Robust benchmark design

Citations

Cited by:

1. Victor Olkhov, 2023. "Market-Based Probability of Stock Returns," Papers 2302.07935, arXiv.org, revised Feb 2026.
   • Olkhov, Victor, 2023. "The Market-Based Probability of Stock Returns," MPRA Paper 116234, University Library of Munich, Germany.
2. Zhang, Anthony Lee, 2022. "Competition and manipulation in derivative contract markets," Journal of Financial Economics, Elsevier, vol. 144(2), pages 396-413.
3. Victor Olkhov, 2022. "Market-Based Asset Price Probability," Papers 2205.07256, arXiv.org, revised Jan 2026.
   • Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 115382, University Library of Munich, Germany, revised 16 Nov 2022.
   • Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 113096, University Library of Munich, Germany.
4. Victor Olkhov, 2021. "Three Remarks On Asset Pricing," Papers 2105.13903, arXiv.org, revised Jan 2024.
   • Olkhov, Victor, 2021. "Three Remarks On Asset Pricing," MPRA Paper 107938, University Library of Munich, Germany.
   • Olkhov, Victor, 2021. "Three Remarks On Asset Pricing," MPRA Paper 109238, University Library of Munich, Germany.
5. Chukwudi Henry Dike, 2020. "Strategic Interactions in Financial Networks," 2020 Papers pdi579, Job Market Papers.
6. Darrell Duffie & Jeremy C. Stein, 2015. "Reforming LIBOR and Other Financial Market Benchmarks," Journal of Economic Perspectives, American Economic Association, vol. 29(2), pages 191-212, Spring.
   • Duffie, Darrell & Stein, Jeremy C., 2014. "Reforming LIBOR and Other Financial-Market Benchmarks," Research Papers 3170, Stanford University, Graduate School of Business.
7. Brugler, James & Khomyn, Marta & Putniņs̆, Tālis, 2025. "Benchmarking benchmarks," Journal of Financial Economics, Elsevier, vol. 168(C).
8. Victor Olkhov, 2025. "Markowitz Variance May Vastly Undervalue or Overestimate Portfolio Variance and Risks," Papers 2507.21824, arXiv.org.
   • Olkhov, Victor, 2025. "Markowitz Variance May Vastly Undervalue or Overestimate Portfolio Variance and Risks," MPRA Paper 125508, University Library of Munich, Germany.
9. Olkhov, Victor, 2021. "Theoretical Economics and the Second-Order Economic Theory. What is it?," MPRA Paper 110893, University Library of Munich, Germany.
   • Victor Olkhov, 2021. "Theoretical Economics and the Second-Order Economic Theory. What is it?," Papers 2112.04566, arXiv.org, revised Mar 2024.
10. Duffie, Darrell & Dworczak, Piotr, 2021. "Robust benchmark design," Journal of Financial Economics, Elsevier, vol. 142(2), pages 775-802.
    • Darrell Duffie & Piotr Dworczak, 2014. "Robust Benchmark Design," NBER Working Papers 20540, National Bureau of Economic Research, Inc.
    • Duffie, Darrell & Dworczak, Piotr, 2018. "Robust Benchmark Design," Research Papers 3175, Stanford University, Graduate School of Business.
11. Alex Frankel & Navin Kartik, 2022. "Improving Information from Manipulable Data," Journal of the European Economic Association, European Economic Association, vol. 20(1), pages 79-115.
    • Alex Frankel & Navin Kartik, 2019. "Improving Information from Manipulable Data," Papers 1908.10330, arXiv.org, revised Feb 2021.
12. Gong, Aibo & Ke, Shaowei & Qiu, Yawen & Shen, Rui, 2022. "Robust pricing under strategic trading," Journal of Economic Theory, Elsevier, vol. 199(C).
13. Benenchia, Matteo & Galati, Luca & Lepone, Andrew, 2024. "To fix or not to fix: The representativeness of the WM/R methodology that underpins the FX benchmark rates. A pre-registered report," Pacific-Basin Finance Journal, Elsevier, vol. 84(C).
14. Chen, Jiakai, 2021. "LIBOR's poker," Journal of Financial Markets, Elsevier, vol. 55(C).
15. Eric Budish & Robin S. Lee & John J. Shim, 2024. "A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market?," Journal of Political Economy, University of Chicago Press, vol. 132(4), pages 1209-1246.
