, 2020, "Large dynamic covariance matrices: enhancements based on intraday data," ECON - Working Papers, Department of Economics - University of Zurich, number 356, Jul, revised Jan 2022.
  16. Milena Almagro & Joshua Coven & Arpit Gupta & Angelo Orane-Hutchinson, 2020, "Racial Disparities in Frontline Workers and Housing Crowding during COVID-19: Evidence from Geolocation Data," Opportunity and Inclusive Growth Institute Working Papers, Federal Reserve Bank of Minneapolis, number 37, Sep, DOI: 10.21034/iwp.37.
  17. Arpit Gupta & Stijn Van Nieuwerburgh & Constantine Kontokosta, 2020, "Take the Q Train: Value Capture of Public Infrastructure Projects," NBER Working Papers, National Bureau of Economic Research, Inc, number 26789, Feb.
  18. Germán Gutiérrez & Thomas Philippon, 2020, "Some Facts about Dominant Firms," NBER Working Papers, National Bureau of Economic Research, Inc, number 27985, Oct.
  19. Bryan T. Kelly & Semyon Malamud & Lasse Heje Pedersen, 2020, "Principal Portfolios," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-67, Aug.
  20. Olivier J Blanchard & Thomas Philippon & Jean Pisani-Ferry, 2020, "A new policy toolkit is needed as countries exit COVID-19 lockdowns," Policy Briefs, Peterson Institute for International Economics, number PB20-8, Jun.
  21. Callum J. Jones & Thomas Philippon & Venky Venkateswaran, 2020, "Optimal Mitigation Policies in a Pandemic: Social Distancing and Working from Home," NBER Working Papers, National Bureau of Economic Research, Inc, number 26984, Apr.
  22. Rishabh Kirpalani & Thomas Philippon, 2020, "Data Sharing and Market Power with Two-Sided Platforms," NBER Working Papers, National Bureau of Economic Research, Inc, number 28023, Oct.
  23. Thomas Philippon, 2020, "Efficient Programs to Support Businesses During and After Lockdowns," NBER Working Papers, National Bureau of Economic Research, Inc, number 28211, Dec.
  24. Michael Bailey & Abhinav Gupta & Sebastian Hillenbrand & Theresa Kuchler & Robert Richmond & Johannes Stroebel, 2020, "International Trade and Social Connectedness," CESifo Working Paper Series, CESifo, number 8248.
  25. Ralph S. J. Koijen & Robert J. Richmond & Motohiro Yogo, 2020, "Which Investors Matter for Equity Valuations and Expected Returns?," NBER Working Papers, National Bureau of Economic Research, Inc, number 27402, Jun.
  26. Itamar Drechsler & Alan Moreira & Alexi Savov, 2020, "Liquidity and Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 27959, Oct.

2019

  1. Viral V. Acharya & Nirupama Kulkarni, 2019, "Government Guarantees and Bank Vulnerability during a Crisis: Evidence from an Emerging Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 26564, Dec.
  2. Viral Acharya & Abhiman Das & Nirupama Kulkarni & Prachi Mishra, 2019, "Anatomy Of A Banking Panic," Working Papers, Centre for Advanced Financial Research and Learning (CAFRAL), number 022303, Mar.
  3. Robert Engle & Stefano Giglio & Heebum Lee & Bryan Kelly & Johannes Stroebel, 2019, "Hedging climate change news," CESifo Working Paper Series, CESifo, number 7655.
  4. Arpit Gupta & Kunal Sachdeva, 2019, "Skin or Skim? Inside Investment and Hedge Fund Performance," NBER Working Papers, National Bureau of Economic Research, Inc, number 26113, Jul.
  5. Arpit Gupta & Stijn Van Nieuwerburgh, 2019, "Valuing Private Equity Strip by Strip," NBER Working Papers, National Bureau of Economic Research, Inc, number 26514, Nov.
  6. German Gutierrez & Sophie Piton, 2019, "Revisiting the Global Decline of the (Non-Housing) Labor Share," Discussion Papers, Centre for Macroeconomics (CFM), number 1913, Jun.
  7. Germán Gutiérrez & Callum Jones & Thomas Philippon, 2019, "Entry Costs and the Macroeconomy," NBER Working Papers, National Bureau of Economic Research, Inc, number 25609, Feb.
  8. Germán Gutiérrez & Thomas Philippon, 2019, "Fading Stars," NBER Working Papers, National Bureau of Economic Research, Inc, number 25529, Feb.
  9. Germán Gutiérrez & Thomas Philippon, 2019, "The Failure of Free Entry," NBER Working Papers, National Bureau of Economic Research, Inc, number 26001, Jun.
  10. Matias Covarrubias & Germán Gutiérrez & Thomas Philippon, 2019, "From Good to Bad Concentration? U.S. Industries over the past 30 years," NBER Working Papers, National Bureau of Economic Research, Inc, number 25983, Jun.
  11. Simone Lenzu & Francesco Manaresi, 2019, "Sources and implications of resource misallocation: new evidence from firm-level marginal products and user costs," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 485, Mar.
  12. Maryam Farboodi & Roxana Mihet & Thomas Philippon & Laura Veldkamp, 2019, "Big Data and Firm Dynamics," NBER Working Papers, National Bureau of Economic Research, Inc, number 25515, Jan.
  13. Joseba Martinez & Thomas Philippon & Markus Sihvonen, 2019, "Does a Currency Union Need a Capital Market Union? Risk Sharing via Banks and Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 26026, Jun.
  14. Gilbert Cette & Lorraine Koehl & Thomas Philippon, 2019, "Labor Shares in Some Advanced Economies," NBER Working Papers, National Bureau of Economic Research, Inc, number 26136, Aug.
  15. Thomas Philippon, 2019, "On Fintech and Financial Inclusion," NBER Working Papers, National Bureau of Economic Research, Inc, number 26330, Sep.
  16. Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2019, "How Monetary Policy Shaped the Housing Boom," NBER Working Papers, National Bureau of Economic Research, Inc, number 25649, Mar.
  17. Max Raskin & Fahad Saleh & David Yermack, 2019, "How Do Private Digital Currencies Affect Government Policy?," NBER Working Papers, National Bureau of Economic Research, Inc, number 26219, Sep.

2018

  1. Viral V. Acharya & Diane Pierret & Sascha Steffen, 2018, "Lender of Last Resort versus Buyer of Last Resort – Evidence from the European Sovereign Debt Crisis," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-35, May.
  2. Plantin, Guillaume & Acharya, Viral, 2018, "Monetary Easing, Investment and Financial Instability," CEPR Discussion Papers, Centre for Economic Policy Research, number 13072, Jul.
  3. Viral V. Acharya & Arvind Krishnamurthy, 2018, "Capital Flow Management with Multiple Instruments," NBER Working Papers, National Bureau of Economic Research, Inc, number 24443, Mar.
  4. German Gutierrez, 2018, "Investigating Global Labor and Pro t Shares," 2018 Meeting Papers, Society for Economic Dynamics, number 165.
  5. Philippon, Thomas & Gutierrez, German, 2018, "How EU Markets Became More Competitive Than US Markets: A Study of Institutional Drift," CEPR Discussion Papers, Centre for Economic Policy Research, number 12983, Jun.
  6. Germán Gutiérrez & Thomas Philippon, 2018, "How European Markets Became Free: A Study of Institutional Drift," NBER Working Papers, National Bureau of Economic Research, Inc, number 24700, Jun.
  7. Lenzu, Simone & Manaresi, Francesco, 2018, "Do Marginal Products Differ from User Costs? Micro-Level Evidence from Italian Firms," Working Papers, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State, number 276.
  8. Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan, 2018, "Efficiently Inefficient Markets for Assets and Asset Management," CEPR Discussion Papers, Centre for Economic Policy Research, number 12664, Jan.
  9. Pedersen, Lasse Heje & Skov Jensen, Christian & Lando, David, 2018, "Generalized Recovery," CEPR Discussion Papers, Centre for Economic Policy Research, number 12665, Jan.
  10. Pedersen, Lasse Heje & Asness, Clifford S. & Frazzini, Andrea & Israel, Ronen, 2018, "Size Matters, if You Control Your Junk," CEPR Discussion Papers, Centre for Economic Policy Research, number 12684, Feb.
  11. Pedersen, Lasse Heje & Asness, Clifford S. & Liew, John M. & Thapar, Ashwin K, 2018, "Deep Value," CEPR Discussion Papers, Centre for Economic Policy Research, number 12685, Feb.
  12. 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, Centre for Economic Policy Research, number 12686, Feb.
  13. Pedersen, Lasse Heje & Bollerslev, Tim & Hood, Benjamin & Huss, John, 2018, "Risk Everywhere: Modeling and Managing Volatility," CEPR Discussion Papers, Centre for Economic Policy Research, number 12687, Feb.
  14. Eduardo Davila & Thomas Philippon, 2018, "Incompleteness Shocks," 2018 Meeting Papers, Society for Economic Dynamics, number 109.
  15. Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2018, "Banking on Deposits: Maturity Transformation without Interest Rate Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 24582, May.
  16. Malcolm Baker & Daniel Bergstresser & George Serafeim & Jeffrey Wurgler, 2018, "Financing the Response to Climate Change: The Pricing and Ownership of U.S. Green Bonds," NBER Working Papers, National Bureau of Economic Research, Inc, number 25194, Oct.
  17. Sabrina T. Howell & Marina Niessner & David Yermack, 2018, "Initial Coin Offerings: Financing Growth with Cryptocurrency Token Sales," NBER Working Papers, National Bureau of Economic Research, Inc, number 24774, Jun.
  18. David Yermack, 2018, "FinTech in Sub-Saharan Africa: What Has Worked Well, and What Hasn't," NBER Working Papers, National Bureau of Economic Research, Inc, number 25007, Sep.
  19. Sandeep Dahiya & David Yermack, 2018, "Investment Returns and Distribution Policies of Non-Profit Endowment Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 25323, Dec.

2017

  1. Acharya, Viral & Eisert, Tim & Eufinger, Christian & Hirsch, Christian, 2017, "Whatever it takes: The Real Effects of Unconventional Monetary Policy," CEPR Discussion Papers, Centre for Economic Policy Research, number 12005, Apr.
  2. Acharya, Viral & Plantin, Guillaume, 2017, "Monetary easing and financial instability," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 70715, Jan.
  3. Viral V. Acharya & Sascha Steffen, 2017, "The Importance of a Banking Union and Fiscal Union for a Capital Markets Union," European Economy - Discussion Papers, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 062, Jul.
  4. Viral V. Acharya & Michael J. Fleming & Warren B. Hrung & Asani Sarkar, 2017, "Which Dealers Borrowed from the Fed’s Lender-of-Last-Resort Facilities?," Liberty Street Economics, Federal Reserve Bank of New York, number 20170510, May.
  5. Amihud, Yakov & Schmid, Markus & Davidoff Solomon, Steven, 2017, "Settling the Staggered Board Debate," Working Papers on Finance, University of St. Gallen, School of Finance, number 1713, Sep.
  6. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017, "Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2017_02, Apr.
  7. Brownlees, Christian & Engle, Robert F., 2017, "SRISK: a conditional capital shortfall measure of systemic risk," ESRB Working Paper Series, European Systemic Risk Board, number 37, Mar.
  8. Philippon, Thomas & Gutierrez, German, 2017, "Declining Competition and Investment in the U.S," CEPR Discussion Papers, Centre for Economic Policy Research, number 12536, Dec.
  9. B. Camara & P. Pessarossi & T. Philippon, 2017, "Back-testing European stress tests," Débats Economiques et financiers, Banque de France, number 26.
  10. Thomas Philippon, 2017, "The FinTech Opportunity," BIS Working Papers, Bank for International Settlements, number 655, Jul.
  11. Hanno Lustig & Robert J. Richmond, 2017, "Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 23773, Sep.
  12. Terence C. Burnham & Harry Gakidis & Jeffrey Wurgler, 2017, "Investing in the Presence of Massive Flows: The Case of MSCI Country Reclassifications," NBER Working Papers, National Bureau of Economic Research, Inc, number 23557, Jun.
  13. Jongsub Lee & Junho Oh & David Yermack, 2017, "Credit Default Swaps, Agency Problems, and Management Incentives," NBER Working Papers, National Bureau of Economic Research, Inc, number 24064, Nov.

2016

  1. Viral Acharya & Hanh Le & Hyun Song Shin, 2016, "Bank capital and dividend externalities," BIS Working Papers, Bank for International Settlements, number 580, Sep.
  2. Acharya, Viral & Anginer, Deniz & Warburton, Joe, 2016, "The End of Market Discipline? Investor Expectations of Implicit Government Guarantees," MPRA Paper, University Library of Munich, Germany, number 79700, May.
  3. Viral V Acharya & Nirupama Kulkarni, 2016, "Government Guarantees And Bank Vulnerability During The Financial Crisis: Evidence From An Emerging Market," Working Papers, Centre for Advanced Financial Research and Learning (CAFRAL), number 022320, Aug.
  4. Acharya, Viral & Pierret, Diane & Steffen, Sascha, 2016, "Lender of last resort versus buyer of last resort: The impact of the European Central Bank actions on the bank-sovereign nexus," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 16-019.
  5. Acharya, Viral V. & Steffen, Sascha, 2016, "Capital markets union in Europe: Why other unions must lead the way," ZEW policy briefs, ZEW - Leibniz Centre for European Economic Research, number 4/2016.
  6. Agrawal, Ashwini & Tambe, Prasanna, 2016, "Private equity and workers’ career paths: the role of technological change," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 69476, Sep.
  7. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016, "Copula--based Specification of vector MEMs," Papers, arXiv.org, number 1604.01338, Apr.
  8. Robert F. Engle & Olivier Ledoit & Michael Wolf, 2016, "Large dynamic covariance matrices," ECON - Working Papers, Department of Economics - University of Zurich, number 231, Jul, revised Apr 2017.
  9. Philippon, Thomas & Gutierrez, German, 2016, "Investment-less Growth: An Empirical Investigation," CEPR Discussion Papers, Centre for Economic Policy Research, number 11673, Nov.
  10. Vayanos, Dimitri & Gourinchas, Pierre-Olivier & Philippon, Thomas, 2016, "The Analytics of the Greek Crisis," CEPR Discussion Papers, Centre for Economic Policy Research, number 11334, Jun.
  11. Philippon, Thomas & Midrigan, Virgiliu, 2016, "Household Leverage and the Recession," CEPR Discussion Papers, Centre for Economic Policy Research, number 11407, Jul.
  12. Gourinchas, Pierre-Olivier & Philippon, Thomas & Vayanos, Dimitri, 2016, "The analytics of the Greek crisis: celebratory centenary issue," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 67368, Jul.
  13. Virgiliu Midrigan & Thomas Philippon & Callum Jones, 2016, "Beyond the Liquidity Trap: the Secular Stagnation of Investment," 2016 Meeting Papers, Society for Economic Dynamics, number 1429.
  14. Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2016, "The Deposits Channel of Monetary Policy," NBER Working Papers, National Bureau of Economic Research, Inc, number 22152, Apr.
  15. Malcolm Baker & Mathias F. Hoeyer & Jeffrey Wurgler, 2016, "The Risk Anomaly Tradeoff of Leverage," NBER Working Papers, National Bureau of Economic Research, Inc, number 22116, Mar.
  16. Max Raskin & David Yermack, 2016, "Digital Currencies, Decentralized Ledgers, and the Future of Central Banking," NBER Working Papers, National Bureau of Economic Research, Inc, number 22238, May.
  17. Yehuda Izhakian & David Yermack & Jaime F. Zender, 2016, "Ambiguity and the Tradeoff Theory of Capital Structure," NBER Working Papers, National Bureau of Economic Research, Inc, number 22870, Nov.

2015

  1. Acharya, Viral V. & Imbierowicz, Björn & Steffen, Sascha & Teichmann, Daniel, 2015, "Does Lack of Financial Stability Impair the Transmission of Monetary Policy?," HIT-REFINED Working Paper Series, Institute of Economic Research, Hitotsubashi University, number 24, Jun.
  2. Jennifer N. Carpenter & Fangzhou Lu & Robert F. Whitelaw, 2015, "The Real Value of China's Stock Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 20957, Feb.
  3. Gallardo, German Gutierrez & Schuermann, Til & Duane, Michael, 2015, "Stress Testing Convergence," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 15-11, Jul.
  4. Margherita Bottero & Simone Lenzu & Filippo Mezzanotti, 2015, "Sovereign debt exposure and the bank lending channel: impact on credit supply and the real economy," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1032, Sep.
  5. Margherita Bottero & Simone Lenzu & Filippo Mezzanotti, 2015, "The Crowding Out Effect of Portfolio Re-Allocations: Evidence from Sovereign Markets," Working Paper, Harvard University OpenScholar, number 349626, Nov.
  6. Pedersen, Lasse Heje & Vestergaard Jensen, Mads, 2015, "Early Option Exercise: Never Say Never," CEPR Discussion Papers, Centre for Economic Policy Research, number 11019, Dec.
  7. Philippon, Thomas & Martinez, Joseba & Faria e castro, Miguel, 2015, "Runs versus Lemons: Information Disclosure and Fiscal Capacity," CEPR Discussion Papers, Centre for Economic Policy Research, number 10614, May.
  8. Thomas Philippon & Joseba Martinez, 2015, "Does a Currency Union Need a Capital Market Union?," 2015 Meeting Papers, Society for Economic Dynamics, number 501.
  9. David Yermack, 2015, "Donor Governance and Financial Management in Prominent U.S. Art Museums," NBER Working Papers, National Bureau of Economic Research, Inc, number 21066, Apr.
  10. David Yermack, 2015, "Corporate Governance and Blockchains," NBER Working Papers, National Bureau of Economic Research, Inc, number 21802, Dec.

2014

  1. Acharya, Viral & Engle, Robert & Pierret, Diane, 2014, "Testing macroprudential stress tests: The risk of regulatory risk weights," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2014022, Jan.
  2. Acharya, Viral & Hirsch, Christian & Eisert, Tim & Eufinger, Christian, 2014, "Real Effects of the Sovereign Debt Crisis in Europe: Evidence from Syndicated Loans," CEPR Discussion Papers, Centre for Economic Policy Research, number 10108, Aug.
  3. Acharya, Viral, 2014, "Financial Dependence and Innovation: The Case of Public versus Private Firms," CEPR Discussion Papers, Centre for Economic Policy Research, number 9829, Feb.
  4. Acharya, Viral & Almeida, Heitor & Ippolito, Filippo & Perez, Ander, 2014, "Bank lines of credit as contingent liquidity: A study of covenant violations and their implications," Working Paper Series, European Central Bank, number 1702, Aug.
  5. Acharya, Viral & Litov, Lubomir P. & Sepe, Simone M., 2014, "Seeking Alpha, Taking Risk: Evidence from Non-executive Pay in U.S. Bank Holding Companies," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 13-18, Jan.
  6. Acharya, Viral V. & Steffen, Sascha, 2014, "Falling short of expectations? Stress-testing the European banking system," CEPS Papers, Centre for European Policy Studies, number 8803, Jan.
  7. Viral V. Acharya & Michael J. Fleming & Warren B. Hrung & Asani Sarkar, 2014, "Dealer financial conditions and lender-of-last resort facilities," Staff Reports, Federal Reserve Bank of New York, number 673, May.
  8. Marco Pagano & Sam Langfield & Viral V. Acharya & Arnoud Boot & Markus K. Brunnermeier & Claudia Buch & Martin F. Hellwig & André Sapir & Ieke van den Burg, 2014, "Is Europe Overbanked?," Report of the Advisory Scientific Committee, European Systemic Risk Board, number 4, Jun.
  9. Acharya, Viral V. & Steffen, Sascha, 2014, "Making sense of the comprehensive assessment," SAFE Policy Letters, Leibniz Institute for Financial Research SAFE, number 32.
  10. Robert Engle & Emil Siriwardane, 2014, "Structural GARCH: The Volatility-Leverage Connection," Working Papers, Office of Financial Research, US Department of the Treasury, number 14-07, Oct.
  11. Martin, Philippe & Philippon, Thomas, 2014, "Inspecting the Mechanism: Leverage and the Great Recession in the Eurozone," CEPR Discussion Papers, Centre for Economic Policy Research, number 10189, Oct.
  12. Philippon, Thomas, 2014, "Has the U.S. Finance Industry Become Less Efficient? On the Theory and Measurement of Financial Intermediation," CEPR Discussion Papers, Centre for Economic Policy Research, number 9792, Jan.
  13. Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2014, "A Model of Monetary Policy and Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 20141, May.
  14. Alan Moreira & Alexi Savov, 2014, "The Macroeconomics of Shadow Banking," NBER Working Papers, National Bureau of Economic Research, Inc, number 20335, Jul.
  15. Yehuda Izhakian & David Yermack, 2014, "Risk, Ambiguity, and the Exercise of Employee Stock Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 19975, Mar.
  16. David Yermack & Yuanzhi Li, 2014, "Evasive Shareholder Meetings," NBER Working Papers, National Bureau of Economic Research, Inc, number 19991, Mar.
  17. David Backus & Axelle Ferriere & Stanley Zin, 2014, "Risk and Ambiguity in Models of Business Cycles," NBER Working Papers, National Bureau of Economic Research, Inc, number 20319, Jul.

2013

  1. Acharya, Viral & Steffen, Sascha, 2013, "The "Greatest" Carry Trade Ever? Understanding Eurozone Bank Risks," CEPR Discussion Papers, Centre for Economic Policy Research, number 9432, Apr.
  2. Acharya, Viral & Kovner, Anna & Afonso, Gara, 2013, "How do Global Banks Scramble for Liquidity? Evidence from the Asset-Backed Commercial Paper Freeze of 2007," CEPR Discussion Papers, Centre for Economic Policy Research, number 9457, Apr.
  3. Acharya, Viral & Tuckman, Bruce, 2013, "Unintended Consequences of LOLR Facilities: The Case of Illiquid Leverage," CEPR Discussion Papers, Centre for Economic Policy Research, number 9784, Dec.
  4. Viral V. Acharya & Heitor Almeida & Filippo Ippolito & Ander Perez, 2013, "Credit Lines as Monitored Liquidity Insurance: Theory and Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 18892, Mar.
  5. André Sapir & Martin F. Hellwig & Marco Pagano & Viral V. Acharya & Leszek Balcerowicz & Arnoud Boot & Markus K. Brunnermeier & Claudia Buch & Ieke van den Burg & Charles Calomiris & Daniel Gros & Da, 2013, "The consequences of the single supervisory mechanism for Europe's macro-prudential policy framework," Report of the Advisory Scientific Committee, European Systemic Risk Board, number 3, Sep.
  6. Agrawal, Ashwini K. & Matsa, David A., 2013, "Labor unemployment risk and corporate financing decisions," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 69608, May.
  7. Agrawal, Ashwini K., 2013, "The impact of investor protection law on corporate policy and performance: evidence from the blue sky laws," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 69607, Feb.
  8. Turan G. Bali & Robert F. Engle & Yi Tang, 2013, "Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1305, Feb.
  9. Pedersen, Lasse Heje & Frazzini, Andrea & Kabiller, David, 2013, "Buffett?s Alpha," CEPR Discussion Papers, Centre for Economic Policy Research, number 9769, Dec.
  10. Moskowitz, Tobias J & Pedersen, Lasse Heje & Koijen, Ralph & Vrugt, Evert B., 2013, "Carry," CEPR Discussion Papers, Centre for Economic Policy Research, number 9771, Dec.
    • Koijen, Ralph S.J. & Moskowitz, Tobias J. & Pedersen, Lasse Heje & Vrugt, Evert B., 2018, "Carry," Journal of Financial Economics, Elsevier, volume 127, issue 2, pages 197-225, DOI: 10.1016/j.jfineco.2017.11.002.
    • Ralph S.J. Koijen & Tobias J. Moskowitz & Lasse Heje Pedersen & Evert B. Vrugt, 2013, "Carry," NBER Working Papers, National Bureau of Economic Research, Inc, number 19325, Aug.
  11. Malcolm Baker & Jeffrey Wurgler, 2013, "Do Strict Capital Requirements Raise the Cost of Capital? Banking Regulation and the Low Risk Anomaly," NBER Working Papers, National Bureau of Economic Research, Inc, number 19018, May.
  12. Tanja Artiga González & Markus Schmid & David Yermack, 2013, "Smokescreen: How Managers Behave When They Have Something To Hide," NBER Working Papers, National Bureau of Economic Research, Inc, number 18886, Mar.
  13. David Yermack, 2013, "Is Bitcoin a Real Currency? An economic appraisal," NBER Working Papers, National Bureau of Economic Research, Inc, number 19747, Dec.
  14. David Backus & Mikhail Chernov & Stanley E. Zin, 2013, "Identifying Taylor Rules in Macro-Finance Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 19360, Aug.
  15. Backus, David & Zin, Stanley E. & Chernov, Mikhail & Zviadadze, Irina, 2013, "Monetary policy risk: Rules vs. discretion," CEPR Discussion Papers, Centre for Economic Policy Research, number 9611, Aug.

