Library – By Author

 

A

Abbe, E., A. Khandani, and A. W. Lo, 2011 “Privacy Preserving Methods for Sharing Financial Risk Exposures,” working paper, MIT Laboratory for Financial Engineering.
https://secure.brightworkinc.net/~andrewlo/documents/Abbe__Khandani___Lo__2011__-_Privacy-Preserving_Methods.pdf

Acharya, V., L. Pedersen, T. Philippon, and M. Richardson, 2010, “Measuring Systemic Risk,” working paper, New York University.
http://vlab.stern.nyu.edu/public/static/SR-v3.pdf

Adalid, R. and C. Detken, 2007, “Liquidity Shocks and Asset Price Boom/Bust Cycles,” ECB Working Paper 732, European Central Bank.
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp732.pdf

Adrian, T. and M. Brunnermeier, 2011, “CoVar,” Staff Report 348, Federal Reserve Bank of New York.
http://newyorkfed.org/research/staff_reports/sr348.pdf

Adrian, T. and H. S. Shin, 2009, “The shadow banking system: implications for financial regulation,” Financial Stability Review, 19, 1-10.
http://www.banque-france.fr/fileadmin/user_upload/banque_de_france/publications/Revue_de_la_stabilite_financiere/etude01_rsf_0909.pdf

Adrian, T. and H. S. Shin, 2010, “Liquidity and leverage,” Journal of Financial Intermediation, 19(3), 418-437.
http://www.sciencedirect.com/science/article/pii/S1042957308000764

Aikman, D., P. Alessandri, B. Eklund, P. Gai, S. Kapadia, E. Martin, N. Mora, G. Sterne, and M. Willison, 2010, “Funding Liquidity Risk in a Quantitative Model of Systemic Stability,” in Financial Stability, Monetary Policy, and Central Banking, ed. by R. A. Alfaro. Central Bank of Chile, 12th Annual Conference of the Central Bank of Chile, November 6-7, 2008.
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1420062

Alessi, L., and C. Detken, 2009, “Real time early warning indicators for costly asset price boom/bust cycles: A role for global liquidity,” ECB Working Paper 1039, European Central Bank.
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1039.pdf

Alfaro, R., and M. Drehmann, 2009, “Macro stress tests and crises: what can we learn?,” BIS Quarterly Review, pp. 29–41.
http://www.bis.org/publ/qtrpdf/r_qt0912e.pdf

Allen, F., and D. Gale, 2000, “Financial Contagion,” Journal of Political Economy, 108(1), 1–33.
http://www.jstor.org/stable/10.1086/262109

Amihud, Y., 2002, “Illiquidity and stock returns: Cross-section and time-series effects,” Journal of Financial Markets, 5, 31–56.
http://www.sciencedirect.com/science/article/pii/S1386418101000246

Ang, A., and G. Bekaert, 2002, “International asset allocation with regime shifts,” Review of Financial Studies, 15(4), 1137–1187.
http://rfs.oxfordjournals.org/content/15/4/1137.abstract

Ang, A., and J. Chen, 2002, “Asymmetric correlations of equity portfolios,” Journal of Financial Economics, 63(3), 443–494.
http://www.sciencedirect.com/science/article/pii/S0304405X02000685

Aragon, G., and P. Strahan, 2012, “Hedge funds as liquidity providers: Evidence from the Lehman bankruptcy,” Journal of Financial Economics, 103(3), 570–587.
http://www.sciencedirect.com/science/article/pii/S0304405X11002364

Ashcraft, A., and T. Schuermann, 2008, “Understanding the Securitization of Subprime Mortgage Credit,” Federal Reserve Bank of New York Staff Reports 318, Federal Reserve Bank of New York.
http://www.newyorkfed.org/research/staff_reports/sr318.pdf

B

Bank of England, 2009, “The Role of Macroprudential Policy,” Discussion paper, Bank of England.
http://www.bankofengland.co.uk/publications/Documents/other/financialstability/roleofmacroprudentialpolicy091121.pdf

