Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Negative Swap Spreads and Limited Arbitrage

16 references·16 citing·50 second hopsampled

FromToDepth

this work references cited by second hop· second hop is a sample of the most-cited connections

References

1995The Limits of Arbitrage5,282 cited
2002Closing Small Open Economy Models2,432 cited
1998Agency Costs, Risk Management, and Capital Structure1,495 cited
1991Real Business Cycles in a Small Open Economy1,093 cited
2005Demand-Based Option Pricing889 cited
2018Deviations from Covered Interest Rate Parity722 cited
1992Projection methods for solving aggregate growth models614 cited
2010Limits of Arbitrage486 cited
2003Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities331 cited
2007Limits of Arbitrage: Theory and Evidence from the Mortgage‐Backed Securities Market295 cited
2005Hedging or Market Timing? Selecting the Interest Rate Exposure of Corporate Debt292 cited
2008Decomposing swap spreads277 cited
2001On the Term Structure of Default Premia in the Swap and LIBOR Markets228 cited
2006The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks*193 cited
2018Funding Value Adjustments187 cited
2017Financial Regulatory Reform After the Crisis: An Assessment

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

185 cited

Cited by

2020Treasury Inconvenience Yields during the COVID-19 Crisis87 cited
2022Are Intermediary Constraints Priced?81 cited
2020Renting Balance Sheet Space: Intermediary Balance Sheet Rental Costs and the Valuation of Derivatives75 cited
2020Benchmark interest rates when the government is risky55 cited
2022CIP deviations, the dollar, and frictions in international capital markets54 cited
2019On the role of Islamic and conventional banks in the monetary policy transmission in Malaysia: Do size and liquidity matter?51 cited
2021Heterogeneous intermediary asset pricing51 cited
2021CIP Deviations, the Dollar, and Frictions in International Capital Markets45 cited
2022Intermediary Balance Sheets and the Treasury Yield Curve39 cited
2023Dealer Capacity and U.S. Treasury Market Functionality38 cited
2026Risk-Free Rates and Convenience Yields Around the World37 cited
2019Are Intermediary Constraints Priced?35 cited
2023Market power in wholesale funding: A structural perspective from the triparty repo market34 cited
2023Intermediary balance sheets and the treasury yield curve28 cited
2024Treasury Richness26 cited
2022Intermediary Balance Sheets and the Treasury Yield Curve26 cited