2012

  1. Lambrecht, Bart & Acharya, Viral, 2012, "A Theory of Income Smoothing When Insiders Know More Than Outsiders," CEPR Discussion Papers, Centre for Economic Policy Research, number 8729, Jan.
  2. Acharya, Viral & Schnabl, Philipp & Suarez, Gustavo, 2012, "Securitization Without Risk Transfer," CEPR Discussion Papers, Centre for Economic Policy Research, number 8769, Jan.
  3. Thakor, Anjan & Acharya, Viral & Mehran, Hamid & Schuermann, Til, 2012, "Robust Capital Regulation," CEPR Discussion Papers, Centre for Economic Policy Research, number 8792, Jan.
  4. Shin, Hyun Song & Acharya, Viral & Gujral, Irvind & Kulkarni, Nirupama, 2012, "Dividends and Bank Capital in the Financial Crisis of 2007-2009," CEPR Discussion Papers, Centre for Economic Policy Research, number 8801, Feb.
  5. Thakor, Anjan & Acharya, Viral & Mehran, Hamid, 2012, "Caught between Scylla and Charybdis? Regulating bank leverage when there is rent-seeking and risk-shifting," CEPR Discussion Papers, Centre for Economic Policy Research, number 8822, Feb.
  6. Richardson, Matthew P & Philippon, Thomas & Acharya, Viral & Pedersen, Lasse Heje, 2012, "Measuring Systemic Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 8824, Feb.
  7. Acharya, Viral & Naqvi, Hassan, 2012, "The Seeds of a Crisis: A Theory of Bank Liquidity and Risk-Taking over the Business Cycle," CEPR Discussion Papers, Centre for Economic Policy Research, number 8851, Feb.
  8. Acharya, Viral & Merrouche, Ouarda, 2012, "Precautionary hoarding of liquidity and inter-bank markets: Evidence from the sub-prime crisis," CEPR Discussion Papers, Centre for Economic Policy Research, number 8859, Feb.
  9. Pagano, Marco & Acharya, Viral & Volpin, Paolo, 2012, "Seeking Alpha: Excess Risk Taking and Competition for Managerial Talent," CEPR Discussion Papers, Centre for Economic Policy Research, number 8905, Mar.
  10. Acharya, Viral & Almeida, Heitor & Campello, Murillo, 2012, "Aggregate Risk and the Choice between Cash and Lines of Credit," CEPR Discussion Papers, Centre for Economic Policy Research, number 8913, Mar.
  11. Acharya, Viral & Öncü, T Sabri, 2012, "A proposal for the resolution of systemically important assets and liabilities: The case of the repo market," CEPR Discussion Papers, Centre for Economic Policy Research, number 8927, Apr.
  12. Acharya, Viral & Volpin, Paolo & Gabarro, Marc, 2012, "Competition for Managers and Corporate Governance," CEPR Discussion Papers, Centre for Economic Policy Research, number 8936, Apr.
  13. Viral V. Acharya, 2012, "The Dodd-Frank Act and Basel III : Intentions, Unintended Consequences, and Lessons for Emerging Markets," Finance Working Papers, East Asian Bureau of Economic Research, number 23352, Oct.
  14. Viral V. Acharya & Ramin P. Baghai & Krishnamurthy V. Subramanian, 2012, "Wrongful Discharge Laws and Innovation," NBER Working Papers, National Bureau of Economic Research, Inc, number 18516, Nov.
  15. Hellwig, Martin F. & Sapir, André & Pagano, Marco & Acharya, Viral & Balcerowicz, Leszek & Boot, Arnoud & Brunnermeier, Markus K. & Buch, Claudia M. & van den Burg, Ieke & Calomiris, Charles & Gros, D, 2012, "Forbearance, resolution and deposit insurance," Report of the Advisory Scientific Committee, European Systemic Risk Board, number 1, Jul.
  16. Agrawal, Ashwini, 2012, "Corporate governance objectives of labor union shareholders: evidence from proxy voting," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 69609, Jan.
  17. Robert F. Engle & Martin Klint Hansen & Asger Lunde, 2012, "And Now, The Rest of the News: Volatility and Firm Specific News Arrival," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-56, Dec.
  18. Robert F. Engle & Eric Jondeau & Michael Rockinger, 2012, "Systemic Risk in Europe," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-45, Dec.
  19. Robert Engle & Michael J. Fleming & Eric Ghysels & Giang Nguyen, 2012, "Liquidity and volatility in the U.S. treasury market," Staff Reports, Federal Reserve Bank of New York, number 590, Dec.
  20. Simone LENZU & Gabriele TEDESCHI, 2012, "Systemic risk on different interbank network topologies," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 375, Apr.
  21. Andrea Frazzini & Lasse Heje Pedersen, 2012, "Betting Against Beta," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-17, May.
  22. Andrea Frazzini & Lasse H. Pedersen, 2012, "Embedded Leverage," NBER Working Papers, National Bureau of Economic Research, Inc, number 18558, Nov.
  23. Philippon, Thomas & Pagnotta, Emiliano, 2012, "Competing on Speed," CEPR Discussion Papers, Centre for Economic Policy Research, number 8786, Jan.
  24. Jennie Bai & Thomas Philippon & Alexi Savov, 2012, "Have financial markets become more informative?," Staff Reports, Federal Reserve Bank of New York, number 578.
  25. Malcolm Baker & Jeffrey Wurgler, 2012, "Dividends as Reference Points: A Behavioral Signaling Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 18242, Jul.
  26. David Yermack, 2012, "Tailspotting: Identifying and profiting from CEO vacation trips," NBER Working Papers, National Bureau of Economic Research, Inc, number 17940, Mar.

2011

  1. Rajan, Raghuram & Acharya, Viral, 2011, "Sovereign debt, government myopia, and the financial sector," CEPR Discussion Papers, Centre for Economic Policy Research, number 8668, Nov.
  2. Acharya, Viral & Schnabl, Philipp & Drechsler, Itamar, 2011, "A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 8679, Dec.
  3. Acharya, Viral & Skeie, David, 2011, "A Model of Liquidity Hoarding and Term Premia in Inter-Bank Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 8705, Dec.
  4. Acharya, Viral & Mora, Nada, 2011, "Are Banks Passive Liquidity Backstops? Deposit Rates and Flows during the 2007-2009 Crisis," CEPR Discussion Papers, Centre for Economic Policy Research, number 8706, Dec.
  5. Viral V. Acharya & Thomas Cooley & Matthew Richardson & Ingo Walter, 2011, "Market Failures and Regulatory Failures : Lessons from Past and Present Financial Crises," Finance Working Papers, East Asian Bureau of Economic Research, number 23273, Feb.
  6. Viral V. Acharya & Jean Imbs & Jason Sturgess, 2011, "The Efficiency of Capital Allocation: Do Bank Regulations Matter?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00612321, Jan, DOI: 10.1093/rof/rfq009.
  7. Viral V. Acharya & Alberto Bisin, 2011, "Counterparty Risk Externality: Centralized Versus Over-the-counter Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 17000, Apr.
  8. Viral V. Acharya, 2011, "A Transparency Standard for Derivatives," NBER Working Papers, National Bureau of Economic Research, Inc, number 17558, Nov.
  9. 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, National Bureau of Economic Research, Inc, number 17065, May.
  10. John Geanakoplos & Lasse H. Pedersen, 2011, "Monitoring Leverage," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1838, Dec.
    • John Geanakoplos & Lasse Heje Pedersen, 2012, "Monitoring Leverage," NBER Chapters, National Bureau of Economic Research, Inc, "Risk Topography: Systemic Risk and Macro Modeling".
  11. Nicolae Gârleanu & Lasse Heje Pedersen, 2011, "Margin-Based Asset Pricing and Deviations from the Law of One Price," NBER Working Papers, National Bureau of Economic Research, Inc, number 16777, Feb.
  12. Philippon, Thomas & Schnabl, Philipp, 2011, "Informational Rents, Macroeconomic Rents, and Efficient Bailouts," CEPR Discussion Papers, Centre for Economic Policy Research, number 8216, Jan.
  13. Thomas Philippon & Emiliano S. Pagnotta, 2011, "The Welfare Effects of Financial Innovation: High-Frequency Trading in Equity Markets," 2011 Meeting Papers, Society for Economic Dynamics, number 1246.
  14. George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov, 2011, "The Puzzle of Index Option Returns," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2011-17, May.
  15. Malcolm Baker & Jeffrey Wurgler, 2011, "Behavioral Corporate Finance: An Updated Survey," NBER Working Papers, National Bureau of Economic Research, Inc, number 17333, Aug.
  16. Backus, David & Zin, Stanley E. & Chernov, Mikhail, 2011, "Sources of entropy in representative agent models," CEPR Discussion Papers, Centre for Economic Policy Research, number 8488, Jul.

2010

  1. Viral V. Acharya & S. Viswanathan, 2010, "Leverage, Moral Hazard and Liquidity," NBER Working Papers, National Bureau of Economic Research, Inc, number 15837, Mar.
  2. 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, National Bureau of Economic Research, Inc, number 16079, Jun.
  3. Viral V. Acharya & Yakov Amihud & Sreedhar T. Bharath, 2010, "Liquidity Risk of Corporate Bond Returns: A Conditional Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 16394, Sep.
  4. Arthur M. Berd & Robert F. Engle & Artem Voronov, 2010, "The Underlying Dynamics of Credit Correlations," Papers, arXiv.org, number 1001.0786, Jan.
      Unknown
  5. Pedersen, Lasse Heje & Ashcraft, Adam & Garleanu, Nicolae Bogdan, 2010, "Two Monetary Tools: Interest Rates and Haircuts," CEPR Discussion Papers, Centre for Economic Policy Research, number 8000, Sep.
  6. Philippon, Thomas & Skreta, Vasiliki, 2010, "Optimal Interventions in Markets with Adverse Selection," CEPR Discussion Papers, Centre for Economic Policy Research, number 7737, Mar.
  7. Jeffrey Wurgler, 2010, "On the Economic Consequences of Index-Linked Investing," NBER Working Papers, National Bureau of Economic Research, Inc, number 16376, Sep.
  8. David K. Backus & Federico Gavazzoni & Christopher Telmer & Stanley E. Zin, 2010, "Monetary Policy and the Uncovered Interest Parity Puzzle," NBER Working Papers, National Bureau of Economic Research, Inc, number 16218, Jul.
  9. L. Epstein & S. Zin, 2010, "First order risk aversion and the equity premium puzzle," Levine's Working Paper Archive, David K. Levine, number 1400, Dec.
  10. Stanley Zin & Mikhail Chernov & David Backus, 2010, "Sources of entropy in representative agent models of asset pricing," 2010 Meeting Papers, Society for Economic Dynamics, number 476.

2009

  1. Viral Acharya & Hyun Song Shin & Tanju Yorulmazer, 2009, "Endogenous choice of bank liquidity: the role of fire sales," Bank of England Staff Working Paper series, Bank of England, number 376, Nov.
  2. Gale, Douglas M & Acharya, Viral & Yorulmazer, Tanju, 2009, "Rollover Risk and Market Freezes," CEPR Discussion Papers, Centre for Economic Policy Research, number 7122, Jan.
  3. Acharya, Viral & Strebulaev, Ilya & Davydenko, Sergei A., 2009, "Cash Holdings and Credit Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 7125, Jan.
  4. Shin, Hyun Song & Acharya, Viral & Yorulmazer, Tanju, 2009, "A Theory of Slow-Moving Capital and Contagion," CEPR Discussion Papers, Centre for Economic Policy Research, number 7147, Jan.
  5. Acharya, Viral & Kehoe, Conor & Reyner, Michael, 2009, "Private Equity vs. PLC Boards: A Comparison of Practices and Effectiveness - Summary of Research Findings," CEPR Discussion Papers, Centre for Economic Policy Research, number 7148, Jan.
  6. Acharya, Viral, 2009, "A Theory of Systemic Risk and Design of Prudential Bank Regulation," CEPR Discussion Papers, Centre for Economic Policy Research, number 7164, Feb.
  7. Acharya, Viral & Subramanian, Krishnamurthy & Baghai, Ramin, 2009, "Labor Laws and Innovation," CEPR Discussion Papers, Centre for Economic Policy Research, number 7171, Feb.
  8. Myers, Stewart C & Rajan, Raghuram & Acharya, Viral, 2009, "The Internal Governance of Firms," CEPR Discussion Papers, Centre for Economic Policy Research, number 7210, Mar.
  9. Acharya, Viral & Kehoe, Conor & Hahn, Moritz, 2009, "Corporate Governance and Value Creation: Evidence from Private Equity," CEPR Discussion Papers, Centre for Economic Policy Research, number 7242, Mar.
  10. Acharya, Viral & Lochstoer, Lars, 2009, "Limits to Arbitrage and Hedging: Evidence from Commodity Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 7327, Jun.
  11. Viral V. Acharya & Hyun Song Shin & Tanju Yorulmazer, 2009, "Crisis Resolution and Bank Liquidity," NBER Working Papers, National Bureau of Economic Research, Inc, number 15567, Dec.
  12. Rangel José Gonzalo & Engle Robert F., 2009, "The Factor-Spline-GARCH Model for High and Low Frequency Correlations," Working Papers, Banco de México, number 2009-03, Feb.
  13. Engle Robert F. & Rangel José Gonzalo, 2009, "High and Low Frequency Correlations in Global Equity Markets," Working Papers, Banco de México, number 2009-17, Dec.
  14. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2009, "Semiparametric vector MEM," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2009_03, Feb.
  15. Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan, 2009, "Dynamic Trading with Predictable Returns and Transaction Costs," CEPR Discussion Papers, Centre for Economic Policy Research, number 7392, Aug.
  16. Pedersen, Lasse Heje, 2009, "When Everyone Runs for the Exit," CEPR Discussion Papers, Centre for Economic Policy Research, number 7436, Aug.
  17. Philippon, Thomas & Reshef, Ariell, 2009, "Wages and Human Capital in the U.S. Financial Industry: 1909-2006," CEPR Discussion Papers, Centre for Economic Policy Research, number 7282, Apr.
  18. Philippon, Thomas & Schnabl, Philipp, 2009, "Efficient Recapitalization," CEPR Discussion Papers, Centre for Economic Policy Research, number 7516, Oct.
  19. Malcolm Baker & Jeffrey Wurgler & Yu Yuan, 2009, "Global, local, and contagious investor sentiment," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 37.
  20. Malcolm Baker & Xin Pan & Jeffrey Wurgler, 2009, "A Reference Point Theory of Mergers and Acquisitions," NBER Working Papers, National Bureau of Economic Research, Inc, number 15551, Dec.
  21. Stanley E. Zin & Bryan R. Routledge & David K. Backus, 2009, "The Cyclical Component of US Asset Returns," 2009 Meeting Papers, Society for Economic Dynamics, number 13.

2008

  1. Acharya, Viral & Volpin, Paolo, 2008, "Corporate Governance Externalities," CEPR Discussion Papers, Centre for Economic Policy Research, number 6627, Jan.
  2. Acharya, Viral & Viswanathan, S., 2008, "Moral Hazard, Collateral and Liquidity," CEPR Discussion Papers, Centre for Economic Policy Research, number 6630, Jan.
  3. Acharya, Viral & Amihud, Yakov & Litov, Lubomir P., 2008, "Creditor Rights and Corporate Risk-taking," CEPR Discussion Papers, Centre for Economic Policy Research, number 6697, Feb.
  4. Gromb, Denis & Acharya, Viral & Yorulmazer, Tanju, 2008, "Imperfect Competition in the Inter-Bank Market for Liquidity as a Rationale for Central Banking," CEPR Discussion Papers, Centre for Economic Policy Research, number 6984, Oct.
  5. DeMarzo, Peter & Acharya, Viral & Kremer, Ilan, 2008, "Endogenous Information Flows and the Clustering of Announcements," CEPR Discussion Papers, Centre for Economic Policy Research, number 6985, Oct.
  6. Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi, 2008, "A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2008_09, Jun.
  7. Neil Shephard & Kevin Sheppard & Robert F. Engle, 2008, "Fitting vast dimensional time-varying covariance models," Economics Series Working Papers, University of Oxford, Department of Economics, number 403, Sep.
  8. Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008, "Carry Trades and Currency Crashes," NBER Working Papers, National Bureau of Economic Research, Inc, number 14473, Nov.
  9. Nicolas Véron & Thomas Philippon, 2008, "Financing Europe's fast movers," Bruegel Policy Brief, Bruegel, number 9, Jan.
  10. Malcolm Baker & Robin Greenwood & Jeffrey Wurgler, 2008, "Catering Through Nominal Share Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 13762, Jan.
  11. Stanley E. Zin & Chris Telmer & David K. Backus, 2008, "Monetary Policy and the Uncovered Interest Rate Parity Puzzle," 2008 Meeting Papers, Society for Economic Dynamics, number 834.

2007

  1. Viral Acharya & Tanju Yorulmazer, 2007, "Too many to fail - an analysis of time-inconsistency in bank closure policies," Bank of England Staff Working Paper series, Bank of England, number 319, Feb.
  2. Viral Acharya & Tanju Yorulmazer, 2007, "Cash-in-the-market pricing and optimal resolution of bank failures," Bank of England Staff Working Paper series, Bank of England, number 328, Jun.
  3. Acharya, Viral & Subramanian, Krishnamurthy, 2007, "Bankruptcy Codes and Innovation," CEPR Discussion Papers, Centre for Economic Policy Research, number 6307, May.
  4. Shin, Hyun Song & Acharya, Viral & Yorulmazer, Tanju, 2007, "Fire Sales, Foreign Entry and Bank Liquidity," CEPR Discussion Papers, Centre for Economic Policy Research, number 6309, May.
  5. Shin, Hyun Song & Acharya, Viral & Yorulmazer, Tanju, 2007, "Fire-sale FDI," CEPR Discussion Papers, Centre for Economic Policy Research, number 6319, May.
  6. Schaefer, Stephen & Acharya, Viral & Zhang, Yili, 2007, "Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005," CEPR Discussion Papers, Centre for Economic Policy Research, number 6619, Dec.
  7. Acharya, Viral & Johnson, Tim, 2007, "More Insiders, More Insider Trading: Evidence from Private Equity Buyouts," CEPR Discussion Papers, Centre for Economic Policy Research, number 6622, Dec.
  8. Giovanni Barone-Adesi & Robert F. Engle & Loriano Mancini, 2007, "A GARCH Option Pricing Model in Incomplete Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-03, Feb.
  9. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2007, "A Model for Multivariate Non-negative Valued Processes in Financial Econometrics," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2007_16, Dec.
  10. Pedersen, Lasse Heje & Mitchell, Mark & Pulvino, Todd, 2007, "Slow Moving Capital," CEPR Discussion Papers, Centre for Economic Policy Research, number 6117, Feb.
  11. Brunnermeier, Markus & Pedersen, Lasse Heje, 2007, "Market Liquidity and Funding Liquidity," CEPR Discussion Papers, Centre for Economic Policy Research, number 6179, Mar.
  12. Nicolae B. Garleanu & Lasse H. Pedersen, 2007, "Liquidity and Risk Management," NBER Working Papers, National Bureau of Economic Research, Inc, number 12887, Feb.
  13. Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2007, "How Sovereign is Sovereign Credit Risk?," NBER Working Papers, National Bureau of Economic Research, Inc, number 13658, Dec.
  14. Thomas Philippon, 2007, "Why Has the U.S. Financial Sector Grown so Much? The Role of Corporate Finance," NBER Working Papers, National Bureau of Economic Research, Inc, number 13405, Sep.
  15. Thomas Philippon & Ariell Reshef, 2007, "Skill Biased Financial Development: Education, Wages and Occupations in the U.S. Financial Sector," NBER Working Papers, National Bureau of Economic Research, Inc, number 13437, Sep.
  16. Thomas Philippon, 2007, "Financiers vs. Engineers: Should the Financial Sector be Taxed or Subsidized?," NBER Working Papers, National Bureau of Economic Research, Inc, number 13560, Oct.
  17. Thomas Philippon & Yuliy Sannikov, 2007, "Real Options in a Dynamic Agency Model, with Applications to Financial Development, IPOs, and Business Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 13584, Nov.
  18. Thomas Philippon, 2007, "The y-Theory of Investment," 2007 Meeting Papers, Society for Economic Dynamics, number 204.
  19. Malcolm Baker & Jeffrey Wurgler, 2007, "Investor Sentiment in the Stock Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 13189, Jun.
  20. Michael F. Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley E. Zin, 2007, "Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 13245, Jul.
  21. Stanley E. Zin & Bryan R. Routledge & David K. Backus, 2007, "Recursive Risk Sharing: Microfoundations for Representative-Agent Asset Pricing," 2007 Meeting Papers, Society for Economic Dynamics, number 992.

2006

  1. Viral V. Acharya & Jean Imbs & Jason Sturgess, 2006, "Finance and Efficiency: Do Bank Branching Regulations Matter?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-36, Nov.
  2. Fabrizio Cipollini & Robert F. Engle & Giampiero Gallo, 2006, "Vector Multiplicative Error Models: Representation and Inference," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2006_15, Oct.
  3. Barone-Adesi, Giovanni & Engle, Robert & Mancini, Loriano, 2006, "GARCH Options in Incomplete Markets," CEI Working Paper Series, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University, number 2005-12, Mar.
  4. Robert Engle & Robert Ferstenberg, 2006, "Execution Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 12165, Apr.
  5. Duffie, Darrell & Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan, 2006, "Valuation in Over-the-Counter Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 5491, Feb.
  6. Mueller, Holger & Philippon, Thomas, 2006, "Concentrated Ownership and Labour Relations," CEPR Discussion Papers, Centre for Economic Policy Research, number 5776, Jul.
  7. Mueller, Holger & Philippon, Thomas, 2006, "Family Firms, Paternalism and Labour Relations," CEPR Discussion Papers, Centre for Economic Policy Research, number 6017, Dec.
  8. Thomas Philippon, 2006, "The Bond Market's q," NBER Working Papers, National Bureau of Economic Research, Inc, number 12462, Aug.
  9. Malcolm Baker & Stefan Nagel & Jeffrey Wurgler, 2006, "The Effect of Dividends on Consumption," NBER Working Papers, National Bureau of Economic Research, Inc, number 12288, Jun.
  10. Yermack, David, 2006, "Golden Handshakes: Separation Pay for Retired and Dismissed CEOs," SIFR Research Report Series, Institute for Financial Research, number 41, Feb.
  11. Sundaram, Rangarajan K. & Yermack, David, 2006, "Pay Me Later: Inside Debt and Its Role in Managerial Compensation," SIFR Research Report Series, Institute for Financial Research, number 43, Feb.
  12. Stanley Zin & David Backus & Bryan Routledge, 2006, "Asset pricing implications for business cycle analysis," 2006 Meeting Papers, Society for Economic Dynamics, number 14.

2005

  1. Acharya, Viral & Almeida, Heitor & Campello, Murillo, 2005, "Is Cash Negative Debt? A Hedging Perspective on Corporate Financial Policies," CEPR Discussion Papers, Centre for Economic Policy Research, number 4886, Feb.
  2. John, Kose & Acharya, Viral & Sundaram, Rangarajan K, 2005, "Cross-Country Variations in Capital Structures: The Role of Bankruptcy Codes," CEPR Discussion Papers, Centre for Economic Policy Research, number 4916, Feb.
  3. Acharya, Viral & Yorulmazer, Tanju, 2005, "Cash-in-the-Market Pricing and Optimal Bank Bailout Policy," CEPR Discussion Papers, Centre for Economic Policy Research, number 5154, Jul.
  4. Acharya, Viral & Johnson, Tim, 2005, "Insider Trading in Credit Derivatives," CEPR Discussion Papers, Centre for Economic Policy Research, number 5180, Aug.
  5. Amihud, Yakov & Mendelson, Haim & Pedersen, Lasse Heje, 2005, "Liquidity and Asset Prices," MPRA Paper, University Library of Munich, Germany, number 24768.
  6. Robert F. Engle & Jose Gonzalo Rangel, 2005, "The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes," Working Papers, Czech National Bank, Research and Statistics Department, number 2005/13, Dec.
  7. Magdalena E. Sokalska & Ananda Chanda & Robert F. Engle, 2005, "High Frequency Multiplicative Component Garch," Computing in Economics and Finance 2005, Society for Computational Economics, number 409, Nov.
  8. Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan & ,, 2005, "Demand-Based Option Pricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 5420, Dec.
  9. Diego Comin & Thomas Philippon, 2005, "The Rise in Firm-Level Volatility: Causes and Consequences," NBER Working Papers, National Bureau of Economic Research, Inc, number 11388, May.
  10. Simi Kedia & Thomas Philippon, 2005, "The Economics of Fraudulent Accounting," NBER Working Papers, National Bureau of Economic Research, Inc, number 11573, Aug.
  11. Qiang Dai & Thomas Philippon, 2005, "Fiscal Policy and the Term Structure of Interest Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 11574, Aug.
  12. Heitor Almeida & Thomas Philippon, 2005, "The Risk-Adjusted Cost of Financial Distress," NBER Working Papers, National Bureau of Economic Research, Inc, number 11685, Oct.
  13. Thomas Philippon & Fatih Guvenen, 2005, "Firm Volatility and Wage Inequality," 2005 Meeting Papers, Society for Economic Dynamics, number 230.
  14. Thomas Philippon & Francesco Franco, 2005, "Firms and Aggregate Dynamics," 2005 Meeting Papers, Society for Economic Dynamics, number 246.
  15. Michael Gallmeyer & Burton Hollifield & Stanley E. Zin, 2005, "Taylor Rules, McCallum Rules and the Term Structure of Interest Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 11276, Apr.
  16. Stanley Zin & Thomas Tallarini, 2005, "Portfolio Choice and Permanent Income," Computing in Economics and Finance 2005, Society for Computational Economics, number 408, Nov.

