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Valuation in Over-the-Counter Markets. (2006). Pedersen, Lasse ; Duffie, Darrell ; Garleanu, Nicolae B..
In: CEPR Discussion Papers.
RePEc:cpr:ceprdp:5491.

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  1. Capital requirements, liquidity and financial stability: The case of Brazil. (2016). Stancato, Sergio Rubens.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:25:y:2016:i:c:p:179-192.

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  2. Volatilities implied by price changes in the S&P 500 options and futures contracts. (2014). Li, Wei ; Hilliard, Jitka.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:42:y:2014:i:4:p:599-626.

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References

References cited by this document

  1. Acharya, V. and L. H. Pedersen (2005). Asset Pricing with Liquidity Risk.

  2. Amihud, Y., H. Mendelson, and L. H. Pedersen (2006). Liquidity and Asset Prices. Foundations and Trends in Finance, forthcoming.

  3. Andrade, G., C. Chang, and M. Seasholes (2005). Predictable Reversals, Cross-Stock Effects, and the Limits of Arbitrage. Working Paper, Haas School of Business, University of California.
    Paper not yet in RePEc: Add citation now
  4. Birkhoff, G. and G.-C. Rota (1969). Ordinary Differential Equations. John Wiley & Sons.
    Paper not yet in RePEc: Add citation now

  5. Journal of Financial Economics 77, 375-410. Amihud, Y. and H. Mendelson (1986). Asset Pricing and the Bid-Ask Spread. Journal of Financial Economics 17, 223-249.

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