Nothing Special   »   [go: up one dir, main page]
create a website
Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when all Assets are Risky. (2013). Szafarz, Ariane ; OOSTERLINCK, Kim ; Mignon, Valérie ; Drut, Bastien ; Briere, Marie.
In: Post-Print.
RePEc:hal:journl:hal-01493323.

Full description at Econpapers || Download paper

Cited: 19

Citations received by this document

Cites: 45

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Sensitivity to measurement errors of the distance to the efficient frontier. (2023). Szafarz, Ariane ; Vanhems, Anne ; Simar, Leopold ; Briere, Marie.
    In: Working Papers CEB.
    RePEc:sol:wpaper:2013/358148.

    Full description at Econpapers || Download paper

  2. Sensitivity to measurement errors of the distance to the efficient frontier. (2023). Vanhems, Anne ; Szafarz, Ariane ; Simar, Leopold ; Briere, Marie.
    In: LIDAM Discussion Papers ISBA.
    RePEc:aiz:louvad:2023017.

    Full description at Econpapers || Download paper

  3. When it Rains, it Pours: Multifactor Asset Management in Good and Bad Times. (2021). Szafarz, Ariane ; Briere, Marie.
    In: Working Papers CEB.
    RePEc:sol:wpaper:2013/319463.

    Full description at Econpapers || Download paper

  4. International equity U.S. mutual funds and diversification benefits. (2021). Fletcher, Jonathan.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:76:y:2021:i:c:p:246-257.

    Full description at Econpapers || Download paper

  5. When it rains, it pours: Multifactor asset management in good and bad times. (2021). Szafarz, Ariane ; Briere, Marie.
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:44:y:2021:i:3:p:641-669.

    Full description at Econpapers || Download paper

  6. Diversification and portfolio theory: a review. (2020). Koumou, Nettey Boevi Gilles.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:34:y:2020:i:3:d:10.1007_s11408-020-00352-6.

    Full description at Econpapers || Download paper

  7. Factors and Sectors in Asset Allocation: Stronger Together?. (2018). Szafarz, Ariane ; Briere, Marie.
    In: Working Papers CEB.
    RePEc:sol:wpaper:2013/269054.

    Full description at Econpapers || Download paper

  8. An Examination of the Benefits of Factor Investing in U.K. Stock Returns. (2018). Fletcher, Jonathan.
    In: International Journal of Economics and Finance.
    RePEc:ibn:ijefaa:v:10:y:2018:i:4:p:154-170.

    Full description at Econpapers || Download paper

  9. An empirical examination of the diversification benefits of U.K. international equity closed-end funds. (2018). Fletcher, Jonathan.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:55:y:2018:i:c:p:23-34.

    Full description at Econpapers || Download paper

  10. Factor Investing: The Rocky Road from Long-Only to Long-Short. (2017). Szafarz, Ariane ; Briere, Marie.
    In: Working Papers CEB.
    RePEc:sol:wpaper:2013/249918.

    Full description at Econpapers || Download paper

  11. Towards greater diversification in central bank reserves. (2016). Szafarz, Ariane ; OOSTERLINCK, Kim ; Mignon, Valérie ; Briere, Marie.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:17:y:2016:i:4:d:10.1057_jam.2016.14.

    Full description at Econpapers || Download paper

  12. Towards Greater Diversification in Central Bank Reserves. (2015). Szafarz, Ariane ; OOSTERLINCK, Kim ; Mignon, Valérie ; Brière, Marie.
    In: Working Papers CEB.
    RePEc:sol:wpaper:2013/222097.

    Full description at Econpapers || Download paper

  13. Does commercial microfinance belong to the financial sector? Lessons from the stock market. (2015). Szafarz, Ariane ; Briere, Marie.
    In: Post-Print CEB.
    RePEc:sol:spaper:2013/187643.

    Full description at Econpapers || Download paper

  14. Towards Greater Diversification in Central Bank Reserves. (2015). Szafarz, Ariane ; Oosterlinck, Kim ; Mignon, Valerie ; Briere, Marie.
    In: Working Papers.
    RePEc:hal:wpaper:hal-04141383.

