Mark D. Flood
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Blog mentions
As found by EconAcademics.org, the blog aggregator for Economics research:- Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012.
"A Survey of Systemic Risk Analytics,"
Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
- Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Working Papers 12-01, Office of Financial Research, US Department of the Treasury.
Mentioned in:
- The mythic quest for early warnings
by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2015-04-13 17:40:01
Working papers
- Liju Fan & Mark D. Flood, 2018.
"An Ontology of Ownership and Control Relations of Bank Holding Companies,"
Staff Discussion Papers
18-01, Office of Financial Research, US Department of the Treasury.
Cited by:
- Ka Kei Chan & Alistair Milne, 2019. "The Global Legal Entity Identifier System: How Can It Deliver?," JRFM, MDPI, vol. 12(1), pages 1-29, March.
- Mark D. Flood & Dror Y. Kenett & Robin L. Lumsdaine & Jonathan K. Simon, 2017.
"The Complexity of Bank Holding Companies: A Topological Approach,"
NBER Working Papers
23755, National Bureau of Economic Research, Inc.
- Flood, Mark D. & Kenett, Dror Y. & Lumsdaine, Robin L. & Simon, Jonathan K., 2020. "The Complexity of Bank Holding Companies: A Topological Approach," Journal of Banking & Finance, Elsevier, vol. 118(C).
Cited by:
- Robin L. Lumsdaine & Daniel N. Rockmore & Nicholas Foti & Gregory Leibon & J. Doyne Farmer, 2015.
"The Intrafirm Complexity of Systemically Important Financial Institutions,"
Papers
1505.02305, arXiv.org.
- Lumsdaine, R.L. & Rockmore, D.N. & Foti, N.J. & Leibon, G. & Farmer, J.D., 2021. "The intrafirm complexity of systemically important financial institutions," Journal of Financial Stability, Elsevier, vol. 52(C).
- Tembo Nakamoto & Abhijit Chakraborty & Yuichi Ikeda, 2019. "Identification of Key Companies for International Profit Shifting in the Global Ownership Network," Papers 1904.12397, arXiv.org.
- Abad, Jorge & D’Errico, Marco & Killeen, Neill & Luz, Vera & Peltonen, Tuomas & Portes, Richard & Urbano, Teresa, 2022. "Mapping exposures of EU banks to the global shadow banking system," Journal of Banking & Finance, Elsevier, vol. 134(C).
- Linda S. Goldberg, 2022.
"Global Liquidity: Drivers, Volatility and Toolkits,"
Speech
95155, Federal Reserve Bank of New York.
- Linda S. Goldberg, 2024. "Global Liquidity: Drivers, Volatility and Toolkits," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(1), pages 1-31, March.
- Goldberg, Linda S., 2023. "Global Liquidity: Drivers, Volatility and Toolkits," CEPR Discussion Papers 18231, C.E.P.R. Discussion Papers.
- Linda S. Goldberg, 2023. "Global Liquidity: Drivers, Volatility and Toolkits," Staff Reports 1064, Federal Reserve Bank of New York.
- Linda S. Goldberg, 2023. "Global Liquidity: Drivers, Volatility and Toolkits," NBER Working Papers 31355, National Bureau of Economic Research, Inc.
- Carlos León, 2021.
"The dawn of a mobile payment scheme: The case of Movii,"
Borradores de Economia
1157, Banco de la Republica de Colombia.
- León, Carlos, 2021. "The dawn of a mobile payment scheme: The case of Movii," Working papers 78, Red Investigadores de Economía.
- Correa, Ricardo & Goldberg, Linda S., 2022.
"Bank complexity, governance, and risk,"
Journal of Banking & Finance, Elsevier, vol. 134(C).
- Ricardo Correa & Linda S. Goldberg, 2020. "Bank Complexity, Governance, and Risk," NBER Working Papers 27547, National Bureau of Economic Research, Inc.
- Ricardo Correa & Linda S. Goldberg, 2020. "Bank Complexity, Governance, and Risk," Staff Reports 930, Federal Reserve Bank of New York.
- Ricardo Correa & Linda S. Goldberg, 2020. "Bank Complexity, Governance, and Risk," International Finance Discussion Papers 1287, Board of Governors of the Federal Reserve System (U.S.).
- Jin Cao & Ragnar E. Juelsrud, 2020.
"Opacity and risk-taking: Evidence from Norway,"
Working Paper
2020/12, Norges Bank.
- Cao, Jin & Juelsrud, Ragnar E., 2022. "Opacity and risk-taking: Evidence from Norway," Journal of Banking & Finance, Elsevier, vol. 134(C).
- Claudia M. Buch & Linda S. Goldberg, 2021. "Complexity and Riskiness of Banking Organizations: Evidence from the International Banking Research Network," Staff Reports 966, Federal Reserve Bank of New York.
- Brunetti, Celso & Harris, Jeffrey H. & Mankad, Shawn, 2023. "Networks, interconnectedness, and interbank information asymmetry," Journal of Financial Stability, Elsevier, vol. 67(C).
- Gai, Prasanna & Kemp, Malcolm & Sánchez Serrano, Antonio & Schnabel, Isabel, 2019. "Regulatory complexity and the quest for robust regulation," Report of the Advisory Scientific Committee 8, European Systemic Risk Board.
- Iñaki Aldasoro & Bryan Hardy & Maximilian Jager, 2020.
"The Janus Face of bank geographic complexity,"
BIS Working Papers
858, Bank for International Settlements.
- Aldasoro, Iñaki & Hardy, Bryan & Jager, Maximilian, 2022. "The Janus face of bank geographic complexity," Journal of Banking & Finance, Elsevier, vol. 134(C).
- León, Carlos, 2021. "The adoption of a mobile payment system: the user perspective," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 2(4).
- Mark D. Flood & Dror Y. Kenett & Robin L. Lumsdaine & Jonathan J. Simon, 2017.
"The Complexity of Bank Holding Companies: A New Measurement Approach,"
Working Papers
17-03, Office of Financial Research, US Department of the Treasury.
Cited by:
- Abad, Jorge & D’Errico, Marco & Killeen, Neill & Luz, Vera & Peltonen, Tuomas & Portes, Richard & Urbano, Teresa, 2022. "Mapping exposures of EU banks to the global shadow banking system," Journal of Banking & Finance, Elsevier, vol. 134(C).
- Jin Cao & Ragnar E. Juelsrud, 2020.
"Opacity and risk-taking: Evidence from Norway,"
Working Paper
2020/12, Norges Bank.
- Cao, Jin & Juelsrud, Ragnar E., 2022. "Opacity and risk-taking: Evidence from Norway," Journal of Banking & Finance, Elsevier, vol. 134(C).
- Gai, Prasanna & Kemp, Malcolm & Sánchez Serrano, Antonio & Schnabel, Isabel, 2019. "Regulatory complexity and the quest for robust regulation," Report of the Advisory Scientific Committee 8, European Systemic Risk Board.
- Iñaki Aldasoro & Bryan Hardy & Maximilian Jager, 2020.
"The Janus Face of bank geographic complexity,"
BIS Working Papers
858, Bank for International Settlements.
- Aldasoro, Iñaki & Hardy, Bryan & Jager, Maximilian, 2022. "The Janus face of bank geographic complexity," Journal of Banking & Finance, Elsevier, vol. 134(C).
- Mark D. Flood & Phillip Monin, 2016.
"Form PF and Hedge Funds: Risk-measurement Precision for Option Portfolios,"
Working Papers
16-02, Office of Financial Research, US Department of the Treasury.
Cited by:
- Daniel Barth & Juha Joenvaara & Mikko Kauppila & Russ Wermers, 2020. "The Hedge Fund Industry is Bigger (and has Performed Better) Than You Think," Working Papers 20-01, Office of Financial Research, US Department of the Treasury.
- Mathias S. Kruttli & Phillip J. Monin & Sumudu W. Watugala, 2017.
"Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds,"
Working Papers
17-07, Office of Financial Research, US Department of the Treasury.
- Mathias S. Kruttli & Phillip J. Monin & Sumudu W. Watugala, 2017. "Investor Concentration, Flows, and Cash Holdings : Evidence from Hedge Funds," Finance and Economics Discussion Series 2017-121, Board of Governors of the Federal Reserve System (U.S.).
- Office of Financial Research (ed.), 2016. "2016 Financial Stability Report," Reports, Office of Financial Research, US Department of the Treasury, number 16-3, May.
- Mathias Kruttli & Phillip Monin & Sumudu Watugala, 2019.
"The Life of the Counterparty: Shock Propagation in Hedge Fund-Prime Broker Credit Networks,"
Working Papers
19-03, Office of Financial Research, US Department of the Treasury.
- Kruttli, Mathias S. & Monin, Phillip J. & Watugala, Sumudu W., 2022. "The life of the counterparty: Shock propagation in hedge fund-prime broker credit networks," Journal of Financial Economics, Elsevier, vol. 146(3), pages 965-988.
- Victoria Lemieux & Payam S. Rahmdel & Rick Walker & B.L. William Wong & Mark D. Flood, 2015.
"Clustering Techniques and Their Effect on Portfolio Formation and Risk Analysis,"
Staff Discussion Papers
15-01, Office of Financial Research, US Department of the Treasury.
Cited by:
- Mark D. Flood & Victoria L. Lemieux & Margaret Varga & B.L. William Wong, 2014.
"The Application of Visual Analytics to Financial Stability Monitoring,"
Working Papers
14-02, Office of Financial Research, US Department of the Treasury, revised 07 Oct 2014.
- Flood, Mark D. & Lemieux, Victoria L. & Varga, Margaret & William Wong, B.L., 2016. "The application of visual analytics to financial stability monitoring," Journal of Financial Stability, Elsevier, vol. 27(C), pages 180-197.
- MohammadAmin Fazli & Parsa Alian & Ali Owfi & Erfan Loghmani, 2021. "RPS: Portfolio Asset Selection using Graph based Representation Learning," Papers 2111.15634, arXiv.org.