Basel Committee on Banking Supervision, 2010, “Countercyclical capital buffer proposal,” Consultative document, Bank for International Settlements.
http://www.bis.org/publ/bcbs172.pdf

Basel Committee on Banking Supervision, 2011, “Global systemically important banks: Assessment methodology and the additional loss absorbency requirement,” Consultative document, Bank for International Settlements.
http://www.bis.org/publ/bcbs201.pdf

Basurto, M., and P. Padilla, 2006, “Portfolio Credit Risk and Macroeconomic Shocks: Applications to Stress Testing Under Data-Restricted Environments,” IMF Working Paper WP/06/283, IMF.
http://www.imf.org/external/pubs/ft/wp/2006/wp06283.pdf

Benston, G. J., and G. G. Kaufman, 1997, “FDICIA After Five Years,” The Journal of Economic Perspectives, 11(3), 139–158.
http://www.jstor.org/stable/2138189

Bignon, V., M. Flandreau, and S. Ugolini, 2012, “Bagehot for beginners: The making of lending of last resort operations in the mid-19th century,” The Economic History Review, 65(2), 580–608.
http://onlinelibrary.wiley.com/doi/10.1111/j.1468-0289.2011.00606.x/abstract

Billio, M., and S. Di Sanzo, 2006, “Granger-causality in Markov switching models,” Dept. of Economics Research Paper Series 20WP, University Ca’ Foscari of Venice.
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=947672

Billio, M., M. Getmansky, A. W. Lo, and L. Pelizzon, 2012, “Econometric measures of systemic risk in the finance and insurance sectors,” Journal of Financial Economics, 104(3), 535–559.
http://www.sciencedirect.com/science/article/pii/S0304405X11002868

Bisias, D., M. Flood, A. W. Lo, and S. Valavanis, 2012, “A Survey of Systemic Risk Analytics,” Annual Reviews of Financial Economics, 4, 255-296
http://www.treasury.gov/initiatives/wsr/ofr/Documents/OFRwp0001_BisiasFloodLoValavanis_ASurveyOfSystemicRiskAnalytics.pdf

Black, F., and M. Scholes, 1973, “The pricing of options and corporate liabilities,” Journal of Political Economy, 81(3), 637–654.
http://www.jstor.org/stable/1831029

Bollerslev, T., 1986, “Generalized autoregressive conditional heteroskedasticity,” Journal of Econometrics, 31(3), 307–327.
http://www.sciencedirect.com/science/article/pii/0304407686900631

Boot, A., and A. Thakor, 1993, “Self-Interested Bank Regulation,” American Economic Review, 83(2), 206–212.
http://www.jstor.org/stable/2117665

Bordo, M., 1990, “The Lender of Last Resort: Alternative Views and Historical Experience,” Federal Reserve Bank of Richmond Economic Review, 1990, 18–29.
http://www.rich.frb.org/publications/research/economic_review/1990/pdf/er760103.pdf

Borio, C., 2009, “The macroprudential approach to regulation and supervision,” working paper, VoxEU.org, 14 April 2009.
http://www.voxeu.org/index.php?q=node/3445

Borio, C., 2010, “Implementing a macroprudential framework: blending boldness and realism,” working paper, Bank for International Settlements, Keynote address for the BIS-HKMA research conference, Honk Kong SAR, 5-6 July 2010.
http://www.bis.org/repofficepubl/hkimr201007.12c.pdf

Borio, C., and M. Drehmann, 2009, “Towards an operational framework for financial stability: “Fuzzy” measurement and its consequences,” BIS Working Papers 284, Bank for International Settlements.
http://www.bis.org/publ/work284.pdf

Borio, C., and M. Drehmann, 2009a, “Assessing the risk of banking crises – revisited,” BIS Quarterly Review, 2009(2), 29–46.
http://ssrn.com/abstract=1513316

Borio, C., and P. Lowe, 2004, “Securing sustainable price stability: should credit come back from the wilderness?,” BIS Working Paper 157, Bank for International Settlements.
http://ssrn.com/abstract=782324

