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Publications

by members of

Copenhagen Business School → Institut for Finansiering

→ Department of Finance

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. 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 |

Working papers

2026

  1. Peter Reinhard Hansen & Chen Tong, 2026, "Exact Likelihood Inference and Robust Filtering for Gauss-Cauchy Convolution Models," Papers, arXiv.org, number 2605.01665, May, revised May 2026.
  2. Peter Reinhard Hansen & Chen Tong, 2026, "Tweedie's Formula and Score-Driven Updating," Papers, arXiv.org, number 2605.15902, May, revised May 2026.

2025

  1. Chen Tong & Peter Reinhard Hansen, 2025, "Dynamic Factor Correlation Model," Papers, arXiv.org, number 2503.01080, Mar.
  2. Neville Francis & Peter Reinhard Hansen & Chen Tong, 2025, "Principled Identification of Structural Dynamic Models," Papers, arXiv.org, number 2512.17005, Dec, revised Apr 2026.
  3. Denisa Banulescu-Radu & Peter Reinhard Hansen & Zhuo Huang & Marius Matei, 2025, "Modelling volatility in turbulent times: a Robust Realized GARCH framework," Working Papers, HAL, number hal-05310604, Oct.

2024

  1. Peter Reinhard Hansen & Chen Tong, 2024, "Convolution-t Distributions," Papers, arXiv.org, number 2404.00864, Apr.
  2. Chen Tong & Peter Reinhard Hansen & Ilya Archakov, 2024, "Cluster GARCH," Papers, arXiv.org, number 2406.06860, Jun.
  3. Peter Reinhard Hansen & Chen Tong, 2024, "Moments by Integrating the Moment-Generating Function," Papers, arXiv.org, number 2410.23587, Oct, revised Jun 2026.

2023

  1. Chen Tong & Peter Reinhard Hansen, 2023, "Characterizing Correlation Matrices that Admit a Clustered Factor Representation," Papers, arXiv.org, number 2308.05895, Aug.
  2. Peter Reinhard Hansen & Yiyao Luo, 2023, "Robust Estimation of Realized Correlation: New Insight about Intraday Fluctuations in Market Betas," Papers, arXiv.org, number 2310.19992, Oct.

2022

  1. Peter Reinhard Hansen & Chen Tong, 2022, "Option Pricing with Time-Varying Volatility Risk Aversion," Papers, arXiv.org, number 2204.06943, Apr, revised Mar 2025.
  2. Ilya Archakov & Peter Reinhard Hansen & Yiyao Luo, 2022, "A New Method for Generating Random Correlation Matrices," Papers, arXiv.org, number 2210.08147, Oct.
  3. 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.
  4. Leandro Carvalho & Arna Olafsson & Dan Silverman, 2022, "The Alignment of Household Preferences and Financial Decisions Leading up to Retirement," Working Papers, University of Michigan, Michigan Retirement Research Center, number wp446, Oct.

2021

  1. Peter Reinhard Hansen & Chan Kim & Wade Kimbrough, 2021, "Periodicity in Cryptocurrency Volatility and Liquidity," Papers, arXiv.org, number 2109.12142, Sep, revised Nov 2021.
  2. Peter Reinhard Hansen, 2021, "Relative Contagiousness of Emerging Virus Variants: An Analysis of the Alpha, Delta, and Omicron SARS-CoV-2 Variants," Papers, arXiv.org, number 2110.00533, Oct, revised Jan 2022.
  3. Peter Reinhard Hansen & Zhuo Huang & Chen Tong & Tianyi Wang, 2021, "Realized GARCH, CBOE VIX, and the Volatility Risk Premium," Papers, arXiv.org, number 2112.05302, Dec.
  4. Chen Tong & Peter Reinhard Hansen & Zhuo Huang, 2021, "Option Pricing with State-dependent Pricing Kernel," Papers, arXiv.org, number 2112.05308, Dec, revised Apr 2022.
  5. 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.

