Why Money Trickles Up - Wealth & Income Distributions
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Willis, Geoff, 2011. "Why money trickles up – wealth & income distributions," MPRA Paper 30851, University Library of Munich, Germany.
References listed on IDEAS
- Acharya, Viral V. & Pedersen, Lasse Heje, 2005.
"Asset pricing with liquidity risk,"
Journal of Financial Economics, Elsevier, vol. 77(2), pages 375-410, August.
- Acharya, Viral & Pedersen, Lasse Heje, 2003. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 3749, C.E.P.R. Discussion Papers.
- Acharya, Viral & Pedersen, Lasse Heje, 2004. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 4718, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Lasse Heje Pedersen, 2004. "Asset Pricing with Liquidity Risk," NBER Working Papers 10814, National Bureau of Economic Research, Inc.
- Amihud, Yakov & Mendelson, Haim & Pedersen, Lasse Heje, 2006.
"Liquidity and Asset Prices,"
Foundations and Trends(R) in Finance, now publishers, vol. 1(4), pages 269-364, February.
- Amihud, Yakov & Mendelson, Haim & Pedersen, Lasse Heje, 2005. "Liquidity and Asset Prices," MPRA Paper 24768, University Library of Munich, Germany.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2009.
"Varieties of Crises and Their Dates,"
Introductory Chapters, in: This Time Is Different: Eight Centuries of Financial Folly,
Princeton University Press.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "This Time Is Different: Eight Centuries of Financial Folly," Economics Books, Princeton University Press, edition 1, volume 1, number 8973.
- Reinhart, Carmen, 2009. "The Second Great Contraction," MPRA Paper 21485, University Library of Munich, Germany.
- Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005.
"Market microstructure: A survey of microfoundations, empirical results, and policy implications,"
Journal of Financial Markets, Elsevier, vol. 8(2), pages 217-264, May.
- Biais, Bruno & Glosten, Larry & Spatt, Chester, 2004. "Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications," IDEI Working Papers 253, Institut d'Économie Industrielle (IDEI), Toulouse.
- Lee,Frederic S., 2006.
"Post Keynesian Price Theory,"
Cambridge Books,
Cambridge University Press, number 9780521030212, October.
- Lee,Frederic S., 1999. "Post Keynesian Price Theory," Cambridge Books, Cambridge University Press, number 9780521328708, September.
- Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
- Dial, Jay & Murphy, Kevin J., 1995. "Incentives, downsizing, and value creation at General Dynamics," Journal of Financial Economics, Elsevier, vol. 37(3), pages 261-314, March.
- A.B. Atkinson & F. Bourguignon (ed.), 2000. "Handbook of Income Distribution," Handbook of Income Distribution, Elsevier, edition 1, volume 1, number 1.
- Martin Lettau & Sydney Ludvigson, 2001.
"Consumption, Aggregate Wealth, and Expected Stock Returns,"
Journal of Finance, American Finance Association, vol. 56(3), pages 815-849, June.
- Martin Lettau & Sydney C. Ludvigson, 1999. "Consumption, aggregate wealth and expected stock returns," Staff Reports 77, Federal Reserve Bank of New York.
- Lettau, Martin & Ludvigson, Sydney, 1999. "Consumption, Aggregate Wealth and Expected Stock Returns," CEPR Discussion Papers 2223, C.E.P.R. Discussion Papers.
- Peter Bernholz, 2003. "Monetary Regimes and Inflation," Books, Edward Elgar Publishing, number 2873.
- Arnab Chatterjee & Sitabhra Sinha & Bikas K. Chakrabarti, 2007. "Economic Inequality: Is it Natural?," Papers physics/0703201, arXiv.org, revised Mar 2007.
- Reinhart, Karmen & Rogoff, Kenneth, 2009.
""This time is different": panorama of eight centuries of financial crises,"
Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 1, pages 77-114, March.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2008. "This Time is Different: A Panoramic View of Eight Centuries of Financial Crises," CEMA Working Papers 595, China Economics and Management Academy, Central University of Finance and Economics.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2008. "This Time is Different: A Panoramic View of Eight Centuries of Financial Crises," NBER Working Papers 13882, National Bureau of Economic Research, Inc.
- Young, Andrew T., 2010. "One of the things we know that ain't so: Is US labor's share relatively stable?," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 90-102, March.
