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Citations for "Valuation in Over-the-Counter Markets"

by Duffie, Darrell & Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje

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  1. Petrasek, Lubomir, 2012. "Multimarket trading and corporate bond liquidity," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2110-2121.
  2. Ricardo Lagos, 2005. "Asset Prices and Liquidity in an Exchange Economy," 2005 Meeting Papers 143, Society for Economic Dynamics.
  3. Stefan Reitz & Markus A. Schmidt & Mark P. Taylor, 2012. "Financial Intermediation and the Role of Price Discrimination in a Two-Tier Market," Kiel Working Papers 1794, Kiel Institute for the World Economy.
  4. Braz Camargo & Benjamin Lester, 2011. "Trading dynamics in decentralized markets with adverse selection," Working Papers 11-36, Federal Reserve Bank of Philadelphia.
  5. Lester, Benjamin & Visschers, Ludo & Wolthoff, Ronald, 2015. "Meeting technologies and optimal trading mechanisms in competitive search markets," Journal of Economic Theory, Elsevier, vol. 155(C), pages 1-15.
  6. Hanson, Samuel G. & Sunderam, Adi, 2013. "Are there too many safe securities? Securitization and the incentives for information production," Journal of Financial Economics, Elsevier, vol. 108(3), pages 565-584.
  7. Mikhail Golosov & Guido Lorenzoni & Aleh Tsyvinski, 2009. "Decentralized Trading with Private Information," NBER Working Papers 15513, National Bureau of Economic Research, Inc.
  8. Duffie, Darrell & Sun, Yeneng, 2012. "The exact law of large numbers for independent random matching," Journal of Economic Theory, Elsevier, vol. 147(3), pages 1105-1139.
  9. Ellul, Andrew & Jotikasthira, Chotibhak & Lundblad, Christian T., 2011. "Regulatory pressure and fire sales in the corporate bond market," Journal of Financial Economics, Elsevier, vol. 101(3), pages 596-620, September.
  10. Ming Pu & Gang-Zhi Fan & Seow Ong, 2012. "Heterogeneous Agents and the Indifference Pricing of Property Index Linked Swaps," The Journal of Real Estate Finance and Economics, Springer, vol. 44(4), pages 543-569, May.
  11. Jianjun Miao, 2006. "A search model of centralized and decentralized trade," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 9(1), pages 68-92, January.
  12. Acharya, Viral & Bisin, Alberto, 2014. "Counterparty risk externality: Centralized versus over-the-counter markets," Journal of Economic Theory, Elsevier, vol. 149(C), pages 153-182.
  13. Jitka Hilliard & Wei Li, 2014. "Volatilities implied by price changes in the S&P 500 options and futures contracts," Review of Quantitative Finance and Accounting, Springer, vol. 42(4), pages 599-626, May.
  14. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
  15. Lasse Heje Pedersen, 2009. "When Everyone Runs for the Exit," NBER Working Papers 15297, National Bureau of Economic Research, Inc.
  16. Soeren Radde & Wei Cui, 2013. "Search-Based Endogenous Illiquidity, Business Cycles and Monetary Policy," 2013 Meeting Papers 1009, Society for Economic Dynamics.
  17. Yuan Yuan, 2014. "Funding Liquidity and Market Liquidity," DETU Working Papers 1406, Department of Economics, Temple University.
  18. Alexius, Annika & Birenstam, Helene & Eklund, Johanna, 2014. "The interbank market risk premium, central bank interventions, and measures of market liquidity," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 202-217.
  19. Ricardo Lagos & Guillaume Rocheteau, 2007. "Liquidity in asset markets with search frictions," Working Paper 0706, Federal Reserve Bank of Cleveland.
  20. Lester, Benjamin & Visschers, Ludo & Wolthoff, Ronald, 2014. "Meeting technologies and optimal trading mechanisms in competitive search markets," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-36, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  21. Mosk, T.C., 2014. "Essays on banking," Other publications TiSEM d424ec24-1bfd-4be0-b19a-3, Tilburg University, School of Economics and Management.
  22. Gara M. Afonso, 2008. "Liquidity and congestion," Staff Reports 349, Federal Reserve Bank of New York.
  23. Mathias Drehmann, 2007. "Discussion of 'Banks, Markets and Liquidity'," RBA Annual Conference Volume, in: Christopher Kent & Jeremy Lawson (ed.), The Structure and Resilience of the Financial System Reserve Bank of Australia.
  24. Guillaume Rocheteau & Randall Wright, 2010. "Liquidity and asset market dynamics," Working Paper 1016, Federal Reserve Bank of Cleveland.
  25. Koeppl, Thorsten & Monnet, Cyril & Temzelides, Ted, 2012. "Optimal clearing arrangements for financial trades," Journal of Financial Economics, Elsevier, vol. 103(1), pages 189-203.