2004

  1. Yakov Amihud & Clifford Hurvich, 2004, "Predictive Regressions: A Reduced-Bias Estimation Method," Econometrics, University Library of Munich, Germany, number 0412008, Dec.
  2. Yakov Amihud & Clifford Hurvich & Yi Wang, 2004, "Hypothesis Testing in Predictive Regressions," Finance, University Library of Munich, Germany, number 0412022, Dec.
  3. Robert F. Engle III, 2004, "Autobiography," Nobel Prize in Economics documents, Nobel Prize Committee, number 2003-3.
  4. Brunnermeier, Markus & Pedersen, Lasse Heje, 2004, "Predatory Trading," CEPR Discussion Papers, Centre for Economic Policy Research, number 4639, Sep.
  5. Lasse Pedersen & Darrell Duffie & Nicolae Garleanu, 2004, "Valuation in Dynamic Bargaining Markets," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 649, Aug.
  6. Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2004, "Over-the-Counter Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 10816, Oct.
  7. Olivier Blanchard & Thomas Philippon, 2004, "The Quality of Labor Relations and Unemployment," NBER Working Papers, National Bureau of Economic Research, Inc, number 10590, Jun.
  8. Thomas Philippon, 2004, "Corporate Governance Over the Business Cycle," 2004 Meeting Papers, Society for Economic Dynamics, number 114.
  9. Malcolm Baker & Jeffrey Wurgler, 2004, "Investor Sentiment and the Cross-Section of Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 10449, Apr.
  10. Malcolm Baker & C. Fritz Foley & Jeffrey Wurgler, 2004, "The Stock Market and Investment: Evidence from FDI Flows," NBER Working Papers, National Bureau of Economic Research, Inc, number 10559, Jun.
  11. Malcolm Baker & Lubomir Litov & Jessica A. Wachter & Jeffrey Wurgler, 2004, "Can Mutual Fund Managers Pick Stocks? Evidence from the Trades Prior to Earnings Announcements," NBER Working Papers, National Bureau of Economic Research, Inc, number 10685, Aug.
  12. Malcolm P. Baker & Ryan Taliaferro & Jeffrey Wurgler, 2004, "Pseudo Market Timing and Predictive Regressions," NBER Working Papers, National Bureau of Economic Research, Inc, number 10823, Oct.
  13. Malcolm Baker & Richard S. Ruback & Jeffrey Wurgler, 2004, "Behavioral Corporate Finance: A Survey," NBER Working Papers, National Bureau of Economic Research, Inc, number 10863, Nov.
  14. Stan Zin & David Backus & Bryan Routledge, 2004, "International Risk Sharing with exotic preferences," 2004 Meeting Papers, Society for Economic Dynamics, number 149.
  15. David Backus & Bryan Routledge & Stanley Zin, 2004, "Exotic Preferences for Macroeconomists," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 04-20.

2003

  1. Acharya, Viral & Yorulmazer, Tanju, 2003, "Information Contagion and Inter-Bank Correlation in a Theory of Systemic Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 3743, Feb.
  2. Acharya, Viral & Pedersen, Lasse Heje, 2003, "Asset Pricing with Liquidity Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 3749, Feb.
  3. Bisin, Alberto & Acharya, Viral, 2003, "Optimal Financial Market Integration and Security Design," CEPR Discussion Papers, Centre for Economic Policy Research, number 3852, Mar.
  4. Acharya, Viral & Bharath, Sreedhar T & Srinivasan, Anand, 2003, "Understanding the Recovery Rates on Defaulted Securities," CEPR Discussion Papers, Centre for Economic Policy Research, number 4098, Oct.
  5. Cappiello, Lorenzo & Engle, Robert F. & Sheppard, Kevin, 2003, "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series, European Central Bank, number 204, Jan.
  6. Robert F. Engle & Giampiero M. Gallo, 2003, "A Multiple Indicators Model For Volatility Using Intra-Daily Data," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2003_07, Jul.
  7. Robert F. Engle III, 2003, "Risk and Volatility: Econometric Models and Financial Practice," Nobel Prize in Economics documents, Nobel Prize Committee, number 2003-4, Dec.
  8. Robert F. Engle III & Clive W. J. Granger, 2003, "Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III," Nobel Prize in Economics documents, Nobel Prize Committee, number 2003-5, Dec.
  9. Daniel Bergstresser & Thomas Philippon, 2003, "CEO incentives and earnings management," Proceedings, Federal Reserve Bank of Chicago, number 862.
  10. Malcolm Baker & Jeffrey Wurgler, 2003, "A Catering Theory of Dividends," NBER Working Papers, National Bureau of Economic Research, Inc, number 9542, Mar.
  11. Malcolm Baker & Jeffrey Wurgler, 2003, "Appearing and Disappearing Dividends: The Link to Catering Incentives," NBER Working Papers, National Bureau of Economic Research, Inc, number 9995, Sep.
  12. Bryan R. Routledge & Stanley E. Zin, 2003, "Generalized Disappointment Aversion and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 10107, Nov.

2002

  1. Iftekhar Hasan & Anthony Saunders & Viral V. Acharya, 2002, "Should banks be diversified? Evidence from individual bank loan portfolios," BIS Working Papers, Bank for International Settlements, number 118, Sep.
  2. Saunders, Anthony & Acharya, Viral & Hasan, Iftekhar, 2002, "The Effects of Focus and Diversification on Bank Risk and Return: Evidence from Individual Bank Loan Portfolios," CEPR Discussion Papers, Centre for Economic Policy Research, number 3252, Mar.
  3. Acharya, Viral, 2002, "Is the International Convergence of Capital Adequacy Regulation Desirable?," CEPR Discussion Papers, Centre for Economic Policy Research, number 3253, Mar.
  4. Acharya, Viral & Carpenter, Jennifer, 2002, "Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy," CEPR Discussion Papers, Centre for Economic Policy Research, number 3328, Apr.
  5. Das, Sanjiv Ranjan & Acharya, Viral & Sundaram, Rangarajan K, 2002, "Pricing Credit Derivatives with Rating Transitions," CEPR Discussion Papers, Centre for Economic Policy Research, number 3329, Apr.
  6. Bisin, Alberto & Acharya, Viral, 2002, "Entrepreneurial Incentives in Stock Market Economies," CEPR Discussion Papers, Centre for Economic Policy Research, number 3474, Jul.
  7. Acharya, Viral & Sundaram, Rangarajan K & Huang, Jing-Zhi & Subrahmanyam, Marti, 2002, "When Does Strategic Debt Service Matter?," CEPR Discussion Papers, Centre for Economic Policy Research, number 3566, Oct.
    • Viral Acharya & Jing-zhi Huang & Marti Subrahmanyam & Rangarajan Sundaram, 2006, "When does Strategic Debt-service Matter?," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 29, issue 2, pages 363-378, October, DOI: 10.1007/s00199-005-0035-9.
  8. Viral V. Acharya & Iftekhar Hasan & Anthony Saunders, 2002, "Should banks be diversified? evidence from individual bank portfolios," Proceedings, Federal Reserve Bank of Chicago, number 836.
  9. Edward I. Altman & Andrea Resti & Andrea Sironi, 2002, "The link between default and recovery rates: effects on the procyclicality of regulatory capital ratios," BIS Working Papers, Bank for International Settlements, number 113, Jul.
  10. David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2002, "Time-Varying Arrival Rates of Informed and Uninformed Trades," Finance, University Library of Munich, Germany, number 0207017, Aug.
  11. Nicholas Barberis & Andrei Shleifer & Jeffrey Wurgler, 2002, "Comovement," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1953.
  12. Malcolm Baker & Jeremy C. Stein & Jeffrey Wurgler, 2002, "When Does the Market Matter? Stock Prices and the Investsment of Equity-Dependent Firms," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1978.
  13. David Backus & Liuren Wu & Stanley Zin, 2002, "Markov Chain Approximations For Term Structure Models," Finance, University Library of Munich, Germany, number 0207018, Sep.

2001

  1. Engle, Robert F & Sheppard, Kevin K, 2001, "Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt5s2218dp, Sep.
  2. Engle, Robert F. & Manganelli, Simone, 2001, "Value at risk models in finance," Working Paper Series, European Central Bank, number 75, Aug.
  3. Jeffrey A. Wurgler & Malcolm P. Baker, 2001, "Market Timing and Capital Structure," Yale School of Management Working Papers, Yale School of Management, number ysm181, Apr.
  4. Bernhard Paasche & Stanley E. Zin, 2001, "Competition and Intervention in Sovereign Debt Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 8679, Dec.
  5. Bryan R. Routledge & Stanley E. Zin, 2001, "Model Uncertainty and Liquidity," NBER Working Papers, National Bureau of Economic Research, Inc, number 8683, Dec.

2000

  1. V. Acharya & J. Huang & Marti G. Subrahmanyam & R. Sundaram, 2000, "Costly Financing, Optimal Payout Policies and the Valuation of Corporate Debt," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-048, Jul.
  2. Edward I. Altman & Luis Beltran, 2000, "Market Size and Investment Performance of Defaulted Bonds & Bank Loans: 1987-1998," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-004, Jan.
  3. Edward Altman & Anthony Saunders, 2000, "An Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratings," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-084, Jan.
  4. Engle, Robert F, 2000, "Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt56j4143f, May.
  5. Engle, Robert F & Patton, Andrew J, 2000, "Impacts of Trades in an Error-Correction Model of Quote Prices," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt6dm6093f, Aug.
  6. Joshua Rosenberg & Robert F. Engle, 2000, "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-014, Jul.
  7. Alfonso Dufour & Robert F Engle, 2000, "The ACD Model: Predictability of the Time Between Concecutive Trades," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2000-05, May.
  8. Francis Kramarz & Thomas Philippon, 2000, "The Impact of Differenctial Payroll Tax Subsidies on Minimum Wage Employment," Working Papers, Center for Research in Economics and Statistics, number 2000-10.
  9. Abowd, John M. & Kramarz, Francis & Margolis, David N. & Philippon, Thomas, 2000, "The Tail of Two Countries: Minimum Wages and Employment in France and the United States," IZA Discussion Papers, IZA Network @ LISER, number 203, Sep.
  10. Jeffrey Wurgler & Ekaterina Zhuravskaya, 2000, "Does Arbitrage Flatten Demand Curves for Stocks?," Yale School of Management Working Papers, Yale School of Management, number ysm152, Aug, revised 01 Nov 2001.
  11. Stanley A. Zin, Bryan Routledge, 2000, "Solution Algorithms For Dynamic Choquet Expected Utility," Computing in Economics and Finance 2000, Society for Computational Economics, number 119, Jul.

1999

  1. Viral Acharya & Kose John & Rangarajan K. Sundaram, 1999, "On the Optimality of Resetting Executive Stock Options," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-087, Dec.
  2. Edward I. Altman & Diane Cooke & Vellore Kishore, 1999, "Defaults & Returns on High Yield Bonds: Analysis Through 1998 and Default Outlook for 1999-2001," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-005, Jan.
  3. Philip H. Dybvig & Heber K. Farnsworth & Jennifer Carpenter, 1999, "Portfolio Performance and Agency," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-046, Dec.
  4. Jennifer Carpenter, 1999, "Does Option Compensation Increase Managerial Risk Appetite?," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-076, Aug.
  5. Engle, Robert F & Manganelli, Simone, 1999, "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt06m3d6nv, Oct.
  6. Dufour, Alfonso & Engle, Robert F, 1999, "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt62c0h04j, Jun.
  7. Engle, Robert F, 1999, "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt6rp7g17q, Feb.
  8. Young-Hye Cho & Robert F. Engle, 1999, "Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks," NBER Working Papers, National Bureau of Economic Research, Inc, number 7330, Sep.
  9. Robert F. Engle & Simone Manganelli, 1999, "CAViaR: Conditional Value at Risk by Quantile Regression," NBER Working Papers, National Bureau of Economic Research, Inc, number 7341, Sep.
  10. Simone Manganelli & Robert F. Engle, 1999, "Modeling a Time-Varying Order Statistic," Computing in Economics and Finance 1999, Society for Computational Economics, number 952, Mar.
  11. John M. Abowd & Francis Kramarz & David Margolis & Thomas Philippon, 1999, "Minimum Wages and Employment in France and the United States," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00370392, Jan.
  12. Jeffrey Wurgler, 1999, "Financial Markets And The Allocation Of Capital," Yale School of Management Working Papers, Yale School of Management, number ysm123, Aug, revised 01 Mar 2001.
  13. Malcolm Baker & Jeffrey Wurgler, 1999, "The Equity Share in New Issues and Aggregate Stock Returns," Yale School of Management Working Papers, Yale School of Management, number ysm124, Aug, revised 01 Jan 2009.
  14. Sandeep Dahiya & David Yermack, 1999, "Wealth Creation and Destruction from Brooke Group's Tobacco Litigation Strategy," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-050, Dec.
  15. Matthew Clayton & David Yermack, 1999, "Major League Baseball Player Contracts: An Investigation of the Empirical Properties of Real Options," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-051, Nov.

1998

  1. Viral V. Acharya & Kose John & Rangarajan K. Sundaram, 1998, "Contract Renegotiation and the Optimality of resetting Executive Stock Options," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 98-088, Dec.
  2. Edward I. Altman, 1998, "Credit Risk Measurement and Management: The Ironic Challenge in the Next Decade," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 98-003, Feb.
  3. Jennifer Carpenter & Anthony Lynch, 1998, "Survivorship Bias and Attrition Effects in Measures of Performance Persistence," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 98-077, Oct.
  4. Russell, Jeffrey & Engle, Robert F, 1998, "Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt00m2c5hk, Apr.
  5. Engle, Robert F, 1998, "Macroeconomic Announcements and Volatility of Treasury Futures," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt7rd4g3bk, Nov.
  6. Engle, Robert F & Lunde, Asger, 1998, "Trades and Quotes: A Bivariate Point Process," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt8bh079sq, Mar.
  7. Engle, Robert F & Smith, Aaron, 1998, "Stochastic Permanent Breaks," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt99v0s0zx, Jan.
  8. Menachem Brenner & Rangarajan K. Sundaram & David Yermack, 1998, "Altering the Terms of Executive Stock Options," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 98-010, Feb.
  9. Anil Shivdasani & David Yermack, 1998, "CEO Involvement in the Selection of New Board Members: An Empirical Analysis," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 98-059, May.

1997

  1. Allan C. Eberhart & Edward I. Altman & Reena Aggarwal, 1997, "The Equity Performance of Firms Emerging from Bankruptcy," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 96-22, Feb.
  2. Jennifer Carpenter, 1997, "The Optimal Dynamic Investment Policy for a Fund Manager Compensated with an Incentive Fee," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 97-11, Mar.
  3. Jennifer Carpenter, 1997, "The Exercise and Valuation of Executive Stock Options," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 97-10, Feb.
  4. Robert F. Engle & Joe Lange, 1997, "Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 6129, Aug.
  5. Joshua V. Rosenberg & Robert F. Engle, 1997, "Option Hedging Using Empirical Pricing Kernels," NBER Working Papers, National Bureau of Economic Research, Inc, number 6222, Oct.
  6. Hamid Mehran & David Yermack, 1997, "Compensation and Top Management Turnover," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 98-051, Nov.
  7. Eli Ofek & David Yermack, 1997, "Does Equity-Based Compensation Increase Managers' Ownership?," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 98-052, Nov.
  8. Gregor W. Smith & Stanley E. Zin, 1997, "Real Business Cycle Realizations," Working Paper, Economics Department, Queen's University, number 1253, Aug.

1996

  1. Edward I. Altman & Anthony C. Morris, 1996, "The Investment Performance of Defaulted Bonds for 1987-95 and Market Outlook," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 96-4, Jan.
  2. Edward I. Altman, 1996, "Rating Migration of Corporate Bonds: Comparative Results and Investor/Lender Implications," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 96-1, Dec.
  3. Edward I. Altman, 1996, "Corporate Bond and Commercial Loan Portfolio Analysis," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 96-6, Sep.
  4. Edward I. Altman & Anthony Saunders, 1996, "Credit Risk Measurement: Developments over the Last 20 Years," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 96-3, Sep.
  5. Edward I. Altman & Paul Narayanan, 1996, "Business Failure Classification Models: An International Survey," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 96-5, May.
  6. Yakov Amihud & Haim Mendelson & Beni Lauterbach, 1996, "Market Microstructure and Securities Values: Evidence From the Tel Aviv Stock Exchange," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 96-7, Oct.
  7. Robert F. Engle, 1996, "The Econometrics of Ultra-High Frequency Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 5816, Nov.
  8. Philip E. Berger & Eli Ofek & David Yermack, 1996, "Managerial Entrenchment and Capital Structure Decisions," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 96-14, Dec.
  9. Marcel Kahan & David Yermack, 1996, "Investment Opportunities and the Design of Debt Securities," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 96-31, Aug.
  10. Hamid Mehran & David Yermack, 1996, "Stock-Based Compensation and Top Management Turnover," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 96-35, May.
  11. David Yermack, 1996, "Good Timing: CEO Stock Option Awards and Company News Announcements," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 96-41, Jun.
  12. David Yermack, 1996, "Companies' Modest Claims About the Value of CEO Stock Option Awards," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 96-42, Apr.

1995

  1. Robert F. Engle & Joshua V. Rosenberg, 1995, "GARCH Gamma," NBER Working Papers, National Bureau of Economic Research, Inc, number 5128, May.

1994

  1. Altman, E. & Blanc, J.P.C. & Khamisy, A. & Yechiali, U., 1994, "Gated-type polling systems with walking and switch-in times," Other publications TiSEM, Tilburg University, School of Economics and Management, number c093d92a-422f-4216-b528-0.
  2. Engle, R. F. & Issler, João Victor, 1994, "Estimating sectoral cycles using cointegration and common features," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 232, Mar.
  3. Robert F. Engle & Joshua Rosenberg, 1994, "Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 4958, Dec.
  4. Robert F. Engle & Jeffrey R. Russell, 1994, "Forecasting Transaction Rates: The Autoregressive Conditional Duration Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 4966, Dec.
  5. David K. Backus & Stanley E. Zin, 1994, "Reverse Engineering the Yield Curve," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 94-09.
  6. David K. Backus & Silverio Foresi & Stanley E. Zin, 1994, "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 94-28.

1993

  1. Robert F. Engle & Alex Kane & Jaesun Noh, 1993, "Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts," NBER Working Papers, National Bureau of Economic Research, Inc, number 4519, Nov.
  2. Jaesun Noh & Robert F. Engle & Alex Kane, 1993, "A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts," NBER Working Papers, National Bureau of Economic Research, Inc, number 4520, Nov.
  3. David K. Backus & Stanley E. Zin, 1993, "Long-memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0133, Mar.

1991

  1. Lin, W.L. & Engle, R.F. & Ito, T., 1991, "Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns," Working papers, Wisconsin Madison - Social Systems, number 9121.
  2. Ray Chou & Robert F. Engle & Alex Kane, 1991, "Measuring Risk Aversion From Excess Returns on a Stock Index," NBER Working Papers, National Bureau of Economic Research, Inc, number 3643, Mar.
  3. Robert F. Engle & Victor K. Ng, 1991, "Measuring and Testing the Impact of News on Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 3681, Apr.
  4. Robert F. Engle & Victor K. Ng, 1991, "Time-Varying Volatility and the Dynamic Behavior of the Term Structure," NBER Working Papers, National Bureau of Economic Research, Inc, number 3682, Apr.
  5. Larry G. Epstein & Stanley E. Zin, 1991, "The Independence Axiom and Asset Returns," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0109, Jul.

1990

  1. Robert F. Engle & Sharon Kozicki, 1990, "Testing For Common Features," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0091, Oct.
  2. Scott J. Brown & N. Edward Coulson & Robert F. Engle, 1990, "Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share," NBER Working Papers, National Bureau of Economic Research, Inc, number 3291, Mar.
  3. Robert F. Engle & Che-Hsiung Hong & Alex Kane, 1990, "Valuation of Variance Forecast with Simulated Option Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 3350, May.
  4. Takatoshi Ito & Robert F. Engle & Wen-Ling Lin, 1990, "Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination," NBER Working Papers, National Bureau of Economic Research, Inc, number 3504, Oct.
  5. Engle, R. & Hendry, D., 1990, "Testing Super Exogeneity And Invariance In Regression Models," Economics Series Working Papers, University of Oxford, Department of Economics, number 99100.

1989

  1. Engle, R.F. & Yoo, B.S., 1989, "Cointegrated Economic Time Series: A Survey With New Results," Papers, Pennsylvania State - Department of Economics, number 8-89-13.

1988

  1. Engel, R.F. & Ito, T. & Lin, W-L., 1988, "Meteor Showers Or Heat Wages? Heteroskedastic Intra-Daily Volatility In A The Foreign Exchange Market," Papers, Minnesota - Center for Economic Research, number 246.
  2. Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988, "Seasonal Integration And Cointegration," Papers, Pennsylvania State - Department of Economics, number 0-88-2.
  3. Robert F. Engle & Victor Ng & Michael Rothschild, 1988, "Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0065, Nov.

1987

  1. Gregor W. Smith & Stanley E. Zin, 1987, "Testing a Government's Present-Value Borrowing Constraint," Working Paper, Economics Department, Queen's University, number 695.
  2. Stanley E. Zin, 1987, "Intertemporal Substitution, Risk and the Time Series Behaviour of Consumption and Asset Returns," Working Paper, Economics Department, Queen's University, number 694.
  3. Larry G. Epstein & Stanley E. Zin, 1987, "Substitution, Risk Aversion and the Temporal Behaviour of Consumption and Asset Returns I: A Theoretical Framework," Working Paper, Economics Department, Queen's University, number 699.
  4. Larry G. Epstein & Stanley E. Zin, 1987, "Substitution, Risk Aversion and the Temporal Behaviour of Consumption and Asset Returns II: An Empirical Analysis," Working Paper, Economics Department, Queen's University, number 698.
  5. Stanley E. Zin, 1987, "Aggregate Consumption Behaviour in a Life Cycle Model with Non-Additive Recursive Utility," Working Paper, Economics Department, Queen's University, number 693.

1986

  1. David K. Backus & Allan W. Gregory & Stanley E. Zin, 1986, "Risk Premiums in the Term Structure : Evidence from Artificial Economies," Working Paper, Economics Department, Queen's University, number 665.

1984

  1. Altman, Edward I. & Gritta, Richard D., 1984, "Airline Bankruptcy propensitites: A zeta analysis," Transportation Research Forum Proceedings 1980s, Transportation Research Forum, number 311672, DOI: 10.22004/ag.econ.311672.

1975

  1. K. Bradbury & R. Engle et al., 1975, "Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics, number 160, Jul.
  2. R. F. Engle, 1975, "Estimation of the Price Elasticity of Demand Facing Metropolitan Producers," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics, number 162, Jul.

1974

  1. R. F. Engle, 1974, "Testing Price Equations for Stability Across Frequencies," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics, number 144, Dec.
  2. Robert F. Engle, 1974, "Interpreting Spectral Analyses in Terms of Time-Domain Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 0037, Apr.