2020

  1. Ilya Archakov & Peter Reinhard Hansen, 2020, "A New Parametrization of Correlation Matrices," Papers, arXiv.org, number 2012.02395, Dec.
  2. Ilya Archakov & Peter Reinhard Hansen, 2020, "A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices," Papers, arXiv.org, number 2012.02698, Dec, revised Nov 2021.
  3. Ilya Archakov & Peter Reinhard Hansen & Asger Lunde, 2020, "A Multivariate Realized GARCH Model," Papers, arXiv.org, number 2012.02708, Dec, revised Feb 2025.
  4. Elena Ivona Dumitrescu & Peter Hansen, 2020, "How Should Parameter Estimation Be Tailored to the Objective?," Post-Print, HAL, number hal-03331109.
  5. Bryan T. Kelly & Semyon Malamud & Lasse Heje Pedersen, 2020, "Principal Portfolios," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-67, Aug.
  6. Olafsson, Arna & Gathergood, John, 2020, "The Co-holding Puzzle: New Evidence from Transaction-Level Data," CEPR Discussion Papers, Centre for Economic Policy Research, number 14799, May.

2019

  1. Leandro Carvalho & Arna Olafsson & Dan Silverman, 2019, "Misfortune and Mistake: The Financial Conditions and Decision-making Ability of High-cost Loan Borrowers," NBER Working Papers, National Bureau of Economic Research, Inc, number 26328, Sep.
  2. Sean Hundtofte & Arna Olafsson & Michaela Pagel, 2019, "Credit Smoothing," NBER Working Papers, National Bureau of Economic Research, Inc, number 26354, Oct.

2018

  1. 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.
  2. Pedersen, Lasse Heje & Skov Jensen, Christian & Lando, David, 2018, "Generalized Recovery," CEPR Discussion Papers, Centre for Economic Policy Research, number 12665, Jan.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. Arna Olafsson & Michaela Pagel, 2018, "The Retirement-Consumption Puzzle: New Evidence from Personal Finances," NBER Working Papers, National Bureau of Economic Research, Inc, number 24405, Mar.

2017

  1. Pagel, Michaela & Olafsson, Arna, 2017, "The Ostrich in Us: Selective Attention to Financial Accounts, Income, Spending, and Liquidity," CEPR Discussion Papers, Centre for Economic Policy Research, number 12259, Aug.
  2. Bruce Carlin & Arna Olafsson & Michaela Pagel, 2017, "FinTech Adoption Across Generations: Financial Fitness in the Information Age," NBER Working Papers, National Bureau of Economic Research, Inc, number 23798, Sep.

2016

  1. Peter Reinhard Hansen & Pawel Janus & Siem Jan Koopman, 2016, "Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-061/III, Aug.

2015

  1. Peter Reinhard Hansen, 2015, "A Martingale Decomposition of Discrete Markov Chains," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-18, Apr.
  2. Peter Reinhard Hansen & Guillaume Horel & Asger Lunde & Ilya Archakov, 2015, "A Markov Chain Estimator of Multivariate Volatility from High Frequency Data," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-19, Mar.
  3. Pedersen, Lasse Heje & Vestergaard Jensen, Mads, 2015, "Early Option Exercise: Never Say Never," CEPR Discussion Papers, Centre for Economic Policy Research, number 11019, Dec.

2013

  1. Pedersen, Lasse Heje & Frazzini, Andrea & Kabiller, David, 2013, "Buffett?s Alpha," CEPR Discussion Papers, Centre for Economic Policy Research, number 9769, Dec.
  2. 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.

2012

  1. Peter Reinhard Hansen & Allan Timmermann, 2012, "Choice of Sample Split in Out-of-Sample Forecast Evaluation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-43, Feb.
  2. Peter Reinhard Hansen & Zhuo Huang, 2012, "Exponential GARCH Modeling with Realized Measures of Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-44, Oct.
  3. Peter Reinhard Hansen & Allan Timmermann, 2012, "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-45, Oct.
  4. Andrea Frazzini & Lasse Heje Pedersen, 2012, "Betting Against Beta," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-17, May.
  5. 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.
  6. Andrea Frazzini & Lasse H. Pedersen, 2012, "Embedded Leverage," NBER Working Papers, National Bureau of Economic Research, Inc, number 18558, Nov.

2011

  1. 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".
  2. 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.

2010

  1. Peter R. Hansen & Asger Lunde, 2010, "Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-08, Feb.
  2. Peter R. Hansen & Asger Lunde & Valeri Voev, 2010, "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-74, Nov.
  3. Peter R. Hansen & Asger Lunde & James M. Nason, 2010, "The Model Confidence Set," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-76, Mar.
  4. 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.

2009

  1. Peter Reinhard Hansen & Guillaume Horel, 2009, "Quadratic Variation by Markov Chains," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-13, Mar.
  2. 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.
  3. Pedersen, Lasse Heje, 2009, "When Everyone Runs for the Exit," CEPR Discussion Papers, Centre for Economic Policy Research, number 7436, Aug.

