SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The Role of Portfolio Constraints in the International Propagation of Shocks
16 references·16 citing·39 second hopsampled
The Role of Portfolio Constraints in the International Propagation of Shocks (2008)The Role of Portfolio Constraints in the …Stochastic Differential Equations (2003)Stochastic Differential Equat…Stochastic Differential Equations (2003)Stochastic Differential Equat…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Equilibrium and welfare in markets with financially constrained arbitrageurs (2002)Equilibrium and welfare in ma…The Six Major Puzzles in International Macroeconomics: Is There a Common Cause? (2000)The Six Major Puzzles in Inte…The Six Major Puzzles in International Macroeconomics: Is There a Common Cause? (2000)The Six Major Puzzles in Inte…On crises, contagion, and confusion (2000)On crises, contagion, and con…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…The Financial Accelerator and the Flight to Quality (1996)The Financial Accelerator and…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…International Economics: Theory and Policy (1987)International Economics: Theo…International Economics: Theory and Policy (1987)International Economics: Theo…Interest rates and currency prices in a two-country world (1982)Interest rates and currency p…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Liquidity and Exchange Rates: An Empirical Investigation (2022)Liquidity and Exchange Rates:…Contagion, Spillover, and Interdependence (2019)Contagion, Spillover, and Int…The Dynamics of Financially Constrained Arbitrage (2018)The Dynamics of Financially C…Factor Structure in Commodity Futures Return and Volatility (2018)Factor Structure in Commodity…Measuring sovereign contagion in Europe (2017)Measuring sovereign contagion…The connectedness between crude oil and financial markets: Evidence from implied volatility indices (2016)The connectedness between cru…The relation between sovereign credit rating revisions and economic growth (2015)The relation between sovereig…Mutual funds flows and the geography of contagion (2015)Mutual funds flows and the ge…Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates (2015)Can oil prices forecast excha…Market Liquidity—Theory and Empirical Evidence (2013)Market Liquidity—Theory and E…Dynamic Equilibrium with Two Stocks, Heterogeneous Investors, and Portfolio Constraints (2013)Dynamic Equilibrium with Two …Asset Fire Sales and Purchases and the International Transmission of Funding Shocks (2011)Asset Fire Sales and Purchase…Modeling Financial Contagion Using Mutually Exciting Jump Processes (2010)Modeling Financial Contagion …Limits of Arbitrage: The State of the Theory (2010)Limits of Arbitrage: The Stat…International portfolio diversification is better than you think (2010)International portfolio diver…Is mark-to-market accounting destabilizing? Analysis and implications for policy (2009)Is mark-to-market accounting …Corporate financing and investment decisions when firms have information that investors do not have (1984)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)Finance and Growth: Schumpeter Might Be Right (1993)Small Business Credit Availability and Relationship Lending: The Importance of Bank Organisational Structure (2002)Information Asymmetry and Financing Arrangements: Evidence from Syndicated Loans (2007)Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking? (2014)The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introductory Econometrics for Finance (2008)The Limits of Financial Globalization (2005)An Equilibrium Model of “Global Imbalances” and Low Interest Rates (2008)Cultural Biases in Economic Exchange? * (2009)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)A pricing method for options based on average asset values (1990)Do subsidies to commercial R&D reduce market failures? Microeconometric evaluation studies (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Regions, Globalization, Development (2003)Attitudes toward Highly Skilled and Low-skilled Immigration: Evidence from a Survey Experiment (2010)Does product market competition foster corporate social responsibility? Evidence from trade liberalization (2014)Risk-Sensitive Mean-Field Games (2013)Stochastic Differential Equations (2014)Numerical Solution of Stochastic Differential Equations (2016)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2003Stochastic Differential Equations2,978 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1996The Financial Accelerator and the Flight to Quality2,351 cited
  • 2003Stochastic Differential Equations2,090 cited
  • 2000The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?2,067 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1987International Economics: Theory and Policy1,309 cited
  • 1987International Economics: Theory and Policy1,275 cited
  • 2000On crises, contagion, and confusion1,270 cited
  • 1982Interest rates and currency prices in a two-country world1,256 cited
  • 2002Equilibrium and welfare in markets with financially constrained arbitrageurs1,196 cited
  • 2000The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?1,182 cited
  • 1987

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
1,106 cited

Cited by

  • 2015Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates257 cited
  • 2011Asset Fire Sales and Purchases and the International Transmission of Funding Shocks158 cited
  • 2009Is mark-to-market accounting destabilizing? Analysis and implications for policy143 cited
  • 2017Measuring sovereign contagion in Europe138 cited
  • 2010Limits of Arbitrage: The State of the Theory124 cited
  • 2010Modeling Financial Contagion Using Mutually Exciting Jump Processes122 cited
  • 2010International portfolio diversification is better than you think106 cited
  • 2016The connectedness between crude oil and financial markets: Evidence from implied volatility indices105 cited
  • 2018The Dynamics of Financially Constrained Arbitrage104 cited
  • 2013Market Liquidity—Theory and Empirical Evidence101 cited
  • 2019Contagion, Spillover, and Interdependence96 cited
  • 2015The relation between sovereign credit rating revisions and economic growth92 cited
  • 2018Factor Structure in Commodity Futures Return and Volatility90 cited
  • 2013Dynamic Equilibrium with Two Stocks, Heterogeneous Investors, and Portfolio Constraints87 cited
  • 2022Liquidity and Exchange Rates: An Empirical Investigation85 cited
  • 2015Mutual funds flows and the geography of contagion84 cited