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Top Ten 20 Most Cited Books within Liquidity Risk Papers

Using the same citations database used to compile the overall Most Referenced Books list, I then condition on just the subset of research papers listed within Liquidity Risk. Such research is somewhat more focused, and so, the books listed here are more specifically relevant (and prioritized) to the needs of a liquidity risk researcher. Updated as of 26-Apr-2008.

Cited in 3 LIQTY papers		Econometric Analysis by William H. Greene, Prentice Hall, (August 17, 2007), Hardcover, 1216 pages. Amazon: Sales Rank= #53,014; Reviews= (50).
Cited in 3 LIQTY papers		The Handbook of Fixed Income Securities by Frank Fabozzi, McGraw-Hill, (April 15, 2005), Hardcover, 1500 pages. Amazon: Sales Rank= #6,420; Reviews= (25).
Cited in 3 LIQTY papers		Market Microstructure Theory by Maureen O'Hara, Wiley, (March 13, 1998), Paperback, 304 pages. Amazon: Sales Rank= #486,627; Reviews= (6).
Cited in 2 LIQTY papers		Stochastic Integration and Differential Equations by Philip E. Protter, Springer, (May 24, 2005), Hardcover, 302 pages. Amazon: Sales Rank= #202,879; No customer reviews yet.
Cited in 2 LIQTY papers		Point Processes and Queues: Martingale Dynamics by Pierre Bremaud, Springer, (November 8, 2005), Hardcover, 354 pages. Amazon: Sales Rank= #913,592; No customer reviews yet.
Cited in 2 LIQTY papers		The Theory and Practice of Econometrics by George G. Judge, William E. Griffiths, R. Carter Hill, Helmut Lütkepohl, and Tsoung-Chao Lee, Wiley, (January 1, 1985), Hardcover, 1056 pages. Amazon: Sales Rank= #1,062,751; Reviews= (3).
Cited in 2 LIQTY papers		Understanding and Managing Interest Rate Risks by Ren-Raw Chen, World Scientific Publishing Company, (December 1, 1996), Hardcover, 157 pages. Amazon: Sales Rank= #2,581,680; Reviews= (1).
Cited in 2 LIQTY papers		When Genius Failed: The Rise and Fall of Long-Term Capital Management by Roger Lowenstein, Random House, (October 9, 2001), Paperback, 288 pages. Amazon: Sales Rank= #0,284; Reviews= (203).
Cited in 1 LIQTY papers		Credit Risk Modeling: Theory and Applications by David Lando, Princeton University Press, (June 1, 2004), Hardcover, 320 pages. Amazon: Sales Rank= #512,689; Reviews= (4).
Cited in 1 LIQTY papers		Dynamic Asset Pricing Theory by Darrell Duffie, Princeton University Press, (November 1, 2001), Hardcover, 471 pages. Amazon: Sales Rank= #134,297; Reviews= (6).
Cited in 1 LIQTY papers		Credit Risk: Models and Management by David Shimko, Risk Books, (April 1, 2004), Hardcover, 638 pages. Amazon: Sales Rank= #1,230,774; Reviews= (1).
Cited in 1 LIQTY papers		Managing Credit Risk: The Next Great Financial Challenge by John B. Caouette, Edward I. Altman, and Paul Narayanan, Wiley, (November 3, 1998), Hardcover, 464 pages. Amazon: Sales Rank= #624,907; Reviews= (8).
Cited in 1 LIQTY papers		Asset Pricing by John H. Cochrane, Princeton University Press, (January 3, 2005), Hardcover, 568 pages. Amazon: Sales Rank= #26,329; Reviews= (31).
Cited in 1 LIQTY papers		The Econometrics of Financial Markets by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay, Andrew Y. Lo, and Archie Craig MacKinlay, Princeton University Press, (December 9, 1996), Hardcover, 632 pages. Amazon: Sales Rank= #21,415; Reviews= (16).
Cited in 1 LIQTY papers		Diffusions, Markov Processes and Martingales: Volume 2, Itô Calculus by L. C. G. Rogers, David Williams, Cambridge University Press, (September 18, 2000), Paperback, 794 pages. Amazon: Sales Rank= #310,960; Reviews= (3).
Cited in 1 LIQTY papers		Limited-Dependent and Qualitative Variables in Econometrics by G. S. Maddala, Cambridge University Press, (June 27, 1986), Paperback, 401 pages. Amazon: Sales Rank= #368,746; Reviews= (5).
Cited in 1 LIQTY papers		The Risks of Financial Institutions by Mark Carey (Editor), Rene M. Stulz (Editor), University Of Chicago Press, (February 15, 2007), Hardcover, 520 pages. Amazon: Sales Rank= #1,180,537; No customer reviews yet.
Cited in 1 LIQTY papers		Econometric Analysis of Cross Section and Panel Data by Jeffrey M. Wooldridge, The MIT Press, (October 1, 2001), Hardcover, 776 pages. Amazon: Sales Rank= #6,573; Reviews= (12).
Cited in 1 LIQTY papers		Recovery Risk: The next challenge in credit risk management by Edward Altman (Editor), Andrea Resti (Editor), and Andrea Sironi (Editor), Risk Books, (June 1, 2005), Hardcover, 364 pages. Amazon: Sales Rank= #707,881; Reviews= (1).
Cited in 1 LIQTY papers		Distressed Securities: Analyzing and Evaluating Market Potential and Investment Risk by Edward I. Altman, Beard Books, (January 1, 1999), Paperback, 234 pages. Amazon: Sales Rank= #648,739; Reviews= (3).