- Gautier Marti & Frank Nielsen & Philippe Donnat & S'ebastien Andler, 2016. "On clustering financial time series: a need for distances between dependent random variables," Papers 1603.07822, arXiv.org.
- Jos'e Vin'icius de Miranda Cardoso & Jiaxi Ying & Daniel Perez Palomar, 2020. "Algorithms for Learning Graphs in Financial Markets," Papers 2012.15410, arXiv.org.
- Gautier Marti & Philippe Very & Philippe Donnat & Frank Nielsen, 2015. "A proposal of a methodological framework with experimental guidelines to investigate clustering stability on financial time series," Papers 1509.05475, arXiv.org.
- Han Yang & Ming-hui Wang & Nan-jing Huang, 2021. "The $$\alpha$$ α -Tail Distance with an Application to Portfolio Optimization Under Different Market Conditions," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 1195-1224, December.
- Gautier Marti & Philippe Very & Philippe Donnat, 2015. "Toward a generic representation of random variables for machine learning," Working Papers hal-01196883, HAL.
- Mark D. Flood & Victoria L. Lemieux & Margaret Varga & B.L. William Wong, 2014.
"The Application of Visual Analytics to Financial Stability Monitoring,"
Working Papers
14-02, Office of Financial Research, US Department of the Treasury, revised 07 Oct 2014.
- Mark D. Flood & John C. Liechty & Thomas Piontek, 2015.
"Systemwide Commonalities in Market Liquidity,"
Working Papers
15-11, Office of Financial Research, US Department of the Treasury.
Cited by:
- Díaz, Antonio & Escribano, Ana, 2020. "Measuring the multi-faceted dimension of liquidity in financial markets: A literature review," Research in International Business and Finance, Elsevier, vol. 51(C).
- Yerli, Cigdem & Eksi-Altay, Zehra & Selcuk-Kestel, A. Sevtap, 2023. "On the information content of implied liquidity measure: Evidence from the S&P 500 index options," Finance Research Letters, Elsevier, vol. 57(C).
- Mark D. Flood & Oliver R. Goodenough, 2015.
"Contract as Automaton: The Computational Representation of Financial Agreements,"
Working Papers
15-04, Office of Financial Research, US Department of the Treasury.
Cited by:
- Vinay K Chaudhri, 2022. "Computable Contracts in the Financial Services Industry," Papers 2208.04685, arXiv.org.
- Mark D. Flood & Phillip Monin & Lina Bandyopadhyay, 2015.
"Gauging Form PF: Data Tolerances in Regulatory Reporting on Hedge Fund Risk Exposures,"
Working Papers
15-13, Office of Financial Research, US Department of the Treasury.
Cited by:
- Daniel Barth & Laurel Hammond & Phillip Monin, 2020. "Leverage and Risk in Hedge Funds," Working Papers 20-02, Office of Financial Research, US Department of the Treasury.
- Daniel Barth & Juha Joenvaara & Mikko Kauppila & Russ Wermers, 2020. "The Hedge Fund Industry is Bigger (and has Performed Better) Than You Think," Working Papers 20-01, Office of Financial Research, US Department of the Treasury.
- Mark D. Flood & Phillip Monin, 2016. "Form PF and Hedge Funds: Risk-measurement Precision for Option Portfolios," Working Papers 16-02, Office of Financial Research, US Department of the Treasury.
- Mathias S. Kruttli & Phillip J. Monin & Sumudu W. Watugala, 2017.
"Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds,"
Working Papers
17-07, Office of Financial Research, US Department of the Treasury.
- Mathias S. Kruttli & Phillip J. Monin & Sumudu W. Watugala, 2017. "Investor Concentration, Flows, and Cash Holdings : Evidence from Hedge Funds," Finance and Economics Discussion Series 2017-121, Board of Governors of the Federal Reserve System (U.S.).
- Daniel Barth & Phillip Monin, 2020. "Illiquidity in Intermediate Portfolios: Evidence from Large Hedge Funds," Working Papers 20-03, Office of Financial Research, US Department of the Treasury.
- Mathias Kruttli & Phillip Monin & Sumudu Watugala, 2019.
"The Life of the Counterparty: Shock Propagation in Hedge Fund-Prime Broker Credit Networks,"
Working Papers
19-03, Office of Financial Research, US Department of the Treasury.
- Kruttli, Mathias S. & Monin, Phillip J. & Watugala, Sumudu W., 2022. "The life of the counterparty: Shock propagation in hedge fund-prime broker credit networks," Journal of Financial Economics, Elsevier, vol. 146(3), pages 965-988.
- Mark D. Flood & Victoria L. Lemieux & Margaret Varga & B.L. William Wong, 2014.
"The Application of Visual Analytics to Financial Stability Monitoring,"
Working Papers
14-02, Office of Financial Research, US Department of the Treasury, revised 07 Oct 2014.
- Flood, Mark D. & Lemieux, Victoria L. & Varga, Margaret & William Wong, B.L., 2016. "The application of visual analytics to financial stability monitoring," Journal of Financial Stability, Elsevier, vol. 27(C), pages 180-197.
Cited by:
- David Aikman & Michael T. Kiley & Seung Jung Lee & Michael G. Palumbo & Missaka Warusawitharana, 2015.
"Mapping Heat in the U.S. Financial System,"
Finance and Economics Discussion Series
2015-59, Board of Governors of the Federal Reserve System (U.S.).
- Aikman, David & Kiley, Michael & Lee, Seung Jung & Palumbo, Michael G. & Warusawitharana, Missaka, 2017. "Mapping heat in the U.S. financial system," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 36-64.
- Lang, Jan Hannes & Peltonen, Tuomas A. & Sarlin, Peter, 2018. "A framework for early-warning modeling with an application to banks," Working Paper Series 2182, European Central Bank.
- Cwynar Andrzej & Cwynar Wiktor & Pater Robert & Kaźmierkiewicz Piotr, 2017. "Information needs of financial market professionals in the big data and social media era. The empirical evidence from Poland," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 13(4), pages 1-13, December.
- Mark D. Flood & Victoria L. Lemieux & Margaret Varga & B.L. William Wong, 2014.
"The Application of Visual Analytics to Financial Stability Monitoring,"
Working Papers
14-02, Office of Financial Research, US Department of the Treasury, revised 07 Oct 2014.
- Flood, Mark D. & Lemieux, Victoria L. & Varga, Margaret & William Wong, B.L., 2016. "The application of visual analytics to financial stability monitoring," Journal of Financial Stability, Elsevier, vol. 27(C), pages 180-197.
- Annamaria Lusardi & Anya Savikhin Samek & Arie Kapteyn & Lewis Glinert & Angela Hung & Aileen Heinberg, 2014.
"Visual Tools and Narratives: New Ways to Improve Financial Literacy,"
NBER Working Papers
20229, National Bureau of Economic Research, Inc.
- Lusardi, Annamaria & Samek, Anya & Kapteyn, Arie & Glinert, Lewis & Hung, Angela & Heinberg, Aileen, 2017. "Visual tools and narratives: new ways to improve financial literacy," Journal of Pension Economics and Finance, Cambridge University Press, vol. 16(3), pages 297-323, July.
- Lewis Glinert & Aileen Heinberg & Angela Hung & Arie Kapteyn & Annamaria Lusardi & Anya Samek, 2014. "Visual Tools and Narratives: New Ways to Improve Financial Literacy," Framed Field Experiments 00429, The Field Experiments Website.
- Ajit Desai & Anneke Kosse & Jacob Sharples, 2024.
"Finding a needle in a haystack: a machine learning framework for anomaly detection in payment systems,"
BIS Working Papers
1188, Bank for International Settlements.
- Ajit Desai & Jacob Sharples & Anneke Kosse, 2024. "Finding a needle in a haystack: a machine learning framework for anomaly detection in payment systems," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Granular data: new horizons and challenges, volume 61, Bank for International Settlements.
- Ajit Desai & Anneke Kosse & Jacob Sharples, 2024. "Finding a Needle in a Haystack: A Machine Learning Framework for Anomaly Detection in Payment Systems," Staff Working Papers 24-15, Bank of Canada.
- Constantin Zopounidis & Michalis Doumpos & Dimitrios Niklis, 2018. "Financial decision support: an overview of developments and recent trends," EURO Journal on Decision Processes, Springer;EURO - The Association of European Operational Research Societies, vol. 6(1), pages 63-76, June.
- Cees Diks & Cars Hommes & Juanxi Wang, 2019.
"Critical slowing down as an early warning signal for financial crises?,"
Empirical Economics, Springer, vol. 57(4), pages 1201-1228, October.
- Diks, C.G.H. & Hommes, C.H. & Wang, J., 2015. "Critical Slowing Down as Early Warning Signals for Financial Crises?," CeNDEF Working Papers 15-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Zhibin Niu & Runlin Li & Junqi Wu & Dawei Cheng & Jiawan Zhang, 2020. "iConViz: Interactive Visual Exploration of the Default Contagion Risk of Networked-Guarantee Loans," Papers 2006.09542, arXiv.org, revised Aug 2020.
- Stanley Fischer, 2015. "Financial Stability and Shadow Banks: What We Don't Know Could Hurt Us: a speech at the \"Financial Stability: Policy Analysis and Data Needs\" 2015 Financial Stability Conference sponsored ," Speech 885, Board of Governors of the Federal Reserve System (U.S.).
- Irving Fisher Committee, 2024. "Granular data: new horizons and challenges," IFC Bulletins, Bank for International Settlements, number 61.
- Mark E. Paddrik & Richard Haynes & Andrew E. Todd & William T. Scherer & Peter A. Beling, 2016. "Visual analysis to support regulators in electronic order book markets," Environment Systems and Decisions, Springer, vol. 36(2), pages 167-182, June.
- Abhishek Ranjan & Siddhartha Nath, 2024. "Changing Contours Of Policy Communications In India," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 27(3), pages 435-458, July.
- Bholat, David & Broughton, Nida & Ter Meer, Janna & Walczak, Eryk, 2019. "Enhancing central bank communications using simple and relatable information," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 1-15.