- J. Doyne Farmer & Paolo Patelli & Ilija I. Zovko, 2003. "The Predictive Power of Zero Intelligence in Financial Markets," Papers cond-mat/0309233, arXiv.org, revised Feb 2004.
- Korajczyk, Robert A. & Sadka, Ronnie, 2008. "Pricing the commonality across alternative measures of liquidity," Journal of Financial Economics, Elsevier, vol. 87(1), pages 45-72, January.
- Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2000. "Commonality in liquidity," Journal of Financial Economics, Elsevier, vol. 56(1), pages 3-28, April.
- Sitabhra Sinha, 2005. "The Rich Are Different!: Pareto Law from asymmetric interactions in asset exchange models," Papers physics/0504197, arXiv.org.
- Friedman, Milton, 2002. "Capitalism and Freedom," University of Chicago Press Economics Books, University of Chicago Press, number 9780226264202.
- Clementi, F. & Gallegati, M., 2005.
"Power law tails in the Italian personal income distribution,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 350(2), pages 427-438.
- F. Clementi & M. Gallegati, 2004. "Power Law Tails in the Italian Personal Income Distribution," Papers cond-mat/0408067, arXiv.org.
- Fabio Clementi & Mauro Gallegati, 2005. "Power Law Tails in the Italian Personal Income Distribution," Microeconomics 0505005, University Library of Munich, Germany.
- Wright, Ian, 2009.
"Implicit Microfoundations for Macroeconomics,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 3, pages 1-27.
- Wright, Ian, 2008. "Implicit Microfoundations for Macroeconomics," Economics Discussion Papers 2008-41, Kiel Institute for the World Economy (IfW Kiel).
- Moshe Levy & Sorin Solomon, 1996. "Power Laws Are Logarithmic Boltzmann Laws," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 595-601.
- Wright, Ian, 2005.
"The social architecture of capitalism,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 346(3), pages 589-620.
- Ian Wright, 2004. "The Social Architecture of Capitalism," Papers cond-mat/0401053, arXiv.org, revised Mar 2011.
- Ben-Rephael, Azi & Kadan, Ohad & Wohl, Avi, 2008. "The diminishing liquidity premium," CFS Working Paper Series 2008/52, Center for Financial Studies (CFS).
- Stoll, Hans R., 2003. "Market microstructure," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 9, pages 553-604, Elsevier.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2014.
"This Time is Different: A Panoramic View of Eight Centuries of Financial Crises,"
Annals of Economics and Finance, Society for AEF, vol. 15(2), pages 215-268, November.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2008. "This Time is Different: A Panoramic View of Eight Centuries of Financial Crises," NBER Working Papers 13882, National Bureau of Economic Research, Inc.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2008. "This Time is Different: A Panoramic View of Eight Centuries of Financial Crises," CEMA Working Papers 595, China Economics and Management Academy, Central University of Finance and Economics.
- Campbell, John Y., 2003.
"Consumption-based asset pricing,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 13, pages 803-887,
Elsevier.
- John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
- Kurz,Heinz D. & Salvadori,Neri, 1997.
"Theory of Production,"
Cambridge Books,
Cambridge University Press, number 9780521588676, October.
- Kurz,Heinz D. & Salvadori,Neri, 1995. "Theory of Production," Cambridge Books, Cambridge University Press, number 9780521443258, October.
- Harvie, David, 2000. "Testing Goodwin: Growth Cycles in Ten OECD Countries," Cambridge Journal of Economics, Cambridge Political Economy Society, vol. 24(3), pages 349-376, May.
- Jenkinson, T & Corbett, J, 1997. "How is Investment Financed? A Study of Germany, Japan, UK and US," Papers 16, American Institute for Contemporary German Studies-.
- Pettis, Michael, 2001. "The Volatility Machine: Emerging Economies and the Threat of Financial Collapse," OUP Catalogue, Oxford University Press, number 9780195143300.
- Douglas Gollin, 2002.
"Getting Income Shares Right,"
Journal of Political Economy, University of Chicago Press, vol. 110(2), pages 458-474, April.
- Douglas Gollin, 2001. "Getting Income Shares Right," Department of Economics Working Papers 2001-11, Department of Economics, Williams College.
- Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo, 2006.
"Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets,"
Science & Finance (CFM) working paper archive
500067, Science & Finance, Capital Fund Management.
- Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo, 2006. "Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets," Papers physics/0603084, arXiv.org, revised Mar 2007.