1973

  1. R. F. Engle, 1973, "De Facto Discrimination in Residential Assessments: Boston," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics, number 119, Nov.
  2. R. F. Engle, 1973, "Issues in the Specification of an Econometric Model of Metropolitan Growth," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics, number 120, Nov.
  3. R. F. Engle, 1973, "A Disequilibrium Model of Regional Investment," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics, number 121, Nov.
  4. R. F. Engle & R. Gardner, 1973, "Some Finite Sample Properties of Spectral Estimators of a Linear Regression," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics, number 122, Dec.

1972

  1. R. Engle & D. Foley, 1972, "A Supply Function Model of Aggregate Investment," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics, number 89, Aug.
  2. R. F. Engle, 1972, "Band Spectrum Regressions," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics, number 96, Dec.

1971

  1. R. F. Engle, 1971, "The Specification of the Disturbance for Efficient Estimation," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics, number 76, Aug.

1970

  1. R. E. Engle, 1970, "The Inconsistency of Distributed Lag Estimators Due to Misspecification by Time Aggregation," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics, number 63, Oct.

1966

  1. Robert F. Engle & Joshua Rosenberg, 1966, "Testing the Volatility Term Structure Using Option Hedging Criteria," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 96-24, Apr.

Undated

  1. Engle, Robert F., undated, "A General Approach To The Construction Of Model Diagnostics Based Upon The Lagrange Multiplier Principle," Economic Research Papers, University of Warwick - Department of Economics, number 269054, DOI: 10.22004/ag.econ.269054.
  2. Engle, Robert F. & Hendry, David F. & Richard, Jean-Francois, undated, "Exogeneity," Economic Research Papers, University of Warwick - Department of Economics, number 269060, DOI: 10.22004/ag.econ.269060.
  3. Chris Telmer & Stanley E. Zin, undated, "The yield curve: terms of endearment or terms of endowment?," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 231.
  4. Michael Trick & Stanley Zin, undated, "Adaptive Spline Generation: A New Algorithm for Solving Stochastic Dynamic Programs," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 16.
  5. Michael Trick & Stanley Zin, undated, "A Linear Programming Approach to Solving Stochastic Dynamic Programming," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 4.
  6. Tony Smith & Fallaw Sowell & Stanley Zin, undated, "Fractional integration with Drift: Estimation in Small Samples," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 22.

Journal articles

2026

  1. Chavleishvili, Sulkhan & Engle, Robert F. & Fahr, Stephan & Kremer, Manfred & Lund-Thomsen, Frederik & Manganelli, Simone & Schwaab, Bernd, 2026, "Macro-prudential policy under asymmetric risks: A Bayesian structural quantile VAR approach," Journal of Econometrics, Elsevier, volume 256, issue PB, DOI: 10.1016/j.jeconom.2026.106230.
  2. Lasse Heje Pedersen, 2026, "Carbon Pricing versus Green Finance," Journal of Finance, American Finance Association, volume 81, issue 2, pages 561-602, April, DOI: 10.1111/jofi.70022.
  3. Wang, Mengyu & Wurgler, Jeffrey & Zhang, Hong, 2026, "Policy uncertainty reduces green innovation," Journal of Financial Economics, Elsevier, volume 175, issue C, DOI: 10.1016/j.jfineco.2025.104189.

2025

  1. Ding, Yi & Engle, Robert & Li, Yingying & Zheng, Xinghua, 2025, "Multiplicative factor model for volatility," Journal of Econometrics, Elsevier, volume 249, issue PB, DOI: 10.1016/j.jeconom.2025.105959.
  2. Jung, Hyeyoon & Engle, Robert F. & Berner, Richard, 2025, "CRISK: Measuring the climate risk exposure of the financial system," Journal of Financial Economics, Elsevier, volume 171, issue C, DOI: 10.1016/j.jfineco.2025.104076.
  3. Christian Conrad & Robert F. Engle, 2025, "Modelling Volatility Cycles: The MF2‐GARCH Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 40, issue 4, pages 438-454, June, DOI: 10.1002/jae.3118.
      Unknown
  4. Luca Gagliardone & Mark Gertler & Simone Lenzu & Joris Tielens, 2025, "Anatomy of the Phillips Curve: Micro Evidence and Macro Implications," American Economic Review, American Economic Association, volume 115, issue 11, pages 3941-3974, November, DOI: 10.1257/aer.20231569.
  5. Peter Feldhütter & Lasse Heje Pedersen, 2025, "Is Capital Structure Irrelevant with ESG Investors?," The Review of Financial Studies, Society for Financial Studies, volume 38, issue 8, pages 2362-2385.

2024

  1. Engle, Robert F. & Emambakhsh, Tina & Manganelli, Simone & Parisi, Laura & Pizzeghello, Riccardo, 2024, "Estimating systemic risk for non-listed Euro-area banks," Journal of Financial Stability, Elsevier, volume 75, issue C, DOI: 10.1016/j.jfs.2024.101339.
  2. Viral V Acharya & Robert Engle & Maximilian Jager & Sascha Steffen, 2024, "Why Did Bank Stocks Crash during COVID-19?," The Review of Financial Studies, Society for Financial Studies, volume 37, issue 9, pages 2627-2684.
  3. Gianluca De Nard & Robert F. Engle & Bryan Kelly, 2024, "Factor-Mimicking Portfolios for Climate Risk," Financial Analysts Journal, Taylor & Francis Journals, volume 80, issue 3, pages 37-58, July, DOI: 10.1080/0015198X.2024.2332164.
  4. Xavier Giroud & Simone Lenzu & Quinn Maingi & Holger Mueller, 2024, "Propagation and Amplification of Local Productivity Spillovers," Econometrica, Econometric Society, volume 92, issue 5, pages 1589-1619, September, DOI: 10.3982/ECTA20029.

2023

  1. Viral V. Acharya & Richard Berner & Robert Engle & Hyeyoon Jung & Johannes Stroebel & Xuran Zeng & Yihao Zhao, 2023, "Climate Stress Testing," Annual Review of Financial Economics, Annual Reviews, volume 15, issue 1, pages 291-326, November, DOI: 10.1146/annurev-financial-110921-10.
  2. Engle, Robert F. & Campos-Martins, Susana, 2023, "What are the events that shake our world? Measuring and hedging global COVOL," Journal of Financial Economics, Elsevier, volume 147, issue 1, pages 221-242, DOI: 10.1016/j.jfineco.2022.09.009.
  3. Lenzu, Simone, 2023, "Comment on: “trade and diffusion of embodied technology: An empirical Analysis” by ayerst, ibrahim, mackenzie, and rachapalli," Journal of Monetary Economics, Elsevier, volume 137, issue C, pages 146-149, DOI: 10.1016/j.jmoneco.2023.05.006.
  4. David W. Galenson & Simone Lenzu, 2023, "Two old masters and a young genius: the creativity of Francis Bacon, Lucian Freud, and Jean-Michel Basquiat," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, volume 47, issue 3, pages 489-511, September, DOI: 10.1007/s10824-023-09476-9.
  5. Bryan Kelly & Semyon Malamud & Lasse Heje Pedersen, 2023, "Principal Portfolios," Journal of Finance, American Finance Association, volume 78, issue 1, pages 347-387, February, DOI: 10.1111/jofi.13199.
  6. Theis Ingerslev Jensen & Bryan Kelly & Lasse Heje Pedersen, 2023, "Is There a Replication Crisis in Finance?," Journal of Finance, American Finance Association, volume 78, issue 5, pages 2465-2518, October, DOI: 10.1111/jofi.13249.
  7. Robin Greenwood & Toomas Laarits & Jeffrey Wurgler & Tarun Ramadorai, 2023, "Stock Market Stimulus," The Review of Financial Studies, Society for Financial Studies, volume 36, issue 10, pages 4082-4112.

2022

  1. Acharya, Viral V. & Gündüz, Yalin & Johnson, Timothy C., 2022, "Bank use of sovereign CDS in the Eurozone crisis: Hedging and risk incentives," Journal of Financial Intermediation, Elsevier, volume 50, issue C, DOI: 10.1016/j.jfi.2022.100964.
  2. Altman, Edward I. & Hu, Xiaolu & Yu, Jing, 2022, "Has the Evergrande debt crisis rattled Chinese capital markets? A series of event studies and their implications," Finance Research Letters, Elsevier, volume 50, issue C, DOI: 10.1016/j.frl.2022.103247.
  3. De Nard, Gianluca & Engle, Robert F. & Ledoit, Olivier & Wolf, Michael, 2022, "Large dynamic covariance matrices: Enhancements based on intraday data," Journal of Banking & Finance, Elsevier, volume 138, issue C, DOI: 10.1016/j.jbankfin.2022.106426.
  4. Pedersen, Lasse Heje, 2022, "Game on: Social networks and markets," Journal of Financial Economics, Elsevier, volume 146, issue 3, pages 1097-1119, DOI: 10.1016/j.jfineco.2022.05.002.
  5. Andrea Frazzini & Lasse Heje Pedersen, 2022, "Embedded Leverage
    [Asset pricing with liquidity risk]    ," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 1, pages 1-52.
  6. Nicolae Gârleanu & Lasse Heje Pedersen, 2022, "Active and Passive Investing: Understanding Samuelson’s Dictum
    [A noisy rational expectations equilibrium for multi-asset securities markets]    ," The Review of Asset Pricing Studies, Society for Financial Studies, volume 12, issue 2, pages 389-446.
  7. Malcolm Baker & Daniel Bergstresser & George Serafeim & Jeffrey Wurgler, 2022, "The Pricing and Ownership of US Green Bonds," Annual Review of Financial Economics, Annual Reviews, volume 14, issue 1, pages 415-437, November, DOI: 10.1146/annurev-financial-111620-01.

2021

  1. Acharya, Viral & Gabarro, Marc & Volpin, Paolo, 2021, "Competition for Managers and Corporate Governance," Journal of Law, Finance, and Accounting, now publishers, volume 6, issue 1, pages 179-219, May, DOI: 10.1561/108.00000053.
  2. Viral V Acharya & Lea Borchert & Maximilian Jager & Sascha Steffen, 2021, "Kicking the Can Down the Road: Government Interventions in the European Banking Sector," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 9, pages 4090-4131.
  3. Viral V. Acharya & Heitor Almeida & Filippo Ippolito & Ander Perez‐Orive, 2021, "Credit Lines and the Liquidity Insurance Channel," Journal of Money, Credit and Banking, Blackwell Publishing, volume 53, issue 5, pages 901-938, August, DOI: 10.1111/jmcb.12821.
  4. Francesco Ciampi & Alessandro Giannozzi & Giacomo Marzi & Edward I. Altman, 2021, "Rethinking SME default prediction: a systematic literature review and future perspectives," Scientometrics, Springer;Akadémiai Kiadó, volume 126, issue 3, pages 2141-2188, March, DOI: 10.1007/s11192-020-03856-0.
  5. Galina Andreeva & Edward I. Altman, 2021, "The Value Of Personal Credit History In Risk Screening Of Entrepreneurs: Evidence From Marketplace Lending," Journal of Financial Management, Markets and Institutions (JFMMI), World Scientific Publishing Co. Pte. Ltd., volume 9, issue 01, pages 1-25, June, DOI: 10.1142/S2282717X21500043.
  6. Robert F Engle & Martin Klint Hansen & Ahmet K Karagozoglu & Asger Lunde, 2021, "News and Idiosyncratic Volatility: The Public Information Processing Hypothesis
    [A Theory of Intraday Patterns: Volume and Price Variability]    ," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 1, pages 1-38.
  7. Cavit Pakel & Neil Shephard & Kevin Sheppard & Robert F. Engle, 2021, "Fitting Vast Dimensional Time-Varying Covariance Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 39, issue 3, pages 652-668, July, DOI: 10.1080/07350015.2020.1713795.
  8. Joseph Kalmenovitz, 2021, "Incentivizing Financial Regulators," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 10, pages 4745-4784.
  9. Pedersen, Lasse Heje & Fitzgibbons, Shaun & Pomorski, Lukasz, 2021, "Responsible investing: The ESG-efficient frontier," Journal of Financial Economics, Elsevier, volume 142, issue 2, pages 572-597, DOI: 10.1016/j.jfineco.2020.11.001.
  10. Lasse Heje Pedersen & Abhilash Babu & Ari Levine, 2021, "Enhanced Portfolio Optimization," Financial Analysts Journal, Taylor & Francis Journals, volume 77, issue 2, pages 124-151, April, DOI: 10.1080/0015198X.2020.1854543.

2020

  1. Acharya, Viral V. & Imbierowicz, Björn & Steffen, Sascha & Teichmann, Daniel, 2020, "Does the lack of financial stability impair the transmission of monetary policy?," Journal of Financial Economics, Elsevier, volume 138, issue 2, pages 342-365, DOI: 10.1016/j.jfineco.2020.06.011.
  2. Acharya, Viral & Almeida, Heitor & Ippolito, Filippo & Orive, Ander Perez, 2020, "Bank lines of credit as contingent liquidity: Covenant violations and their implications," Journal of Financial Intermediation, Elsevier, volume 44, issue C, DOI: 10.1016/j.jfi.2019.03.004.
  3. Viral V. Acharya & Aaditya M. Iyer & Rangarajan K. Sundaram, 2020, "Risk-Sharing and the Creation of Systemic Risk," JRFM, MDPI, volume 13, issue 8, pages 1-38, August.
  4. Viral V Acharya & Sascha Steffen, 2020, "The Risk of Being a Fallen Angel and the Corporate Dash for Cash in the Midst of COVID," The Review of Corporate Finance Studies, Society for Financial Studies, volume 9, issue 3, pages 430-471.
  5. Viral V. Acharya, 2020, "Improving Monetary Transmission Through the Banking Channel: The Case for External Benchmarks in Bank Loans," Vikalpa: The Journal for Decision Makers, , volume 45, issue 1, pages 32-41, March, DOI: 10.1177/0256090920917492.
  6. Altman, Edward I. & Esentato, Maurizio & Sabato, Gabriele, 2020, "Assessing the credit worthiness of Italian SMEs and mini-bond issuers," Global Finance Journal, Elsevier, volume 43, issue C, DOI: 10.1016/j.gfj.2018.09.003.
  7. Edward I. Altman & Małgorzata Iwanicz-Drozdowska & Erkki K. Laitinen & Arto Suvas, 2020, "A Race for Long Horizon Bankruptcy Prediction," Applied Economics, Taylor & Francis Journals, volume 52, issue 37, pages 4092-4111, July, DOI: 10.1080/00036846.2020.1730762.
  8. Nguyen, Giang & Engle, Robert & Fleming, Michael & Ghysels, Eric, 2020, "Liquidity and volatility in the U.S. Treasury market," Journal of Econometrics, Elsevier, volume 217, issue 2, pages 207-229, DOI: 10.1016/j.jeconom.2019.12.002.
  9. Robert F Engle & Stefano Giglio & Bryan Kelly & Heebum Lee & Johannes Stroebel, 2020, "Hedging Climate Change News," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 3, pages 1184-1216.
  10. Bottero, Margherita & Lenzu, Simone & Mezzanotti, Filippo, 2020, "Sovereign debt exposure and the bank lending channel: Impact on credit supply and the real economy," Journal of International Economics, Elsevier, volume 126, issue C, DOI: 10.1016/j.jinteco.2020.103328.
  11. 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, volume 135, issue 3, pages 629-652, DOI: 10.1016/j.jfineco.2019.07.003.
  12. Baker, Malcolm & Hoeyer, Mathias F. & Wurgler, Jeffrey, 2020, "Leverage and the Beta Anomaly," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 55, issue 5, pages 1491-1514, August.

2019

  1. Acharya, Viral & Naqvi, Hassan, 2019, "On reaching for yield and the coexistence of bubbles and negative bubbles," Journal of Financial Intermediation, Elsevier, volume 38, issue C, pages 1-10, DOI: 10.1016/j.jfi.2018.08.001.
  2. Acharya, Viral V. & Pedersen, Lasse Heje, 2019, "Economics with Market Liquidity Risk," Critical Finance Review, now publishers, volume 8, issue 1-2, pages 111-125, December, DOI: 10.1561/104.00000083.
  3. Viral V Acharya & Tim Eisert & Christian Eufinger & Christian Hirsch, 2019, "Whatever It Takes: The Real Effects of Unconventional Monetary Policy," The Review of Financial Studies, Society for Financial Studies, volume 32, issue 9, pages 3366-3411.
  4. Edward I. Altman & Robert Benhenni, 2019, "The Anatomy of Distressed Debt Markets," Annual Review of Financial Economics, Annual Reviews, volume 11, issue 1, pages 21-37, December, DOI: 10.1146/annurev-financial-110118-12.
  5. Robert F. Engle & Tianyue Ruan, 2019, "Measuring the probability of a financial crisis," Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, volume 116, issue 37, pages 18341-18346, September.
  6. Robert F. Engle & Olivier Ledoit & Michael Wolf, 2019, "Large Dynamic Covariance Matrices," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 37, issue 2, pages 363-375, April, DOI: 10.1080/07350015.2017.1345683.
  7. Robert Engle & Marina Brogi & Nicola Cucari & Valentina Lagasio, 2019, "Environmental, social, governance: Implications for businesses and effects for stakeholders," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, volume 26, issue 6, pages 1627-1628, November, DOI: 10.1002/csr.1871.
  8. Germán Gutiérrez & Thomas Philippon, 2019, "Fading Stars," AEA Papers and Proceedings, American Economic Association, volume 109, pages 312-316, May.
  9. Jensen, Christian Skov & Lando, David & Pedersen, Lasse Heje, 2019, "Generalized recovery," Journal of Financial Economics, Elsevier, volume 133, issue 1, pages 154-174, DOI: 10.1016/j.jfineco.2018.12.003.
  10. Clifford S. Asness & Andrea Frazzini & Lasse Heje Pedersen, 2019, "Quality minus junk," Review of Accounting Studies, Springer, volume 24, issue 1, pages 34-112, March, DOI: 10.1007/s11142-018-9470-2.
  11. Robert J. Richmond, 2019, "Trade Network Centrality and Currency Risk Premia," Journal of Finance, American Finance Association, volume 74, issue 3, pages 1315-1361, June, DOI: 10.1111/jofi.12755.

2018

  1. Acharya, Viral V. & Berger, Allen N. & Roman, Raluca A., 2018, "Lending implications of U.S. bank stress tests: Costs or benefits?," Journal of Financial Intermediation, Elsevier, volume 34, issue C, pages 58-90, DOI: 10.1016/j.jfi.2018.01.004.
  2. Viral V Acharya & Tim Eisert & Christian Eufinger & Christian Hirsch, 2018, "Real Effects of the Sovereign Debt Crisis in Europe: Evidence from Syndicated Loans," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 8, pages 2855-2896.
  3. Viral V. Acharya, 2018, "Understanding and managing interest rate risk at banks," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, volume 11, issue 2, pages 218-231, May, DOI: 10.1080/17520843.2018.1473458.
  4. Edward I. Altman, 2018, "Applications of Distress Prediction Models: What Have We Learned After 50 Years from the Z-Score Models?," IJFS, MDPI, volume 6, issue 3, pages 1-15, August.
  5. Yakov Amihud & Markus Schmid & Steven Davidoff Solomon, 2018, "Do Staggered Boards Matter for Firm Value?," Journal of Applied Corporate Finance, Morgan Stanley, volume 30, issue 4, pages 61-77, December, DOI: 10.1111/jacf.12317.
  6. Robert Engle, 2018, "Systemic Risk 10 Years Later," Annual Review of Financial Economics, Annual Reviews, volume 10, issue 1, pages 125-152, November, DOI: 10.1146/annurev-financial-110217-02.
  7. Orley Ashenfelter & Robert F. Engle & Daniel L. McFadden & Klaus Schmidt‐Hebbel, 2018, "Globalization: Contents And Discontents," Contemporary Economic Policy, Western Economic Association International, volume 36, issue 1, pages 29-43, January, DOI: 10.1111/coep.12237.
  8. Robert F. Engle & Emil N. Siriwardane, 2018, "Structural GARCH: The Volatility-Leverage Connection," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 2, pages 449-492.
  9. Germán Gutiérrez & Thomas Philippon, 2018, "Ownership, Concentration, and Investment," AEA Papers and Proceedings, American Economic Association, volume 108, pages 432-437, May.
  10. Nicolae Gârleanu & Lasse Heje Pedersen, 2018, "Efficiently Inefficient Markets for Assets and Asset Management," Journal of Finance, American Finance Association, volume 73, issue 4, pages 1663-1712, August, DOI: 10.1111/jofi.12696.
  11. Koijen, Ralph S.J. & Moskowitz, Tobias J. & Pedersen, Lasse Heje & Vrugt, Evert B., 2018, "Carry," Journal of Financial Economics, Elsevier, volume 127, issue 2, pages 197-225, DOI: 10.1016/j.jfineco.2017.11.002.
    • Moskowitz, Tobias J & Pedersen, Lasse Heje & Koijen, Ralph & Vrugt, Evert B., 2013, "Carry," CEPR Discussion Papers, Centre for Economic Policy Research, number 9771, Dec.
    • Ralph S.J. Koijen & Tobias J. Moskowitz & Lasse Heje Pedersen & Evert B. Vrugt, 2013, "Carry," NBER Working Papers, National Bureau of Economic Research, Inc, number 19325, Aug.
  12. 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, volume 129, issue 3, pages 479-509, DOI: 10.1016/j.jfineco.2018.05.006.
  13. 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, volume 31, issue 7, pages 2729-2773.
  14. Lasse Heje Pedersen, 2018, "Sharpening the Arithmetic of Active Management," Financial Analysts Journal, Taylor & Francis Journals, volume 74, issue 1, pages 21-36, February, DOI: 10.2469/faj.v74.n1.4.
  15. Andrea Frazzini & David Kabiller & Lasse Heje Pedersen, 2018, "Buffett’s Alpha," Financial Analysts Journal, Taylor & Francis Journals, volume 74, issue 4, pages 35-55, September, DOI: 10.2469/faj.v74.n4.3.
  16. Thomas Philippon & Francisco Roldán, 2018, "On the Optimal Speed of Sovereign Deleveraging with Precautionary Savings," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, volume 66, issue 2, pages 375-413, June, DOI: 10.1057/s41308-018-0054-8.
  17. Emiliano S. Pagnotta & Thomas Philippon, 2018, "Competing on Speed," Econometrica, Econometric Society, volume 86, issue 3, pages 1067-1115, May, DOI: 10.3982/ECTA10762.
  18. Terence C. Burnham & Harry Gakidis & Jeffrey Wurgler, 2018, "Investing in the Presence of Massive Flows: The Case of MSCI Country Reclassifications," Financial Analysts Journal, Taylor & Francis Journals, volume 74, issue 1, pages 77-87, February, DOI: 10.2469/faj.v74.n1.8.