Bossaerts, P., 2009, “What Decision Neuroscience Teaches Us About Financial Decision Making,” Annual Review of Financial Economics, 1, 383–404.
http://www.annualreviews.org/doi/pdf/10.1146/annurev.financial.102708.141514

Bottega, J. A., and L. F. Powell, 2010, “Creating a Linchpin for Financial Data: The Need for a Legal Entity Identifier,” working paper, Board of Governors of the Federal Reserve.
http://ssrn.com/abstract=1723298

Bouchaud, J., J. D. Farmer, and F. Lillo, 2009, “How Markets Slowly Digest Changes in Supply and Demand,” in Handbook of Financial Markets: Dynamics and Evolution, ed. by H. Thorsten, and K. chenk Hoppe. Elsevier, New York.
http://arxiv.org/pdf/0809.0822.pdf

Boyd, J., and M. Gertler, 1994, “Are Banks Dead? Or Are the Reports Greatly Exaggerated?,” Federal Reserve Bank of Minneapolis Quarterly Review, 18(3), 2–23.
http://www.nber.org/papers/w5045

Boyson, N. M., C. W. Stahel, and R. M. Stulz, 2010, “Hedge Fund Contagion and Liquidity Shocks,” Journal of Finance, 65(5), 1789–1816.
https://www.afajof.org/afa/forthcoming/6687p.pdf

Breuer, T., M. Jandaˇcka, K. Rheinberger, and M. Summer, 2009, “How to Find Plausible, Severe and Useful Stress Scenarios,” International Journal of Central Banking, 5(3), 205–224, Bank for International Settlements.
http://www.ijcb.org/journal/ijcb09q3a7.pdf

Brown, C. O., and I. S. Din, 2011, “Too Many to Fail? Evidence of Regulatory Forbearance When the Banking Sector Is Weak,” Review of Financial Studies, 24(4), 1378–1405.
http://rfs.oxfordjournals.org/content/24/4/1378.short

Brunnermeier, M., and L. Pedersen, 2009, “Market liquidity and funding liquidity,” Review of Financial Studies, 22(6), 2201–2238.
http://rfs.oxfordjournals.org/content/22/6/2201.short

Brunnermeier, M. K., A. Crockett, C. A. Goodhart, A. D. Persaud, and H. S. Shin, 2009, “The Fundamental Principles of Financial Regulation,” Geneva Reports on the World Economy 11, International Center for Monetary and Banking Studies.
http://fic.wharton.upenn.edu/fic/Policy%20page/may1/Geneva%20Report%2011_conference%20version.pdf

Brunnermeier, M. K., G. Gorton, and A. Krishnamurthy, 2010, “Risk Topography,” working paper, Princeton University.
https://wpweb2.tepper.cmu.edu/rlang/AcctConf/risk-topography.pdf

C

Caballero, R. J., 2009, “The ’Other’ Imbalance and the Financial Crisis,” MIT Department of Economics Working Paper No. 09-32, Massachusetts Institute of Technology.
http://18.7.29.232/bitstream/handle/1721.1/63987/otherimbalancefi00caba.pdf?sequence=1

Capuano, C., 2008, “The option-iPoD. The Probability of Default Implied by Option Prices Based on Entropy,” IMF Working Paper 08/194, International Monetary Fund.
http://ssrn.com/abstract=1266527

Caruana, J., 2010a, “Financial Stability: Ten Questions and about Seven Answers,” in Reserve Bank of Australia 50th Anniversary Symposium.
http://www.rba.gov.au/publications/confs/2010/caruana.pdf

Caruana, J., 2010b, “Macroprudential policy: could it have been different this time?,” working paper, Bank for International Settlements, Peoples Bank of China seminar on macroprudential policy in cooperation with the International Monetary Fund: Shanghai, Monday 18 October 2010.
http://www.bis.org/speeches/sp101019.pdf

Chan, N., M. Getmansky, S. M. Haas, and A. W. Lo, 2006a, “Do Hedge Funds Increase Systemic Risk?,” Federal Reserve Bank of Atlanta Economic Review, 91(4), 49–80.
http://alphasimplex.aaredfreshred.com/pdfs/EcRev2007.pdf