- Kinsella, Stephen, 2019. "Visualising economic crises using accounting models," Accounting, Organizations and Society, Elsevier, vol. 75(C), pages 1-16.
- Sophie Cockcroft & Mark Russell, 2018. "Big Data Opportunities for Accounting and Finance Practice and Research," Australian Accounting Review, CPA Australia, vol. 28(3), pages 323-333, September.
- Bholat, David, 2015. "Big data and central banks," Bank of England Quarterly Bulletin, Bank of England, vol. 55(1), pages 86-93.
- Mark D. Flood & George G. Korenko, 2013.
"Systematic Scenario Selection: Stress Testing and the Nature of Uncertainty,"
Working Papers
13-05, Office of Financial Research, US Department of the Treasury.
- Mark D. Flood & George G. Korenko, 2015. "Systematic scenario selection: stress testing and the nature of uncertainty," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 43-59, January.
Cited by:
- Daniel Grigat & Fabio Caccioli, 2017. "Reverse stress testing interbank networks," Papers 1702.08744, arXiv.org, revised Mar 2017.
- Kim, Sooji & Plosser, Matthew C. & Santos, João A.C., 2018.
"Macroprudential policy and the revolving door of risk: Lessons from leveraged lending guidance,"
Journal of Financial Intermediation, Elsevier, vol. 34(C), pages 17-31.
- Sooji Kim & Matthew Plosser & João A. C. Santos, 2017. "Macroprudential policy and the revolving door of risk: lessons from leveraged lending guidance," Staff Reports 815, Federal Reserve Bank of New York.
- Günter Franke, 2020. "Management nicht-finanzieller Risiken: eine Forschungsagenda [Management of Non-Financial Risks: A Research Agenda]," Schmalenbach Journal of Business Research, Springer, vol. 72(3), pages 279-320, September.
- Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz, 2023.
"Expecting the unexpected: Stressed scenarios for economic growth,"
Working Papers
202314, University of California at Riverside, Department of Economics.
- Gloria González‐Rivera & C. Vladimir Rodríguez‐Caballero & Esther Ruiz, 2024. "Expecting the unexpected: Stressed scenarios for economic growth," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 926-942, August.
- Klingelhöfer, Jan & Sun, Rongrong, 2019.
"Macroprudential policy, central banks and financial stability: Evidence from China,"
Journal of International Money and Finance, Elsevier, vol. 93(C), pages 19-41.
- Klingelhöfer, Jan & Sun, Rongrong, 2017. "Macroprudential Policy, Central Banks and Financial Stability: Evidence from China," MPRA Paper 79033, University Library of Munich, Germany.
- Jan Klingelhöfer & Rongrong Sun, 2017. "Macroprudential Policy, Central Banks and Financial Stability: Evidence from China," CFDS Discussion Paper Series 2017/4, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China.
- Salih Fendoglu, 2017.
"Credit Cycles and Capital Flows : Effectiveness of the Macroprudential Policy Framework in Emerging Market Economies,"
Working Papers
1713, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Fendoğlu, Salih, 2017. "Credit cycles and capital flows: Effectiveness of the macroprudential policy framework in emerging market economies," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 110-128.
- Packham, Natalie & Woebbeking, Fabian, 2021. "Correlation scenarios and correlation stress testing," IRTG 1792 Discussion Papers 2021-012, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Moratis, Georgios & Sakellaris, Plutarchos, 2021.
"Measuring the systemic importance of banks,"
Journal of Financial Stability, Elsevier, vol. 54(C).
- Georgios Moratis & Plutarchos Sakellaris, 2017. "Measuring the systemic importance of banks," Working Papers 240, Bank of Greece.
- Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz, 2021.
"Expecting the unexpected: economic growth under stress,"
Working Papers
202106, University of California at Riverside, Department of Economics.
- Gonzalez Rivera, Gloria & Rodríguez Caballero, Carlos Vladimir, 2021. "Expecting the unexpected: economic growth under stress," DES - Working Papers. Statistics and Econometrics. WS 32148, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gloria González-Rivera & Carlos Vladimir Rodríguez-Caballero & Esther Ruiz Ortega, 2021. "Expecting the unexpected: economic growth under stress," CREATES Research Papers 2021-06, Department of Economics and Business Economics, Aarhus University.
- N. Packham & F. Woebbeking, 2021. "Correlation scenarios and correlation stress testing," Papers 2107.06839, arXiv.org, revised Sep 2022.
- Michele Costola & Bertrand Maillet & Zhining Yuan & Xiang Zhang, 2024.
"Mean-Variance Efficient Large Portfolios : A Simple Machine Learning Heuristic Technique based on the Two-Fund Separation Theorem,"
Post-Print
hal-04514343, HAL.
- Michele Costola & Bertrand Maillet & Zhining Yuan & Xiang Zhang, 2024. "Mean–variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem," Annals of Operations Research, Springer, vol. 334(1), pages 133-155, March.
- Breuer, Thomas & Summer, Martin, 2020. "Systematic stress tests on public data," Journal of Banking & Finance, Elsevier, vol. 118(C).
- Jose M Berrospide & Ricardo Correa & Linda S Goldberg & Friederike Niepmann, 2017.
"International Banking and Cross-Border Effects of Regulation: Lessons from the United States,"
International Journal of Central Banking, International Journal of Central Banking, vol. 13(2), pages 435-476, March.
- Jose M. Berrospide & Ricardo Correa & Linda S. Goldberg & Friederike Niepmann, 2016. "International banking and cross-border effects of regulation: lessons from the United States," Staff Reports 793, Federal Reserve Bank of New York.
- Jose M. Berrospide & Ricardo Correa & Linda S. Goldberg & Friederike Niepmann, 2016. "International Banking and Cross-Border Effects of Regulation : Lessons from the United States," International Finance Discussion Papers 1180, Board of Governors of the Federal Reserve System (U.S.).
- Jose Berrospide & Ricardo Correa & Linda Goldberg & Friederike Niepmann, 2016. "International Banking and Cross-border Effects of Regulation: Lessons from the United States," NBER Working Papers 22645, National Bureau of Economic Research, Inc.
- Giuseppe Montesi & Giovanni Papiro & Massimiliano Fazzini & Alessandro Ronga, 2020. "Stochastic Optimization System for Bank Reverse Stress Testing," JRFM, MDPI, vol. 13(8), pages 1-44, August.
- Grundke, Peter & Pliszka, Kamil, 2015.
"A macroeconomic reverse stress test,"
Discussion Papers
30/2015, Deutsche Bundesbank.
- Peter Grundke & Kamil Pliszka, 2018. "A macroeconomic reverse stress test," Review of Quantitative Finance and Accounting, Springer, vol. 50(4), pages 1093-1130, May.
- Emanuele Campiglio, 2014.
"Beyond carbon pricing: The role of banking and monetary policy in financing the transition to a low-carbon economy,"
GRI Working Papers
160, Grantham Research Institute on Climate Change and the Environment.
- Campiglio, Emanuele, 2016. "Beyond carbon pricing: The role of banking and monetary policy in financing the transition to a low-carbon economy," Ecological Economics, Elsevier, vol. 121(C), pages 220-230.
- Campiglio, Emanuele, 2015. "Beyond carbon pricing: the role of banking and monetary policy in financing the transition to a low-carbon economy," LSE Research Online Documents on Economics 65146, London School of Economics and Political Science, LSE Library.
- Paul Glasserman & Mike Li, 2022. "Should Bank Stress Tests Be Fair?," Papers 2207.13319, arXiv.org, revised May 2023.
- Michel Baes & Eric Schaanning, 2023. "Reverse stress testing: Scenario design for macroprudential stress tests," Mathematical Finance, Wiley Blackwell, vol. 33(2), pages 209-256, April.
- Pliszka, Kamil, 2021. "System-wide and banks' internal stress tests: Regulatory requirements and literature review," Discussion Papers 19/2021, Deutsche Bundesbank.
- Packham, N. & Woebbeking, F., 2023. "Correlation scenarios and correlation stress testing," Journal of Economic Behavior & Organization, Elsevier, vol. 205(C), pages 55-67.
- Bassett, William F. & Marsh, W. Blake, 2017. "Assessing targeted macroprudential financial regulation: The case of the 2006 commercial real estate guidance for banks," Journal of Financial Stability, Elsevier, vol. 30(C), pages 209-228.
- Jingnan Chen & Mark D. Flood & Richard B. Sowers, 2015. "Measuring the Unmeasurable: An Application of Uncertainty Quantification to Financial Portfolios," Working Papers 15-19, Office of Financial Research, US Department of the Treasury.
- Levy-Carciente, Sary & Kenett, Dror Y. & Avakian, Adam & Stanley, H. Eugene & Havlin, Shlomo, 2015. "Dynamical macroprudential stress testing using network theory," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 164-181.
- Dror Y. Kenett & Sary Levy-Carciente & Adam Avakian & H. Eugene Stanley & Shlomo Havlin, 2015. "Dynamical Macroprudential Stress Testing Using Network Theory," Working Papers 15-12, Office of Financial Research, US Department of the Treasury.
- Seabrook, Isobel & Caccioli, Fabio & Aste, Tomaso, 2022. "Quantifying impact and response in markets using information filtering networks," LSE Research Online Documents on Economics 115308, London School of Economics and Political Science, LSE Library.
- Greenwood-Nimmo, Matthew & Tarassow, Artur, 2016. "Monetary shocks, macroprudential shocks and financial stability," Economic Modelling, Elsevier, vol. 56(C), pages 11-24.
- Thomas Breuer & Martin Summer, 2018. "Systematic Systemic Stress Tests," Working Papers 225, Oesterreichische Nationalbank (Austrian Central Bank).
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- Mr. Plamen K Iossifov, 2021. "Cyclical Patterns of Systemic Risk Metrics: Cross-Country Analysis," IMF Working Papers 2021/028, International Monetary Fund.
- Alesia Kalbaska, 2013. "From Sovereigns to Banks: Evidence on Cross-border Contagion (2006-2011)," Department of Economics University of Siena 680, Department of Economics, University of Siena.
