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Systemic liquidity risk and portfolio theory: An application to the Italian financial markets
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Systemic liquidity risk and portfolio theory: An application to the Italian financial markets (2016)Systemic liquidity risk and portfolio the…Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Deciphering the Liquidity and…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …Is the crisis problem growing more severe? (2001)Is the crisis problem growing…Commonality in liquidity (2000)Commonality in liquidityMultivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market structure, information, futures markets, and price formation. (1984)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A five-factor asset pricing model (2014)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)PORTFOLIO SELECTION* (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Liquidity and leverage (2008)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Determinants of corporate borrowing (1977)Bank lending during the financial crisis of 2008 (2009)
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References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2002Dynamic Conditional Correlation7,229 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2008Market Liquidity and Funding Liquidity5,147 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 2003Modeling and Forecasting Realized Volatility3,920 cited
  • 2009Deciphering the Liquidity and Credit Crunch 2007–20083,703 cited
  • 2005Asset pricing with liquidity risk2,892 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 1986Modelling the persistence of conditional variances2,083 cited
  • 2000Commonality in liquidity1,748 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 2001Is the crisis problem growing more severe?

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