Chan, N., M. Getmansky, S. M. Haas, and A. W. Lo, 2006b, “Systemic risk and hedge funds,” in The Risks of Financial Institutions, ed. by M. Carey, and R. Stulz. University of Chicago Press, Chicago, IL, pp. 235–330.
http://www.efmaefm.org/efma2005/papers/90-getmansky_paper.pdf

Clement, P., 2010, “The term”macroprudential”: origins and evolution,” BIS Quarterly Review, 2010, 59–67.
https://www.bis.org/publ/qtrpdf/r_qt1003h.pdf

D

De Bandt, O., and P. Hartmann, 2000, “Systemic Risk: A Survey,” Working Paper 35, European Central Bank.
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=258430

Demirguc-Kunt, A., E. Kane, and L. Laeven, 2008, “Determinants of Deposit-Insurance Adoption and Design,” Journal of Financial Intermediation, 17(3), 407–438.
http://www.sciencedirect.com/science/article/pii/S1042957308000107

Duffie, D., 2011, “Systemic Risk Exposures A 10-by-10-by-10 Approach,” working paper, Stanford University.
http://www.nber.org/papers/w17281.pdf?new_window=1

E

Engle, R., 2002, “Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models,” Journal of Business and Economic Statistics, 20, 339–350.
http://amstat.tandfonline.com/doi/abs/10.1198/073500102288618487

F

Farmer, J. D., and D. Foley, 2009, “The economy needs agent-based modelling,” Nature, 460, 685–686.
http://www.nature.com/nature/journal/v460/n7256/full/460685a.html

Feldman, R., and M. Lueck, 2007, “Are Banks Really Dying This Time? An update of Boyd and Gertler,” The Region, 2007, 6–51.
http://www.minneapolisfed.org/pubs/region/07-09/banks.pdf

Fender, I., and P. McGuire, 2010a, “Bank structure, funding risk and the transmission of shocks across countries: concepts and measurement,” BIS Quarterly Review, 2010, 63–79.
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1672632

Fender, I., and P. McGuire, 2010b, “European banks’ U.S. dollar funding pressures,” BIS Quarterly Review, pp. 57–64.
http://hb.betterregulation.com/external/BIS%20Quarterly%20Review%20June%202010.pdf#page=61

Fielding, E., A. W. Lo, and J. H. Yang, 2011, “The National Transportation Safety Board: A Model for Systemic Risk Management,” Journal of Investment Management, 9, 18–50.
http://www.argentumlux.org/documents/NTSB.pdf

Financial Stability Board, 2009, “Guidance to Assess the Systemic Importance of Financial Institutions, Markets and Instruments: Initial Considerations,” Report to g20 finance ministers and governors, Financial Stability Board.
http://www.bis.org/publ/othp07.pdf

Financial Stability Board, 2011, “Shadow Banking: Scoping the Issues, A Background Note of the Financial Stability Board,” working paper, Financial Stability Board.
http://www.financialstabilityboard.org/publications/r_110412a.pdf

Financial Stability Board and International Monetary Fund, 2010, “The Financial Crisis and Information Gaps Progress Report Action Plans and Timetables,” working paper, FSB.
http://www.imf.org/external/np/g20/pdf/053110.pdf

Flood, M., 1992, “The Great Deposit Insurance Debate,” Federal Reserve Bank of St. Louis Review, 74(4), 51–77.
http://research.stlouisfed.org/publications/review/92/07/Deposit_Jul_Aug1992.pdf

Freixas, X., B. M. Parigi, and J.-C. Rochet, 2000, “Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank,” Journal of Money, Credit and Banking, 32(3), 611–638, What Should Central Banks Do? A conference sponsored by the Federal Reserve Bank of Cleveland, Oct. 27-29, 1999.
http://www.imes.boj.or.jp/cbrc/cbrc-08.pdf

Freund, Y., and R. Shapire, 1996, “Experiments with a new boosting algorithm,” Proceedings of the Thirteenth International Conference on Machine Learning, pp. 148–156.
http://www.public.asu.edu/~jye02/CLASSES/Fall-2005/PAPERS/boosting-icml.pdf