2008

  1. Peter Reinhard Hansen, 2008, "Reduced-Rank Regression: A Useful Determinant Identity," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-02, Jan.
  2. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008, "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-63, Dec.
  3. 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.

2007

  1. Pedersen, Lasse Heje & Mitchell, Mark & Pulvino, Todd, 2007, "Slow Moving Capital," CEPR Discussion Papers, Centre for Economic Policy Research, number 6117, Feb.
  2. Brunnermeier, Markus & Pedersen, Lasse Heje, 2007, "Market Liquidity and Funding Liquidity," CEPR Discussion Papers, Centre for Economic Policy Research, number 6179, Mar.
  3. Nicolae B. Garleanu & Lasse H. Pedersen, 2007, "Liquidity and Risk Management," NBER Working Papers, National Bureau of Economic Research, Inc, number 12887, Feb.
  4. 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.

2006

  1. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006, "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2006-W03, May.
  2. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006, "Subsampling realised kernels," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2006-W10, Aug.
  3. 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.

2005

  1. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005, "Testing the significance of calendar effects," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2005-02.
  2. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005, "Model confidence sets for forecasting models," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2005-07.
  3. Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan & ,, 2005, "Demand-Based Option Pricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 5420, Dec.
  4. Amihud, Yakov & Mendelson, Haim & Pedersen, Lasse Heje, 2005, "Liquidity and Asset Prices," MPRA Paper, University Library of Munich, Germany, number 24768.

2004

  1. Asger Lunde & Peter Reinhard Hansen, 2004, "Realized Variance and IID Market Microstructure Noise," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 526, Aug.
  2. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004, "Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W28, Nov.
  3. Brunnermeier, Markus & Pedersen, Lasse Heje, 2004, "Predatory Trading," CEPR Discussion Papers, Centre for Economic Policy Research, number 4639, Sep.
  4. Lasse Pedersen & Darrell Duffie & Nicolae Garleanu, 2004, "Valuation in Dynamic Bargaining Markets," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 649, Aug.
  5. Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2004, "Over-the-Counter Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 10816, Oct.

2003

  1. Peter Hansen & Asger Lunde & James M. Nason, 2003, "Choosing the Best Volatility Models:The Model Confidence Set Approach," Working Papers, Brown University, Department of Economics, number 2003-05.
  2. Peter Hansen, 2003, "Asymptotic Tests of Composite Hypotheses," Working Papers, Brown University, Department of Economics, number 2003-09.
  3. Acharya, Viral & Pedersen, Lasse Heje, 2003, "Asset Pricing with Liquidity Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 3749, Feb.

2001

  1. Asger Lunde & Peter Reinhard Hansen, 2001, "A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?," Working Papers, Brown University, Department of Economics, number 2001-04.
  2. Peter Reinhard Hansen, 2001, "An Unbiased and Powerful Test for Superior Predictive Ability," Working Papers, Brown University, Department of Economics, number 2001-06.

2000

  1. Peter Reinhard Hansen, 2000, "Structural Changes in the Cointegrated Vector Autoregressive Model," Working Papers, Brown University, Department of Economics, number 2000-20.
  2. Hansen, Peter Reinhard, 2000, "The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt832256dg, Jul.
  3. Peter Reinhard Hansen, 2000, "Structural Breaks in the Cointegrated Vector Autoregressive Model," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 1240, Aug.

1996

  1. Daniel E. Nolle & Rama Seth, 1996, "Do banks follow their customers abroad?," Research Paper, Federal Reserve Bank of New York, number 9620.
  2. Philip Molyneux & Rama Seth, 1996, "Foreign banks, profits and commercial credit extension in the United States," Research Paper, Federal Reserve Bank of New York, number 9628.

1993

  1. Rama Seth, 1993, "Foreign banks' contribution to excess capacity in U.S. banking," Research Paper, Federal Reserve Bank of New York, number 9315.

1992

  1. Rama Seth, 1992, "Profitability of foreign banks in the United States," Research Paper, Federal Reserve Bank of New York, number 9225.

1991

  1. Alicia Quijano & Rama Seth, 1991, "Growth in Japanese lending and direct investment in the United States: are they related?," Research Paper, Federal Reserve Bank of New York, number 9101.
  2. Rama Seth, 1991, "Patterns of corporate leverage in selected industrialized countries," Research Paper, Federal Reserve Bank of New York, number 9107.