- Thiemann, Matthias & Aldegwy, Mohamed & Ibrocevic, Edin, 2016. "Understanding the shift from micro to macro-prudential thinking: A discursive network analysis," SAFE Working Paper Series 136, Leibniz Institute for Financial Research SAFE.
- Daniel Felix Ahelegbey, 2015. "The Econometrics of Networks: A Review," Working Papers 2015:13, Department of Economics, University of Venice "Ca' Foscari".
- Narayan, Shivani & Kumar, Dilip & Bouri, Elie, 2023. "Systemically important financial institutions and drivers of systemic risk: Evidence from India," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
- Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.
- Stanislav S Borysov & Alexander V Balatsky, 2014. "Cross-Correlation Asymmetries and Causal Relationships between Stock and Market Risk," PLOS ONE, Public Library of Science, vol. 9(8), pages 1-11, August.
- Nadine Walters & Gusti Van Zyl & Conrad Beyers, 2019. "Financial Contagion In Large, Inhomogeneous Stochastic Interbank Networks," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-26, March.
- Cabral, Inês & Detken, Carsten & Fell, John & Henry, Jérôme & Hiebert, Paul & Kapadia, Sujit & Pires, Fatima & Salleo, Carmelo & Constâncio, Vítor & Nicoletti Altimari, Sergio, 2019. "Macroprudential policy at the ECB: Institutional framework, strategy, analytical tools and policies," Occasional Paper Series 227, European Central Bank.
- Rutger-Jan Lange & Andre Lucas & Arjen H. Siegmann, 2016. "Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads," Tinbergen Institute Discussion Papers 16-064/IV, Tinbergen Institute.
- Flood, Mark D. & Huisman, Ronald & Koedijk, Kees G. & Lyons, Richard K., 2012.
"Search Costs: The Neglected Spread Component,"
Research Program in Finance, Working Paper Series
qt5q05g9pt, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.
- Mark D. Flood Ronald Huisman Kees G. Koedijk and Richard Lyons., 1998. "Search Costs: The Neglected Spread Component," Research Program in Finance Working Papers RPF-285, University of California at Berkeley.
Cited by:
- Rodolfo Apreda, 2003. "On the Extent of Arbitrage Constraints within Transaction Algebras (A non-standard approach)," CEMA Working Papers: Serie Documentos de Trabajo. 239, Universidad del CEMA.
- Rudy De Winne & Christophe Majois, 2003. "A comparison of alternative spread décomposition models on Euronext Brussels," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 46(4), pages 91-136.
- Yalin Gündüz & Torsten Lüdecke & Marliese Uhrig-Homburg, 2007. "Trading Credit Default Swaps via Interdealer Brokers," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(3), pages 141-159, December.
- Yin-Wong Cheung & Menzie D. Chinn & Ian W. Marsh, 2000.
"How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?,"
NBER Working Papers
7524, National Bureau of Economic Research, Inc.
- Cheung, Yin-Wong & Chinn, Menzie David & Marsh, Ian W, 1999. "How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?," CEPR Discussion Papers 2230, C.E.P.R. Discussion Papers.
- Yin-Wong Cheung & Menzie D. Chinn & Ian W. Marsh, 2004. "How do UK-based foreign exchange dealers think their market operates?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(4), pages 289-306.
- Rodolfo Apreda, 2001. "The Brokerage of Asymmetric Information," CEMA Working Papers: Serie Documentos de Trabajo. 190, Universidad del CEMA.
- Toni Gravelle, 1999.
"Liquidity of the Government of Canada Securities Market: Stylized Facts and Some Market Microstructure Comparisons to the United States Treasury Market,"
Staff Working Papers
99-11, Bank of Canada.
- Toni Gravelle, 1999. "Liquidity of the Government of Canada Securities Market: Stylised Facts and Some Market Microstructure Comparisons to the United States Treasury Market," CGFS Papers chapters, in: Bank for International Settlements (ed.), Market Liquidity: Research Findings and Selected Policy Implications, volume 11, pages 1-37, Bank for International Settlements.
- Flood, M.D. & Koedijk, C.G. & van Dijk, M.A. & van Leeuwen, I.W., 2002.
"Dividing the Pie,"
ERIM Report Series Research in Management
ERS-2002-101-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
Cited by:
- Dunne, Peter & Moore, Michael J. & Portes, Richard, 2006. "An Empirical Analysis of Transparency-Related Characteristics of European and US Sovereign Bond Markets," Research Technical Papers 9/RT/06, Central Bank of Ireland.
- Sun, Zhuowei & Dunne, Peter G. & Li, Youwei, 2015.
"Price Discovery in the Dual-Platform US Treasury Market,"
MPRA Paper
61440, University Library of Munich, Germany.
- Sun, Zhuowei & Dunne, Peter G. & Li, Youwei, 2015. "Price discovery in the dual-platform US Treasury market," Global Finance Journal, Elsevier, vol. 28(C), pages 95-110.
- Mark D. Flood, 1993.
"Market structure and inefficiency in the foreign exchange market,"
Working Papers
1991-001, Federal Reserve Bank of St. Louis.
- Flood, Mark D., 1994. "Market structure and inefficiency in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 13(2), pages 131-158, April.
Cited by:
- Martin Evans and David Lyons, 2001.
"Time-Varying Liquidity in Foreign Exchange,"
Working Papers
gueconwpa~01-01-11, Georgetown University, Department of Economics.
- Martin D. D. Evans & Richard K. Lyons, 2017. "Time-Varying Liquidity in Foreign Exchange," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 8, pages 325-361, World Scientific Publishing Co. Pte. Ltd..
- Evans, Martin D. D. & Lyons, Richard K., 2002. "Time-varying liquidity in foreign exchange," Journal of Monetary Economics, Elsevier, vol. 49(5), pages 1025-1051, July.
- Filip Stanek & Jiri Kukacka, 2018.
"The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market,"
Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 865-892, April.
- Jiri Kukacka & Filip Stanek, 2015. "The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market," Working Papers IES 2015/26, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2015.
- Richard K. Lyons., 1995.
"Foreign Exchange Volume: Sound and Fury Signifying Nothing?,"
Research Program in Finance Working Papers
RPF-243, University of California at Berkeley.
- Richard K. Lyons, 1995. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," NBER Working Papers 4984, National Bureau of Economic Research, Inc.
- Richard K. Lyons, 1996. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 183-208, National Bureau of Economic Research, Inc.
- Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2014.
"Precious Metals Under the Microscope: A High-Frequency Analysis,"
Working Papers on Finance
1409, University of St. Gallen, School of Finance.
- Massimiliano Caporin & Angelo Ranaldo & Gabriel G. Velo, 2015. "Precious metals under the microscope: a high-frequency analysis," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 743-759, May.
- Martin D.D. Evans & Richard K. Lyons, 1999.
"Order Flow and Exchange Rate Dynamics,"
NBER Working Papers
7317, National Bureau of Economic Research, Inc.
- Martin D. D. Evans and Richard K. Lyons., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance Working Papers RPF-288, University of California at Berkeley.
- Martin D. D. Evans & Richard K. Lyons, 2002. "Order Flow and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 110(1), pages 170-180, February.
- Martin D.D. Evans & Richard K. Lyons, 2017. "Order Flow and Exchange Rate Dynamics," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 6, pages 247-290, World Scientific Publishing Co. Pte. Ltd..
- Evans, Martin D. & Lyons, Richard K., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance, Working Paper Series qt0dh1c16w, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.
- Lyons, Richard K., 1995.
"Tests of microstructural hypotheses in the foreign exchange market,"
Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 321-351.
- Richard K. Lyons, 1993. "Tests of Microstructural Hypotheses in the Foreign Exchange Market," NBER Working Papers 4471, National Bureau of Economic Research, Inc.
- Richard K. Lyons., 1993. "Tests of Microstructural Hypotheses in the Foreign Exchange Market," Research Program in Finance Working Papers RPF-230, University of California at Berkeley.
- Gau, Yin-Feng & Hua, Mingshu, 2007. "Intraday exchange rate volatility: ARCH, news and seasonality effects," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(1), pages 135-158, March.
- Katarzyna Dąbrowska-Gruszczyńska & Marcin Gruszczyński, 2009. "The introduction of the euro in the perspective of accession and the challenges of absorption," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 22.
- Lyons, R.K., 1991.
"Private Beliefs and Information Externalities in the Foreign Exchange Market,"
Papers
91-17, Columbia - Graduate School of Business.
- Richard K. Lyons, 1991. "Private Beliefs and Information Externalities in the Foreign Exchange Market," NBER Working Papers 3889, National Bureau of Economic Research, Inc.
- D’Errico, Marco & Battiston, Stefano & Peltonen, Tuomas & Scheicher, Martin, 2018.
"How does risk flow in the credit default swap market?,"
Journal of Financial Stability, Elsevier, vol. 35(C), pages 53-74.
- D'Errico, Marco & Battiston, Stefano & Peltonen, Tuomas A. & Scheicher, Martin, 2016. "How does risk flow in the credit default swap market?," ESRB Working Paper Series 33, European Systemic Risk Board.
- Scheicher, Martin & Peltonen, Tuomas A. & D'Errico, Marco & Battiston, Stefano, 2017. "How does risk flow in the credit default swap market?," Working Paper Series 2041, European Central Bank.
- Gau, Yin-Feng, 2005. "Intraday volatility in the Taipei FX market," Pacific-Basin Finance Journal, Elsevier, vol. 13(4), pages 471-487, September.
- Gabriele Visentin & Stefano Battiston & Marco D'Errico, 2016. "Rethinking Financial Contagion," Papers 1608.07831, arXiv.org.
- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
- Ulibarri, Carlos A. & Anselmo, Peter & Hovsepian, Karen & Florescu, Ionut & Tolk, Jacob, 2008.
"'Noise trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?,"
MPRA Paper
14814, University Library of Munich, Germany.
- Carlos A. Ulibarri & Peter C. Anselmo & Karen Hovsepian & Jacob Tolk & Ionut Florescu, 2009. "'Noise-trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages 1-1.