2017

  1. Acharya, Viral V. & Fleming, Michael J. & Hrung, Warren B. & Sarkar, Asani, 2017, "Dealer financial conditions and lender-of-last-resort facilities," Journal of Financial Economics, Elsevier, volume 123, issue 1, pages 81-107, DOI: 10.1016/j.jfineco.2015.12.004.
  2. Acharya, Viral & Xu, Zhaoxia, 2017, "Financial dependence and innovation: The case of public versus private firms," Journal of Financial Economics, Elsevier, volume 124, issue 2, pages 223-243, DOI: 10.1016/j.jfineco.2016.02.010.
  3. Acharya, Viral V. & Afonso, Gara & Kovner, Anna, 2017, "How do global banks scramble for liquidity? Evidence from the asset-backed commercial paper freeze of 2007," Journal of Financial Intermediation, Elsevier, volume 30, issue C, pages 1-34, DOI: 10.1016/j.jfi.2016.02.002.
  4. Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2017, "Measuring Systemic Risk," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 1, pages 2-47.
    • Viral V. Acharya, 2011, "Measuring Systemic Risk," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: Stijn Claessens & Douglas D Evanoff & George G Kaufman & Laura E Kodres, "Macroprudential Regulatory Policies The New Road to Financial Stability?".
  5. Viral V. Acharya & Hanh T. Le & Hyun Song Shin, 2017, "Bank Capital and Dividend Externalities," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 3, pages 988-1018.
  6. Abhiman Das & Sanket Mohapatra & Subir Gokarn & Frederico Gil Sander & Duvvuri Subbarao & Sajjid Z. Chinoy & Abhijit Sen Gupta & Saugata Bhattacharya & Viral V. Acharya & Abhiman Das & Sanket Mohapatr, 2017, "India’s International Integration and Challenges to Sustaining Growth," Vikalpa: The Journal for Decision Makers, , volume 42, issue 3, pages 168-205, September, DOI: 10.1177/0256090917721781.
  7. Egon A. Kalotay & Edward I. Altman, 2017, "Intertemporal Forecasts of Defaulted Bond Recoveries and Portfolio Losses," Review of Finance, European Finance Association, volume 21, issue 1, pages 433-463.
  8. Amihud, Yakov & Stoyanov, Stoyan, 2017, "Do staggered boards harm shareholders?," Journal of Financial Economics, Elsevier, volume 123, issue 2, pages 432-439, DOI: 10.1016/j.jfineco.2016.04.002.
  9. Engle, Robert & Roussellet, Guillaume & Siriwardane, Emil, 2017, "Scenario generation for long run interest rate risk assessment," Journal of Econometrics, Elsevier, volume 201, issue 2, pages 333-347, DOI: 10.1016/j.jeconom.2017.08.012.
  10. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017, "Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity," Econometrics, MDPI, volume 5, issue 2, pages 1-24, April.
  11. Turan G. Bali & Robert F. Engle & Yi Tang, 2017, "Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns," Management Science, INFORMS, volume 63, issue 11, pages 3760-3779, November, DOI: 10.1287/mnsc.2016.2536.
  12. Christian Brownlees & Robert F. Engle, 2017, "SRISK: A Conditional Capital Shortfall Measure of Systemic Risk," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 1, pages 48-79.
  13. Germán Gutiérrez & Thomas Philippon, 2017, "Investmentless Growth: An Empirical Investigation," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, volume 48, issue 2 (Fall), pages 89-190.
  14. Philippe Martin & Thomas Philippon, 2017, "Inspecting the Mechanism: Leverage and the Great Recession in the Eurozone," American Economic Review, American Economic Association, volume 107, issue 7, pages 1904-1937, July.
  15. Thomas Philippon, 2017, "L'opportunité de la FinTech," Revue d'économie financière, Association d'économie financière, volume 0, issue 3, pages 173-206.
  16. Miguel Faria-e-Castro & Joseba Martinez & Thomas Philippon, 2017, "Runs versus Lemons: Information Disclosure and Fiscal Capacity," The Review of Economic Studies, Review of Economic Studies Ltd, volume 84, issue 4, pages 1683-1707.
  17. Pierre-Olivier Gourinchas & Thomas Philippon & Dimitri Vayanos, 2017, "The Analytics of the Greek Crisis," NBER Macroeconomics Annual, University of Chicago Press, volume 31, issue 1, pages 1-81, DOI: 10.1086/690239.
  18. Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2017, "The Deposits Channel of Monetary Policy," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 132, issue 4, pages 1819-1876.

2016

  1. Viral V. Acharya & Stephen G. Ryan, 2016, "Banks’ Financial Reporting and Financial System Stability," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 54, issue 2, pages 277-340, May, DOI: 10.1111/1475-679X.12114.
  2. Acharya, Viral V. & Thakor, Anjan V., 2016, "The dark side of liquidity creation: Leverage and systemic risk," Journal of Financial Intermediation, Elsevier, volume 28, issue C, pages 4-21, DOI: 10.1016/j.jfi.2016.08.004.
  3. Viral V. Acharya & Hamid Mehran & Rangarajan K. Sundaram, 2016, "Cash holdings and bank compensation," Economic Policy Review, Federal Reserve Bank of New York, issue Aug, pages 77-83.
  4. Viral V. Acharya & Hamid Mehran & Anjan V. Thakor, 2016, "Caught between Scylla and Charybdis? Regulating Bank Leverage When There Is Rent Seeking and Risk Shifting," The Review of Corporate Finance Studies, Society for Financial Studies, volume 5, issue 1, pages 36-75.
  5. Viral Acharya & Marco Pagano & Paolo Volpin, 2016, "Seeking Alpha: Excess Risk Taking and Competition for Managerial Talent," The Review of Financial Studies, Society for Financial Studies, volume 29, issue 10, pages 2565-2599.
  6. Viral V. Acharya & Sascha Steffen, 2016, "Capital Markets Union in Europe: Why other Unions must lead the Way," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 152, issue 4, pages 319-329, December.
  7. Ashwini Agrawal & Prasanna Tambe, 2016, "Private Equity and Workers’ Career Paths: The Role of Technological Change," The Review of Financial Studies, Society for Financial Studies, volume 29, issue 9, pages 2455-2489.
  8. E. Altman & F. De Pellegrini, 2016, "Dynamic Games in Novel Networks: Guest Editors’ Forewords," Dynamic Games and Applications, Springer, volume 6, issue 4, pages 427-428, December, DOI: 10.1007/s13235-016-0193-3.
  9. Robert F. Engle, 2016, "Dynamic Conditional Beta," Journal of Financial Econometrics, Oxford University Press, volume 14, issue 4, pages 643-667.
  10. Arpit Gupta & Christopher Hansman & Ethan Frenchman, 2016, "The Heavy Costs of High Bail: Evidence from Judge Randomization," The Journal of Legal Studies, University of Chicago Press, volume 45, issue 2, pages 471-505, DOI: 10.1086/688907.
  11. David W. Galenson & Simone Lenzu, 2016, "Pricing genius: The market evaluation of innovation," Journal of Applied Economics, Universidad del CEMA, volume 19, pages 219-248, November.
  12. Gârleanu, Nicolae & Pedersen, Lasse Heje, 2016, "Dynamic portfolio choice with frictions," Journal of Economic Theory, Elsevier, volume 165, issue C, pages 487-516, DOI: 10.1016/j.jet.2016.06.001.
  13. Jensen, Mads Vestergaard & Pedersen, Lasse Heje, 2016, "Early option exercise: Never say never," Journal of Financial Economics, Elsevier, volume 121, issue 2, pages 278-299, DOI: 10.1016/j.jfineco.2016.05.008.
  14. Ari Levine & Lasse Heje Pedersen, 2016, "Which Trend Is Your Friend?," Financial Analysts Journal, Taylor & Francis Journals, volume 72, issue 3, pages 51-66, May, DOI: 10.2469/faj.v72.n3.3.
  15. Bai, Jennie & Philippon, Thomas & Savov, Alexi, 2016, "Have financial markets become more informative?," Journal of Financial Economics, Elsevier, volume 122, issue 3, pages 625-654, DOI: 10.1016/j.jfineco.2016.08.005.
  16. Malcolm Baker & Brock Mendel & Jeffrey Wurgler, 2016, "Dividends as Reference Points: A Behavioral Signaling Approach," The Review of Financial Studies, Society for Financial Studies, volume 29, issue 3, pages 697-738.

2015

  1. Viral V. Acharya & Nada Mora, 2015, "A Crisis of Banks as Liquidity Providers," Journal of Finance, American Finance Association, volume 70, issue 1, pages 1-43, February.
  2. Acharya, Viral V. & Steffen, Sascha, 2015, "The “greatest” carry trade ever? Understanding eurozone bank risks," Journal of Financial Economics, Elsevier, volume 115, issue 2, pages 215-236, DOI: 10.1016/j.jfineco.2014.11.004.
  3. Viral V. Acharya & Bart M. Lambrecht, 2015, "A Theory of Income Smoothing When Insiders Know More Than Outsiders," The Review of Financial Studies, Society for Financial Studies, volume 28, issue 9, pages 2534-2574.
  4. Viral V. Acharya & Stephen Schaefer & Yili Zhang, 2015, "Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 02, pages 1-51, DOI: 10.1142/S2010139215500068.
  5. Edward I. Altman & Ben Branch, 2015, "The Bankruptcy System's Chapter 22 Recidivism Problem: How Serious is It?," The Financial Review, Eastern Finance Association, volume 50, issue 1, pages 1-26, January.
  6. Yakov Amihud & Allaudeen Hameed & Wenjin Kang & Huiping Zhang, 2015, "Stock Liquidity and the Cost of Equity Capital in Global Markets," Journal of Applied Corporate Finance, Morgan Stanley, volume 27, issue 4, pages 68-74, December.
  7. Amihud, Yakov & Hameed, Allaudeen & Kang, Wenjin & Zhang, Huiping, 2015, "The illiquidity premium: International evidence," Journal of Financial Economics, Elsevier, volume 117, issue 2, pages 350-368, DOI: 10.1016/j.jfineco.2015.04.005.
  8. Yakov Amihud & Haim Mendelson, 2015, "The Pricing of Illiquidity as a Characteristic and as Risk," Multinational Finance Journal, Multinational Finance Journal, volume 19, issue 3, pages 149-168, September.
  9. Robert Engle & Eric Jondeau & Michael Rockinger, 2015, "Systemic Risk in Europe," Review of Finance, European Finance Association, volume 19, issue 1, pages 145-190.
  10. Robert Engle & Stephen Figlewski, 2015, "Modeling the Dynamics of Correlations among Implied Volatilities," Review of Finance, European Finance Association, volume 19, issue 3, pages 991-1018.
  11. Thomas Philippon, 2015, "Has the US Finance Industry Become Less Efficient? On the Theory and Measurement of Financial Intermediation," American Economic Review, American Economic Association, volume 105, issue 4, pages 1408-1438, April.
  12. Malcolm Baker & Jeffrey Wurgler, 2015, "Do Strict Capital Requirements Raise the Cost of Capital? Bank Regulation, Capital Structure, and the Low-Risk Anomaly," American Economic Review, American Economic Association, volume 105, issue 5, pages 315-320, May.

2014

  1. Viral Acharya & Itamar Drechsler & Philipp Schnabl, 2014, "A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk," Journal of Finance, American Finance Association, volume 69, issue 6, pages 2689-2739, December.
  2. Acharya, Viral & Bisin, Alberto, 2014, "Counterparty risk externality: Centralized versus over-the-counter markets," Journal of Economic Theory, Elsevier, volume 149, issue C, pages 153-182, DOI: 10.1016/j.jet.2013.07.001.
  3. Acharya, Viral & Almeida, Heitor & Ippolito, Filippo & Perez, Ander, 2014, "Credit lines as monitored liquidity insurance: Theory and evidence," Journal of Financial Economics, Elsevier, volume 112, issue 3, pages 287-319, DOI: 10.1016/j.jfineco.2014.02.001.
  4. Acharya, Viral & Engle, Robert & Pierret, Diane, 2014, "Testing macroprudential stress tests: The risk of regulatory risk weights," Journal of Monetary Economics, Elsevier, volume 65, issue C, pages 36-53, DOI: 10.1016/j.jmoneco.2014.04.014.
  5. Viral V. Acharya & Ramin P. Baghai & Krishnamurthy V. Subramanian, 2014, "Wrongful Discharge Laws and Innovation," The Review of Financial Studies, Society for Financial Studies, volume 27, issue 1, pages 301-346, January.
  6. Viral V Acharya & Bruce Tuckman, 2014, "Unintended Consequences of LOLR Facilities: The Case of Illiquid Leverage," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, volume 62, issue 4, pages 606-655, November.
  7. Altman, Edward I. & Kalotay, Egon A., 2014, "Ultimate recovery mixtures," Journal of Banking & Finance, Elsevier, volume 40, issue C, pages 116-129, DOI: 10.1016/j.jbankfin.2013.11.021.
  8. Engle, Robert & Mistry, Abhishek, 2014, "Priced risk and asymmetric volatility in the cross section of skewness," Journal of Econometrics, Elsevier, volume 182, issue 1, pages 135-144, DOI: 10.1016/j.jeconom.2014.04.013.
  9. Christopher Mayer & Edward Morrison & Tomasz Piskorski & Arpit Gupta, 2014, "Mortgage Modification and Strategic Behavior: Evidence from a Legal Settlement with Countrywide," American Economic Review, American Economic Association, volume 104, issue 9, pages 2830-2857, September.
  10. Frazzini, Andrea & Pedersen, Lasse Heje, 2014, "Betting against beta," Journal of Financial Economics, Elsevier, volume 111, issue 1, pages 1-25, DOI: 10.1016/j.jfineco.2013.10.005.
  11. Clifford S. Asness & Andrea Frazzini & Lasse H. Pedersen, 2014, "Low-Risk Investing without Industry Bets," Financial Analysts Journal, Taylor & Francis Journals, volume 70, issue 4, pages 24-41, July, DOI: 10.2469/faj.v70.n4.1.
  12. Thomas Philippon, 2014, "Efficiency and Benefit-Cost Analysis of the Financial System," The Journal of Legal Studies, University of Chicago Press, volume 43, issue S2, pages 107-120, DOI: 10.1086/676685.
  13. Savov, Alexi, 2014, "The price of skill: Performance evaluation by households," Journal of Financial Economics, Elsevier, volume 112, issue 2, pages 213-231, DOI: 10.1016/j.jfineco.2013.11.005.
  14. David Backus & Mikhail Chernov & Stanley Zin, 2014, "Sources of Entropy in Representative Agent Models," Journal of Finance, American Finance Association, volume 69, issue 1, pages 51-99, February.

2013

  1. Acharya, V. V., 2013, "A transparency standard for derivatives," Financial Stability Review, Banque de France, issue 17, pages 81-89, April.
  2. Viral V. Acharya & Heitor Almeida & Murillo Campello, 2013, "Aggregate Risk and the Choice between Cash and Lines of Credit," Journal of Finance, American Finance Association, volume 68, issue 5, pages 2059-2116, October.
  3. Acharya, Viral V. & Schnabl, Philipp & Suarez, Gustavo, 2013, "Securitization without risk transfer," Journal of Financial Economics, Elsevier, volume 107, issue 3, pages 515-536, DOI: 10.1016/j.jfineco.2012.09.004.
  4. Acharya, Viral V. & Lochstoer, Lars A. & Ramadorai, Tarun, 2013, "Limits to arbitrage and hedging: Evidence from commodity markets," Journal of Financial Economics, Elsevier, volume 109, issue 2, pages 441-465, DOI: 10.1016/j.jfineco.2013.03.003.
  5. Acharya, Viral V. & Amihud, Yakov & Bharath, Sreedhar T., 2013, "Liquidity risk of corporate bond returns: conditional approach," Journal of Financial Economics, Elsevier, volume 110, issue 2, pages 358-386, DOI: 10.1016/j.jfineco.2013.08.002.
  6. Acharya, Viral V. & Goldstein, Itay, 2013, "Special Issue: Research on the Financial Crisis," Journal of Financial Intermediation, Elsevier, volume 22, issue 1, pages 1-3, DOI: 10.1016/j.jfi.2012.11.001.
  7. Acharya, Viral V. & Khandwala, Hemal & Sabri Öncü, T., 2013, "The growth of a shadow banking system in emerging markets: Evidence from India," Journal of International Money and Finance, Elsevier, volume 39, issue C, pages 207-230, DOI: 10.1016/j.jimonfin.2013.06.024.
  8. Viral V. Acharya & T. Sabri Öncü, 2013, "A Proposal for the Resolution of Systemically Important Assets and Liabilities: The Case of the Repo Market," International Journal of Central Banking, International Journal of Central Banking, volume 9, issue 1, pages 291-351, January.
  9. Viral V. Acharya & Hyun Song Shin & Tanju Yorulmazer, 2013, "A Theory of Arbitrage Capital," The Review of Corporate Finance Studies, Society for Financial Studies, volume 2, issue 1, pages 62-97.
  10. Viral V. Acharya & Ouarda Merrouche, 2013, "Precautionary Hoarding of Liquidity and Interbank Markets: Evidence from the Subprime Crisis," Review of Finance, European Finance Association, volume 17, issue 1, pages 107-160.
  11. Viral V. Acharya & Oliver F. Gottschalg & Moritz Hahn & Conor Kehoe, 2013, "Corporate Governance and Value Creation: Evidence from Private Equity," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 2, pages 368-402.
  12. Viral V. Acharya & Raghuram G. Rajan, 2013, "Sovereign Debt, Government Myopia, and the Financial Sector," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 6, pages 1526-1560.
  13. Viral V. Acharya, 2013, "Dark Markets, by Darrell Duffie," Quantitative Finance, Taylor & Francis Journals, volume 13, issue 1, pages 25-26, January, DOI: 10.1080/14697688.2012.708250.
  14. Viral V. Acharya & Ramin P. Baghai & Krishnamurthy V. Subramanian, 2013, "Labor Laws and Innovation," Journal of Law and Economics, University of Chicago Press, volume 56, issue 4, pages 997-1037, DOI: 10.1086/674106.
  15. Agrawal, Ashwini K., 2013, "The impact of investor protection law on corporate policy and performance: Evidence from the blue sky laws," Journal of Financial Economics, Elsevier, volume 107, issue 2, pages 417-435, DOI: 10.1016/j.jfineco.2012.08.019.
  16. Agrawal, Ashwini K. & Matsa, David A., 2013, "Labor unemployment risk and corporate financing decisions," Journal of Financial Economics, Elsevier, volume 108, issue 2, pages 449-470, DOI: 10.1016/j.jfineco.2012.11.006.
  17. Edward I. Altman & Alessandro Danovi & Alberto Falini, 2013, "Z-Score Models’ application to Italian companies subject to extraordinary administration," BANCARIA, Bancaria Editrice, volume 4, pages 24-37, April.
  18. Edward I. Altman & Brenda J. Kuehne, 2013, "Defaults and Returns in the High-Yield Bond Market: Third-Quarter 2013 Review," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 2, pages 269-296, December.
  19. Edward I. Altman & Herbert A. Rijken, 2013, "Sovereign default risk assessment," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, volume 5, issue 1/2, pages 6-27.
  20. Edward I. Altman & Alessandro Giannozzi & Oliviero Roggi & Gabriele Sabato, 2013, "Building Sme rating: is it necessary for lenders to monitor financial statements of the borrowers?," BANCARIA, Bancaria Editrice, volume 10, pages 54-71, October.
  21. Yakov Amihud & Ruslan Goyenko, 2013, "Mutual Fund's R-super-2 as Predictor of Performance," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 3, pages 667-694.
  22. Robert F. Engle & Eric Ghysels & Bumjean Sohn, 2013, "Stock Market Volatility and Macroeconomic Fundamentals," The Review of Economics and Statistics, MIT Press, volume 95, issue 3, pages 776-797, July.
  23. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2013, "Semiparametric Vector Mem," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 28, issue 7, pages 1067-1086, November.
  24. Clifford S. Asness & Tobias J. Moskowitz & Lasse Heje Pedersen, 2013, "Value and Momentum Everywhere," Journal of Finance, American Finance Association, volume 68, issue 3, pages 929-985, June.
  25. Nicolae Gârleanu & Lasse Heje Pedersen, 2013, "Dynamic Trading with Predictable Returns and Transaction Costs," Journal of Finance, American Finance Association, volume 68, issue 6, pages 2309-2340, December, DOI: 10.1111/jofi.12080.
  26. Clifford Asness & Andrea Frazzini & Lasse H. Pedersen, 2013, "“Will My Risk Parity Strategy Outperform?”: A Comment," Financial Analysts Journal, Taylor & Francis Journals, volume 69, issue 2, pages 12048167-12, March, DOI: 10.2469/faj.v69.n2.8.
  27. Thomas Philippon & Ariell Reshef, 2013, "An International Look at the Growth of Modern Finance," Journal of Economic Perspectives, American Economic Association, volume 27, issue 2, pages 73-96, Spring.
  28. Thomas Philippon & Philipp Schnabl, 2013, "Efficient Recapitalization," Journal of Finance, American Finance Association, volume 68, issue 1, pages 1-42, February, DOI: j.1540-6261.2012.01793.x.
  29. George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov, 2013, "The Puzzle of Index Option Returns," The Review of Asset Pricing Studies, Society for Financial Studies, volume 3, issue 2, pages 229-257.

2012

  1. Viral Acharya & Robert Engle & Matthew Richardson, 2012, "Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks," American Economic Review, American Economic Association, volume 102, issue 3, pages 59-64, May.
  2. Viral V. Acharya & Denis Gromb & Tanju Yorulmazer, 2012, "Imperfect Competition in the Interbank Market for Liquidity as a Rationale for Central Banking," American Economic Journal: Macroeconomics, American Economic Association, volume 4, issue 2, pages 184-217, April.
  3. Viral V. Acharya & Matthew Richardson, 2012, "Implications of the Dodd-Frank Act," Annual Review of Financial Economics, Annual Reviews, volume 4, issue 1, pages 1-38, October.
  4. AcharYa, V. V. & Drechsler, I. & Schnabl, P., 2012, "A tale of two overhangs:the nexus of fi nancial sector and sovereign credit risks," Financial Stability Review, Banque de France, issue 16, pages 51-56, April.
  5. Viral V. Acharya & Nirupama Kulkarni, 2012, "What Saved the Indian Banking System: State Ownership or State Guarantees?," The World Economy, Wiley Blackwell, volume 35, issue 1, pages 19-31, January, DOI: j.1467-9701.2011.01382.x.
  6. Acharya, Viral & Naqvi, Hassan, 2012, "The seeds of a crisis: A theory of bank liquidity and risk taking over the business cycle," Journal of Financial Economics, Elsevier, volume 106, issue 2, pages 349-366, DOI: 10.1016/j.jfineco.2012.05.014.
  7. Viral V. Acharya & Hamid Mehran & Til Schuermann & Anjan V. Thakor, 2012, "Robust capital regulation," Current Issues in Economics and Finance, Federal Reserve Bank of New York, volume 18, issue May.
  8. Acharya, Viral, 2012, "Is State Ownership in the Indian Banking Sector Desirable?," India Policy Forum, National Council of Applied Economic Research, volume 8, issue 1, pages 1-35.
  9. Viral Acharya & Sergei A. Davydenko & Ilya A. Strebulaev, 2012, "Cash Holdings and Credit Risk," The Review of Financial Studies, Society for Financial Studies, volume 25, issue 12, pages 3572-3609.
  10. Ashwini K. Agrawal, 2012, "Corporate Governance Objectives of Labor Union Shareholders: Evidence from Proxy Voting," The Review of Financial Studies, Society for Financial Studies, volume 25, issue 1, pages 187-226.
  11. Edward Altman & Herbert Rijken, 2012, "Toward a bottom-up approach to assessing sovereign default risk: an update," Journal of Financial Transformation, Capco Institute, volume 34, pages 19-29.
  12. Arjun Joshua & S. Pecker & J. Ruhman & E. Altman & S. Ilani, 2012, "A universal critical density underlying the physics of electrons at the LaAlO3/SrTiO3 interface," Nature Communications, Nature, volume 3, issue 1, pages 1-7, January, DOI: 10.1038/ncomms2116.
  13. Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi, 2012, "Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach," The Review of Economics and Statistics, MIT Press, volume 94, issue 1, pages 222-223, February.
  14. Lenzu, Simone & Tedeschi, Gabriele, 2012, "Systemic risk on different interbank network topologies," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 391, issue 18, pages 4331-4341, DOI: 10.1016/j.physa.2012.03.035.
  15. Moskowitz, Tobias J. & Ooi, Yao Hua & Pedersen, Lasse Heje, 2012, "Time series momentum," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 228-250, DOI: 10.1016/j.jfineco.2011.11.003.
  16. Clifford S. Asness & Andrea Frazzini & Lasse H. Pedersen, 2012, "Leverage Aversion and Risk Parity," Financial Analysts Journal, Taylor & Francis Journals, volume 68, issue 1, pages 47-59, January, DOI: 10.2469/faj.v68.n1.1.
  17. Thomas Philippon & Vasiliki Skreta, 2012, "Optimal Interventions in Markets with Adverse Selection," American Economic Review, American Economic Association, volume 102, issue 1, pages 1-28, February.
  18. Thomas Philippon & Ariell Reshef, 2012, "Wages and Human Capital in the U.S. Finance Industry: 1909--2006," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 127, issue 4, pages 1551-1609.
  19. Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu, 2012, "Global, local, and contagious investor sentiment," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 272-287, DOI: 10.1016/j.jfineco.2011.11.002.
  20. Baker, Malcolm & Pan, Xin & Wurgler, Jeffrey, 2012, "The effect of reference point prices on mergers and acquisitions," Journal of Financial Economics, Elsevier, volume 106, issue 1, pages 49-71, DOI: 10.1016/j.jfineco.2012.04.010.
  21. Malcolm Baker & Jeffrey Wurgler, 2012, "Comovement and Predictability Relationships Between Bonds and the Cross-section of Stocks," The Review of Asset Pricing Studies, Society for Financial Studies, volume 2, issue 1, pages 57-87.

