Follow
Louis R. Piccotti
Title
Cited by
Cited by
Year
ETF premiums and liquidity segmentation
LR Piccotti
Financial Review 53 (1), 117-152, 2018
44*2018
Jumps, cojumps, and efficiency in the spot foreign exchange market
LR Piccotti
Journal of Banking & Finance 87, 49-67, 2018
312018
Financial contagion risk and the stochastic discount factor
LR Piccotti
Journal of Banking & Finance 77, 230-248, 2017
232017
Pricing errors and the geography of trade in the foreign exchange market
LR Piccotti
Journal of Financial Markets 28, 46-69, 2016
92016
Information shares of two parallel currency options markets: Trading costs versus transparency/tradability
LR Piccotti, BZ Schreiber
Journal of Empirical Finance 32, 210-229, 2015
92015
Exploiting closed‐end fund discounts: A systematic examination of alphas
D Patro, LR Piccotti, Y Wu
Journal of Financial Research 40 (2), 223-248, 2017
8*2017
Information shares in a two-tier FX market
LR Piccotti, BZ Schreiber
Journal of Empirical Finance 58, 19-35, 2020
62020
Required return on equity when capital structure is dynamic
N Dai, LR Piccotti
Financial Management 49 (1), 265-289, 2020
52020
Differential risk premiums and the UIP puzzle
R Biswas, LR Piccotti, BZ Schreiber
Financial Management 50 (1), 139-167, 2021
42021
Informed trading in the options market surrounding data breaches
LR Piccotti, H Wang
Global Finance Journal 56, 100774, 2023
22023
Systemic Risk: Bank Characteristics Matter
S Mazumder, LR Piccotti
Journal of Financial Services Research 64 (2), 265-301, 2023
12023
A closed-form pricing solution for options on assets with pricing errors
LR Piccotti
Available at SSRN 3866267, 2023
12023
Bond Market Structure and Volatility
I Durongkadej, LR Piccotti
Available at SSRN 3831296, 2022
12022
Portfolio returns and consumption growth covariation in the frequency domain, real economic activity, and expected returns
LR Piccotti
Journal of Financial Research 45 (3), 513-549, 2022
12022
Are options redundant? the benefits of synthetic diversification
Y Liu, LR Piccotti
Working paper available at SSRN: https://ssrn. com/abstract= 3392421, 2019
12019
Portfolio Optimization with Spectral Preferences
LR Piccotti
Available at SSRN 2805629, 2023
2023
A Multiscale Estimator for Pricing Error Decomposition in High-Frequency Financial Markets
LR Piccotti
Available at SSRN 3375054, 2023
2023
Do macroeconomic variables drive exchange rates independently?
R Biswas, X Li, LR Piccotti
Finance Research Letters 52, 103524, 2023
2023
Do Macroeconomic Variables Drive Exchange Rates Independently?
X Li, R Biswas, LR Piccotti
Available at SSRN 4223036, 2022
2022
Covariance Matrix Jumps in High-Frequency Financial Markets
Y Hupka, LR Piccotti
Available at SSRN 3991010, 2021
2021
The system can't perform the operation now. Try again later.
Articles 1–20