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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 29-September-2010.

Cited in 4 LIQTY papers		Econometric Analysis by William H. Greene, Prentice Hall, (August 17, 2007), Hardcover, 1216 pages. Amazon: Sales Rank= #143,372; Reviews= (61).
Cited in 4 LIQTY papers		Market Microstructure Theory by Maureen O'Hara, Wiley, (March 13, 1998), Paperback, 304 pages. Amazon: Sales Rank= #157,198; Reviews= (7).
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= #65,636; Reviews= (24).
Cited in 2 LIQTY papers		Stochastic Integration and Differential Equations: Version 2.1 by Philip E. Protter, Springer, (February 19, 2010), Paperback, 436 pages. Amazon: Sales Rank= #1,458,646; 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= #1,580,496; No customer reviews yet.
Cited in 2 LIQTY papers		Dynamic Asset Pricing Theory by Darrell Duffie, Princeton University Press, (November 1, 2001), Hardcover, 471 pages. Amazon: Sales Rank= #501,849; Reviews= (7).
Cited in 2 LIQTY papers		Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit by Damiano Brigo, Fabio Mercurio, Springer, (September 26, 2007), Hardcover, 981 pages. Amazon: Sales Rank= #182,307; Reviews= (6).
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= #1,028,415; Reviews= (3).
Cited in 2 LIQTY papers		Advances in Economics and Econometrics: Theory and Applications 3 Volume Paperback Set: Eighth World Congress by Mathias Dewatripont (Editor), Lars Peter Hansen (Editor), Stephen J. Turnovsky (Editor), Cambridge University Press, (January 20, 2003), Paperback, 1088 pages. Amazon: Sales Rank= #3,235,954; No customer reviews yet.
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= #1,737; Reviews= (229).
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).