2011

  1. Viral V. Acharya & Peter DeMarzo & Ilan Kremer, 2011, "Endogenous Information Flows and the Clustering of Announcements," American Economic Review, American Economic Association, volume 101, issue 7, pages 2955-2979, December.
  2. Viral V. Acharya & Thomas Cooley & Matthew Richardson & Richard Sylla & Ingo Walter, 2011, "The Dodd‐Frank Wall Street Reform and Consumer Protection Act: Accomplishments and Limitations," Journal of Applied Corporate Finance, Morgan Stanley, volume 23, issue 1, pages 43-56, January.
  3. Viral V. Acharya & S. Viswanathan, 2011, "Leverage, Moral Hazard, and Liquidity," Journal of Finance, American Finance Association, volume 66, issue 1, pages 99-138, February, DOI: j.1540-6261.2010.01627.x.
  4. Viral V. Acharya & Stewart C. Myers & Raghuram G. Rajan, 2011, "The Internal Governance of Firms," Journal of Finance, American Finance Association, volume 66, issue 3, pages 689-720, June.
  5. Viral V. Acharya & Douglas Gale & Tanju Yorulmazer, 2011, "Rollover Risk and Market Freezes," Journal of Finance, American Finance Association, volume 66, issue 4, pages 1177-1209, August.
  6. Acharya, Viral V. & Amihud, Yakov & Litov, Lubomir, 2011, "Creditor rights and corporate risk-taking," Journal of Financial Economics, Elsevier, volume 102, issue 1, pages 150-166, October.
  7. Acharya, Viral V. & Sundaram, Rangarajan K. & John, Kose, 2011, "Cross-country variations in capital structures: The role of bankruptcy codes," Journal of Financial Intermediation, Elsevier, volume 20, issue 1, pages 25-54, January.
  8. Acharya, Viral V. & Skeie, David, 2011, "A model of liquidity hoarding and term premia in inter-bank markets," Journal of Monetary Economics, Elsevier, volume 58, issue 5, pages 436-447, DOI: 10.1016/j.jmoneco.2011.05.006.
  9. Hyun Song Shin & Viral Acharya & Tanju Yorulmazer, 2011, "Fire Sale FDI," Korean Economic Review, Korean Economic Association, volume 27, pages 163-202.
  10. Viral V. Acharya & Jean Imbs & Jason Sturgess, 2011, "Finance and Efficiency: Do Bank Branching Regulations Matter?," Review of Finance, European Finance Association, volume 15, issue 1, pages 135-172.
  11. Viral V. Acharya & Hyun Song Shin & Tanju Yorulmazer, 2011, "Crisis Resolution and Bank Liquidity," The Review of Financial Studies, Society for Financial Studies, volume 24, issue 6, pages 2166-2205.
  12. Edward I. Altman & Herbert A. Rijken, 2011, "Toward a Bottom‐Up Approach to Assessing Sovereign Default Risk," Journal of Applied Corporate Finance, Morgan Stanley, volume 23, issue 1, pages 20-31, January.
  13. Colacito, Riccardo & Engle, Robert F. & Ghysels, Eric, 2011, "A component model for dynamic correlations," Journal of Econometrics, Elsevier, volume 164, issue 1, pages 45-59, September.
  14. Robert F. Engle, 2011, "Long-Term Skewness and Systemic Risk," Journal of Financial Econometrics, Oxford University Press, volume 9, issue 3, pages 437-468, Summer.
  15. José Gonzalo Rangel & Robert F. Engle, 2011, "The Factor--Spline--GARCH Model for High and Low Frequency Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 109-124, May, DOI: 10.1080/07350015.2012.643132.
  16. Robert Engle & Bryan Kelly, 2011, "Dynamic Equicorrelation," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 2, pages 212-228, July, DOI: 10.1080/07350015.2011.652048.
  17. 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, volume 3, issue 2, pages 75-103, April.
  18. 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, volume 24, issue 6, pages 1980-2022.
  19. Holger M. Mueller & Thomas Philippon, 2011, "Family Firms and Labor Relations," American Economic Journal: Macroeconomics, American Economic Association, volume 3, issue 2, pages 218-245, April.
  20. Alexi Savov, 2011, "Asset Pricing with Garbage," Journal of Finance, American Finance Association, volume 66, issue 1, pages 177-201, February, DOI: j.1540-6261.2010.01629.x.
  21. Malcolm Baker & Brendan Bradley & Jeffrey Wurgler, 2011, "Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly," Financial Analysts Journal, Taylor & Francis Journals, volume 67, issue 1, pages 40-54, January, DOI: 10.2469/faj.v67.n1.4.

2010

  1. Acharya, Viral V. & Johnson, Timothy C., 2010, "More insiders, more insider trading: Evidence from private-equity buyouts," Journal of Financial Economics, Elsevier, volume 98, issue 3, pages 500-523, December.
  2. Acharya, Viral, 2010, "Comment on "The Macroeconomics of Money Market Freezes" by Max Bruche and Javier Suarez," Journal of Monetary Economics, Elsevier, volume 57, issue 1, pages 62-63, January.
  3. Viral V. Acharya & João A. C. Santos & Tanju Yorulmazer, 2010, "Systemic risk and deposit insurance premiums," Economic Policy Review, Federal Reserve Bank of New York, volume 16, issue Aug, pages 89-99.
  4. Acharya, Viral V. & Cooley, Thomas & Richardson, Matthew & Walter, Ingo, 2010, "Manufacturing Tail Risk: A Perspective on the Financial Crisis of 2007–2009," Foundations and Trends(R) in Finance, now publishers, volume 4, issue 4, pages 247-325, April, DOI: 10.1561/0500000025.
  5. Viral V. Acharya & Paolo F. Volpin, 2010, "Corporate Governance Externalities," Review of Finance, European Finance Association, volume 14, issue 1, pages 1-33.
  6. Viral V Acharya & Philipp Schnabl, 2010, "Do Global Banks Spread Global Imbalances? Asset-Backed Commercial Paper during the Financial Crisis of 2007–09," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, volume 58, issue 1, pages 37-73, August.
  7. Edward I. Altman & Amar Gande & Anthony Saunders, 2010, "Bank Debt versus Bond Debt: Evidence from Secondary Market Prices," Journal of Money, Credit and Banking, Blackwell Publishing, volume 42, issue 4, pages 755-767, June.
  8. Amihud, Yakov & Hurvich, Clifford M. & Wang, Yi, 2010, "Predictive regression with order-p autoregressive predictors," Journal of Empirical Finance, Elsevier, volume 17, issue 3, pages 513-525, June.
  9. Carpenter, Jennifer N. & Stanton, Richard & Wallace, Nancy, 2010, "Optimal exercise of executive stock options and implications for firm cost," Journal of Financial Economics, Elsevier, volume 98, issue 2, pages 315-337, November.
  10. Bali, Turan G. & Engle, Robert F., 2010, "The intertemporal capital asset pricing model with dynamic conditional correlations," Journal of Monetary Economics, Elsevier, volume 57, issue 4, pages 377-390, May.
  11. Robert F. Engle, 2010, "Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis," Journal of Financial Econometrics, Oxford University Press, volume 8, issue 2, pages 158-159, spring.
  12. Thomas Philippon, 2010, "Financiers versus Engineers: Should the Financial Sector Be Taxed or Subsidized?," American Economic Journal: Macroeconomics, American Economic Association, volume 2, issue 3, pages 158-182, July.
  13. Thomas Philippon, 2010, "Debt Overhang and Recapitalization in Closed and Open Economies," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, volume 58, issue 1, pages 157-178, August.
  14. Baker, Malcolm & Litov, Lubomir & Wachter, Jessica A. & Wurgler, Jeffrey, 2010, "Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 45, issue 5, pages 1111-1131, October.
  15. Bryan R. Routledge & Stanley E. Zin, 2010, "Generalized Disappointment Aversion and Asset Prices," Journal of Finance, American Finance Association, volume 65, issue 4, pages 1303-1332, August, DOI: 10.1111/j.1540-6261.2010.01571.x.

2009

  1. Viral V. Acharya & Conor Kehoe & Michael Reyner, 2009, "Private Equity vs. PLC Boards in the U.K.: A Comparison of Practices and Effectiveness," Journal of Applied Corporate Finance, Morgan Stanley, volume 21, issue 1, pages 45-56, January, DOI: 10.1111/j.1745-6622.2009.00215.x.
  2. Viral V. Acharya & Alberto Bisin, 2009, "Managerial hedging, equity ownership, and firm value," RAND Journal of Economics, RAND Corporation, volume 40, issue 1, pages 47-77, March, DOI: 10.1111/j.1756-2171.2008.00055.x.
  3. Richardson Matthew & Acharya Viral V, 2009, "Government Guarantees: Why the Genie Needs to Be Put Back in the Bottle," The Economists' Voice, De Gruyter, volume 6, issue 11, pages 1-5, November, DOI: 10.2202/1553-3832.1668.
  4. Acharya, Viral V., 2009, "A theory of systemic risk and design of prudential bank regulation," Journal of Financial Stability, Elsevier, volume 5, issue 3, pages 224-255, September.
  5. Viral V. Acharya & Krishnamurthy V. Subramanian, 2009, "Bankruptcy Codes and Innovation," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 12, pages 4949-4988, December.
  6. Edward I. Altman & Tushar Kant & Thongchai Rattanaruengyot, 2009, "Post‐Chapter 11 Bankruptcy Performance: Avoiding Chapter 22," Journal of Applied Corporate Finance, Morgan Stanley, volume 21, issue 3, pages 53-64, June, DOI: 10.1111/j.1745-6622.2009.00239.x.
  7. Yakov Amihud & Clifford M. Hurvich & Yi Wang, 2009, "Multiple-Predictor Regressions: Hypothesis Testing," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 1, pages 413-434, January.
  8. Viral V. Acharya & Menachem Brenner & Robert Engle & Anthony Lynch & Matthew Richardson, 2009, "Derivatives ‐ The Ultimate Financial Innovation," Financial Markets, Institutions & Instruments, John Wiley & Sons, volume 18, issue 2, pages 166-167, May, DOI: 10.1111/j.1468-0416.2009.00147_16.x.
  9. Viral V. Acharya & Robert Engle & Stephen Figlewski & Anthony Lynch & Marti Subrahmanyam, 2009, "Centralized Clearing for Credit Derivatives," Financial Markets, Institutions & Instruments, John Wiley & Sons, volume 18, issue 2, pages 168-170, May, DOI: 10.1111/j.1468-0416.2009.00147_17.x.
  10. Lasse Pedersen, 2009, "When Everyone Runs for the Exit," International Journal of Central Banking, International Journal of Central Banking, volume 5, issue 4, pages 177-199, December.
  11. Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2009, "Demand-Based Option Pricing," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 10, pages 4259-4299, October.
  12. Markus K. Brunnermeier & Lasse Heje Pedersen, 2009, "Market Liquidity and Funding Liquidity," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 6, pages 2201-2238, June.
  13. Stephen Brown & Marcin Kacperczyk & Alexander Ljungqvist & Anthony Lynch & Lasse Pedersen & Matthew Richardson, 2009, "Hedge Funds in the Aftermath of the Financial Crisis," Financial Markets, Institutions & Instruments, John Wiley & Sons, volume 18, issue 2, pages 155-156, May, DOI: 10.1111/j.1468-0416.2009.00147_10.x.
  14. Viral V. Acharya & Lasse Pedersen & Thomas Philippon & Matthew Richardson, 2009, "Regulating Systemic Risk," Financial Markets, Institutions & Instruments, John Wiley & Sons, volume 18, issue 2, pages 174-175, May, DOI: 10.1111/j.1468-0416.2009.00147_20.x.
  15. Thomas Philippon, 2009, "The Bond Market's q," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 124, issue 3, pages 1011-1056.
  16. Simi Kedia & Thomas Philippon, 2009, "The Economics of Fraudulent Accounting," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 6, pages 2169-2199, June.
  17. Malcolm Baker & Robin Greenwood & Jeffrey Wurgler, 2009, "Catering through Nominal Share Prices," Journal of Finance, American Finance Association, volume 64, issue 6, pages 2559-2590, December, DOI: 10.1111/j.1540-6261.2009.01511.x.
  18. Malcolm Baker & C. Fritz Foley & Jeffrey Wurgler, 2009, "Multinationals as Arbitrageurs: The Effect of Stock Market Valuations on Foreign Direct Investment," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 1, pages 337-369, January.
  19. Bryan Routledge & Stanley Zin, 2009, "Model Uncertainty and Liquidity," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 12, issue 4, pages 543-566, October, DOI: 10.1016/j.red.2008.10.002.

2008

  1. Viral V. Acharya & Tanju Yorulmazer, 2008, "Information Contagion and Bank Herding," Journal of Money, Credit and Banking, Blackwell Publishing, volume 40, issue 1, pages 215-231, February.
  2. Viral V. Acharya & Tanju Yorulmazer, 2008, "Cash-in-the-Market Pricing and Optimal Resolution of Bank Failures," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 6, pages 2705-2742, November.
  3. Yakov Amihud & Haim Mendelson, 2008, "Liquidity, the Value of the Firm, and Corporate Finance," Journal of Applied Corporate Finance, Morgan Stanley, volume 20, issue 2, pages 32-45, March, DOI: 10.1111/j.1745-6622.2008.00179.x.
  4. Thierry Post & Martijn J. van den Assem & Guido Baltussen & Richard H. Thaler, 2008, "Deal or No Deal? Decision Making under Risk in a Large-Payoff Game Show," American Economic Review, American Economic Association, volume 98, issue 1, pages 38-71, March, DOI: 10.1257/aer.98.1.38.
  5. David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2008, "Time-Varying Arrival Rates of Informed and Uninformed Trades," Journal of Financial Econometrics, Oxford University Press, volume 6, issue 2, pages 171-207, Spring.
  6. Robert F. Engle & Jose Gonzalo Rangel, 2008, "The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 3, pages 1187-1222, May.
  7. Giovanni Barone-Adesi & Robert F. Engle & Loriano Mancini, 2008, "A GARCH Option Pricing Model with Filtered Historical Simulation," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 3, pages 1223-1258, May.
  8. Heitor Almeida & Thomas Philippon, 2008, "Estimating Risk‐Adjusted Costs of Financial Distress," Journal of Applied Corporate Finance, Morgan Stanley, volume 20, issue 4, pages 105-109, September, DOI: 10.1111/j.1745-6622.2008.00208.x.

2007

  1. Viral V. Acharya & Julian Franks & Henri Servaes, 2007, "Private Equity: Boom and Bust?," Journal of Applied Corporate Finance, Morgan Stanley, volume 19, issue 4, pages 44-53, September, DOI: 10.1111/j.1745-6622.2007.00158.x.
  2. Acharya, Viral V. & Johnson, Timothy C., 2007, "Insider trading in credit derivatives," Journal of Financial Economics, Elsevier, volume 84, issue 1, pages 110-141, April.
  3. Acharya, Viral V. & Bharath, Sreedhar T. & Srinivasan, Anand, 2007, "Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries," Journal of Financial Economics, Elsevier, volume 85, issue 3, pages 787-821, September.
  4. Acharya, Viral V. & Yorulmazer, Tanju, 2007, "Too many to fail--An analysis of time-inconsistency in bank closure policies," Journal of Financial Intermediation, Elsevier, volume 16, issue 1, pages 1-31, January.
  5. Acharya, Viral V. & Almeida, Heitor & Campello, Murillo, 2007, "Is cash negative debt? A hedging perspective on corporate financial policies," Journal of Financial Intermediation, Elsevier, volume 16, issue 4, pages 515-554, October.
  6. Edward Altman & Ankush Mittal & Krishnan V. Pagalthivarthi, 2007, "Knowledge based framework for facilitating e-learning services," International Journal of Innovation and Learning, Inderscience Enterprises Ltd, volume 4, issue 2, pages 112-126.
  7. Edward I. Altman & Gabriele Sabato, 2007, "Modelling Credit Risk for SMEs: Evidence from the U.S. Market," Abacus, Accounting Foundation, University of Sydney, volume 43, issue 3, pages 332-357, September, DOI: 10.1111/j.1467-6281.2007.00234.x.
  8. Edward Altman, 2007, "Morgan Stanley Roundtable on Managing Financial Trouble," Journal of Applied Corporate Finance, Morgan Stanley, volume 19, issue 4, pages 16-43, September, DOI: 10.1111/j.1745-6622.2007.00157.x.
  9. Edward I. Altman, 2007, "Global Debt Markets in 2007: New Paradigm or the Great Credit Bubble?," Journal of Applied Corporate Finance, Morgan Stanley, volume 19, issue 3, pages 17-31, June, DOI: 10.1111/j.1745-6622.2007.00143.x.
  10. Nicolae Gârleanu & Lasse Heje Pedersen, 2007, "Liquidity and Risk Management," American Economic Review, American Economic Association, volume 97, issue 2, pages 193-197, May.
  11. Lasse Heje Pedersen & Mark Mitchell & Todd Pulvino, 2007, "Slow Moving Capital," American Economic Review, American Economic Association, volume 97, issue 2, pages 215-220, May.
  12. Darrell Duffie & Nicolae Gârleanu & Lasse Heje Pedersen, 2007, "Valuation in Over-the-Counter Markets," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 6, pages 1865-1900, November.
  13. Heitor Almeida & Thomas Philippon, 2007, "The Risk‐Adjusted Cost of Financial Distress," Journal of Finance, American Finance Association, volume 62, issue 6, pages 2557-2586, December, DOI: 10.1111/j.1540-6261.2007.01286.x.
  14. Francesco Franco & Thomas Philippon, 2007, "Firms and Aggregate Dynamics," The Review of Economics and Statistics, MIT Press, volume 89, issue 4, pages 587-600, November.
  15. Malcolm Baker & Jeffrey Wurgler, 2007, "Investor Sentiment in the Stock Market," Journal of Economic Perspectives, American Economic Association, volume 21, issue 2, pages 129-152, Spring.
  16. Malcolm Baker & Stefan Nagel & Jeffrey Wurgler, 2007, "The Effect of Dividends on Consumption," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, volume 38, issue 1, pages 231-292.
  17. Michael F. Gallmeyer & Burton Hollifield & Francisco J. Palomino & Stanley E. Zin, 2007, "Arbitrage-free bond pricing with dynamic macroeconomic models," Review, Federal Reserve Bank of St. Louis, volume 89, issue Jul, pages 305-326.

2006

  1. Viral Acharya & Jing-zhi Huang & Marti Subrahmanyam & Rangarajan Sundaram, 2006, "When does Strategic Debt-service Matter?," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 29, issue 2, pages 363-378, October, DOI: 10.1007/s00199-005-0035-9.
  2. Viral V. Acharya & Iftekhar Hasan & Anthony Saunders, 2006, "Should Banks Be Diversified? Evidence from Individual Bank Loan Portfolios," The Journal of Business, University of Chicago Press, volume 79, issue 3, pages 1355-1412, May, DOI: 10.1086/500679.
  3. Amihud, Yakov & Li, Kefei, 2006, "The Declining Information Content of Dividend Announcements and the Effects of Institutional Holdings," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 41, issue 3, pages 637-660, September.
  4. Yakov Amihud & Haim Mendelson, 2006, "Stock and Bond Liquidity and its Effect on Prices and Financial Policies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 20, issue 1, pages 19-32, April, DOI: 10.1007/s11408-006-0001-y.
  5. Amihud, Yakov & Mendelson, Haim & Pedersen, Lasse Heje, 2006, "Liquidity and Asset Prices," Foundations and Trends(R) in Finance, now publishers, volume 1, issue 4, pages 269-364, February, DOI: 10.1561/0500000003.
  6. Engle, Robert & Colacito, Riccardo, 2006, "Testing and Valuing Dynamic Correlations for Asset Allocation," Journal of Business & Economic Statistics, American Statistical Association, volume 24, pages 238-253, April.
  7. Diebold, F.X. & Engle, R.F. & Favero, C. & Gallo, G.M. & Schorfheide, F., 2006, "The econometrics of macroeconomics, finance, and the interface," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 1-2.
  8. Engle, Robert F. & Gallo, Giampiero M., 2006, "A multiple indicators model for volatility using intra-daily data," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 3-27.
  9. Engle, Robert F. & Marcucci, Juri, 2006, "A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones," Journal of Econometrics, Elsevier, volume 132, issue 1, pages 7-42, May.
  10. Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006, "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, Oxford University Press, volume 4, issue 4, pages 537-572.
  11. Philippon, Thomas, 2006, "Corporate governance over the business cycle," Journal of Economic Dynamics and Control, Elsevier, volume 30, issue 11, pages 2117-2141, November.
  12. Bergstresser, Daniel & Philippon, Thomas, 2006, "CEO incentives and earnings management," Journal of Financial Economics, Elsevier, volume 80, issue 3, pages 511-529, June.
  13. Malcolm Baker & Jeffrey Wurgler, 2006, "Investor Sentiment and the Cross‐Section of Stock Returns," Journal of Finance, American Finance Association, volume 61, issue 4, pages 1645-1680, August, DOI: 10.1111/j.1540-6261.2006.00885.x.
  14. Malcolm Baker & Ryan Taliaferro & Jeffrey Wurgler, 2006, "Predicting Returns with Managerial Decision Variables: Is There a Small‐Sample Bias?," Journal of Finance, American Finance Association, volume 61, issue 4, pages 1711-1730, August, DOI: 10.1111/j.1540-6261.2006.00887.x.
  15. Yermack, David, 2006, "Golden handshakes: Separation pay for retired and dismissed CEOs," Journal of Accounting and Economics, Elsevier, volume 41, issue 3, pages 237-256, September.
  16. Yermack, David, 2006, "Flights of fancy: Corporate jets, CEO perquisites, and inferior shareholder returns," Journal of Financial Economics, Elsevier, volume 80, issue 1, pages 211-242, April.

2005

  1. Acharya, Viral V. & Pedersen, Lasse Heje, 2005, "Asset pricing with liquidity risk," Journal of Financial Economics, Elsevier, volume 77, issue 2, pages 375-410, August.
  2. Viral V. Acharya & Alberto Bisin, 2005, "Optimal Financial-Market Integration and Security Design," The Journal of Business, University of Chicago Press, volume 78, issue 6, pages 2397-2434, November, DOI: 10.1086/497041.
  3. Edward I. Altman & Brooks Brady & Andrea Resti & Andrea Sironi, 2005, "The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications," The Journal of Business, University of Chicago Press, volume 78, issue 6, pages 2203-2228, November, DOI: 10.1086/497044.
  4. Edward I. Altman & Herbert A. Rijken, 2005, "The Impact of the Rating Agencies’ Through‐the‐cycle Methodology on Rating Dynamics," Economic Notes, Banca Monte dei Paschi di Siena SpA, volume 34, issue 2, pages 127-154, July, DOI: 10.1111/j.0391-5026.2005.00147.x.
  5. Edward Altman & Gabriele Sabato, 2005, "Effects of the New Basel Capital Accord on Bank Capital Requirements for SMEs," Journal of Financial Services Research, Springer;Western Finance Association, volume 28, issue 1, pages 15-42, October, DOI: 10.1007/s10693-005-4355-5.
  6. Onorato, Mario & Altman, Edward I., 2005, "An integrated pricing model for defaultable loans and bonds," European Journal of Operational Research, Elsevier, volume 163, issue 1, pages 65-82, May.
  7. Altman, Edward I., 2005, "An emerging market credit scoring system for corporate bonds," Emerging Markets Review, Elsevier, volume 6, issue 4, pages 311-323, December.
  8. Russell, Jeffrey R. & Engle, Robert F., 2005, "A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model," Journal of Business & Economic Statistics, American Statistical Association, volume 23, pages 166-180, April.
  9. Markus K. Brunnermeier & Lasse Heje Pedersen, 2005, "Predatory Trading," Journal of Finance, American Finance Association, volume 60, issue 4, pages 1825-1863, August, DOI: 10.1111/j.1540-6261.2005.00781.x.
  10. Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2005, "Over-the-Counter Markets," Econometrica, Econometric Society, volume 73, issue 6, pages 1815-1847, November.
  11. Thomas Philippon, 2005, "No-arbitrage Taylor rules - comments," Proceedings, Federal Reserve Bank of San Francisco.
  12. Barberis, Nicholas & Shleifer, Andrei & Wurgler, Jeffrey, 2005, "Comovement," Journal of Financial Economics, Elsevier, volume 75, issue 2, pages 283-317, February.
  13. Goodfriend, Marvin & Zin, Stanley, 2005, "Monetary Theory and Policy: Papers in Honor of Bennett T. McCallum," Journal of Monetary Economics, Elsevier, volume 52, issue 5, pages 853-853, July.
  14. Gallmeyer, Michael F. & Hollifield, Burton & Zin, Stanley E., 2005, "Taylor rules, McCallum rules and the term structure of interest rates," Journal of Monetary Economics, Elsevier, volume 52, issue 5, pages 921-950, July.