- Carlos A. Ulibarri & Peter C. Anselmo & Karen Hovespian & Jacob Tolk & Ionut Florescu, 2009. "'Noise-trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages 268-279.
- Massimo Massa & Andrei Simonov, 2009. "Experimentation in Financial Markets," Management Science, INFORMS, vol. 55(8), pages 1377-1390, August.
- Ben Omrane, Walid & Heinen, Andréas, 2009. "Is there any common knowledge news in the Euro/Dollar market?," International Review of Economics & Finance, Elsevier, vol. 18(4), pages 656-670, October.
- Mr. Jorge I Canales Kriljenko, 2004. "Foreign Exchange Market Organization in Selected Developing and Transition Economies: Evidence from a Survey," IMF Working Papers 2004/004, International Monetary Fund.
- Hua, Mingshu & Gau, Yin-Feng, 2006. "Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market," Pacific-Basin Finance Journal, Elsevier, vol. 14(2), pages 193-208, April.
- Laurini, Márcio Poletti & Furlani, Luiz Gustavo Cassilatti & Portugal, Marcelo Savino, 2008. "Empirical market microstructure: An analysis of the BRL/US$ exchange rate market," Emerging Markets Review, Elsevier, vol. 9(4), pages 247-265, December.
- D'Errico, Marco & Roukny, Tarik, 2017. "Compressing over-the-counter markets," ESRB Working Paper Series 44, European Systemic Risk Board.
- Taufiq Choudhry & Frank McGroarty & Ke Peng & Shiyun Wang, 2012. "High‐Frequency Exchange‐Rate Prediction With An Artificial Neural Network," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 19(3), pages 170-178, July.
- Vitale, Paolo, 1998. "Two months in the life of several gilt-edged market makers on the London Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 299-324, December.
- Darvas, Zsolt, 1996. "Kamatkülönbség és árfolyam-várakozások az előre bejelentett kúszó árfolyamrendszerben [Interest differential and exchange rate expectations in the preannounced crawling band system of Hungary]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(10), pages 920-947.
- Charles Goodhart & Takatoshi Ito & Richard Payne, 1995. "One Day in June, 1994: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System," NBER Technical Working Papers 0179, National Bureau of Economic Research, Inc.
- Richard K. Lyons, 2001.
"Foreign exchange: macro puzzles, micro tools,"
Pacific Basin Working Paper Series
2001-10, Federal Reserve Bank of San Francisco.
- Richard K. Lyons, 2002. "Foreign exchange: macro puzzles, micro tools," Economic Review, Federal Reserve Bank of San Francisco, pages 51-69.
- Richard K. Lyons., 1993.
"Optimal Transparency in a Dealership Market with an Application to Foreign Exchange,"
Research Program in Finance Working Papers
RPF-231, University of California at Berkeley.
- Richard K. Lyons, 1993. "Optimal Transparency in a Dealership Market with an Application to Foreign Exchange," NBER Working Papers 4467, National Bureau of Economic Research, Inc.
- Michael King & Carol Osler & Dagfinn Rime, 2012.
"The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward,"
Working Papers
54, Brandeis University, Department of Economics and International Business School.
- Michael R. King & Carol Osler & Dagfinn Rime, 2013. "The market microstructure approach to foreign exchange - Looking back and looking forward," Working Paper 2013/12, Norges Bank.
- King, Michael R. & Osler, Carol L. & Rime, Dagfinn, 2013. "The market microstructure approach to foreign exchange: Looking back and looking forward," Journal of International Money and Finance, Elsevier, vol. 38(C), pages 95-119.
- Hua, Mingshu, 2009. "A study on foreign exchange dealers' bid-ask spread quote behavior," Pacific-Basin Finance Journal, Elsevier, vol. 17(4), pages 506-523, September.
- Chen, Pei-wen & Huang, Han-ching & Su, Yong-chern, 2014. "The central bank in market efficiency: The case of Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 239-260.
- Ulibarri, Carlos A. & Anselmo, Peter C. & Trabatti, Mauro X., 2005. "Cournot model of brokered FX trading," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(5), pages 425-436, December.
- Lyons, Richard K., 1997. "A simultaneous trade model of the foreign exchange hot potato," Journal of International Economics, Elsevier, vol. 42(3-4), pages 275-298, May.
- Marco D'Errico & Tarik Roukny, 2017. "Compressing Over-the-Counter Markets," Papers 1705.07155, arXiv.org, revised Jun 2019.
Articles
- Flood, Mark D. & Kenett, Dror Y. & Lumsdaine, Robin L. & Simon, Jonathan K., 2020.
"The Complexity of Bank Holding Companies: A Topological Approach,"
Journal of Banking & Finance, Elsevier, vol. 118(C).
See citations under working paper version above.
- Mark D. Flood & Dror Y. Kenett & Robin L. Lumsdaine & Jonathan K. Simon, 2017. "The Complexity of Bank Holding Companies: A Topological Approach," NBER Working Papers 23755, National Bureau of Economic Research, Inc.
- Flood, Mark D. & Lemieux, Victoria L. & Varga, Margaret & William Wong, B.L., 2016.
"The application of visual analytics to financial stability monitoring,"
Journal of Financial Stability, Elsevier, vol. 27(C), pages 180-197.
See citations under working paper version above.
- Mark D. Flood & Victoria L. Lemieux & Margaret Varga & B.L. William Wong, 2014. "The Application of Visual Analytics to Financial Stability Monitoring," Working Papers 14-02, Office of Financial Research, US Department of the Treasury, revised 07 Oct 2014.
- Flood, M. D. & Jagadish, H. V. & Raschid, L., 2016.
"Big data challenges and opportunities in financial stability monitoring,"
Financial Stability Review, Banque de France, issue 20, pages 129-142, April.
Cited by:
- Zhao, Yang & Goodell, John W. & Wang, Yong & Abedin, Mohammad Zoynul, 2023. "Fintech, macroprudential policies and bank risk: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 87(C).
- Office of Financial Research (ed.), 2016. "2016 Financial Stability Report," Reports, Office of Financial Research, US Department of the Treasury, number 16-3, May.
- Goodell, John W. & Kumar, Satish & Lim, Weng Marc & Pattnaik, Debidutta, 2021. "Artificial intelligence and machine learning in finance: Identifying foundations, themes, and research clusters from bibliometric analysis," Journal of Behavioral and Experimental Finance, Elsevier, vol. 32(C).
- Ka Kei Chan & Alistair Milne, 2019. "The Global Legal Entity Identifier System: How Can It Deliver?," JRFM, MDPI, vol. 12(1), pages 1-29, March.
- Mark D. Flood & George G. Korenko, 2015.
"Systematic scenario selection: stress testing and the nature of uncertainty,"
Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 43-59, January.
See citations under working paper version above.
- Mark D. Flood & George G. Korenko, 2013. "Systematic Scenario Selection: Stress Testing and the Nature of Uncertainty," Working Papers 13-05, Office of Financial Research, US Department of the Treasury.
- Bookstaber, Rick & Cetina, Jill & Feldberg, Greg & Flood, Mark & Glasserman, Paul, 2013.
"Stress tests to promote financial stability: Assessing progress and looking to the future,"
Journal of Risk Management in Financial Institutions, Henry Stewart Publications, vol. 7(1), pages 16-25, December.
See citations under working paper version above.
- Rick Bookstaber & Jill Cetina & Greg Feldberg & Mark Flood & Paul Glasserman, 2013. "Stress Tests to Promote Financial Stability: Assessing Progress and Looking to the Future," Working Papers 13-10, Office of Financial Research, US Department of the Treasury.
- Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012.
"A Survey of Systemic Risk Analytics,"
Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
See citations under working paper version above.
- Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Working Papers 12-01, Office of Financial Research, US Department of the Treasury.
- Flood, Mark D, et al, 1999.
"Quote Disclosure and Price Discovery in Multiple-Dealer Financial Markets,"
The Review of Financial Studies, Society for Financial Studies, vol. 12(1), pages 37-59.
Cited by:
- Harald Hau & Peter Hoffmann & Sam Langfield & Mr. Yannick Timmer, 2019.
"Discriminatory Pricing of Over-the-Counter Derivatives,"
IMF Working Papers
2019/100, International Monetary Fund.
- Hau, Harald & Hoffmann, Peter & Langfield, Sam & Timmer, Yannick, 2017. "Discriminatory pricing of over-the-counter derivatives," ESRB Working Paper Series 61, European Systemic Risk Board.
- Harald Hau & Peter Hoffmann & Sam Langfield & Yannick Timmer, 2021. "Discriminatory Pricing of Over-the-Counter Derivatives," Management Science, INFORMS, vol. 67(11), pages 6660-6677, November.
- Harald Hau & Peter Hoffmann & Sam Langfield & Yannick Timmer, 2017. "Discriminatory Pricing of Over-the-Counter Derivatives," Swiss Finance Institute Research Paper Series 17-70, Swiss Finance Institute.
- Hau, Harald & Hoffmann, Peter & Langfield, Sam & Timmer, Yannick, 2017. "Discriminatory Pricing of Over-The-Counter Derivatives," CEPR Discussion Papers 12525, C.E.P.R. Discussion Papers.
- Shu-Fan Hsieh & Hsiu-Kuei Chen & Tai Ma, 2012. "Market Transparency, Investor Strategies, and Trading Costs: Evidence from the Taiwan Stock Exchange," Accounting and Finance Research, Sciedu Press, vol. 1(1), pages 180-180, May.
- Hau, Harald & Killeen, William & Moore, Michael, 2002. "The euro as an international currency: explaining puzzling first evidence from the foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 21(3), pages 351-383, June.
- Carol Osler & Alexander Mende & Lukas Menkhoff, 2010.
"Price Discovery in Currency Markets,"
Working Papers
03, Brandeis University, Department of Economics and International Business School.
- Osler, Carol L. & Mende, Alexander & Menkhoff, Lukas, 2011. "Price discovery in currency markets," Journal of International Money and Finance, Elsevier, vol. 30(8), pages 1696-1718.