1990

  1. Rama Seth, 1990, "Leverage and cyclicality," Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco, number 90-01.
  2. Rama Seth, 1990, "Explaining LBOs and acquisitions," Research Paper, Federal Reserve Bank of New York, number 9020.

Undated

  1. Peter Reinhard Hansen & Zhuo (Albert) Huang & Howard Howan Shek, undated, "Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-13.
  2. Niels Kleis Frederiksen & Peter Reinhard Hansen & Henrik Jacobsen & Peter Birch Soerensen, undated, "Consumer Services, Employment and the Informal Economy," EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, number 94-13.

Journal articles

2026

  1. Archakov, Ilya & Hansen, Peter Reinhard & Lunde, Asger, 2026, "A multivariate realized GARCH model," Journal of Econometrics, Elsevier, volume 254, issue PA, DOI: 10.1016/j.jeconom.2025.106040.
  2. Hansen, Peter Reinhard & Tong, Chen, 2026, "Convolution-t distributions," Journal of Econometrics, Elsevier, volume 254, issue PB, DOI: 10.1016/j.jeconom.2026.106212.
  3. Chen Tong & Peter Reinhard Hansen & Ilya Archakov, 2026, "Cluster GARCH," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 44, issue 1, pages 148-161, January, DOI: 10.1080/07350015.2025.2510325.
    • Chen Tong & Peter Reinhard Hansen & Ilya Archakov, 2024, "Cluster GARCH," Papers, arXiv.org, number 2406.06860, Jun.
  4. 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.

2025

  1. 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. Ilya Archakov & Peter Reinhard Hansen & Yiyao Luo, 2024, "A new method for generating random correlation matrices," The Econometrics Journal, Royal Economic Society, volume 27, issue 2, pages 188-212.
  2. Peter Reinhard Hansen & Zhuo Huang & Chen Tong & Tianyi Wang, 2024, "Realized GARCH, CBOE VIX, and the Volatility Risk Premium," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 1, pages 187-223.
  3. Peter Reinhard Hansen & Chan Kim & Wade Kim, 2024, "Periodicity in Cryptocurrency Volatility and Liquidity," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 1, pages 224-251.
  4. Ilya Archakov & Peter Reinhard Hansen, 2024, "A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices," The Review of Economics and Statistics, MIT Press, volume 106, issue 4, pages 1099-1113, July, DOI: 10.1162/rest_a_01258.
  5. Olafsson, Arna & Pagel, Michaela, 2024, "Retirement puzzles: New evidence from personal finances," Journal of Public Economics, Elsevier, volume 234, issue C, DOI: 10.1016/j.jpubeco.2024.105103.
  6. Leandro Carvalho & Arna Olafsson & Dan Silverman, 2024, "Misfortune and Mistake: The Financial Conditions and Decision-Making Ability of High-Cost Loan Borrowers," Journal of Political Economy, University of Chicago Press, volume 132, issue 9, pages 3173-3213, DOI: 10.1086/730200.

2023

  1. Tong, Chen & Hansen, Peter Reinhard, 2023, "Characterizing correlation matrices that admit a clustered factor representation," Economics Letters, Elsevier, volume 233, issue C, DOI: 10.1016/j.econlet.2023.111433.
  2. 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.
  3. 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.
  4. Bruce Carlin & Arna Olafsson & Michaela Pagel, 2023, "Mobile Apps and Financial Decision Making," Review of Finance, European Finance Association, volume 27, issue 3, pages 977-996.

2022

  1. Hansen, Peter Reinhard & Dumitrescu, Elena-Ivona, 2022, "How should parameter estimation be tailored to the objective?," Journal of Econometrics, Elsevier, volume 230, issue 2, pages 535-558, DOI: 10.1016/j.jeconom.2020.12.014.
  2. Peter Reinhard Hansen, 2022, "Relative contagiousness of emerging virus variants: An analysis of the Alpha, Delta, and Omicron SARS-CoV-2 variants
    [Increased risk of hospitalisation associated with infection with SARS-CoV-2 lineage B.1.1.7 in Denmark]    ," The Econometrics Journal, Royal Economic Society, volume 25, issue 3, pages 739-761.
  3. Chen Tong & Peter Reinhard Hansen & Zhuo Huang, 2022, "Option pricing with state‐dependent pricing kernel," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 42, issue 8, pages 1409-1433, August, DOI: 10.1002/fut.22338.
  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.