    Full description at Econpapers || Download paper

  15. Does Commercial Microfinance Belong to the Financial Sector? Lessons from the Stock Market. (2015). Szafarz, Ariane ; Briere, Marie.
    In: Post-Print.
    RePEc:hal:journl:hal-01491987.

    Full description at Econpapers || Download paper

  16. Does Commercial Microfinance Belong to the Financial Sector? Lessons from the Stock Market. (2015). Szafarz, Ariane ; Brière, Marie ; Briere, Marie.
    In: World Development.
    RePEc:eee:wdevel:v:67:y:2015:i:c:p:110-125.

    Full description at Econpapers || Download paper

  17. Towards Greater Diversification in Central Bank Reserves. (2015). Szafarz, Ariane ; OOSTERLINCK, Kim ; Mignon, Valérie ; Brière, Marie.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2015-34.

    Full description at Econpapers || Download paper

  18. Does Commercial Microfinance Belong to the Financial Sector? Lessons from the Stock Market. (2015). .
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/14039.

    Full description at Econpapers || Download paper

  19. Does Commercial Microfinance Belong to the Financial Sector? Lessons from the Stock Market. (2014). Szafarz, Ariane ; Brière, Marie ; Briere, Marie.
    In: Working Papers CEB.
    RePEc:sol:wpaper:2013/176073.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Acharya, V.V., D.M. Gale and T. Yorulmazer. 2011. Rollover Risk and Market Freezes. Journal of Finance, forthcoming.

  2. Barber, B.M. and T. Odean. 2000. Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors. Journal of Finance 55:773-806.

  3. Basak, G., R. Jagannathan, and G. Sun. 2002. A Direct Test for the Mean-Variance Efficiency of a Portfolio. Journal of Economic Dynamics and Control 26:1195-1215.

  4. Basak, G., R. Jagannathan, and T. Ma. 2009. Jackknife Estimator for Tracking Errors Variance of Optimal Portfolios. Management Science 55:990-1002.
    Paper not yet in RePEc: Add citation now
  5. Beaulieu, M.-C., J.-M. Dufour and L. Khalaf. 2008. Finite Sample Identification-Robust Inference for Unobservable Zero-Beta Rates and Portfolio Efficiency with Non-Gaussian Distributions. Technical report, Mc Gill University, Université Laval and Carleton University.
    Paper not yet in RePEc: Add citation now

  6. Best, M.J. and R.R. Grauer. 1991. On the Sensitivity of Mean-Variance Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results. Review of Financial Studies 4:315-342.

  7. Black, F. 1972. Capital Market Equilibrium with Restricted Borrowing. Journal of Business 45:444-454.

  8. Brennan, M. 1971. Capital Market Equilibrium with Divergent Borrowing and Lending Rates.

  9. Britten-Jones, M.J. 1999. The Sampling Error in Estimates of Mean-Variance Efficient Portfolio Weights. Journal of Finance 54:655-671.

  10. Bruche, M. and J. Suarez. 2010. Deposit Insurance and Money Market Freezes. Journal of Monetary Economics 57:45-61.

  11. Das, S., H. Markowitz, J. Scheid and M. Statman. 2010. Portfolio Optimization with Mental Accounts. Journal of Financial and Quantitative Analysis 45:311-334.

  12. De Roon, F.A. and T.E. Nijman. 2001. Testing for Mean-Variance Spanning: A Survey. Journal of Empirical Finance 8:111-155.

  13. Drut, B. 2010. Sovereign Bonds and Socially Responsible Investment. Journal of Business Ethics 92:131-145.

  14. Ehling, P. and S.B. Ramos. 2006. Geographic versus Industry Diversification: Constraints Matter. Journal of Empirical Finance 13:396-416.

  15. Elton, E.J. and M.J. Gruber. 1977. Risk Reduction and Portfolio Size: An Analytical Solution. Journal of Business 50:415-437.