- Osler, Carol & Mende, Alexander & Menkhoff, Lukas, 2006. "Price Discovery in Currency Markets," Hannover Economic Papers (HEP) dp-351, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Liang Ding & Hao Zou & Vittorio Addona, 2012. "Semi‐transparency, dealership market, and foreign exchange market quality," Review of Financial Economics, John Wiley & Sons, vol. 21(1), pages 1-13, January.
- Chung, Kee H. & Chuwonganant, Chairat, 2009. "Transparency and market quality: Evidence from SuperMontage," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 93-111, January.
- Benos, Evangelos & Payne, Richard & Vasios, Michalis, 2016.
"Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank Act,"
Bank of England working papers
580, Bank of England.
- Benos, Evangelos & Payne, Richard & Vasios, Michalis, 2020. "Centralized Trading, Transparency, and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd–Frank Act," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(1), pages 159-192, February.
- Nicolas Audet & Toni Gravelle & Jing Yang, 2002. "Alternative Trading Systems: Does One Shoe Fit All?," Staff Working Papers 02-33, Bank of Canada.
- Dionigi Gerace & Qigui Liu & Gary Gang Tian & Willa Zheng, 2015. "Call Auction Transparency and Market Liquidity: Evidence from China," International Review of Finance, International Review of Finance Ltd., vol. 15(2), pages 223-255, June.
- Aghanya, Daniel & Agarwal, Vineet & Poshakwale, Sunil, 2020. "Market in Financial Instruments Directive (MiFID), stock price informativeness and liquidity," Journal of Banking & Finance, Elsevier, vol. 113(C).
- Biais, Bruno & Glosten, Larry & Spatt, Chester, 2004.
"Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications,"
IDEI Working Papers
253, Institut d'Économie Industrielle (IDEI), Toulouse.
- Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005. "Market microstructure: A survey of microfoundations, empirical results, and policy implications," Journal of Financial Markets, Elsevier, vol. 8(2), pages 217-264, May.
- William Fuchs & Aniko Ory & Andrzej Skrzypacz, 2015.
"Transparency and Distressed Sales under Asymmetric Information,"
Cowles Foundation Discussion Papers
1986, Cowles Foundation for Research in Economics, Yale University.
- Aniko Oery & Andrzej Skrzypacz & William Fuchs, 2015. "Transparency and Distressed Sales under Asymmetric Information," 2015 Meeting Papers 73, Society for Economic Dynamics.
- Fuchs, William & Öry, Aniko & Skrzypacz, Andrzej, 2016. "Transparency and distressed sales under asymmetric information," Theoretical Economics, Econometric Society, vol. 11(3), September.
- Frey, Stefan & Sandås, Patrik, 2008. "The impact of hidden liquidity in limit order books," CFS Working Paper Series 2008/48, Center for Financial Studies (CFS).
- Theissen, Erik, 2000. "Market structure, informational efficiency and liquidity: An experimental comparison of auction and dealer markets," Journal of Financial Markets, Elsevier, vol. 3(4), pages 333-363, November.
- Kovaleva, Polina & Iori, Giulia, 2015. "The impact of reduced pre-trade transparency regimes on market quality," Journal of Economic Dynamics and Control, Elsevier, vol. 57(C), pages 145-162.
- Comerton-Forde, Carole & Rydge, James, 2006. "The influence of call auction algorithm rules on market efficiency," Journal of Financial Markets, Elsevier, vol. 9(2), pages 199-222, May.
- Majois, Christophe, 2010. "Order aggressiveness and the diagonal effect in experimental double auction markets," Economics Letters, Elsevier, vol. 107(2), pages 304-309, May.
- Natasha Khan, 2007. "Impact of Electronic Trading Platforms on the Brokered Interdealer Market for Government of Canada Benchmark Bonds," Staff Working Papers 07-5, Bank of Canada.
- Lescourret, Laurence & Robert, Christian Y., 2011. "Transparency matters: Price formation in the presence of order preferencing," Journal of Financial Markets, Elsevier, vol. 14(2), pages 227-258, May.
- Olivier Brandouy & Pascal Barneto & Lawrence Leger, 2003. "Asymmetric information, imitative behaviour and communication: price formation in an experimental asset market," The European Journal of Finance, Taylor & Francis Journals, vol. 9(5), pages 393-419.
- Lamoureux, Christopher G. & Schnitzlein, Charles R., 2004. "Microstructure with multiple assets: an experimental investigation into direct and indirect dealer competition," Journal of Financial Markets, Elsevier, vol. 7(2), pages 117-143, February.
- Sun, Zhuowei & Dunne, Peter G. & Li, Youwei, 2015.
"Price Discovery in the Dual-Platform US Treasury Market,"
MPRA Paper
61440, University Library of Munich, Germany.
- Sun, Zhuowei & Dunne, Peter G. & Li, Youwei, 2015. "Price discovery in the dual-platform US Treasury market," Global Finance Journal, Elsevier, vol. 28(C), pages 95-110.
- Chen, Tao & Cai, Jun & Ho, Richard Y.K., 2009. "Intraday information efficiency on the Chinese equity market," China Economic Review, Elsevier, vol. 20(3), pages 527-541, September.
- Flood, M.D. & Koedijk, C.G. & van Dijk, M.A. & van Leeuwen, I.W., 2002. "Dividing the Pie," ERIM Report Series Research in Management ERS-2002-101-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Ryan Davies, 2000. "Registered Trader Participation During The Toronto Stock Exchange's Pre-opening Session," Working Paper 997, Economics Department, Queen's University.
- M. Ángeles De Frutos & Carolina Manzano, 2002. "Risk Aversion, Transparency, and Market Performance," Journal of Finance, American Finance Association, vol. 57(2), pages 959-984, April.
- Chen, Fan & Zhong, Zhuo, 2017. "Pre-trade transparency in over-the-counter bond markets," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 14-33.
- Easley, David & Hendershott, Terrence & Ramadorai, Tarun, 2014. "Leveling the trading field," Journal of Financial Markets, Elsevier, vol. 17(C), pages 65-93.
- Ariadna Dumitrescu, 2010. "Liquidity and Optimal Market Transparency," European Financial Management, European Financial Management Association, vol. 16(4), pages 599-623, September.
- Noussair, C.N. & Tucker, S., 2013.
"Experimental Research On Asset Pricing,"
Other publications TiSEM
d5f4235c-17a8-407b-800b-2, Tilburg University, School of Economics and Management.
- Noussair, C.N. & Tucker, S., 2013. "Experimental Research On Asset Pricing," Discussion Paper 2013-020, Tilburg University, Center for Economic Research.
- Charles N. Noussair & Steven Tucker, 2013. "Experimental Research On Asset Pricing," Journal of Economic Surveys, Wiley Blackwell, vol. 27(3), pages 554-569, July.
- Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2012.
"Sunshine Trading: Flashes of Trading Intent at the NASDAQ,"
Tinbergen Institute Discussion Papers
12-141/IV/DSF47, Tinbergen Institute.
- Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2011. "Sunshine trading: Flashes of trading intent at the NASDAQ," Working Paper 2011/17, Norges Bank.
- Koontz Stephen R & Ward Clement E, 2011. "Livestock Mandatory Price Reporting: A Literature Review and Synthesis of Related Market Information Research," Journal of Agricultural & Food Industrial Organization, De Gruyter, vol. 9(1), pages 1-33, July.
- Paulo Pereira da Silva & Carlos Vieira & Isabel Vieira, 2018. "Central clearing and CDS market quality," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 731-753, June.
- Ding, Liang & Hiltrop, Jonas, 2010. "The electronic trading systems and bid-ask spreads in the foreign exchange market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 323-345, October.
- Loon, Yee Cheng & Zhong, Zhaodong (Ken), 2016. "Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports," Journal of Financial Economics, Elsevier, vol. 119(3), pages 645-672.
- Sabrina Buti & Barbara Rindi & Ingrid M. Werner, 2011. "Dark Pool Trading Strategies," Working Papers 421, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Xinyang Li & Andreas Krause, 2011. "An evolutionary multi‐objective optimization of trading rules in call markets," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 18(1), pages 1-14, January.
- Helder Sebastião, 2008. "The partial adjustment factors of FTSE 100 stock index and stock index futures: The informational impact of electronic trading systems," GEMF Working Papers 2008-07, GEMF, Faculty of Economics, University of Coimbra.
- Xinyang Li & Andreas Krause, 2010. "Determining the optimal market structure using near-zero intelligence traders," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 5(2), pages 155-167, December.
- Rui Fan & Oleksandr Talavera & Vu Tran, 2023.
"Social media and price discovery: The case of cross‐listed firms,"
Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(1), pages 151-167, February.
- Rui Fan & Oleksandr Talavera & Vu Tran, 2020. "Social media and price discovery: the case of cross-listed firms," Discussion Papers 20-05, Department of Economics, University of Birmingham.
- Aquilina, Matteo & Ibikunle, Gbenga & Mollica, Vito & Steffen, Tom, 2022. "The visible hand: benchmarks, regulation, and liquidity," Journal of Financial Markets, Elsevier, vol. 61(C).
- Lin, Yaling, 2014. "An empirical study on pre-trade transparency and intraday stealth trading," International Review of Economics & Finance, Elsevier, vol. 30(C), pages 26-40.
- Comerton-Forde, Carole & Tang, Kar Mei, 2009. "Anonymity, liquidity and fragmentation," Journal of Financial Markets, Elsevier, vol. 12(3), pages 337-367, August.
- Pham, Thu Phuong & Westerholm, P. Joakim, 2013. "A survey of research into broker identity and limit order book," Working Papers 17212, University of Tasmania, Tasmanian School of Business and Economics, revised 16 Oct 2013.
- Bessembinder, Hendrik & Maxwell, William & Venkataraman, Kumar, 2006. "Market transparency, liquidity externalities, and institutional trading costs in corporate bonds," Journal of Financial Economics, Elsevier, vol. 82(2), pages 251-288, November.
- PASCUAL, Roberto & VEREDAS, David, 2004. "What pieces of limit order book information are informative ?," LIDAM Discussion Papers CORE 2004033, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Moez Bennouri & C.Robert Clark & Jacques Robert, 2010. "Information provision in financial markets," Post-Print hal-00565501, HAL.