2021

  1. Peter Reinhard Hansen & Matthias Schmidtblaicher, 2021, "A Dynamic Model of Vaccine Compliance: How Fake News Undermined the Danish HPV Vaccine Program," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 39, issue 1, pages 259-271, January, DOI: 10.1080/07350015.2019.1623045.
  2. Ilya Archakov & Peter Reinhard Hansen, 2021, "A New Parametrization of Correlation Matrices," Econometrica, Econometric Society, volume 89, issue 4, pages 1699-1715, July, DOI: 10.3982/ECTA16910.
  3. 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.
  4. 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.
  5. Rai, Anoop & Seth, Rama & Mohanty, Sunil K., 2021, "Foreign bank lending in the U.S. during three U.S. recessions," Global Finance Journal, Elsevier, volume 48, issue C, DOI: 10.1016/j.gfj.2020.100536.

2020

  1. 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.
  2. Hegde, Shantaram & Seth, Rama & Vishwanatha, S.R., 2020, "Ownership concentration and stock returns: Evidence from family firms in India," Pacific-Basin Finance Journal, Elsevier, volume 61, issue C, DOI: 10.1016/j.pacfin.2020.101330.
  3. Arna Olafsson & Herdis Steingrimsdottir, 2020, "How Does Daddy at Home Affect Marital Stability?," The Economic Journal, Royal Economic Society, volume 130, issue 629, pages 1471-1500.

2019

  1. P Gorgi & P R Hansen & P Janus & S J Koopman, 2019, "Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model," Journal of Financial Econometrics, Oxford University Press, volume 17, issue 1, pages 1-32.
  2. 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.
  3. 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.
  4. 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.
  5. Rama Seth & S. R. Vishwanatha & Durga Prasad, 2019, "Allocation to Anchor Investors, Underpricing, and the After‐Market Performance of IPOs," Financial Management, Financial Management Association International, volume 48, issue 1, pages 159-186, March, DOI: 10.1111/fima.12210.
  6. Jindal, Varun & Seth, Rama, 2019, "A new order of financing investments: Evidence from acquisitions by India’s listed firms," Journal of Corporate Finance, Elsevier, volume 58, issue C, pages 307-328, DOI: 10.1016/j.jcorpfin.2019.04.007.
  7. Aggarwal, Raj & Jindal, Varun & Seth, Rama, 2019, "Board diversity and firm performance: The role of business group affiliation," International Business Review, Elsevier, volume 28, issue 6, pages 1-1, DOI: 10.1016/j.ibusrev.2019.101600.
  8. Bruce Carlin & Arna Olafsson & Michaela Pagel, 2019, "Generational Differences in Managing Personal Finances," AEA Papers and Proceedings, American Economic Association, volume 109, pages 54-59, May.

2018

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. Rohan Chinchwadkar & Rama Seth, 2018, "The Choice of Exit: Influence of Private Equity Investors and Buyout Entry," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 17, issue 1_suppl, pages 1-26, April, DOI: 10.1177/0972652717751534.
  8. Arna Olafsson & Michaela Pagel, 2018, "The Liquid Hand-to-Mouth: Evidence from Personal Finance Management Software," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 11, pages 4398-4446.

2017

  1. Zhuo Huang & Tianyi Wang & Peter Reinhard Hansen, 2017, "Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 37, issue 4, pages 328-358, April.
  2. 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?".

2016

  1. Peter Reinhard Hansen & Zhuo Huang, 2016, "Exponential GARCH Modeling With Realized Measures of Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 34, issue 2, pages 269-287, April, DOI: 10.1080/07350015.2015.1038543.
  2. 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.
  3. 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.
  4. 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.
  5. Arna Olafsson, 2016, "Household Financial Distress and Initial Endowments: Evidence from the 2008 Financial Crisis," Health Economics, John Wiley & Sons, Ltd., volume 25, issue S2, pages 43-56, November, DOI: 10.1002/hec.3426.

2015

  1. Hansen, Peter Reinhard, 2015, "A martingale decomposition of discrete Markov chains," Economics Letters, Elsevier, volume 133, issue C, pages 14-18, DOI: 10.1016/j.econlet.2015.04.028.
  2. Peter Reinhard Hansen & Allan Timmermann, 2015, "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 33, issue 1, pages 17-21, January, DOI: 10.1080/07350015.2014.983601.
  3. Peter Reinhard Hansen & Allan Timmermann, 2015, "Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics," Econometrica, Econometric Society, volume 83, issue , pages 2485-2505, November.
  4. Vardardottir, Arna, 2015, "The impact of classroom peers in a streaming system," Economics of Education Review, Elsevier, volume 49, issue C, pages 110-128, DOI: 10.1016/j.econedurev.2015.09.002.