  16. Evans, J.L. and S.H. Archer. 1968. Diversification and the Reduction of Dispersion: An Empirical Analysis. Journal of Finance 23:761-767.

  17. Gerard, B., P. Hillion, F.A. de Roon, and E. Eiling. 2007. International Portfolio Diversification: Currency, Industry and Country Effects Revisited. Working paper available at doi:10.2139/ssrn.302353.
    Paper not yet in RePEc: Add citation now

  18. Gibbons, M.R. 1982. Multivariate Tests of Financial Models: A New Approach. Journal of Financial Economics 10:3-27.

  19. Gibbons, M.R., S.A. Ross and J. Shanken. 1989. A Test of the Efficiency of a Given Portfolio.

  20. Goetzmann, W.N. and A. Kumar. 2008. Equity Portfolio Diversification. Review of Finance, 12:433-463.

  21. Gourieroux, C., O. Scaillet, and A. Szafarz. 1997. Econométrie de la Finance : Approches Historiques. Paris: Economica.

  22. Green, R.C. and B. Hollifield. 1992. When Will Mean-Variance Efficient Portfolios Be Well Diversified? Journal of Finance 47:1785-1809.

  23. Jobson, J.D. and B. Korkie. 1982. Potential Performance and Tests of Portfolio Efficiency. Journal of Financial Economics 10:433-466.

  24. Kandel, S. 1984. The Likelihood Ratio Test Statistic of Mean-Variance Efficiency without a Riskless Asset. Journal of Financial Economics 13:575-592.

  25. Kandel, S. 1986. The Geometry of the Likelihood Estimator of the Zero-Beta Return. Journal of Finance 41:339-346.

  26. Kandel, S. and R.F. Stambaugh. 1995. Portfolio Inefficiency and the Cross-Section of Expected Returns. Journal of Finance 50:157-184.

  27. Krishnamurthy, A. 2010. The Financial Meltdown: Data and Diagnoses. Working Paper, Northwestern University.
    Paper not yet in RePEc: Add citation now

  28. Levy, M. and R. Roll. 2010. The Market Portfolio May Be Mean/Variance Efficient After All.

  29. Li, K., S. Asani and Z. Wang. 2003. Diversification Benefits of Emerging Markets Subject to Portfolio Constraints. Journal of Empirical Finance 10:57-80.

  30. Lintner, J. 1965. Security Prices, Risk, and the Maximal Gains from Diversification. Journal of Finance 20:587-615.

  31. MacKinlay, A.C. and M.P. Richardson. 1991. Using Generalized Method of Moments to Test Mean-Variance Efficiency. Journal of Finance 46:511-527.

  32. Markowitz, H. 1952. Portfolio Selection. Journal of Finance 7:77-91.

  33. Markowitz, H. 1959. Portfolio Selection: Efficient Diversification of Investments. New York: John Wiley.
    Paper not yet in RePEc: Add citation now
  34. Michaud, R.O. 1989. The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal? Financial Analysts Journal 45:31-42.
    Paper not yet in RePEc: Add citation now

  35. Polkovnichenko, V. 2005. Household Portfolio Diversification: A Case for Rank-Dependent Preferences. Review of Financial Studies 18:1467-1502.

  36. Roll, R. 1977. A Critique of the Asset Pricing Theory’s Tests. Part I: On Past and Potential Testability of the Theory. Journal of Financial Economics 4:129-176.

  37. Ross, S.A. 1977. The Capital Asset Pricing Model (CAPM), Short-Sale Restrictions and Related Issues. Journal of Finance 19:425-442.

  38. Shanken, J. 1985. Multivariate Tests of the Zero-Beta CAPM. Journal of Financial Economics 14:327-348.

  39. Shanken, J. 1986. Testing Portfolio Efficiency when the Zero-Beta Rate is Unknown: A Note. Journal of Finance 41:269-276.

  40. Sharpe, W.F. 1964. Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance 19:425-442.

  41. Statman, M. 1987. How Many Stocks Make a Diversified Portfolio? Journal of Financial and Quantitative Analysis 22:353-363.