- Brav, Alon & Graham, John R. & Harvey, Campbell R. & Michaely, Roni, 2005.
"Payout policy in the 21st century,"
Journal of Financial Economics, Elsevier, vol. 77(3), pages 483-527, September.
- Alon Brav & John R. Graham & Campbell R. Harvey & Roni Michaely, 2003. "Payout Policy in the 21st Century," NBER Working Papers 9657, National Bureau of Economic Research, Inc.
- Steve Keen, 1995. "Finance and Economic Breakdown: Modeling Minsky’s “Financial Instability Hypothesis”," Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 17(4), pages 607-635, July.
- A. Chatterjee & B. K. Chakrabarti, 2007. "Kinetic exchange models for income and wealth distributions," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 60(2), pages 135-149, November.
- Jean-Philippe Bouchaud & Marc Mezard, 2000. "Wealth condensation in a simple model of economy," Science & Finance (CFM) working paper archive 500026, Science & Finance, Capital Fund Management.
- Michael R. Pakko, 2004. "Labor's share," National Economic Trends, Federal Reserve Bank of St. Louis, issue Aug.
- Arnab Chatterjee & Bikas K. Chakrabarti, 2007. "Kinetic Exchange Models for Income and Wealth Distributions," Papers 0709.1543, arXiv.org, revised Nov 2007.
- Lee, Kuan-Hui, 2005. "The World Price of Liquidity Risk," Working Paper Series 2006-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Angelo Ranaldo, 2006. "Intraday Market Dynamics Around Public Information Arrivals," Working Papers 2006-11, Swiss National Bank.
- Gaffeo, Edoardo & Gallegati, Mauro & Palestrini, Antonio, 2003. "On the size distribution of firms: additional evidence from the G7 countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 117-123.
- Karen E. Dynan & Jonathan Skinner & Stephen P. Zeldes, 2004.
"Do the Rich Save More?,"
Journal of Political Economy, University of Chicago Press, vol. 112(2), pages 397-444, April.
- Karen E. Dynan & Jonathan Skinner & Stephen P. Zeldes, 2000. "Do the Rich Save More?," NBER Working Papers 7906, National Bureau of Economic Research, Inc.
- Karen E. Dynan & Jonathan Skinner & Stephen Zeldes, 2000. "Do the rich save more?," Finance and Economics Discussion Series 2000-52, Board of Governors of the Federal Reserve System (U.S.).
- Pastor, Lubos & Stambaugh, Robert F., 2003.
"Liquidity Risk and Expected Stock Returns,"
Journal of Political Economy, University of Chicago Press, vol. 111(3), pages 642-685, June.
- Luboš Pástor & Robert F. Stambaugh, "undated". "Liquidity Risk and Expected Stock Returns," CRSP working papers 531, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Lubos Pastor & Robert F. Stambaugh, 2001. "Liquidity Risk and Expected Stock Returns," NBER Working Papers 8462, National Bureau of Economic Research, Inc.
- Stambaugh, Robert F. & Pástor, Luboš, 2002. "Liquidity Risk and Expected Stock Returns," CEPR Discussion Papers 3494, C.E.P.R. Discussion Papers.
- Finn E. Kydland & Edward C. Prescott, 1990. "Business cycles: real facts and a monetary myth," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 14(Spr), pages 3-18.
- Wataru Souma & Makoto Nirei, 2005. "Empirical study and model of personal income," Papers physics/0505173, arXiv.org.
- repec:bla:jfinan:v:59:y:2004:i:3:p:1039-1082 is not listed on IDEAS
- Goyenko, Ruslan Y. & Holden, Craig W. & Trzcinka, Charles A., 2009. "Do liquidity measures measure liquidity?," Journal of Financial Economics, Elsevier, vol. 92(2), pages 153-181, May.
- Burgstaller,Andre, 1994. "Property and Prices," Cambridge Books, Cambridge University Press, number 9780521419031, October.
- Xavier Gabaix, 2009.
"Power Laws in Economics and Finance,"
Annual Review of Economics, Annual Reviews, vol. 1(1), pages 255-294, May.
- Xavier Gabaix, 2008. "Power Laws in Economics and Finance," NBER Working Papers 14299, National Bureau of Economic Research, Inc.
- S. Baranzoni & P. Bianchi & L. Lambertini, 2000. "Multiproduct Firms, Product Differentiation, and Market Structure," Working Papers 368, Dipartimento Scienze Economiche, Universita' di Bologna.