2014

  1. Hansen, Peter R. & Lunde, Asger, 2014, "Estimating The Persistence And The Autocorrelation Function Of A Time Series That Is Measured With Error," Econometric Theory, Cambridge University Press, volume 30, issue 1, pages 60-93, February.
  2. Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2014, "Realized Beta Garch: A Multivariate Garch Model With Realized Measures Of Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 29, issue 5, pages 774-799, August.
  3. 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.
  4. 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.
  5. Haq, Mamiza & Faff, Robert & Seth, Rama & Mohanty, Sunil, 2014, "Disciplinary tools and bank risk exposure," Pacific-Basin Finance Journal, Elsevier, volume 26, issue C, pages 37-64, DOI: 10.1016/j.pacfin.2013.10.005.

2013

  1. 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.
  2. 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.
  3. 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.
  4. Vardardottir, Arna, 2013, "Peer effects and academic achievement: a regression discontinuity approach," Economics of Education Review, Elsevier, volume 36, issue C, pages 108-121, DOI: 10.1016/j.econedurev.2013.06.011.

2012

  1. Peter Reinhard Hansen & Zhuo Huang & Howard Howan Shek, 2012, "Realized GARCH: a joint model for returns and realized measures of volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 6, pages 877-906, September.
  2. 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.
  3. 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.

2011

  1. Peter R. Hansen & Asger Lunde & James M. Nason, 2011, "The Model Confidence Set," Econometrica, Econometric Society, volume 79, issue 2, pages 453-497, March.
  2. Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011, "Subsampling realised kernels," Journal of Econometrics, Elsevier, volume 160, issue 1, pages 204-219, January.
  3. Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011, "Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Journal of Econometrics, Elsevier, volume 162, issue 2, pages 149-169, June.
  4. 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.
  5. 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.

2009

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.

2008

  1. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008, "Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise," Econometrica, Econometric Society, volume 76, issue 6, pages 1481-1536, November.
  2. Allan Zebedee & Eric Bentzen & Peter Hansen & Asger Lunde, 2008, "The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 22, issue 1, pages 3-20, March, DOI: 10.1007/s11408-007-0068-0.
  3. Peter Hansen & Jeremy Large & Asger Lunde, 2008, "Moving Average-Based Estimators of Integrated Variance," Econometric Reviews, Taylor & Francis Journals, volume 27, issue 1-3, pages 79-111, DOI: 10.1080/07474930701853640.

2007

  1. Nicolae Gârleanu & Lasse Heje Pedersen, 2007, "Liquidity and Risk Management," American Economic Review, American Economic Association, volume 97, issue 2, pages 193-197, May.
  2. 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.
  3. 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.
  4. Rai, Anoop & Seth, Rama & Mohanty, Sunil K., 2007, "The impact of discount rate changes on market interest rates: Evidence from three European countries and Japan," Journal of International Money and Finance, Elsevier, volume 26, issue 6, pages 905-923, October.

2006

  1. Hansen, Peter R. & Lunde, Asger, 2006, "Realized Variance and Market Microstructure Noise," Journal of Business & Economic Statistics, American Statistical Association, volume 24, pages 127-161, April.
  2. Hansen, Peter R. & Lunde, Asger, 2006, "Rejoinder," Journal of Business & Economic Statistics, American Statistical Association, volume 24, pages 208-218, April.
  3. Hansen, Peter Reinhard & Lunde, Asger, 2006, "Consistent ranking of volatility models," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 97-121.
  4. 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.

2005

  1. Hansen, Peter Reinhard, 2005, "A Test for Superior Predictive Ability," Journal of Business & Economic Statistics, American Statistical Association, volume 23, pages 365-380, October.
  2. Peter Reinhard Hansen, 2005, "Granger's representation theorem: A closed-form expression for I(1) processes," Econometrics Journal, Royal Economic Society, volume 8, issue 1, pages 23-38, March.
  3. Asger Lunde & Peter R. Hansen, 2005, "A forecast comparison of volatility models: does anything beat a GARCH(1,1)?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 20, issue 7, pages 873-889, DOI: 10.1002/jae.800.
  4. Peter Reinhard Hansen & Asger Lunde, 2005, "A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data," Journal of Financial Econometrics, Oxford University Press, volume 3, issue 4, pages 525-554.
  5. 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.
  6. Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2005, "Over-the-Counter Markets," Econometrica, Econometric Society, volume 73, issue 6, pages 1815-1847, November.
  7. 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.