  42. Velu, R. and G. Zhou. 1999. Testing Multi-Beta Asset Pricing Models. Journal of Empirical Finance 6:219-241.

  43. Wang, Z. 1998. Efficiency Loss and Constraints on Portfolio Holdings. Journal of Financial Economics 48:359-375.

  44. Wasserman, L. 2004. All of Statistics: A Concise Course in Statistical Inference. New York: Springer.
    Paper not yet in RePEc: Add citation now

  45. Zhou, G. 1991. Small Sample Tests of Portfolio Efficiency. Journal of Financial Economics 30:165-191.

Cocites

Documents in RePEc which have cited the same bibliography

  1. International financial integration, crises and monetary policy: evidence from the Euro area interbank crises. (2018). Peydro, Jose-Luis ; Fecht, Falko ; Bräuning, Falk ; Abbassi, Puriya ; Brauning, Falk.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1566.

    Full description at Econpapers || Download paper

  2. International financial integration, crises and monetary policy: evidence from the Euro area interbank crises. (2017). Peydro, Jose-Luis ; Fecht, Falko ; Bräuning, Falk ; Abbassi, Puriya ; Brauning, Falk.
    In: Working Papers.
    RePEc:bge:wpaper:965.

    Full description at Econpapers || Download paper

  3. Bank Systemic Risk and Corporate Investment. (2016). Vithessonthi, Chaiporn ; Adachi-Sato, Meg.
    In: PIER Discussion Papers.
    RePEc:pui:dpaper:17..

    Full description at Econpapers || Download paper

  4. When do creditors with heterogeneous beliefs agree to run?. (2015). Wissel, Johannes ; Krishenik, Andrey ; Minca, Andreea.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:19:y:2015:i:2:p:233-259.

    Full description at Econpapers || Download paper

  5. AIG in Hindsight. (2015). Paulson, Anna ; McDonald, Robert L..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:21108.

    Full description at Econpapers || Download paper

  6. Financing Entrepreneurial Experimentation. (2015). Rhodes-Kropf, Matthew ; Nanda, Ramana .
    In: NBER Chapters.
    RePEc:nbr:nberch:13585.

    Full description at Econpapers || Download paper

  7. The role of the Federal Reserve as an international lender of last resort during the 2007–2008 financial crisis. (2015). Seghezza, Elena ; Morelli, Pierluigi ; Pittaluga, Giovanni .
    In: International Economics and Economic Policy.
    RePEc:kap:iecepo:v:12:y:2015:i:1:p:93-106.

    Full description at Econpapers || Download paper

  8. TAF Effect on Liquidity Risk Exposure. (2015). Puddu, Stefano ; Waelchli, Andreas .
    In: IRENE Working Papers.
    RePEc:irn:wpaper:15-07.

    Full description at Econpapers || Download paper

  9. Access policy and money market segmentation. (2015). Nellen, Thomas ; Kraenzlin, Sébastien.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:71:y:2015:i:c:p:1-12.

    Full description at Econpapers || Download paper

  10. FX market liquidity, funding constraints and capital flows. (2015). Phylaktis, Kate ; Banti, Chiara.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:56:y:2015:i:c:p:114-134.

    Full description at Econpapers || Download paper

  11. Information quality and crises in regime-change games. (2015). Iachan, Felipe ; Nenov, Plamen T..
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:158:y:2015:i:pb:p:739-768.

    Full description at Econpapers || Download paper

  12. Contagion in the interbank market: Funding versus regulatory constraints. (2015). Georgescu, Oana-Maria .
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:18:y:2015:i:c:p:1-18.

    Full description at Econpapers || Download paper

  13. A network view on interbank market freezes. (2014). Georg, Co-Pierre ; Gabrieli, Silvia.
    In: Discussion Papers.
    RePEc:zbw:bubdps:442014.

    Full description at Econpapers || Download paper

  14. Contagious herding and endogenous network formation in financial networks. (2014). Georg, Co-Pierre.
    In: Discussion Papers.
    RePEc:zbw:bubdps:232014.