    • Eric Budish & Robin S. Lee & John J. Shim, 2019. "A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market?," NBER Working Papers 25855, National Bureau of Economic Research, Inc.
    • Budish, Eric B. & Lee, Robin S. & Shim, John J., 2020. "A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market?," Working Papers 301, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
16. Brian Coulter & Joel Shapiro & Peter Zimmerman, 2018. "A Mechanism for LIBOR [Optimal selling strategies under uncertainty for a discriminating monopolist when demands are interdependent]," Review of Finance, European Finance Association, vol. 22(2), pages 491-520.
17. Victor Olkhov, 2025. "Market-Based Portfolio Variance," Papers 2504.07929, arXiv.org, revised Jul 2025.
    • Olkhov, Victor, 2025. "Market-Based Portfolio Variance," MPRA Paper 125083, University Library of Munich, Germany.
18. Jeong-Bon Kim & Chong Wang & Feng (Harry) Wu, 2025. "LIBOR Discontinuation and the Cost of Bank Loans," Management Science, INFORMS, vol. 71(5), pages 4413-4432, May.
19. Markus Baldauf & Christoph Frei & Joshua Mollner, 2022. "Principal Trading Arrangements: When Are Common Contracts Optimal?," Management Science, INFORMS, vol. 68(4), pages 3112-3128, April.
20. Kirti, Divya, 2022. "What are reference rates for?," Journal of Banking & Finance, Elsevier, vol. 144(C).
    • Mr. Divya Kirti, 2017. "What Are Reference Rates For?," IMF Working Papers 2017/013, International Monetary Fund.
21. Li, Ming & Sun, Hang & Zong, Jichuan, 2021. "Intertemporal imitation behavior of interbank offered rate submissions," Journal of Banking & Finance, Elsevier, vol. 132(C).
22. Antje Berndt & Darrell Duffie & Yichao Zhu, 2023. "Across‐the‐Curve Credit Spread Indices," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 32(3), pages 115-130, August.
    • Berndt, Antje & Duffie, Darrell & Zhu, Yichao, 2020. "Across-the-Curve Credit Spread Indices," Research Papers 3884, Stanford University, Graduate School of Business.
23. Muto, Ichiro, 2017. "The role of the reference rate in an interbank market with imperfect information," Global Finance Journal, Elsevier, vol. 34(C), pages 16-31.
    • Ichiro Muto, 2012. "A Simple Interest Rate Model with Unobserved Components: The Role of the Interbank Reference Rate," Bank of Japan Working Paper Series 12-E-10, Bank of Japan.
    • Muto, Ichiro, 2012. "A Simple Interest Rate Model with Unobserved Components: The Role of the Interbank Reference Rate," MPRA Paper 43220, University Library of Munich, Germany.
24. Frei, Christoph & Mitra, Joshua, 2021. "Optimal closing benchmarks," Finance Research Letters, Elsevier, vol. 40(C).
25. Aquilina, Matteo & Ibikunle, Gbenga & Mollica, Vito & Steffen, Tom, 2022. "The visible hand: benchmarks, regulation, and liquidity," Journal of Financial Markets, Elsevier, vol. 61(C).
26. Albani, V.V.L. & Marcavillaca, R.T. & Moreira, P.S.E. & Avila, S.L. & Geremia, M. & Piovezan, R.P.B. & Sica, E.T. & Santos, E., 2025. "Short-term forecasting of forward prices in the Brazilian electricity market with a hybrid stochastic-neural network model," Energy Economics, Elsevier, vol. 148(C).
27. Victor Olkhov, 2025. "Unwitting Markowitz' Simplification of Portfolio Random Returns," Papers 2508.08148, arXiv.org.
    • Olkhov, Victor, 2025. "Unwitting Markowitz’ Simplification of Portfolio Random Returns," MPRA Paper 125723, University Library of Munich, Germany.
28. Ahmed Baig & Drew B. Winters, 2022. "The search for a new reference rate," Review of Quantitative Finance and Accounting, Springer, vol. 58(3), pages 939-976, April.
29. Baldauf, Markus & Frei, Christoph & Mollner, Joshua, 2024. "Block trade contracting," Journal of Financial Economics, Elsevier, vol. 160(C).