- Gallegati, Mauro & Keen, Steve & Lux, Thomas & Ormerod, Paul, 2006. "Worrying trends in econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 1-6.
- A. Drăgulescu & V.M. Yakovenko, 2001.
"Evidence for the exponential distribution of income in the USA,"
The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 20(4), pages 585-589, April.
- Adrian Dragulescu & Victor M. Yakovenko, 2000. "Evidence for the exponential distribution of income in the USA," Papers cond-mat/0008305, arXiv.org, revised Sep 2000.
- Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2002. "Order imbalance, liquidity, and market returns," Journal of Financial Economics, Elsevier, vol. 65(1), pages 111-130, July.
- G.M. Constantinides & M. Harris & R. M. Stulz (ed.), 2003. "Handbook of the Economics of Finance," Handbook of the Economics of Finance, Elsevier, edition 1, volume 1, number 1.
- Smith, Eric & Foley, Duncan K., 2008. "Classical thermodynamics and economic general equilibrium theory," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 7-65, January.
- L. Randall Wray, 1998. "Understanding Modern Money," Books, Edward Elgar Publishing, number 1668.
- Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2003. "An empirical analysis of stock and bond market liquidity," Staff Reports 164, Federal Reserve Bank of New York.
- Friedman, Milton, 2002. "Capitalism and Freedom," University of Chicago Press Economics Books, University of Chicago Press, number 9780226264219, Febrero.
- Juan C. Ferrero, 2010. "The individual income distribution in Argentina in the period 2000-2009. A unique source of non stationary data," Papers 1006.2057, arXiv.org.
- G.M. Constantinides & M. Harris & R. M. Stulz (ed.), 2003. "Handbook of the Economics of Finance," Handbook of the Economics of Finance, Elsevier, edition 1, volume 1, number 2.
- Ripsy Bandourian & Robert Turley & James McDonald, 2002. "A Comparison of Parametric Models of Income Distribution across Countries and over Time," LIS Working papers 305, LIS Cross-National Data Center in Luxembourg.
- Bouchaud, Jean-Philippe & Mézard, Marc, 2000. "Wealth condensation in a simple model of economy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 282(3), pages 536-545.
- Makoto Nirei & Wataru Souma, 2007. "A Two Factor Model Of Income Distribution Dynamics," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 53(3), pages 440-459, September.
- Tarun Chordia, 2005. "An Empirical Analysis of Stock and Bond Market Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 18(1), pages 85-129.
- Armand Joulin & Augustin Lefevre & Daniel Grunberg & Jean-Philippe Bouchaud, 2008. "Stock price jumps: news and volume play a minor role," Papers 0803.1769, arXiv.org.
- Wataru Souma, 2000. "Universal Structure of the Personal Income Distribution," Papers cond-mat/0011373, arXiv.org.
- Catherine Langlois, 1989. "Markup Pricing versus Marginalism: A Controversy Revisited," Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 12(1), pages 127-151, September.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Willis, Geoff, 2011. "Wealth, income, earnings and the statistical mechanics of flow systems," MPRA Paper 31139, University Library of Munich, Germany.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Geoff Willis, 2011.
"Pricing, liquidity and the control of dynamic systems in finance and economics,"
Papers
1105.5503, arXiv.org.
- Willis, Geoff, 2011. "Pricing, liquidity and the control of dynamic systems in finance and economics," MPRA Paper 31137, University Library of Munich, Germany.
- Victor M. Yakovenko & J. Barkley Rosser, 2009. "Colloquium: Statistical mechanics of money, wealth, and income," Papers 0905.1518, arXiv.org, revised Dec 2009.
- Dimitri Vayanos & Jiang Wang, 2012.
"Market Liquidity -- Theory and Empirical Evidence,"
NBER Working Papers
18251, National Bureau of Economic Research, Inc.
- Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity - Theory and Empirical Evidence," FMG Discussion Papers dp709, Financial Markets Group.
- Vayanos, Dimitri & Wang, Jiang, 2012. "Market liquidity - theory and empirical evidence," LSE Research Online Documents on Economics 119044, London School of Economics and Political Science, LSE Library.
- Söderberg, Jonas, 2008. "Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia," CAFO Working Papers 2009:10, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics.
- Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
- Willis, Geoff, 2011. "Wealth, income, earnings and the statistical mechanics of flow systems," MPRA Paper 31139, University Library of Munich, Germany.
- Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2018.
"Illiquidity Premia in the Equity Options Market,"
The Review of Financial Studies, Society for Financial Studies, vol. 31(3), pages 811-851.
- Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2011. "Illiquidity Premia in the Equity Options Market," CREATES Research Papers 2011-43, Department of Economics and Business Economics, Aarhus University.
- Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2013. "Illiquidity Premia in the Equity Options Market," CREATES Research Papers 2013-48, Department of Economics and Business Economics, Aarhus University.
- Willis, Geoff, 2011.
"The Bowley Ratio,"
MPRA Paper
30852, University Library of Munich, Germany.
- Geoff Willis, 2011. "The Bowley Ratio," Papers 1105.2123, arXiv.org.
- Nyborg, Kjell G. & Östberg, Per, 2014.
"Money and liquidity in financial markets,"
Journal of Financial Economics, Elsevier, vol. 112(1), pages 30-52.
- Nyborg, Kjell & Östberg, Per, 2010. "Money and Liquidity in Financial Markets," CEPR Discussion Papers 7905, C.E.P.R. Discussion Papers.
- Kjell G. NYBORG & Per OSTBERG, 2010. "Money and Liquidity in Financial Markets," Swiss Finance Institute Research Paper Series 10-25, Swiss Finance Institute.
- Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frédéric Abergel, 2011. "Econophysics review: II. Agent-based models," Post-Print hal-00621059, HAL.
- Ramos, Henrique Pinto & Righi, Marcelo Brutti, 2020. "Liquidity, implied volatility and tail risk: A comparison of liquidity measures," International Review of Financial Analysis, Elsevier, vol. 69(C).
- Söderberg, Jonas, 2008. "Liquidity on the Scandinavian Order-driven Stock Exchanges," CAFO Working Papers 2009:11, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics.
- Díaz, Antonio & Escribano, Ana, 2020. "Measuring the multi-faceted dimension of liquidity in financial markets: A literature review," Research in International Business and Finance, Elsevier, vol. 51(C).
- BEAUPAIN, Renaud & GIOT, Pierre & PETITJEAN, Mikael, 2006. "Market-wide liquidity co-movements, volatility regimes and market cap sizes," LIDAM Discussion Papers CORE 2006102, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Costas Efthimiou & Adam Wearne, 2016. "Household Income Distribution in the USA," Papers 1602.06234, arXiv.org.
- Venkatasubramanian, Venkat & Luo, Yu & Sethuraman, Jay, 2015. "How much inequality in income is fair? A microeconomic game theoretic perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 435(C), pages 120-138.
- Lasse Pedersen, 2009.
"When Everyone Runs for the Exit,"
International Journal of Central Banking, International Journal of Central Banking, vol. 5(4), pages 177-199, December.
- Lasse Heje Pedersen, 2009. "When Everyone Runs for the Exit," NBER Working Papers 15297, National Bureau of Economic Research, Inc.
- Pedersen, Lasse Heje, 2009. "When Everyone Runs for the Exit," CEPR Discussion Papers 7436, C.E.P.R. Discussion Papers.
- Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana, 2012.
"Econometric measures of connectedness and systemic risk in the finance and insurance sectors,"
Journal of Financial Economics, Elsevier, vol. 104(3), pages 535-559.
- Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," NBER Chapters, in: Market Institutions and Financial Market Risk, National Bureau of Economic Research, Inc.
- Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2011. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," Working Papers 2011_21, Department of Economics, University of Venice "Ca' Foscari".
- Abankwa, Samuel & Blenman, Lloyd P., 2021. "Measuring liquidity risk effects on carry trades across currencies and regimes," Journal of Multinational Financial Management, Elsevier, vol. 60(C).
- Chordia, Tarun & Sarkar, Asani & Subrahmanyam, Avanidhar, 2005.
"The Joint Dynamics of Liquidity, Returns, and Volatility Across Small and Large Firms,"
University of California at Los Angeles, Anderson Graduate School of Management
qt6z81z2wc, Anderson Graduate School of Management, UCLA.
- Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2005. "The joint dynamics of liquidity, returns, and volatility across small and large firms," Staff Reports 207, Federal Reserve Bank of New York.
More about this item
JEL classification:
- D31 - Microeconomics - - Distribution - - - Personal Income and Wealth Distribution
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1105.2122. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.