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 | 31 | 2018 |
Financial contagion risk and the stochastic discount factor LR Piccotti Journal of Banking & Finance 77, 230-248, 2017 | 23 | 2017 |
Pricing errors and the geography of trade in the foreign exchange market LR Piccotti Journal of Financial Markets 28, 46-69, 2016 | 9 | 2016 |
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 | 9 | 2015 |
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 | 6 | 2020 |
Required return on equity when capital structure is dynamic N Dai, LR Piccotti Financial Management 49 (1), 265-289, 2020 | 5 | 2020 |
Differential risk premiums and the UIP puzzle R Biswas, LR Piccotti, BZ Schreiber Financial Management 50 (1), 139-167, 2021 | 4 | 2021 |
Informed trading in the options market surrounding data breaches LR Piccotti, H Wang Global Finance Journal 56, 100774, 2023 | 2 | 2023 |
Systemic Risk: Bank Characteristics Matter S Mazumder, LR Piccotti Journal of Financial Services Research 64 (2), 265-301, 2023 | 1 | 2023 |
A closed-form pricing solution for options on assets with pricing errors LR Piccotti Available at SSRN 3866267, 2023 | 1 | 2023 |
Bond Market Structure and Volatility I Durongkadej, LR Piccotti Available at SSRN 3831296, 2022 | 1 | 2022 |
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 | 1 | 2022 |
Are options redundant? the benefits of synthetic diversification Y Liu, LR Piccotti Working paper available at SSRN: https://ssrn. com/abstract= 3392421, 2019 | 1 | 2019 |
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 |