  26. Fecht, Falko & Füss, Roland & Rindler, Philipp B., 2014. "Corporate Transparency and Bond Liquidity," Working Papers on Finance 1404, University of St. Gallen, School of Finance.
  27. Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2004. "Over-the-Counter Markets," NBER Working Papers 10816, National Bureau of Economic Research, Inc.
  28. Nicolae B. Garleanu & Lasse H. Pedersen, 2007. "Liquidity and Risk Management," NBER Working Papers 12887, National Bureau of Economic Research, Inc.
  29. Azusa Takeyama & Nick Constantinou & Dmitri Vinogradov, 2012. "Credit Risk Contagion and the Global Financial Crisis," IMES Discussion Paper Series 12-E-15, Institute for Monetary and Economic Studies, Bank of Japan.
  30. Kartik Anand & James Chapman & Prasanna Gai, 2012. "Covered bonds, core markets, and financial stability," SFB 649 Discussion Papers SFB649DP2012-065, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  31. Podlich, Natalia, 2014. "On the role of the ECB's collateral framework in preventing fire sales," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100510, Verein für Socialpolitik / German Economic Association.
  32. Timothy McQuade & Adam Guren, 2015. "How Do Foreclosures Exacerbate Housing Downturns?," 2015 Meeting Papers 40, Society for Economic Dynamics.
  33. Jason Allen & James Chapman & Federico Echenique & Matthew Shum, 2012. "Efficiency and Bargaining Power in the Interbank Loan Market," Working Papers 12-29, Bank of Canada.
  34. Friewald, Nils & Jankowitsch, Rainer & Subrahmanyam, Marti G., 2012. "Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises," Journal of Financial Economics, Elsevier, vol. 105(1), pages 18-36.
  35. Glode, Vincent & Green, Richard C., 2011. "Information spillovers and performance persistence for hedge funds," Journal of Financial Economics, Elsevier, vol. 101(1), pages 1-17, July.
  36. Liliana Schumacher & Theodore M. Barnhill, 2011. "Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information," IMF Working Papers 11/263, International Monetary Fund.
  37. Julien Hugonnier & Benjamin Lester & Pierre-Olivier Weill, 2014. "Heterogeneity in Decentralized Asset Markets," NBER Working Papers 20746, National Bureau of Economic Research, Inc.
  38. Eser, Fabian & Schwaab, Bernd, 2013. "Assessing asset purchases within the ECB’s securities markets programme," Working Paper Series 1587, European Central Bank.
  39. Gârleanu, Nicolae, 2009. "Portfolio choice and pricing in illiquid markets," Journal of Economic Theory, Elsevier, vol. 144(2), pages 532-564, March.
  40. Sun, Yeneng & Zhang, Yongchao, 2009. "Individual risk and Lebesgue extension without aggregate uncertainty," Journal of Economic Theory, Elsevier, vol. 144(1), pages 432-443, January.
  41. Stefan Arping, 2015. "Banks and Market Liquidity," Tinbergen Institute Discussion Papers 15-020/IV, Tinbergen Institute.
  42. Gehde-Trapp, Monika & Gündüz, Yalin & Nasev, Julia, 2015. "The liquidity premium in CDS transaction prices: Do frictions matter?," CFR Working Papers 12-12 [rev.2], University of Cologne, Centre for Financial Research (CFR).
  43. Shun Kobayashi, 2012. "Application of a Search Model to Appropriate Designing of Reference Rates: Actual Transactions and Expert Judgment," Bank of Japan Working Paper Series 12-E-13, Bank of Japan.
  44. Ana Babus, 2011. "Strategic Relationships in Over-the-Counter Markets," 2011 Meeting Papers 1405, Society for Economic Dynamics.
  45. Masters, Adrian, 2008. "Unpleasant middlemen," Journal of Economic Behavior & Organization, Elsevier, vol. 68(1), pages 73-86, October.
  46. Gao, Tianjiao & Gupta, Aparna & Gulpinar, Nalan & Zhu, Yun, 2015. "Optimal hedging strategy for risk management on a network," Journal of Financial Stability, Elsevier, vol. 16(C), pages 31-44.
  47. Albuquerque, Rui & Schroth, Enrique, 2012. "The Value of Control and the Costs of Illiquidity," CEPR Discussion Papers 9090, C.E.P.R. Discussion Papers.
  48. Jankowitsch, Rainer & Nashikkar, Amrut & Subrahmanyam, Marti G., 2011. "Price dispersion in OTC markets: A new measure of liquidity," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 343-357, February.
  49. Graveline, Jeremy J. & McBrady, Matthew R., 2011. "Who makes on-the-run Treasuries special?," Journal of Financial Intermediation, Elsevier, vol. 20(4), pages 620-632, October.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.