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A Search-Based Theory of the On-the-Run Phenomenon
16 references·12 citing·41 second hop
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this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1989Recursive Methods in Economic Dynamics3,065 cited
  • 1982Aggregate Demand Management in Search Equilibrium1,933 cited
  • 1981Point Processes and Queues1,652 cited
  • 1989On Money as a Medium of Exchange1,410 cited
  • 2004Over-the-Counter Markets1,199 cited
  • 1986Capital Market Equilibrium with Transaction Costs1,096 cited
  • 2002Securities lending, shorting, and pricing670 cited
  • 1996Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing650 cited
  • 1996The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects601 cited
  • 1991Multimarket Trading and Market Liquidity597 cited
  • 2010Evaluating the effects of incomplete markets on risk sharing nad asset pricing586 cited
  • 1995Search, Bargaining, Money, and Prices578 cited
  • 2002The bond/old-bond spread514 cited

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Cited by

  • 2010New Monetarist Economics: Models120 cited
  • 2016Monetary Policy, Asset Prices, and Liquidity in Over-the-Counter Markets117 cited
  • 2010New Monetarist Economics99 cited
  • 2014Decentralized Trading With Private Information93 cited
  • 2012The Cost of Short‐Selling Liquid Securities63 cited
  • 2014Trade Dynamics in the Market for Federal Funds58 cited
  • 2012Theories of Liquidity43 cited
  • 2009Liquidity Premia in German Government Bonds41 cited
  • 2009Liquidity Shocks and Order Book Dynamics35 cited
  • 2012Trade Dynamics in the Market for Federal Funds35 cited
  • 2007The Microstructure of the U.S. Treasury Market26 cited
  • 2014The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors12 cited