2004

  1. Altman, Edward I. & Rijken, Herbert A., 2004, "How rating agencies achieve rating stability," Journal of Banking & Finance, Elsevier, volume 28, issue 11, pages 2679-2714, November.
  2. W-K Ching & M K Ng & K-K Wong & E Altman, 2004, "Customer lifetime value: stochastic optimization approach," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, volume 55, issue 8, pages 860-868, August, DOI: 10.1057/palgrave.jors.2601755.
  3. Edward Altman & George Benston & Gerald Bierwag & Marshall Blume & Richard Brealey & Willard Carleton & Andrew Chen & Elroy Dimson & Franklin Edwards & Robert Eisenbeis & Wayne Ferson & Mark Flannery , 2004, "The Controversy Over Executive Compensation," Journal of Applied Corporate Finance, Morgan Stanley, volume 16, issue 1, pages 108-111, January, DOI: 10.1111/j.1745-6622.2004.tb00600.x.
  4. Amihud, Yakov & Hurvich, Clifford M., 2004, "Predictive Regressions: A Reduced-Bias Estimation Method," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 39, issue 4, pages 813-841, December.
  5. Amihud, Yakov & Wohl, Avi, 2004, "Political news and stock prices: The case of Saddam Hussein contracts," Journal of Banking & Finance, Elsevier, volume 28, issue 5, pages 1185-1200, May.
  6. Robert Engle, 2004, "Risk and Volatility: Econometric Models and Financial Practice," American Economic Review, American Economic Association, volume 94, issue 3, pages 405-420, June, DOI: 10.1257/0002828041464597.
  7. Robert F. Engle & Simone Manganelli, 2004, "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Journal of Business & Economic Statistics, American Statistical Association, volume 22, pages 367-381, October.
  8. Engle, Robert F. & Patton, Andrew J., 2004, "Impacts of trades in an error-correction model of quote prices," Journal of Financial Markets, Elsevier, volume 7, issue 1, pages 1-25, January.
  9. Robert Engle, 2004, "Robert F Engle: Understanding volatility as a process," Quantitative Finance, Taylor & Francis Journals, volume 4, issue 2, pages 19-20, DOI: 10.1080/14697680400000028.
  10. Nicolae Gârleanu, 2004, "Adverse Selection and the Required Return," The Review of Financial Studies, Society for Financial Studies, volume 17, issue 3, pages 643-665.
  11. Baker, Malcolm & Wurgler, Jeffrey, 2004, "Appearing and disappearing dividends: The link to catering incentives," Journal of Financial Economics, Elsevier, volume 73, issue 2, pages 271-288, August.

2003

  1. Viral V. Acharya, 2003, "Is the International Convergence of Capital Adequacy Regulation Desirable?," Journal of Finance, American Finance Association, volume 58, issue 6, pages 2745-2782, December, DOI: 10.1046/j.1540-6261.2003.00621.x.
  2. Amihud, Yakov & Lauterbach, Beni & Mendelson, Haim, 2003, "The Value of Trading Consolidation: Evidence from the Exercise of Warrants," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 38, issue 4, pages 829-846, December.
  3. Amihud, Yakov & Hauser, Shmuel & Kirsh, Amir, 2003, "Allocations, adverse selection, and cascades in IPOs: Evidence from the Tel Aviv Stock Exchange," Journal of Financial Economics, Elsevier, volume 68, issue 1, pages 137-158, April.
  4. Robert F. Engle & Asger Lunde, 2003, "Trades and Quotes: A Bivariate Point Process," Journal of Financial Econometrics, Oxford University Press, volume 1, issue 2, pages 159-188.
  5. 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, volume 58, issue 1, pages 119-159, February, DOI: 10.1111/1540-6261.00520.
  6. Baker, Malcolm & Greenwood, Robin & Wurgler, Jeffrey, 2003, "The maturity of debt issues and predictable variation in bond returns," Journal of Financial Economics, Elsevier, volume 70, issue 2, pages 261-291, November.
  7. Malcolm Baker & Jeremy C. Stein & Jeffrey Wurgler, 2003, "When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 118, issue 3, pages 969-1005.
  8. Dahiya, Sandeep & Yermack, David, 2003, "Litigation exposure, capital structure and shareholder value: the case of Brooke Group," Journal of Corporate Finance, Elsevier, volume 9, issue 3, pages 271-294, June.

2002

  1. Viral V. Acharya & Jennifer N. Carpenter, 2002, "Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy," The Review of Financial Studies, Society for Financial Studies, volume 15, issue 5, pages 1355-1383.
  2. Edward I Altman, 2002, "Managing Credit Risk: A Challenge for the New Millennium," Economic Notes, Banca Monte dei Paschi di Siena SpA, volume 31, issue 2, pages 201-214, July.
  3. T. Boulogne & E. Altman & O. Pourtallier, 2002, "On the Convergence to Nash Equilibrium in Problems of Distributed Computing," Annals of Operations Research, Springer, volume 109, issue 1, pages 279-291, January, DOI: 10.1023/A:1016312521369.
  4. Altman, Edward I. & Bharath, Sreedhar T. & Saunders, Anthony, 2002, "Credit ratings and the BIS capital adequacy reform agenda," Journal of Banking & Finance, Elsevier, volume 26, issue 5, pages 909-921, May.
  5. Amihud, Yakov, 2002, "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, volume 5, issue 1, pages 31-56, January.
  6. Amihud, Yakov & DeLong, Gayle L. & Saunders, Anthony, 2002, "The effects of cross-border bank mergers on bank risk and value," Journal of International Money and Finance, Elsevier, volume 21, issue 6, pages 857-877, November.
  7. Engle, Robert, 2002, "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, volume 20, issue 3, pages 339-350, July.
  8. Rosenberg, Joshua V. & Engle, Robert F., 2002, "Empirical pricing kernels," Journal of Financial Economics, Elsevier, volume 64, issue 3, pages 341-372, June.
  9. Robert Engle, 2002, "New frontiers for arch models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 17, issue 5, pages 425-446, DOI: 10.1002/jae.683.
  10. Duffie, Darrell & Garleanu, Nicolae & Pedersen, Lasse Heje, 2002, "Securities lending, shorting, and pricing," Journal of Financial Economics, Elsevier, volume 66, issue 2-3, pages 307-339.
  11. Malcolm Baker & Jeffrey Wurgler, 2002, "Market Timing and Capital Structure," Journal of Finance, American Finance Association, volume 57, issue 1, pages 1-32, February, DOI: 10.1111/1540-6261.00414.
  12. Wurgler, Jeffrey, 2002, "Comment on: Investor psychology in capital markets," Journal of Monetary Economics, Elsevier, volume 49, issue 1, pages 211-214, January.
  13. Jeffrey Wurgler & Ekaterina Zhuravskaya, 2002, "Does Arbitrage Flatten Demand Curves for Stocks?," The Journal of Business, University of Chicago Press, volume 75, issue 4, pages 583-608, October, DOI: 10.1086/341636.
  14. Telmer, Chris I. & Zin, Stanley E., 2002, "Prices as factors: Approximate aggregation with incomplete markets," Journal of Economic Dynamics and Control, Elsevier, volume 26, issue 7-8, pages 1127-1157, July.
  15. Zin, Stanley E., 2002, "Are behavioral asset-pricing models structural?," Journal of Monetary Economics, Elsevier, volume 49, issue 1, pages 215-228, January.

2001

  1. Viral V. Acharya, 2001, "Competition Among Banks, Capital Requirements and International Spillovers," Economic Notes, Banca Monte dei Paschi di Siena SpA, volume 30, issue 3, pages 337-358, November.
  2. Altman, Edward I., 2001, "Credit ratings and the proposed new BIS guidelines on capital adequacy for bank credit assets," Journal of Banking & Finance, Elsevier, volume 25, issue 1, pages 1-2, January.
  3. Altman, Edward I. & Saunders, Anthony, 2001, "An analysis and critique of the BIS proposal on capital adequacy and ratings," Journal of Banking & Finance, Elsevier, volume 25, issue 1, pages 25-46, January.
  4. Carpenter, Jennifer N & Remmers, Barbara, 2001, "Executive Stock Option Exercises and Inside Information," The Journal of Business, University of Chicago Press, volume 74, issue 4, pages 513-534, October.
  5. Robert Engle, 2001, "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics," Journal of Economic Perspectives, American Economic Association, volume 15, issue 4, pages 157-168, Fall.
  6. Engle, Robert, 2001, "Financial econometrics - A new discipline with new methods," Journal of Econometrics, Elsevier, volume 100, issue 1, pages 53-56, January.
  7. Engle, Robert F. & Lange, Joe, 2001, "Predicting VNET: A model of the dynamics of market depth," Journal of Financial Markets, Elsevier, volume 4, issue 2, pages 113-142, April.
  8. R. F. Engle & A. J. Patton, 2001, "What good is a volatility model?," Quantitative Finance, Taylor & Francis Journals, volume 1, issue 2, pages 237-245, DOI: 10.1088/1469-7688/1/2/305.
  9. Kramarz, Francis & Philippon, Thomas, 2001, "The impact of differential payroll tax subsidies on minimum wage employment," Journal of Public Economics, Elsevier, volume 82, issue 1, pages 115-146, October.
  10. Epstein, Larry G. & Zin, Stanley E., 2001, "The independence axiom and asset returns," Journal of Empirical Finance, Elsevier, volume 8, issue 5, pages 537-572, December.

2000

  1. Acharya, Viral V. & John, Kose & Sundaram, Rangarajan K., 2000, "On the optimality of resetting executive stock options," Journal of Financial Economics, Elsevier, volume 57, issue 1, pages 65-101, July.
  2. Altman, Edward I. & Suggitt, Heather J., 2000, "Default rates in the syndicated bank loan market: A mortality analysis," Journal of Banking & Finance, Elsevier, volume 24, issue 1-2, pages 229-253, January.
  3. Edward I. Altman, 2000, "Revisiting The High Yield Bond Market: Mature But Never Dull," Journal of Applied Corporate Finance, Morgan Stanley, volume 13, issue 1, pages 64-74, March, DOI: 10.1111/j.1745-6622.2000.tb00042.x.
  4. Yakov Amihud & Haim Mendelson, 2000, "The Liquidity Route To A Lower Cost Of Capital," Journal of Applied Corporate Finance, Morgan Stanley, volume 12, issue 4, pages 8-25, January, DOI: 10.1111/j.1745-6622.2000.tb00016.x.
  5. Yakov Amihud & Kenneth Garbade & Marcel Kahan, 2000, "An Institutional Innovation To Reduce The Agency Costs Of Public Corporate Bonds," Journal of Applied Corporate Finance, Morgan Stanley, volume 13, issue 1, pages 114-121, March, DOI: 10.1111/j.1745-6622.2000.tb00046.x.
  6. Alfonso Dufour & Robert F. Engle, 2000, "Time and the Price Impact of a Trade," Journal of Finance, American Finance Association, volume 55, issue 6, pages 2467-2498, December, DOI: 10.1111/0022-1082.00297.
  7. Robert F. Engle, 2000, "The Econometrics of Ultra-High Frequency Data," Econometrica, Econometric Society, volume 68, issue 1, pages 1-22, January.
  8. Malcolm Baker & Jeffrey Wurgler, 2000, "The Equity Share in New Issues and Aggregate Stock Returns," Journal of Finance, American Finance Association, volume 55, issue 5, pages 2219-2257, October, DOI: 10.1111/0022-1082.00285.
  9. Wurgler, Jeffrey, 2000, "Financial markets and the allocation of capital," Journal of Financial Economics, Elsevier, volume 58, issue 1-2, pages 187-214.
  10. Brenner, Menachem & Sundaram, Rangarajan K. & Yermack, David, 2000, "Altering the terms of executive stock options," Journal of Financial Economics, Elsevier, volume 57, issue 1, pages 103-128, July.

1999

  1. Allan C. Eberhart & Edward I. Altman & Reena Aggarwal, 1999, "The Equity Performance of Firms Emerging from Bankruptcy," Journal of Finance, American Finance Association, volume 54, issue 5, pages 1855-1868, October, DOI: 10.1111/0022-1082.00169.
  2. Yakov Amihud & Baruch Lev, 1999, "Does corporate ownership structure affect its strategy towards diversification?," Strategic Management Journal, Wiley Blackwell, volume 20, issue 11, pages 1063-1069, November, DOI: 10.1002/(SICI)1097-0266(199911)20:1.
  3. Carpenter, Jennifer N. & Lynch, Anthony W., 1999, "Survivorship bias and attrition effects in measures of performance persistence," Journal of Financial Economics, Elsevier, volume 54, issue 3, pages 337-374, December.
  4. Robert F. Engle & Aaron D. Smith, 1999, "Stochastic Permanent Breaks," The Review of Economics and Statistics, MIT Press, volume 81, issue 4, pages 553-574, November.
  5. Hamid Mehran & Robert A. Taggart & David Yermack, 1999, "CEO Ownership, Leasing, and Debt Financing," Financial Management, Financial Management Association, volume 28, issue 2, Summer.

1998

  1. Altman, Edward I., 1998, "The importance and subtlety of credit rating migration," Journal of Banking & Finance, Elsevier, volume 22, issue 10-11, pages 1231-1247, October.
  2. Carpenter, Jennifer N., 1998, "The exercise and valuation of executive stock options," Journal of Financial Economics, Elsevier, volume 48, issue 2, pages 127-158, May.
  3. Robert F. Engle & Jeffrey R. Russell, 1998, "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, volume 66, issue 5, pages 1127-1162, September.
  4. Yermack, David, 1998, "Companies' Modest Claims about the Value of CEO Stock Option Awards," Review of Quantitative Finance and Accounting, Springer, volume 10, issue 2, pages 207-226, March.
  5. Kahan, Marcel & Yermack, David, 1998, "Investment Opportunities and the Design of Debt Securities," The Journal of Law, Economics, and Organization, Oxford University Press, volume 14, issue 1, pages 136-151, April.
  6. Backus, David & Foresi, Silverio & Zin, Stanley, 1998, "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," Journal of Business & Economic Statistics, American Statistical Association, volume 16, issue 1, pages 13-26, January.

1997

  1. Altman, Edward I. & Saunders, Anthony, 1997, "Credit risk measurement: Developments over the last 20 years," Journal of Banking & Finance, Elsevier, volume 21, issue 11-12, pages 1721-1742, December.
  2. Amihud, Yakov & Murgia, Maurizio, 1997, "Dividends, Taxes, and Signaling: Evidence from Germany," Journal of Finance, American Finance Association, volume 52, issue 1, pages 397-408, March.
  3. Amihud, Yakov & Mendelson, Haim & Lauterbach, Beni, 1997, "Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange," Journal of Financial Economics, Elsevier, volume 45, issue 3, pages 365-390, September.
  4. Vahid, Farshid & Engle, Robert F., 1997, "Codependent cycles," Journal of Econometrics, Elsevier, volume 80, issue 2, pages 199-221, October.
  5. Engle, Robert F. & Russell, Jeffrey R., 1997, "Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model," Journal of Empirical Finance, Elsevier, volume 4, issue 2-3, pages 187-212, June.
  6. Ramanathan, Ramu & Engle, Robert & Granger, Clive W. J. & Vahid-Araghi, Farshid & Brace, Casey, 1997, "Shorte-run forecasts of electricity loads and peaks," International Journal of Forecasting, Elsevier, volume 13, issue 2, pages 161-174, June.
  7. Yermack, David, 1997, "Good Timing: CEO Stock Option Awards and Company News Announcements," Journal of Finance, American Finance Association, volume 52, issue 2, pages 449-476, June.
  8. Berger, Philip G & Ofek, Eli & Yermack, David L, 1997, "Managerial Entrenchment and Capital Structure Decisions," Journal of Finance, American Finance Association, volume 52, issue 4, pages 1411-1438, September.
  9. Smith, Gregor W. & Zin, Stanley E., 1997, "Real business-cycle realizations," Carnegie-Rochester Conference Series on Public Policy, Elsevier, volume 47, issue 1, pages 243-280, December.
  10. Smith, Anthony A, Jr & Sowell, Fallaw & Zin, Stanley E, 1997, "Fractional Integration with Drift: Estimation in Small Samples," Empirical Economics, Springer, volume 22, issue 1, pages 103-116.
  11. Trick, Michael A. & Zin, Stanley E., 1997, "Spline Approximations To Value Functions," Macroeconomic Dynamics, Cambridge University Press, volume 1, issue 1, pages 255-277, January.

1996

  1. Amihud, Yakov, 1996, "Unexpected Inflation and Stock Returns Revisited--Evidence from Israel," Journal of Money, Credit and Banking, Blackwell Publishing, volume 28, issue 1, pages 22-33, February.
  2. Engle, Robert F & Hylleberg, Svend, 1996, "Common Seasonal Features: Global Unemployment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 58, issue 4, pages 615-630, November.
  3. Yermack, David, 1996, "Higher market valuation of companies with a small board of directors," Journal of Financial Economics, Elsevier, volume 40, issue 2, pages 185-211, February.

1995

  1. Yehning Chen & J. Fred Weston & Edward I. Altman, 1995, "Financial Distress and Restructuring Models," Financial Management, Financial Management Association, volume 24, issue 2, Summer.
  2. Engle, Robert F. & Kroner, Kenneth F., 1995, "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, volume 11, issue 1, pages 122-150, February.
  3. Engle, Robert F. & Issler, Joao Victor, 1995, "Estimating common sectoral cycles," Journal of Monetary Economics, Elsevier, volume 35, issue 1, pages 83-113, February.
  4. Yermack, David, 1995, "Do corporations award CEO stock options effectively?," Journal of Financial Economics, Elsevier, volume 39, issue 2-3, pages 237-269.
  5. Zin, Stanley E., 1995, "The importance of investor heterogeneity and financial market imperfections for the behavior of asset prices : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, volume 42, issue 1, pages 33-38, June.

1994

  1. Altman, Edward I. & Marco, Giancarlo & Varetto, Franco, 1994, "Corporate distress diagnosis: Comparisons using linear discriminant analysis and neural networks (the Italian experience)," Journal of Banking & Finance, Elsevier, volume 18, issue 3, pages 505-529, May.
  2. Engle, Robert F, 1994, "Bayesian Analysis of Stochastic Volatility Models: Comment," Journal of Business & Economic Statistics, American Statistical Association, volume 12, issue 4, pages 395-396, October.
  3. Susmel, Raul & Engle, Robert F., 1994, "Hourly volatility spillovers between international equity markets," Journal of International Money and Finance, Elsevier, volume 13, issue 1, pages 3-25, February.
  4. Lin, Wen-Ling & Engle, Robert F & Ito, Takatoshi, 1994, "Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility," The Review of Financial Studies, Society for Financial Studies, volume 7, issue 3, pages 507-538.

1993

  1. Engle, Robert F & Susmel, Raul, 1993, "Common Volatility in International Equity Markets," Journal of Business & Economic Statistics, American Statistical Association, volume 11, issue 2, pages 167-176, April.
  2. Engle, Robert F & Kozicki, Sharon, 1993, "Testing for Common Features," Journal of Business & Economic Statistics, American Statistical Association, volume 11, issue 4, pages 369-380, October.
  3. Engle, Robert F & Kozicki, Sharon, 1993, "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, volume 11, issue 4, pages 393-395, October.
  4. Engle, Robert F & Ng, Victor K, 1993, "Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, volume 48, issue 5, pages 1749-1778, December.
  5. Bollerslev, Tim & Engle, Robert F, 1993, "Common Persistence in Conditional Variances," Econometrica, Econometric Society, volume 61, issue 1, pages 167-186, January.
  6. Engle, R. F. & Granger, C. W. J. & Hylleberg, S. & Lee, H. S., 1993, "The Japanese consumption function," Journal of Econometrics, Elsevier, volume 55, issue 1-2, pages 275-298.
  7. Engle, Robert F. & Hendry, David F., 1993, "Testing superexogeneity and invariance in regression models," Journal of Econometrics, Elsevier, volume 56, issue 1-2, pages 119-139, March.
  8. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993, "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, volume 1, issue 1, pages 83-106, June.
  9. Engle, Robert F. & Issler, João Victor, 1993, "Common trends and common cycles in Latin America," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), volume 47, issue 2, April.
  10. Vahid, F & Engle, Robert F, 1993, "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 8, issue 4, pages 341-360, Oct.-Dec..
  11. Engle, Robert F & Ng, Victor K, 1993, "Time-Varying Volatility and the Dynamic Behavior of the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, volume 25, issue 3, pages 336-349, August.
  12. David K. Backus & Stanley E. Zin, 1993, "Long-memory inflation uncertainty: evidence from the term structure of interest rates," Proceedings, Federal Reserve Bank of Cleveland, pages 681-708.

1992

  1. Ng, Victor & Engle, Robert F. & Rothschild, Michael, 1992, "A multi-dynamic-factor model for stock returns," Journal of Econometrics, Elsevier, volume 52, issue 1-2, pages 245-266.
  2. Engle, Robert F. & Mustafa, Chowdhury, 1992, "Implied ARCH models from options prices," Journal of Econometrics, Elsevier, volume 52, issue 1-2, pages 289-311.
  3. Ito, Takatoshi & Engle, Robert F. & Lin, Wen-Ling, 1992, "Where does the meteor shower come from? : The role of stochastic policy coordination," Journal of International Economics, Elsevier, volume 32, issue 3-4, pages 221-240, May.
  4. Engle, Robert & Navarro, Peter & Carson, Richard, 1992, "On the theory of growth controls," Journal of Urban Economics, Elsevier, volume 32, issue 3, pages 269-283, November.
  5. Brown, Scott J. & Coulson, N. Edward & Engle, Robert F., 1992, "On the determination of regional base and regional base multipliers," Regional Science and Urban Economics, Elsevier, volume 22, issue 4, pages 619-635, November.

1991

  1. Amihud, Yakov & Mendelson, Haim, 1991, "Liquidity, Maturity, and the Yields on U.S. Treasury Securities," Journal of Finance, American Finance Association, volume 46, issue 4, pages 1411-1425, September.
  2. Amihud, Yakov & Mendelson, Haim, 1991, "Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market," Journal of Finance, American Finance Association, volume 46, issue 5, pages 1765-1789, December.
  3. Amihud, Yakov & Mendelson, Haim, 1991, "Trading mechanisms and value-discovery: Cross-national evidence and policy implications," Carnegie-Rochester Conference Series on Public Policy, Elsevier, volume 34, issue 1, pages 105-130, January.
  4. Engle, Robert F & Gonzalez-Rivera, Gloria, 1991, "Semiparametric ARCH Models," Journal of Business & Economic Statistics, American Statistical Association, volume 9, issue 4, pages 345-359, October.
  5. Smith, Gregor W & Zin, Stanley E, 1991, "Persistent Deficits and the Market Value of Government Debt," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 6, issue 1, pages 31-44, Jan.-Marc.
  6. Epstein, Larry G & Zin, Stanley E, 1991, "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis," Journal of Political Economy, University of Chicago Press, volume 99, issue 2, pages 263-286, April, DOI: 10.1086/261750.
  7. Zin, Stanley E., 1991, "Recent U.S. investment behavior and the tax reform act of 1986: A disaggregate view a comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, volume 35, issue 1, pages 217-220, January.

1990

  1. Edward I. Altman, 1990, "Setting the Record Straight on Junk Bonds: A Review of the Research on Default Rates and Returns," Journal of Applied Corporate Finance, Morgan Stanley, volume 3, issue 2, pages 82-95, June, DOI: 10.1111/j.1745-6622.1990.tb00202.x.
  2. Amihud, Yakov & Lev, Baruch & Travlos, Nickolaos G, 1990, "Corporate Control and the Choice of Investment Financing: The Case of Corporate Acquisitions," Journal of Finance, American Finance Association, volume 45, issue 2, pages 603-616, June.
  3. Amihud, Yakov & Mendelson, Haim & Murgia, Maurizio, 1990, "Stock market microstructure and return volatility : Evidence from Italy," Journal of Banking & Finance, Elsevier, volume 14, issue 2-3, pages 423-440, August.
  4. Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990, "Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market," Econometrica, Econometric Society, volume 58, issue 3, pages 525-542, May.
  5. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990, "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, volume 44, issue 1-2, pages 215-238.
  6. Engle, Robert F. & Ng, Victor K. & Rothschild, Michael, 1990, "Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills," Journal of Econometrics, Elsevier, volume 45, issue 1-2, pages 213-237.
  7. Engle, Robert F, 1990, "Stock Volatility and the Crash of '87: Discussion," The Review of Financial Studies, Society for Financial Studies, volume 3, issue 1, pages 103-106.
  8. Epstein, Larry G. & Zin, Stanley E., 1990, "'First-order' risk aversion and the equity premium puzzle," Journal of Monetary Economics, Elsevier, volume 26, issue 3, pages 387-407, December.