- Toni Gravelle, 1999. "The Market Microstructure of Dealership Equity and Government Securities Markets: How They Differ," CGFS Papers chapters, in: Bank for International Settlements (ed.), Market Liquidity: Research Findings and Selected Policy Implications, volume 11, pages 1-16, Bank for International Settlements.
- Moez Bennouri & C. Clark & Jacques Robert, 2010. "Information provision in financial markets," Annals of Finance, Springer, vol. 6(2), pages 255-286, March.
- Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
- Koedijk, Kees & de Jong, Cyriel & Schnitzlein, Charles, 2002. "Stock Market Quality in the Prescence of a Traded Option," CEPR Discussion Papers 3173, C.E.P.R. Discussion Papers.
- Ciccotello, Conrad S. & Hatheway, Frank M., 2000. "Indicating Ahead: Best Execution and the NASDAQ Preopening," Journal of Financial Intermediation, Elsevier, vol. 9(2), pages 184-212, April.
- John Board & Charles Sutcliffe & Stephen Wells, 2002. "Transparency and Fragmentation," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-4039-0707-3.
- Eom, Kyong Shik & Ok, Jinho & Park, Jong-Ho, 2007. "Pre-trade transparency and market quality," Journal of Financial Markets, Elsevier, vol. 10(4), pages 319-341, November.
- Tseng, Yi-Heng & Chen, Shu-Heng, 2015. "Limit order book transparency and order aggressiveness at the closing call: Lessons from the TWSE 2012 new information disclosure mechanism," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 241-272.
- Anand, Amber & Weaver, Daniel G., 2004. "Can order exposure be mandated?," Journal of Financial Markets, Elsevier, vol. 7(4), pages 405-426, October.
- Madhavan, Ananth & Porter, David & Weaver, Daniel, 2005. "Should securities markets be transparent?," Journal of Financial Markets, Elsevier, vol. 8(3), pages 265-287, August.
- Harald Hau & Peter Hoffmann & Sam Langfield & Mr. Yannick Timmer, 2019.
"Discriminatory Pricing of Over-the-Counter Derivatives,"
IMF Working Papers
2019/100, International Monetary Fund.
- El-Mekkaoui, Mazen & Flood, Mark D., 1998.
"Put-call parity revisited: intradaily tests in the foreign currency options market,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 357-376, December.
Cited by:
- Kleopatra Nikolaou & Lucio Sarno, 2005.
"New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market,"
Money Macro and Finance (MMF) Research Group Conference 2005
77, Money Macro and Finance Research Group.
- Kleopatra Nikolaou & Lucio Sarno, 2006. "New evidence on the forward unbiasedness hypothesis in the foreign‐exchange market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(7), pages 627-656, July.
- Ariful Hoque, 2011. "Transaction Cost Discovery By Decomposition Of The Error Term: A Bootstrapping Approach," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 5(1), pages 113-121.
- Felföldi-Szűcs, Nóra & Králik, Balázs & Váradi, Kata, 2024. "Put–call parity in a crypto option market — Evidence from Binance," Finance Research Letters, Elsevier, vol. 61(C).
- Geoffrey Poitras & Chris Veld & Yuriy Zabolotnyuk, 2009. "European Put-Call Parity and the Early Exercise Premium for American Currency Options," Multinational Finance Journal, Multinational Finance Journal, vol. 13(1-2), pages 39-54, March-Jun.
- Kleopatra Nikolaou & Lucio Sarno, 2005.
"New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market,"
Money Macro and Finance (MMF) Research Group Conference 2005
77, Money Macro and Finance Research Group.
- Flood, Mark D., 1994.
"Market structure and inefficiency in the foreign exchange market,"
Journal of International Money and Finance, Elsevier, vol. 13(2), pages 131-158, April.
See citations under working paper version above.
- Mark D. Flood, 1993. "Market structure and inefficiency in the foreign exchange market," Working Papers 1991-001, Federal Reserve Bank of St. Louis.
- Mark D. Flood, 1992.
"The great deposit insurance debate,"
Review, Federal Reserve Bank of St. Louis, issue Jul, pages 51-77.
Cited by:
- Economides, N. & Hubbard, R.G. & Palia, D., 1995.
"The Political Economy of Branching Restrictions and Deposit Insurance: A Model of Monopolistic Competition Among Small and Large Banks,"
Papers
95-14, Columbia - Graduate School of Business.
- Nicholas Economides & R. Glen Hubbard & Darius Palia, 1993. "The Political Economy of Branching Restrictions and Deposit Insurance: A Model of Monopolistic Competition Among Small and Large Banks," Working Papers 93-23, New York University, Leonard N. Stern School of Business, Department of Economics.
- Economides, Nicholas & Hubbard, R Glenn & Palia, Darius, 1996. "The Political Economy of Branching Restrictions and Deposit Insurance: A Model of Monopolistic Competition among Small and Large Banks," Journal of Law and Economics, University of Chicago Press, vol. 39(2), pages 667-704, October.
- Nicholas Economides & R. Glenn Hubbard & Darius Palia, 1995. "The Political Economy of Branching Restrictions and Deposit Insurance: A Model of Monopolistic Competition among Small and Large Banks," NBER Working Papers 5210, National Bureau of Economic Research, Inc.
- Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012.
"A Survey of Systemic Risk Analytics,"
Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
- Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Working Papers 12-01, Office of Financial Research, US Department of the Treasury.
- Matthew Jaremski & David C. Wheelock, 2020.
"Banking on the Boom, Tripped by the Bust: Banks and the World War I Agricultural Price Shock,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(7), pages 1719-1754, October.
- Matthew Jaremski & David C. Wheelock, 2017. "Banking on the Boom, Tripped by the Bust: Banks and the World War I Agricultural Price Shock," Working Papers 2017-36, Federal Reserve Bank of St. Louis.
- Matthew S. Jaremski & David C. Wheelock, 2018. "Banking on the Boom, Tripped by the Bust: Banks and the World War I Agricultural Price Shock," NBER Working Papers 25159, National Bureau of Economic Research, Inc.
- W. Scott Frame & Larry D. Wall, 2002. "Financing housing through government-sponsored enterprises," Economic Review, Federal Reserve Bank of Atlanta, vol. 87(Q1), pages 29-43.
- Ronnie J. Phillips, 1999.
"The Regulation and Supervision of bank Holding Companies: An Historical Perspective,"
Macroeconomics
9906002, University Library of Munich, Germany.
- Ronnie J. Phillips, 1994. "The Regulation and Supervision of Bank Holding Companies: A Historical Perspective," Economics Working Paper Archive wp_116, Levy Economics Institute.
- Nicholas A. Curott & Tyler Watts & Benjamin R. Thrasher, 2020. "Government-Cheerleading Bias in Money and Banking Textbooks," Econ Journal Watch, Econ Journal Watch, vol. 17(1), pages 1-98–151, March.
- Robert L. Hetzel, 2009. "Should increased regulation of bank risk-taking come from regulators or from the market?," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 95(Spr), pages 161-200.
- White, Eugene, 1995. "Deposit insurance," Policy Research Working Paper Series 1541, The World Bank.
- Eugene N. White, 2009.
"Lessons from the Great American Real Estate Boom and Bust of the 1920s,"
NBER Working Papers
15573, National Bureau of Economic Research, Inc.
- Eugene N. White, 2014. "Lessons from the Great American Real Estate Boom and Bust of the 1920s," NBER Chapters, in: Housing and Mortgage Markets in Historical Perspective, pages 115-158, National Bureau of Economic Research, Inc.
- Ronnie J. Phillips, "undated". "Narrow Banking Reconsidered, The Functional Approach to Financial Reform," Economics Public Policy Brief Archive ppb_17, Levy Economics Institute.
- David C. Wheelock, 1992. "Government policy and banking instability: \"overbanking\" in the 1920s," Working Papers 1992-007, Federal Reserve Bank of St. Louis.
- Klaus P. Fischer & Martin Chenard, 1997. "Financial Liberalization Causes Banking System Fragility," Finance 9706004, University Library of Munich, Germany.
- Economides, N. & Hubbard, R.G. & Palia, D., 1995.
"The Political Economy of Branching Restrictions and Deposit Insurance: A Model of Monopolistic Competition Among Small and Large Banks,"
Papers
95-14, Columbia - Graduate School of Business.
- Mark D. Flood, 1992.
"Two faces of financial innovation,"
Review, Federal Reserve Bank of St. Louis, issue Sep, pages 3-17.
Cited by:
- Tamer Khraisha & Keren Arthur, 2018. "Can we have a general theory of financial innovation processes? A conceptual review," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 4(1), pages 1-27, December.
- Mark D. Flood, 1991.
"Microstructure theory and the foreign exchange market,"
Review, Federal Reserve Bank of St. Louis, issue Nov, pages 52-70.
Cited by:
- Michel Beine & Agnes Bénassy-Quéré & Ronald MacDonald, 2007.
"The impact of Central Bank intervention on exchange rate forecasts heterogeneity,"
ULB Institutional Repository
2013/10423, ULB -- Universite Libre de Bruxelles.
- Michel Beine & Agnès Bénassy-Quéré & Estelle Dauchy & Ronald MacDonald, 2002. "The Impact of Central Bank Intervention on Exchange-Rate Forecast Heterogeneity," Working Papers 2002-04, CEPII research center.
- M. Beine & A. Bénassy-Quéré & E. Dauchy & R. MacDonald, 2002. "The Impact of Central Bank Intervention on Exchange-Rate Forecast Heterogeneity," THEMA Working Papers 2002-22, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Beine, Michel & Benassy-Quere, Agnes & MacDonald, Ronald, 2007. "The impact of central bank intervention on exchange-rate forecast heterogeneity," Journal of the Japanese and International Economies, Elsevier, vol. 21(1), pages 38-63, March.
- Goodhart, Charles & Chang, Yuanchen & Payne, Richard, 1997. "Calibrating an algorithm for estimating transactions from FXFX exchange rate quotes," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 921-930, December.
