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Fire Sales Forensics: Measuring Endogenous Risk
16 references·4 citing·49 second hop
Fire Sales Forensics: Measuring Endogenous Risk (2012)Fire Sales Forensics: Measuring Endogenou…Connected Stocks (2014)Connected StocksThe Price Impact of Order Book Events (2013)The Price Impact of Order Boo…Stock price fragility (2011)Stock price fragilityFire Sales in Finance and Macroeconomics (2011)Fire Sales in Finance and Mac…Discretization of Processes (2011)Discretization of ProcessesWhat happened to the quants in August 2007? Evidence from factors and transactions data (2010)What happened to the quants i…The Wishart Autoregressive process of multivariate stochastic volatility (2009)The Wishart Autoregressive pr…How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices (2006)How Do Crises Spread? 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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1992Liquidation Values and Debt Capacity: A Market Equilibrium Approach2,901 cited
  • 2005Asset Fire Sales (and Purchases) in Equity Markets1,704 cited
  • 2001Contagion as a Wealth Effect926 cited
  • 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
  • 2011Fire Sales in Finance and Macroeconomics836 cited
  • 2005Predatory Trading588 cited
  • 1990Market Liquidity, Hedging, and Crashes550 cited
  • 2011Discretization of Processes486 cited
  • 2006How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices429 cited
  • 2014Connected Stocks374 cited
  • 2013The Price Impact of Order Book Events348 cited
  • 2010What happened to the quants in August 2007? Evidence from factors and transactions data332 cited
  • 2011Stock price fragility300 cited
  • 2009The Wishart Autoregressive process of multivariate stochastic volatility

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295 cited

Cited by

  • 2014Diversification and systemic risk49 cited
  • 2018Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction46 cited
  • 2018Strategic fire-sales and price-mediated contagion in the banking system44 cited
  • 2019An SPDE model for systemic risk with endogenous contagion38 cited