Isenberg School of Management
University of Massachusetts
121 Presidents Drive, Amherst, MA 01003
NBER Working Papers and Publications
|December 2017||Stock Price Crashes: Role of Capital Constrained Traders|
with Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova: w24098
|August 2015||Hedge Funds: A Dynamic Industry In Transition|
with Peter A. Lee, Andrew W. Lo: w21449
Published: Mila Getmansky & Peter A. Lee & Andrew W. Lo, 2015. "Hedge Funds: A Dynamic Industry in Transition," Annual Review of Financial Economics, vol 7(1), pages 483-577.
|July 2010||Econometric Measures of Systemic Risk in the Finance and Insurance Sectors|
with Monica Billio, Andrew W. Lo, Loriana Pelizzon: w16223
Published: Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2012. "Econometric measures of connectedness and systemic risk in the finance and insurance sectors," Journal of Financial Economics, vol 104(3), pages 535-559.
|June 2010||Econometric Measures of Systemic Risk in the Finance and Insurance Sectors|
with Monica Billio, Andrew W. Lo, Loriana Pelizzon
in Market Institutions and Financial Market Risk, Mark Carey, Anil Kashyap, Raghuram Rajan, and René Stulz, organizers
|January 2007||Systemic Risk and Hedge Funds|
with Nicholas Chan, Shane M. Haas, Andrew W. Lo
in The Risks of Financial Institutions, Mark Carey and René M. Stulz, editors
|March 2005||Systemic Risk and Hedge Funds|
with Nicholas Chan, Shane M. Haas, Andrew W. Lo: w11200
Published: Carey, Mark and Rene M. Stulz (eds.) The Risks of Financial Institutions. Chicago and London: University of Chicago Press, 2006.
|March 2003||An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns|
with Andrew W. Lo, Igor Makarov: w9571
Published: Getmansky, Mila, Andrew W. Lo and Igor Makarov. "An Econometric Model Of Serial Correlation And Illiquidity In Hedge Fund Returns," Journal of Financial Economics, 2004, v74(3,Dec), 529-609. citation courtesy of