    Full description at Econpapers || Download paper

  15. A network analysis of the evolution of the German interbank market. (2014). Georg, Co-Pierre ; Battiston, Stefano ; Roukny, Tarik .
    In: Discussion Papers.
    RePEc:zbw:bubdps:222014.

    Full description at Econpapers || Download paper

  16. Systemic Risk and Bank Size. (2014). Zhao, Lei ; Varotto, Simone.
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2014-17.

    Full description at Econpapers || Download paper

  17. Complex Financial Networks and Systemic Risk: A Review. (2014). Kirman, Alan ; Bougheas, Spiros.
    In: Discussion Papers.
    RePEc:not:notcfc:14/04.

    Full description at Econpapers || Download paper

  18. Maturity Rationing and Collective Short-Termism. (2014). Milbradt, Konstantin ; Oehmke, Martin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19946.

    Full description at Econpapers || Download paper

  19. Financial stability monitoring. (2014). Adrian, Tobias ; Covitz, Daniel ; Liang, Nellie J..
    In: Staff Reports.
    RePEc:fip:fednsr:601.

    Full description at Econpapers || Download paper

  20. AIG in Hindsight. (2014). Paulson, Anna ; McDonald, Robert .
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-2014-07.

    Full description at Econpapers || Download paper

  21. The fragility of short-term secured funding markets. (2014). von Thadden, Ernst-Ludwig ; Skeie, David ; Martin, Antoine.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:149:y:2014:i:c:p:15-42.

    Full description at Econpapers || Download paper

  22. Contagious herding and endogenous network formation in financial networks. (2014). Georg, Co-Pierre.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20141700.

    Full description at Econpapers || Download paper

  23. Funding Liquidity Risk From a Regulatory Perspective. (2014). Gourieroux, Christian ; Heam, Jean-Cyprien .
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/14986.

    Full description at Econpapers || Download paper

  24. Shall We Keep Early Diers Alive?. (2014). Pinna, Andrea.
    In: Working Paper CRENoS.
    RePEc:cns:cnscwp:201411.

    Full description at Econpapers || Download paper

  25. Complex Financial Networks and Systemic Risk: A Review. (2014). Kirman, Alan ; Bougheas, Spiros.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4756.

    Full description at Econpapers || Download paper

  26. Indirect Contagion in an Originate-to-Distribute Banking Model. (2014). Pinna, Andrea.
    In: BEMPS - Bozen Economics & Management Paper Series.
    RePEc:bzn:wpaper:bemps21.

    Full description at Econpapers || Download paper

  27. Granularity of corporate debt. (2013). Zechner, Josef ; Hackbarth, Dirk ; Choi, Jaewon.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:201326.

    Full description at Econpapers || Download paper

  28. Balance sheet strength and bank lending during the global financial crisis. (2013). Minoiu, Camelia ; Kapan, Tumer .
    In: Discussion Papers.
    RePEc:zbw:bubdps:332013.

    Full description at Econpapers || Download paper

  29. The Fragility of Short-Term Secured Funding Markets. (2013). von Thadden, Ernst-Ludwig ; Skeie, David ; Martin, Antoine.
    In: Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems.
    RePEc:trf:wpaper:449.

    Full description at Econpapers || Download paper

  30. Financial Markets, Institutions and Liquidity. (2013). Carletti, Elena ; Allen, Franklin.
    In: RBA Annual Conference Volume.
    RePEc:rba:rbaacv:acv2013-06.

    Full description at Econpapers || Download paper

  31. Can tax policy co-cause the crisis?. (2013). Szarowská, Irena.
    In: MPRA Paper.
    RePEc:pra:mprapa:59780.

    Full description at Econpapers || Download paper

  32. The fragility of short-term secured funding markets. (2013). von Thadden, Ernst-Ludwig ; Skeie, David ; Martin, Antoine.
    In: Staff Reports.
    RePEc:fip:fednsr:630.