G

Geanakoplos, J., 2010, “Solving the Present Crisis and Managing the Leverage Cycle,” Federal Reserve Bank of New York Economic Policy Review, 16(1), 101–131.
http://www.newyorkfed.org/research/epr/10v16n1/1008gean.pdf

Getmansky, M., A.W. Lo, and I. Makarov, 2004, “An econometric model of serial correlation and illiquidity in hedge fund returns,” Journal of Financial Economics, 74(3), 529–609.
http://web.mit.edu/alo/www/Papers/JFE2004Pub.pdf

Giesecke, K., and B. Kim, 2009, “Risk analysis of collateralized debt obligations,” Working Paper.
http://www.stanford.edu/dept/MSandE/cgi-bin/people/faculty/giesecke/pdfs/riskanalysis.pdf

Glasserman, P., and J. Li, 2005, “Importance sampling for portfolio credit risk,” Management Science, 51, 1643–1656.
http://finmath.stanford.edu/seminars/documents/Glasserman_IS_CreditRisk.pdf

Gorton, G., and A. Metrick, 2010, “Regulating the Shadow Banking System,” Brookings Papers on Economic Activity, 2010, 261–312.
http://www.brookings.edu/~/media/Files/Programs/ES/BPEA/2010_fall_bpea_papers/2010fall_gorton.pdf

Gray, D., and A. Jobst, 2010, “Systemic CCA – A Model Approach to Systemic Risk,” working paper, International Monetary Fund, Paper presented at conference sponsored by the Deutsche Bundesbank and Technische Universitaet Dresden, 28-29 October 2010.
http://www.bundesbank.de/download/vfz/konferenzen/20101028_dresden/02a_gray_jobst.pdf

Group of Ten, 2001, “Report on Consolidation in the Financial Sector: Chapter III. Effects of consolidation on financial risk,” working paper, International Monetary Fund.
http://www.bis.org/publ/gten05ch3.pdf

H

Hanson, S. G., A. K. Kashyap, and J. C. Stein, 2011, “A Macroprudential Approach to Financial Regulation,” Journal of Economic Perspectives, 25(1), 3–28.
http://www.economics.harvard.edu/faculty/stein/files/JEP-macroprudential-July22-2010.pdf

Hirtle, B., T. Schuermann, and K. Stiroh, 2009, “Macroprudential Supervision of Financial Institutions: Lessons from the SCAP,” Staff Report No. 409, Federal Reserve Bank of New York.
http://fic.wharton.upenn.edu/fic/papers/09/0937.pdf

Hu, X., J. Pan, and J. Wang, 2010, “Noise as Information for Illiquidity,” working paper, Massachusetts Institute of Technology.
http://web.mit.edu/junpan/www/Noise.pdf

Huang, X., H. Zhou, and H. Zhu, 2009a, “Assessing the Systemic Risk of a Heterogeneous Portfolio of Banks During the Recent Financial Crisis,” Federal Reserve Board Finance and Economics Discussion Series 2009-44, Board of Governors of the Federal Reserve.
http://www.federalreserve.gov/pubs/feds/2009/200944/200944pap.pdf

Huang, X., H. Zhou, and H. Zhu, 2009b, “A framework for assessing the systemic risk of major financial institutions,” working paper, University of Oklahoma.
http://www.bis.org/publ/work281.pdf

Huizinga, H., and L. Laeven, 2010, “Bank Valuation and Regulatory Forbearance During a Financial Crisis,” working paper, Centre for Economic Policy Research (CEPR). Hull, J., 2000, Options, Futures, and Other Derivatives. Prentice-Hall, Upper Saddle River, NJ.
http://www.tinbergen.nl/files/papers/Bank%20Valuation%20and%20Regulatory%20Forbearance_Huizinga%20and%20Laeven.pdf

I

International Monetary Fund, 2009a, “Assessing the Systemic Implications of Financial Linkages,” Global Financial Stability Review, Apr09, 73–110.
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1417920