2004

  1. 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.

2003

  1. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2003, "Choosing the Best Volatility Models: The Model Confidence Set Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 65, issue s1, pages 839-861, December, DOI: 10.1046/j.0305-9049.2003.00086.x.
  2. Hansen, Peter Reinhard, 2003, "Structural changes in the cointegrated vector autoregressive model," Journal of Econometrics, Elsevier, volume 114, issue 2, pages 261-295, June.
  3. 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.

2002

  1. 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.

2000

  1. Altunbas, Yener & Liu, Ming-Hau & Molyneux, Philip & Seth, Rama, 2000, "Efficiency and risk in Japanese banking," Journal of Banking & Finance, Elsevier, volume 24, issue 10, pages 1605-1628, October.

1998

  1. Philip Molyneux & Rama Seth, 1998, "Foreign banks, profits and commercial credit extension in the United States," Applied Financial Economics, Taylor & Francis Journals, volume 8, issue 5, pages 533-539, DOI: 10.1080/096031098332835.

1995

  1. Niels Fredriksen & Peter Hansen & Henrik Jacobsen & Peter Sørensen, 1995, "Subsidising consumer services: effects on employment, welfare and the informal economy," Fiscal Studies, Institute for Fiscal Studies, volume 16, issue 2, pages 71-93, May.

1993

  1. Seth, Rama & Quijano, Alicia M., 1993, "Growth in Japanese lending and direct investment in the United States: are they related?," Japan and the World Economy, Elsevier, volume 5, issue 4, pages 363-372, December.

1992

  1. Rama Seth, 1992, "Corporate Leverage And The Business Cycle," Contemporary Economic Policy, Western Economic Association International, volume 10, issue 1, pages 65-80, January, DOI: 10.1111/j.1465-7287.1992.tb00212.x.
  2. Robert N. McCauley & Rama Seth, 1992, "Foreign bank credit to U.S. corporations: the implications of offshore loans," Quarterly Review, Federal Reserve Bank of New York, volume 17, issue Spr, pages 52-65.

1991

  1. Alicia Quijano & Rama Seth, 1991, "In brief economic capsules: Japanese banks' customers in the United States," Quarterly Review, Federal Reserve Bank of New York, volume 16, issue Spr, pages 79-82.

1990

  1. Rama Seth, 1990, "Is rising leverage a problem?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue mar30.

1989

  1. Rama Seth, 1989, "Distributional issues in privatization," Quarterly Review, Federal Reserve Bank of New York, volume 14, issue Sum, pages 29-43.

1987

  1. Robert N. McCauley & Rama Seth, 1987, "Financial consequences of new Asian surpluses," Quarterly Review, Federal Reserve Bank of New York, volume 12, issue Sum, pages 32-44.

Books

2015

  1. 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. Amihud,Yakov & Mendelson,Haim & Pedersen,Lasse Heje, 2013, "Market Liquidity," Cambridge Books, Cambridge University Press, number 9780521139656.

1998

  1. Hansen, Peter Reinhard & Johansen, Soren, 1998, "Workbook on Cointegration," OUP Catalogue, Oxford University Press, number 9780198776079, ISBN: ARRAY(0x8284f7e8).

1994

  1. Rama Seth, 1994, "Foreign credit expansion in the United States," Monograph, Federal Reserve Bank of New York, number 1994fceitu.

1990

  1. Rama Seth, 1990, "Leverage and cyclicality," Monograph, Federal Reserve Bank of New York, number 1990la.

Chapters

2016

  1. Peter Reinhard Hansen & Guillaume Horel & Asger Lunde & Ilya Archakov, 2016, "A Markov Chain Estimator of Multivariate Volatility from High Frequency Data," Springer Books, Springer, in: Mark Podolskij & Robert Stelzer & Steen Thorbjørnsen & Almut E. D. Veraart, "The Fascination of Probability, Statistics and their Applications", DOI: 10.1007/978-3-319-25826-3_17.

2015

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

2013

  1. 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".

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. 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. 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".

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