    Full description at Econpapers || Download paper

  33. Financial stability monitoring. (2013). Adrian, Tobias ; Covitz, Daniel ; Liang, Nellie.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2013-21.

    Full description at Econpapers || Download paper

  34. Leverage and preemptive selling of financial institutions. (2013). welch, ivo ; Bernardo, Antonio E..
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:22:y:2013:i:2:p:123-151.

    Full description at Econpapers || Download paper

  35. The effects of the structure of banking market and funding strategy on risk and return. (2013). Amidu, Mohammed.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:28:y:2013:i:c:p:143-155.

    Full description at Econpapers || Download paper

  36. Asset Commonality, Debt Maturity and Systemic Risk. (2013). Carletti, Elena ; Babus, Ana ; Allen, Franklin.
    In: Working Papers.
    RePEc:ecl:upafin:10-30.

    Full description at Econpapers || Download paper

  37. Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when all Assets are Risky. (2013). Szafarz, Ariane ; Mignon, Valerie ; Briere, Marie ; Oosterlinck, Kim ; Drut, Bastien .
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/9297.

    Full description at Econpapers || Download paper

  38. Funding Liquidity Risk from A Regulatory Perspective. (2013). Héam, Jean-Cyprien ; gourieroux, christian ; Heam, Jean-Cyprien .
    In: Working Papers.
    RePEc:crs:wpaper:2013-20.

    Full description at Econpapers || Download paper

  39. Wholesale Funding, Coordination, and Credit Risk. (2013). Zhang, Lei ; Zheng, Yong.
    In: CAGE Online Working Paper Series.
    RePEc:cge:wacage:124.

    Full description at Econpapers || Download paper

  40. Capital regulation, liquidity requirements and taxation in a dynamic model of banking. (2012). Lucchetta, Marcella ; Gamba, Andrea ; Luccetta, Marcella ; de Nicolo, Gianni.
    In: Discussion Papers.
    RePEc:zbw:bubdps:102012.

    Full description at Econpapers || Download paper

  41. Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when All Assets Are Risky.. (2012). Szafarz, Ariane ; OOSTERLINCK, Kim ; Mignon, Valérie ; Drut, Bastien ; Brière, Marie ; Briere, Marie.
    In: Working Papers CEB.
    RePEc:sol:wpaper:2013/107868.

    Full description at Econpapers || Download paper

  42. Bubbles, Financial Crises, and Systemic Risk. (2012). Brunnermeier, Markus ; Oehmke, Martin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18398.

    Full description at Econpapers || Download paper

  43. Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking. (2012). Gamba, Andrea ; Lucchetta, Marcella ; de Nicolo, Gianni.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2012/072.

    Full description at Econpapers || Download paper

  44. Rollover risk, network structure and systemic financial crises. (2012). Anand, Kartik ; Gai, Prasanna ; Marsili, Matteo.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:36:y:2012:i:8:p:1088-1100.

    Full description at Econpapers || Download paper

  45. Identifying systemically important financial institutions: size and other determinants. (2012). Zhou, Chen ; Moore, Kyle .
    In: DNB Working Papers.
    RePEc:dnb:dnbwpp:347.

    Full description at Econpapers || Download paper

  46. Pooling, Tranching and Credit Expansion. (2012). Bougheas, Spiros.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_3859.

    Full description at Econpapers || Download paper

  47. A model of liquidity hoarding and term premia in inter-bank markets. (2011). Skeie, David ; Acharya, Viral.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:58:y:2011:i:5:p:436-447.

    Full description at Econpapers || Download paper

  48. Asset Commonality, Debt Maturity and Systemic Risk. (2011). Carletti, Elena ; Babus, Ana ; Allen, Franklin.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8476.

    Full description at Econpapers || Download paper

  49. Strategic Complementarity, Fragility, and Regulation. (2011). Vives, Xavier.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_3507.

    Full description at Econpapers || Download paper

  50. Pooling, Tranching and Credit Expansion. (). Bougheas, Spiros.
    In: Discussion Papers.
    RePEc:not:notcfc:12/10.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-06 14:30:28 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.