International Monetary Fund, 2009b, “Global Financial Stability Report: Responding to the Financial Crisis and Measuring Systemic Risks,” working paper, IMF.
http://www.imf.org/external/pubs/ft/gfsr/2009/01/pdf/text.pdf

International Monetary Fund, 2011, “Global Financial Stability Report: Grappling with Crisis Legacies,” working paper, IMF.
http://www.imf.org/external/pubs/ft/gfsr/2011/02/index.htm

K

Kahneman, D., and A. Tversky, 1979, “Prospect Theory: An Analysis of Decision Under Risk,” Econometrica, 47, 263–291.
http://www.hss.caltech.edu/~camerer/Ec101/ProspectTheory.pdf

Kaminsky, G., S. Lizondo, and C. Reinhart, 1998, “Leading indicators of currency crisis,” IMF Staff Paper, 1.
http://mpra.ub.uni-muenchen.de/6981/1/leading-indicators.pdf

Kapadia, S., M. Drehmann, J. Elliott, and G. Sterne, 2009, “Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks,” working paper, Bank of England.
http://www.nber.org/chapters/c12049.pdf

Khandani, A. E., A. J. Kim, and A. W. Lo, 2010, “Consumer Credit Risk Models via Machine-Learning Algorithms,” Journal of Banking and Finance, 34(11), 2767–2787.
http://www.sciencedirect.com/science/article/pii/S0378426610002372

Khandani, A. E., and A. W. Lo, 2007, “What happened to the quants in August 2007?,” Journal of Investment Management, 5(4), 5–54.
http://www.nyfedeconomists.org/research/conference/2007/liquidity/Khandani_Lo.pdf

Khandani, A. E., and A. W. Lo, 2011, “What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data,” Journal of Financial Markets, 14(1), 1–46.
http://www.sciencedirect.com/science/article/pii/S1386418110000261

Khandani, A. E., A. W. Lo, and R. C. Merton, 2009, “Systemic Risk and the Refinancing Ratchet Effect,” Journal of Financial Economics, 108(1), 29–45.
https://www.princeton.edu/bcf/newsevents/events/lectures-in-finance/systemic-risk-and-rachet-effect_Merton.pdf

King, M. R., and P. Maier, 2009, “Hedge Funds and Financial Stability: Regulating Prime Brokers Will Mitigate Systemic Risks,” Journal of Financial Stability, 5(3), 283–297.
http://www.sciencedirect.com/science/article/pii/S1572308909000060

Kocherlakota, N., 2010, “Modern Macroeconomic Models as Tools for Economic Policy,” The Region, (May), 5–21.
http://www.econ.boun.edu.tr/kuzubas/docs/Ec503/Narayana_macroessay.pdf

Koenker, R., and K. Hallock, 2001, “Quantile regression,” Journal of Economic Perspectives, 15, 143–156.
http://www.sortie-nd.org/lme/Course_Schedule_2009/Day_4/Quantile%20Regression%20Introduction.pdf

Kritzman, M., and Y. Li, 2010, “Skulls, Financial Turbulence, and Risk Management,” Financial Analysts Journal, 66(5), 30–41.
http://www.top1000funds.com/wp-content/uploads/2010/11/FAJskulls.pdf

Kritzman, M., Y. Li, S. Page, and R. Rigobon, 2010, “Principal Components as a Measure of Systemic Risk,” Revere Street Working Paper Series: Financial Economics 272-28, Revere Street Working Paper Series.
http://qwafafew.org/images/uploads/boston/revere.pdf

Kullback, S., and R. Leibler, 1951, “On information and sufficiency,” The Annals of Mathematical Statistics, 22, 449–470.
http://www.csee.wvu.edu/~xinl/library/papers/math/statistics/Kullback_Leibler_1951.pdf

Kyle, A., 1985, “Continuous auctions and insider trading,” Econometrica, 53, 1315–1335.
http://www.bus.lsu.edu/finance/faculty/lin/temp/temp/papers/1/Kyle,%201985,%20Continuous%20Auctions%20and%20Insider%20Trading.pdf