1989

  1. Altman, Edward I. & Minowa, Yoshiki, 1989, "Analyzing risks, returns and potential interest in the U.S. high yield corporate debt market for Japanese investors," Japan and the World Economy, Elsevier, volume 1, issue 2, pages 163-186, March.
  2. Amihud, Yakov & Medenelson, Haim, 1989, "Inventory behaviour and market power: An empirical investigation," International Journal of Industrial Organization, Elsevier, volume 7, issue 2, pages 269-280, June.
  3. Amihud, Yakov & Mendelson, Haim, 1989, "Market microstructure and price discovery on the Tokyo Stock Exchange," Japan and the World Economy, Elsevier, volume 1, issue 4, pages 341-370, November.
  4. Engle, R. F. & Granger, C. W. J. & Hallman, J. J., 1989, "Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting," Journal of Econometrics, Elsevier, volume 40, issue 1, pages 45-62, January.
  5. Epstein, Larry G & Zin, Stanley E, 1989, "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework," Econometrica, Econometric Society, volume 57, issue 4, pages 937-969, July.
  6. Backus, David K. & Gregory, Allan W. & Zin, Stanley E., 1989, "Risk premiums in the term structure : Evidence from artificial economies," Journal of Monetary Economics, Elsevier, volume 24, issue 3, pages 371-399, November.

1988

  1. Engle, Robert F, 1988, "Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply," Journal of Money, Credit and Banking, Blackwell Publishing, volume 20, issue 3, pages 422-423, August.
  2. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988, "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, volume 96, issue 1, pages 116-131, February, DOI: 10.1086/261527.

1987

  1. Amihud, Yakov & Mendelson, Haim, 1987, "Trading Mechanisms and Stock Returns: An Empirical Investigation," Journal of Finance, American Finance Association, volume 42, issue 3, pages 533-553, July.
  2. Engle, Robert F & Granger, Clive W J, 1987, "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, volume 55, issue 2, pages 251-276, March.
  3. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987, "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, volume 55, issue 2, pages 391-407, March.
  4. Engle, Robert F. & Yoo, Byung Sam, 1987, "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, volume 35, issue 1, pages 143-159, May.
  5. Coulson, N. Edward & Engle, Robert F., 1987, "Transportation costs and the rent gradient," Journal of Urban Economics, Elsevier, volume 21, issue 3, pages 287-297, May.

1986

  1. Amihud, Yakov & Mendelson, Haim, 1986, "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, volume 17, issue 2, pages 223-249, December.
  2. Poirier, Dale J & Tello, Mario D & Zin, Stanley E, 1986, "A Diagnostic Test for Normality within the Power Exponential Family," Journal of Business & Economic Statistics, American Statistical Association, volume 4, issue 3, pages 359-353, July.

1985

  1. Frydman, Halina & Altman, Edward I & Kao, Duen-Li, 1985, "Introducing Recursive Partitioning for Financial Classification: The Case of Financial Distress," Journal of Finance, American Finance Association, volume 40, issue 1, pages 269-291, March.
  2. Robert F. Engle & David F. Hendry & David Trumble, 1985, "Small-Sample Properties of ARCH Estimators and Tests," Canadian Journal of Economics, Canadian Economics Association, volume 18, issue 1, pages 66-93, February.
  3. Engle, Robert F. & Lilien, David M. & Watson, Mark, 1985, "A dymimic model of housing price determination," Journal of Econometrics, Elsevier, volume 28, issue 3, pages 307-326, June.
  4. Watson, Mark W & Engle, Robert F, 1985, "Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative," The Review of Economics and Statistics, MIT Press, volume 67, issue 2, pages 341-346, May.

1984

  1. Altman, Edward I., 1984, "Introduction: Company and country risk models," Journal of Banking & Finance, Elsevier, volume 8, issue 2, pages 151-151, June.
  2. Altman, Edward I., 1984, "The success of business failure prediction models : An international survey," Journal of Banking & Finance, Elsevier, volume 8, issue 2, pages 171-198, June.
  3. Altman, Edward I, 1984, "A Further Empirical Investigation of the Bankruptcy Cost Question," Journal of Finance, American Finance Association, volume 39, issue 4, pages 1067-1089, September.
  4. Engle, Robert F. & Granger, C. W. J. & Kraft, Dennis, 1984, "Combining competing forecasts of inflation using a bivariate arch model," Journal of Economic Dynamics and Control, Elsevier, volume 8, issue 2, pages 151-165, November.
  5. Train, Kenneth & Ignelzi, Patrice & Engle, Robert & Granger, Clive & Ramanathan, Ramu, 1984, "The billing cycle and weather variables in models of electricity sales," Energy, Elsevier, volume 9, issue 11, pages 1041-1047, DOI: 10.1016/0360-5442(84)90042-2.

1983

  1. Amihud, Yakov & Mendelson, Haim, 1983, "Multiperiod sales-production decisions under uncertainty," Journal of Economic Dynamics and Control, Elsevier, volume 5, issue 1, pages 249-265, February.
  2. Amihud, Yakov & Kalay, Avner, 1983, "Inflation 'news' and exchange rates," Economics Letters, Elsevier, volume 12, issue 3-4, pages 333-338.
  3. Amihud, Yakov & Kamin, Jacob Y. & Ronen, Joshua, 1983, "`Managerialism', `ownerism' and risk," Journal of Banking & Finance, Elsevier, volume 7, issue 2, pages 189-196, June.
  4. Yakov Amihud & Haim Mendelson, 1983, "Price Smoothing and Inventory," The Review of Economic Studies, Review of Economic Studies Ltd, volume 50, issue 1, pages 87-98.
  5. Engle, Robert F & Hendry, David F & Richard, Jean-Francois, 1983, "Exogeneity," Econometrica, Econometric Society, volume 51, issue 2, pages 277-304, March.
  6. Watson, Mark W. & Engle, Robert F., 1983, "Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models," Journal of Econometrics, Elsevier, volume 23, issue 3, pages 385-400, December.
  7. Engle, Robert F, 1983, "Estimates of the Variance of U.S. Inflation Based upon the ARCH Model," Journal of Money, Credit and Banking, Blackwell Publishing, volume 15, issue 3, pages 286-301, August.

1982

  1. Amihud, Yakov, 1982, "Unanticipated inflation and economic activity," Economics Letters, Elsevier, volume 9, issue 4, pages 327-335.
  2. Amihud, Yakov & Mendelson, Haim, 1982, "The output-inflation relationship : An inventory-adjustment approach," Journal of Monetary Economics, Elsevier, volume 9, issue 2, pages 163-184.
  3. Haim Mendelson & Yakov Amihud, 1982, "Optimal Consumption Policy under Uncertain Income," Management Science, INFORMS, volume 28, issue 6, pages 683-697, June, DOI: 10.1287/mnsc.28.6.683.
  4. Amihud, Yakov & Mendelson, Haim, 1982, "Relative Price Dispersion and Economic Shocks: An Inventory-Adjustment Approach," Journal of Money, Credit and Banking, Blackwell Publishing, volume 14, issue 3, pages 390-398, August.
  5. Engle, Robert F, 1982, "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, volume 50, issue 4, pages 987-1007, July.
  6. Engle, Robert F., 1982, "A general approach to lagrange multiplier model diagnostics," Journal of Econometrics, Elsevier, volume 20, issue 1, pages 83-104, October.

1981

  1. Altman, Edward I. & Brenner, Menachem, 1981, "Information Effects and Stock Market Response to Signs of Firm Deterioration," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 16, issue 1, pages 35-51, March.
  2. Edward I. Altman, 1981, "Share Markets and Portfolio Theory," Australian Journal of Management, Australian School of Business, volume 6, issue 1, pages 144-146, June, DOI: 10.1177/031289628100600108.
  3. Altman, Edward I., 1981, "Statistical classification models applied to common stock analysis," Journal of Business Research, Elsevier, volume 9, issue 2, pages 123-149, June.
  4. Agmon, Tamir & Amihud, Yakov, 1981, "The forward exchange rate and the prediction of the future spot rate: Empirical evidence," Journal of Banking & Finance, Elsevier, volume 5, issue 3, pages 425-437, September.
  5. Amihud, Yakov, 1981, "A Possible Error in the Expectations Theory: A Rejoinder," Journal of Money, Credit and Banking, Blackwell Publishing, volume 13, issue 1, pages 107-108, February.
  6. Yakov Amihud & Baruch Lev, 1981, "Risk Reduction as a Managerial Motive for Conglomerate Mergers," Bell Journal of Economics, The RAND Corporation, volume 12, issue 2, pages 605-617, Autumn.

1980

  1. Altman, Edward I., 1980, "Commercial Bank Lending: Process, Credit Scoring, and Costs of Errors in Lending," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 15, issue 4, pages 813-832, November.
  2. Amihud, Yakov, 1980, "General Risk Aversion and Attitude towards Risk," Journal of Finance, American Finance Association, volume 35, issue 3, pages 685-691, June.
  3. Amihud, Yakov, 1980, "An empirical note on bond-yield uncertainty and the demand for money," Economics Letters, Elsevier, volume 5, issue 1, pages 63-69.
  4. Amihud, Yakov & Mendelson, Haim, 1980, "Dealership market : Market-making with inventory," Journal of Financial Economics, Elsevier, volume 8, issue 1, pages 31-53, March.
  5. Engle, Robert F, 1980, "Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 21, issue 2, pages 391-407, June.

1979

  1. Edward I Altman & Tara K N Baidya & Luis Manoel Ribeiro Dias, 1979, "Assessing Potential Financial Problems for Firms in Brazil," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, volume 10, issue 2, pages 9-24, June.
  2. Amihud, Yakov, 1979, "A Possible Error in the Expectations Theory: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, volume 11, issue 2, pages 243-245, May.
  3. Granger, Clive W. J. & Engle, Robert & Ramanathan, Ramu & Andersen, Allan, 1979, "Residential load curves and time-of-day pricing : An econometric analysis," Journal of Econometrics, Elsevier, volume 9, issue 1-2, pages 13-32, January.
  4. Engle, Robert F., 1979, "Estimation of the price elasticity of demand facing metropolitan producers," Journal of Urban Economics, Elsevier, volume 6, issue 1, pages 42-64, January.

1978

  1. Altman, Edward I. & Eisenbeis, Robert A., 1978, "Financial Applications of Discriminant Analysis: A Clarification," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 13, issue 1, pages 185-195, March.
  2. Engle, Robert F, 1978, "Testing Price Equations for Stability across Spectral Frequency Bands," Econometrica, Econometric Society, volume 46, issue 4, pages 869-881, July.

1977

  1. Altman, Edward I., 1977, "Predicting performance in the savings and loan association industry," Journal of Monetary Economics, Elsevier, volume 3, issue 4, pages 443-466, October.
  2. Altman, Edward I. & Haldeman, Robert G. & Narayanan, P., 1977, "ZETATM analysis A new model to identify bankruptcy risk of corporations," Journal of Banking & Finance, Elsevier, volume 1, issue 1, pages 29-54, June.
  3. Amihud, Yakov, 1977, "A Note on Risk Aversion and Indifference Curves," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 12, issue 3, pages 509-513, September.
  4. Amihud, Y. & Barnea, A., 1977, "A Note on Fisher Hypothesis and Price Level Uncertainty," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 12, issue 3, pages 525-530, September.
  5. Yakov Amihud, 1977, "The Effect of Uncertainty in Input Quantities on the Optimal Expected Input Combination," Management Science, INFORMS, volume 23, issue 9, pages 957-962, May, DOI: 10.1287/mnsc.23.9.957.
  6. Yakov Amihud, 1977, "A Note on the Measurement of Technological Progress and Experience in Production," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, volume 59, issue 4, pages 728-730.

1976

  1. Altman, Edward I. & Brenner, Menachem, 1976, "Abstract: Information Effects and Stock Market Response to Signs of Firm Deterioration," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 11, issue 4, pages 575-575, November.
  2. Altman, Edward I & Loris, Bettina, 1976, "A Financial Early Warning System for Over-the-Counter Broker-Dealers," Journal of Finance, American Finance Association, volume 31, issue 4, pages 1201-1217, September.
  3. Engle, Robert F & Gardner, Roy, 1976, "Some Finite Sample Properties of Spectral Estimators of a Linear Regression," Econometrica, Econometric Society, volume 44, issue 1, pages 149-165, January.
  4. Engle, Robert F, 1976, "Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment," Econometrica, Econometric Society, volume 44, issue 3, pages 617-618, May.

1975

  1. Robert F. Engle, 1975, "Policy Pills For A Metropolitan Economy," Papers in Regional Science, Wiley Blackwell, volume 35, issue 1, pages 191-205, January, DOI: 10.1111/j.1435-5597.1975.tb00955.x.
  2. Engle, Robert F & Foley, Duncan K, 1975, "An Asset Price Model of Aggregate Investment," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 16, issue 3, pages 625-647, October.

1974

  1. Altman, Edward I. & Margaine, Michel & Schlosser, Michel & Vernimmen, Pierre, 1974, "Financial and Statistical Analysis for Commercial Loan Evaluation: A French Experience," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 9, issue 2, pages 195-211, March.
  2. Altman, Edward I & Jacquillat, Bertrand C & Levasseur, Michel, 1974, "Comparative Analysis of Risk Measures: France and the United States," Journal of Finance, American Finance Association, volume 29, issue 5, pages 1495-1511, December.
  3. Amihud, Y & Barnea, A, 1974, "Portfolio selection for managerial control," Omega, Elsevier, volume 2, issue 6, pages 775-783, December.
  4. Engle, Robert F, 1974, "Specification of the Disturbance for Efficient Estimation," Econometrica, Econometric Society, volume 42, issue 1, pages 135-146, January.
  5. Engle, Robert F., 1974, "Issues in the specification of an econometric model of metropolitan growth," Journal of Urban Economics, Elsevier, volume 1, issue 2, pages 250-267, April.
  6. Engle, Robert F, 1974, "Band Spectrum Regression," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 15, issue 1, pages 1-11, February.

1973

  1. Edward I. Altman, 1973, "Predicting Railroad Bankruptcies in America," Bell Journal of Economics, The RAND Corporation, volume 4, issue 1, pages 184-211, Spring.
  2. Schwartz, Robert A & Altman, Edward I, 1973, "Volatility Behavior of Industrial Stock Price Indices," Journal of Finance, American Finance Association, volume 28, issue 4, pages 957-971, September.

1972

  1. Altman, Edward I, 1972, "Corporate Bankruptcy Potential, Stockholder Returns and Share Valuation: Reply," Journal of Finance, American Finance Association, volume 27, issue 3, pages 718-721, June.
  2. Engle, Robert F, III, et al, 1972, "An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government," American Economic Review, American Economic Association, volume 62, issue 2, pages 87-97, May.

1971

  1. Altman, Edward I, 1971, "Railroad Bankruptcy Propensity," Journal of Finance, American Finance Association, volume 26, issue 2, pages 333-345, May.

1970

  1. Altman, Edward I, 1970, "Ratio Analysis and the Prediction of Firm Failure: A Reply," Journal of Finance, American Finance Association, volume 25, issue 5, pages 1169-1172, December.
  2. Altman, Edward I. & Schwartz, Robert A., 1970, "Common Stock Price Volatility Measures and Patterns," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 4, issue 5, pages 603-625, January.

1969

  1. Altman, Edward I, 1969, "Corporate Bankruptcy Potential, Stockholder Returns and Share Valuation," Journal of Finance, American Finance Association, volume 24, issue 5, pages 887-900, December.

1968

  1. Edward I. Altman, 1968, "The Prediction Of Corporate Bankruptcy: A Discriminant Analysis," Journal of Finance, American Finance Association, volume 23, issue 1, pages 193-194, March, DOI: j.1540-6261.1968.tb03007.x.
  2. Edward I. Altman, 1968, "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, volume 23, issue 4, pages 589-609, September, DOI: j.1540-6261.1968.tb00843.x.

Undated

  1. Robert F. Engle & Magdalena E. Sokalska, 0, "Forecasting intraday volatility in the US equity market. Multiplicative component GARCH," Journal of Financial Econometrics, Oxford University Press, volume 10, issue 1, pages 54-83.

Books

2015

  1. Viral V. Acharya & Heitor Almeida & Malcolm Baker, 2015, "New Perspectives on Corporate Capital Structure," NBER Books, National Bureau of Economic Research, Inc, number acha13-1, May.
  2. Lasse Heje Pedersen, 2015, "Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined," Economics Books, Princeton University Press, number 10441, edition 1, December.

2013

  1. Viral V Acharya & Thorsten Beck & Douglas D Evanoff & George G Kaufman & Richard Portes (ed.), 2013, "The Social Value of the Financial Sector:Too Big to Fail or Just Too Big?," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8865, ISBN: ARRAY(0x78b4e700).
  2. Oliviero Roggi & Edward I Altman (ed.), 2013, "Managing and Measuring Risk:Emerging Global Standards and Regulations After the Financial Crisis," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8565, ISBN: ARRAY(0x7838c330).
  3. Amihud,Yakov & Mendelson,Haim & Pedersen,Lasse Heje, 2013, "Market Liquidity," Cambridge Books, Cambridge University Press, number 9780521139656.

2011

  1. Viral V. Acharya & Matthew Richardson & Stijn Van Nieuwerburgh & Lawrence J. White, 2011, "Guaranteed to Fail: Fannie Mae, Freddie Mac, and the Debacle of Mortgage Finance," Economics Books, Princeton University Press, number 9400, edition 1, December.

1999

  1. Engle, Robert F. & White (the late), Halbert (ed.), 1999, "Cointegration, Causality, and Forecasting: Festschrift in Honour of Clive W. J. Granger," OUP Catalogue, Oxford University Press, number 9780198296836, ISBN: ARRAY(0x81411558).

1995

  1. Engle, Robert F. (ed.), 1995, "ARCH: Selected Readings," OUP Catalogue, Oxford University Press, number 9780198774327, ISBN: ARRAY(0x82159410).

1991

  1. Engle, R. F. & Granger, C. W. J. (ed.), 1991, "Long-Run Economic Relationships: Readings in Cointegration," OUP Catalogue, Oxford University Press, number 9780198283393, ISBN: ARRAY(0x80f3e410).

1986

  1. R. F. Engle & D. McFadden (ed.), 1986, "Handbook of Econometrics," Handbook of Econometrics, Elsevier, number 4, edition 1.

Chapters

2023

  1. Viral V. Acharya & Raghuram G. Rajan & Jack B. Shim, 2023, "Sovereign Debt and Economic Growth When Government Is Myopic and Self-Interested," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2023".

2019

  1. Matias Covarrubias & Germán Gutiérrez & Thomas Philippon, 2019, "From Good to Bad Concentration? US Industries over the Past 30 Years," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2019, volume 34".

2016

  1. Pierre-Olivier Gourinchas & Thomas Philippon & Dimitri Vayanos, 2016, "The Analytics of the Greek Crisis," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2016, Volume 31".

2015

  1. Lasse Heje Pedersen, 2015, "Introduction," Introductory Chapters, Princeton University Press, "Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined".

2014

  1. Edward I. Altman & Brenda J. Kuehne, 2014, "Defaults and Returns in the High-Yield Bond and Distressed Debt Market: Review and Outlook," Palgrave Macmillan Books, Palgrave Macmillan, chapter 8, in: Torben Juul Andersen, "Contemporary Challenges in Risk Management", DOI: 10.1057/9781137447623_9.
  2. Giovanni Barone Adesi & Robert F. Engle & Loriano Mancini, 2014, "A GARCH Option Pricing Model with Filtered Historical Simulation," Palgrave Macmillan Books, Palgrave Macmillan, chapter 4, in: Giovanni Barone Adesi, "Simulating Security Returns: A Filtered Historical Simulation Approach", DOI: 10.1057/9781137465559_4.

2013

  1. Viral V. Acharya & Heitor Almeida & Malcolm Baker, 2013, "Introduction, New Perspectives on Corporate Capital Structure," NBER Chapters, National Bureau of Economic Research, Inc, "New Perspectives on Corporate Capital Structure".
  2. Viral V. Acharya & Lasse Pedersen & Thomas Philippon & Matthew Richardson, 2013, "Taxing Systemic Risk," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: Oliviero Roggi & Edward I Altman, "Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis".
  3. Viral V. Acharya & T. Sabri Öncü, 2013, "A Proposal for the Resolution of Systemically Important Assets and Liabilities: The Case of the Repo Market," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: Viral V Acharya & Thorsten Beck & Douglas D Evanoff & George G Kaufman & Richard Portes, "The Social Value of the Financial Sector Too Big to Fail or Just Too Big?".
  4. Edward I. Altman & Gabriele Sabato, 2013, "MODELING CREDIT RISK FOR SMEs: EVIDENCE FROM THE US MARKET," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, in: Oliviero Roggi & Edward I Altman, "Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis".
  5. Edward I. Altman, 2013, "Predicting financial distress of companies: revisiting the Z-Score and ZETA® models," Chapters, Edward Elgar Publishing, chapter 17, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk, "Handbook of Research Methods and Applications in Empirical Finance".
  6. Edward I. Altman & Herbert Rijken, 2013, "Toward A Bottom-Up Approach To Assessing Sovereign Default Risk: An Update," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, in: Oliviero Roggi & Edward I Altman, "Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis".
  7. Baker, Malcolm & Wurgler, Jeffrey, 2013, "Behavioral Corporate Finance: An Updated Survey," Handbook of the Economics of Finance, Elsevier, chapter 0, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance", DOI: 10.1016/B978-0-44-453594-8.00005-7.

2012

  1. Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2012, "How to Calculate Systemic Risk Surcharges," NBER Chapters, National Bureau of Economic Research, Inc, "Quantifying Systemic Risk".
  2. Viral V. Acharya, 2012, "A Transparency Standard for Derivatives," NBER Chapters, National Bureau of Economic Research, Inc, "Risk Topography: Systemic Risk and Macro Modeling".
  3. John Geanakoplos & Lasse Heje Pedersen, 2012, "Monitoring Leverage," NBER Chapters, National Bureau of Economic Research, Inc, "Risk Topography: Systemic Risk and Macro Modeling".

2011

  1. Viral V. Acharya & Matthew Richardson & Stijn Van Nieuwerburgh & Lawrence J. White, 2011, "Feeding the Beast," Introductory Chapters, Princeton University Press, "Guaranteed to Fail: Fannie Mae, Freddie Mac, and the Debacle of Mortgage Finance".
  2. Viral V. Acharya, 2011, "Measuring Systemic Risk," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: Stijn Claessens & Douglas D Evanoff & George G Kaufman & Laura E Kodres, "Macroprudential Regulatory Policies The New Road to Financial Stability?".
  3. Adam Ashcraft & Nicolae Gârleanu & Lasse Heje Pedersen, 2011, "Two Monetary Tools: Interest Rates and Haircuts," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2010, volume 25".

2009

  1. Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2009, "Carry Trades and Currency Crashes," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2008, Volume 23".

2006

  1. Diego A. Comin & Thomas Philippon, 2006, "The Rise in Firm-Level Volatility: Causes and Consequences," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2005, Volume 20".

2005

  1. David K. Backus & Bryan R. Routledge & Stanley E. Zin, 2005, "Exotic Preferences for Macroeconomists," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2004, Volume 19".

1986

  1. Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986, "Arch models," Handbook of Econometrics, Elsevier, chapter 49, in: R. F. Engle & D. McFadden, "Handbook of Econometrics".

1984

  1. Engle, Robert F., 1984, "Wald, likelihood ratio, and Lagrange multiplier tests in econometrics," Handbook of Econometrics, Elsevier, chapter 13, in: Z. Griliches† & M. D. Intriligator, "Handbook of Econometrics".

1980

  1. Robert F. Engle, 1980, "Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic," NBER Chapters, National Bureau of Economic Research, Inc, "Evaluation of Econometric Models".

1978

  1. Robert F. Engle, 1978, "Estimating Structural Models of Seasonality," NBER Chapters, National Bureau of Economic Research, Inc, "Seasonal Analysis of Economic Time Series".

1977

  1. Katharine Bradbury & Robert Engle & Owen Irvine & Jerome Rothenberg, 1977, "Simultaneous Estimation of the Supply and Demand for Housing Location in a Multizoned Metropolitan Area," NBER Chapters, National Bureau of Economic Research, Inc, "Residential Location and Urban Housing Markets".

1976

  1. Robert F. Engle, 1976, "Interpreting Spectral Analyses in Terms of Time-Domain Models," NBER Chapters, National Bureau of Economic Research, Inc, "Annals of Economic and Social Measurement, Volume 5, number 1".

1972

  1. Robert F. Engle & Ta-Chung Liu, 1972, "Effects of Aggregation Over Time on Dynamic Characteristics of an Econometric Model," NBER Chapters, National Bureau of Economic Research, Inc, "Econometric Models of Cyclical Behavior, Volumes 1 and 2".

Software components

2009

  1. Bryan Routledge & Stanley Zin, 2009, "Code files for "Model Uncertainty and Liquidity"," Computer Codes, Review of Economic Dynamics, number 08-143, revised .

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.