- Mr. Torbjorn I. Becker & Mr. Amadou N Sy, 2005. "Were Bid-Ask Spreads in the Foreign Exchange Market Excessive During the Asian Crisis?," IMF Working Papers 2005/034, International Monetary Fund.
- Cornelis A. Los, 2004.
"Nonparametric Testing of the High-Frequency Efficiency of the 1997 Asian Foreign Exchange Markets,"
Finance
0409040, University Library of Munich, Germany.
- Los, Cornelis A., 1999. "Nonparametric testing of the high-frequency efficiency of the 1997 Asian foreign exchange markets," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 265-289, November.
- David F. Babbel & Craig B. Merrill & Mark F. Meyer & Meiring de Villiers, 2001.
"The Effect of Transaction Size on Off-the-Run Treasury Prices,"
Center for Financial Institutions Working Papers
01-03, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Babbel, David F. & Merrill, Craig B. & Meyer, Mark F. & de Villiers, Meiring, 2004. "The Effect of Transaction Size on Off-the-Run Treasury Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(3), pages 595-611, September.
- Kaul, Aditya & Sapp, Stephen, 2006. "Y2K fears and safe haven trading of the U.S. dollar," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 760-779, August.
- Ronald MacDonald, 2000. "Expectations Formation and Risk in Three Financial Markets: Surveying What the Surveys Say," Journal of Economic Surveys, Wiley Blackwell, vol. 14(1), pages 69-100, February.
- Victoria Saporta, 1997. "Which Inter-dealer Market Prevails? An analysis of inter-dealer trading in opaque markets," Bank of England working papers 59, Bank of England.
- Chionis, Dionysios & MacDonald, Ronald, 1997. "Some tests of market microstructure hypotheses in the foreign exchange market," Journal of Multinational Financial Management, Elsevier, vol. 7(3), pages 203-229, October.
- Sergio Da Silva, 2004. "International Finance, Levy Distributions, and the Econophysics of Exchange Rates," International Finance 0405018, University Library of Munich, Germany.
- Hartmann, Philipp, 1999. "Trading volumes and transaction costs in the foreign exchange market: Evidence from daily dollar-yen spot data," Journal of Banking & Finance, Elsevier, vol. 23(5), pages 801-824, May.
- Richard K. Lyons., 1993.
"Optimal Transparency in a Dealership Market with an Application to Foreign Exchange,"
Research Program in Finance Working Papers
RPF-231, University of California at Berkeley.
- Richard K. Lyons, 1993. "Optimal Transparency in a Dealership Market with an Application to Foreign Exchange," NBER Working Papers 4467, National Bureau of Economic Research, Inc.
- Goodhart, Charles A. E. & Payne, Richard G., 1996. "Microstructural dynamics in a foreign exchange electronic broking system," Journal of International Money and Finance, Elsevier, vol. 15(6), pages 829-852, December.
- Chakrabarti, Rajesh, 2000. "Just another day in the inter-bank foreign exchange market," Journal of Financial Economics, Elsevier, vol. 56(1), pages 29-64, April.
- Michel Beine & Agnes Bénassy-Quéré & Ronald MacDonald, 2007.
"The impact of Central Bank intervention on exchange rate forecasts heterogeneity,"
ULB Institutional Repository
2013/10423, ULB -- Universite Libre de Bruxelles.
- Mark D. Flood, 1991.
"An introduction to complete markets,"
Review, Federal Reserve Bank of St. Louis, issue Mar, pages 32-57.
Cited by:
- Jeffrey M. Lacker, 1991. "Why is there debt?," Economic Review, Federal Reserve Bank of Richmond, vol. 77(Jul), pages 3-19.
- M. Shahid Ebrahim & Seema Makhdoomi & Mustapha Sheikh, 2012. "The Political Economy and the Perennial Underdevelopment of the Muslim World," Working Papers 12011, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- ap Gwilym, Rhys & Ebrahim, M. Shahid, 2013. "Can position limits restrain ‘rogue’ trading?," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 824-836.
- Yiling Chen & Mike Ruberry & Jennifer Wortman Vaughan, 2012. "Designing Informative Securities," Papers 1210.4837, arXiv.org.
- Dilip Nachane, 2017. "Dynamic Stochastic General Equilibrium (DSGE) Modelling :Theory And Practice," Working Papers id:11699, eSocialSciences.
- Mark D. Flood, 1990.
"On the use of option pricing models to analyze deposit insurance,"
Review, Federal Reserve Bank of St. Louis, issue Jan, pages 19-35.
Cited by:
- Ivilina Popova & Peter H. Ritchken & James B. Thompson, 1995. "The changing role of banks and the changing value of deposit guarantees," Working Papers (Old Series) 9502, Federal Reserve Bank of Cleveland.
- Ben Schreiber, 1997. "The Owner–Manager Conflict in Insured Banks: Predetermined Salary versus Bonus Payments," Journal of Financial Services Research, Springer;Western Finance Association, vol. 12(2), pages 303-326, October.
- Ramon P. DeGennaro & Anlong Li & Peter H. Ritchken & James B. Thomson, 1991.
"On flexibility, capital structure, and investment decisions for the insured bank,"
Working Papers (Old Series)
9110, Federal Reserve Bank of Cleveland.
- Ritchken, Peter & Thomson, James B. & DeGennaro, Ramon P. & Li, Anlong, 1993. "On flexibility, capital structure and investment decisions for the insured bank," Journal of Banking & Finance, Elsevier, vol. 17(6), pages 1133-1146, December.
- Dahl, Bruce L. & Wilson, William W. & Gustafson, Cole R., 1999. "Option Values For Provisions In Export Credit Guarantees," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 24(2), pages 1-19, December.
- Ben Z. Schreiber, 1996. "The Owner-Manager Conflict in Insured Banks: Predetermined Salary vs. Bonus Payments," Center for Financial Institutions Working Papers 96-38, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Fischer, Klaus P. & Fournier, Eric M., 2002. "Does Corporate Governance Matter in Deposit Insurance? DI and Moral Hazard in Joint Stock and Mutual Financial Intermediaries," Cahiers de recherche 0206, CIRPEE.
- Julien Reynaud, 2007. "Une analyse optionnelle des crises bancaires turques de 1994 et 2000-2001," Revue d'Économie Financière, Programme National Persée, vol. 87(1), pages 241-246.
- Anlong Li & Peter H. Ritchken & L. Sankarasubramanian & James B. Thomson, 1995.
"Regulatory taxes, investment and financing decisions for insured banks,"
Proceedings
477, Federal Reserve Bank of Chicago.
- Anlong Li & Peter H. Ritchken & L. Sankarasubramanian & James B. Thomson, 1993. "Regulatory taxes, investment, and financing decision for insured banks," Working Papers (Old Series) 9303, Federal Reserve Bank of Cleveland.
Books
- Brose,Margarita S. & Flood,Mark D. & Krishna,Dilip & Nichols,Bill (ed.), 2014.
"Handbook of Financial Data and Risk Information II,"
Cambridge Books,
Cambridge University Press, number 9781107012028, January.
Cited by:
- Flood, M. D. & Jagadish, H. V. & Raschid, L., 2016. "Big data challenges and opportunities in financial stability monitoring," Financial Stability Review, Banque de France, issue 20, pages 129-142, April.
- Brose,Margarita S. & Flood,Mark D. & Krishna,Dilip & Nichols,Bill (ed.), 2014.
"Handbook of Financial Data and Risk Information I,"
Cambridge Books,
Cambridge University Press, number 9781107012011, January.
Cited by:
- Office of Financial Research (ed.), 2015. "2015 Financial Stability Report," Reports, Office of Financial Research, US Department of the Treasury, number 15-1, May.
- Thomas Puschmann & Christian Hugo Hoffmann & Valentyn Khmarskyi, 2020. "How Green FinTech Can Alleviate the Impact of Climate Change—The Case of Switzerland," Sustainability, MDPI, vol. 12(24), pages 1-30, December.
- Jingnan Chen & Mark D. Flood & Richard B. Sowers, 2017. "Measuring the unmeasurable: an application of uncertainty quantification to Treasury bond portfolios," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1491-1507, October.
- Mark D. Flood & Victoria L. Lemieux & Margaret Varga & B.L. William Wong, 2014.
"The Application of Visual Analytics to Financial Stability Monitoring,"
Working Papers
14-02, Office of Financial Research, US Department of the Treasury, revised 07 Oct 2014.
- Flood, Mark D. & Lemieux, Victoria L. & Varga, Margaret & William Wong, B.L., 2016. "The application of visual analytics to financial stability monitoring," Journal of Financial Stability, Elsevier, vol. 27(C), pages 180-197.
- Per Nymand-Andersen, 2016. "Big data: the hunt for timely insights and decision certainty," IFC Working Papers 14, Bank for International Settlements.
- Christoffer Koch & Gary Richardson & Patrick Van Horn, 2020. "Countercyclical Capital Buffers: A Cautionary Tale," NBER Working Papers 26710, National Bureau of Economic Research, Inc.
- Dongping Xie & Mary Eschelbach Hansen, 2020. "Supply of bank loans and business debts: A view from historical bankruptcy cases," Review of Financial Economics, John Wiley & Sons, vol. 38(S1), pages 170-187, March.
- Jingnan Chen & Mark D. Flood & Richard B. Sowers, 2015. "Measuring the Unmeasurable: An Application of Uncertainty Quantification to Financial Portfolios," Working Papers 15-19, Office of Financial Research, US Department of the Treasury.
- Flood, M. D. & Jagadish, H. V. & Raschid, L., 2016. "Big data challenges and opportunities in financial stability monitoring," Financial Stability Review, Banque de France, issue 20, pages 129-142, April.
- Christian Hugo Hoffmann & Charles Djordjevic, 2020. "Complexity, Power Laws and a Humean Argument in Risk Management: The Fundamental Inadequacy of Probability Theory as a Foundation for Modeling Complex Risk in Banking," Homo Oeconomicus: Journal of Behavioral and Institutional Economics, Springer, vol. 37(3), pages 155-182, December.