L

Laux, C., and C. Leuz, 2010, “Did Fair-Value Accounting Contribute to the Financial Crisis?,” Journal of Economic Perspectives, 24(1), 93–118.
http://www.nd.edu/~carecob/April2011Conference/LeuzPaper.pdf

Lee, S., 2010, “Measuring systemic funding liquidity risk in the interbank foreign currency ending market,” Working Paper 418, Bank of Korea Institute for Monetary and Economic Research.
http://www.akes.or.kr/eng/papers%282010%29/66.full.pdf

Lerner, J., 2002, “Where Does State Street Lead?: A First Look at Financial Patents, 1971–2000,” Journal of Finance, 57, 901–930.
http://www.people.hbs.edu/jlerner/StateStreet.pdf

Ljung, G., and G. Box, 1978, “On a measure of lack of fit in time series models,” Biometrika, 65, 297–303.
http://www.netegrate.com/index_files/Research%20Library/Catalogue/Quantitative%20Analysis/Time%20Series%20Analysis/On%20a%20Measure%20of%20lack%20of%20fit%20in%20Time%20Series%20Models%20%28Ljung%20and%20Box%29.pdf

Lo, A. W., 2011, “Fear, Greed, and Financial Crises: A Cognitive Neurosciences Perspective,” in Handbook on Systemic Risk, ed. by J. Fouque, and J. Langsam. Cambridge University Press, Cambridge, UK.
https://mitsloan.mit.edu/finance/pdf/Lo-20120109d.pdf

Lo, A. W., and C. MacKinlay, 1988, “Stock market prices do not follow random walks: Evidence from a simple specification test,” Review of Financial Studies, 1, 41–66.
http://rfs.oxfordjournals.org/content/1/1/41.full.pdf+html

Lo, A. W., and C. MacKinlay, 1990a, “When are contrarian profits due to stock market overreaction?,” Review of Financial Studies, 3, 175–205.
http://www.jstor.org/discover/10.2307/2962020?uid=1008&uid=29684&uid=3739696&uid=2&uid=4&uid=62&uid=3739256&sid=56153047333

Longstaff, F., 2004, “The flight-to-liquidity premium in U.S. Treasury bond prices,” Journal of Business, 77, 511–525.
http://www.econ2.jhu.edu/courses/263/longstaff2004.pdf

Loutskina, E., and P. E. Strahan, 2009, “Securitization and the Declining Impact of Bank Finance on Loan Supply: Evidence from Mortgage Originations,” Journal of Finance, 64(2), 861–889.
http://www.imf.org/external/np/seminars/eng/2008/fincycl/pdf/loustr.pdf

Lucas, R. E., 1976, “Econometric Policy Evaluation: A Critique,” in The Phillips Curve and Labor Markets: Carnegie-Rochester Conference Series on Public Policy 1, ed. by K. Brunner, and A. Meltzer. Elsevier, New York, pp. 19–46.
http://pareto.uab.es/mcreel/reading_course_2006_2007/lucas1976.pdf

M

Mayhew, S., 1995, “Implied volatility,” Financial Analysts Journal, 51(4), 8–20.
http://www.jstor.org/discover/10.2307/4479853?uid=1008&uid=29684&uid=3739696&uid=2129&uid=2&uid=70&uid=4&uid=62&uid=3739256&sid=56153376973.

McCulley, P., 2010, “After the Crisis: Planning a New Financial Structure,” Global central bank focus, PIMCO, Based on Comments Before the 19th Annual Hyman Minsky Conference on the State of the U.S. and World Economies, April 15, 2010.
http://www.creditwritedowns.com/2010/05/mcculley-after-the-crisis-planning-a-new-financial-structure.html

Merton, P., 1937, “On the generalised distance in statistics,” Proceedings of the National Institute of Sciences in India, 2(1), 49–55.
http://www.new.dli.ernet.in/rawdataupload/upload/insa/INSA_1/20006193_49.pdf

Merton, R., 1973, “Theory of rational option pricing,” Journal of Economics and Management Science, 4, 141–183.
http://www.signallake.com/innovation/MertonBJEMS73.pdf

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