Tomas Bjork : Citation Profile


Are you Tomas Bjork?

Handelshögskolan i Stockholm

7

H index

6

i10 index

215

Citations

RESEARCH PRODUCTION:

2

Articles

11

Papers

RESEARCH ACTIVITY:

   7 years (1995 - 2002). See details.
   Cites by year: 30
   Journals where Tomas Bjork has often published
   Relations with other researchers
   Recent citing documents: 20.    Total self citations: 3 (1.38 %)

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   Permalink: http://citec.repec.org/pbj1
   Updated: 2020-01-18    RAS profile:    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Tomas Bjork.

Is cited by:

Diebold, Francis (12)

Chiarella, Carl (11)

Rudebusch, Glenn (8)

Krippner, Leo (6)

Nikitopoulos-Sklibosios, Christina (5)

Wu, Liuren (5)

Platen, Eckhard (4)

Christensen, Jens (4)

Leippold, Markus (4)

Lempa, Jukka (4)

Almeida, Caio (3)

Cites to:

Chiarella, Carl (6)

Jarrow, Robert (6)

White, Alan (6)

White, Alan (6)

Кабанов, Юрий (5)

Duffie, Darrell (3)

Nelson, Charles (3)

Christensen, Bent Jesper (3)

merton, robert (2)

Huddart, Steven (2)

Roll, Richard (1)

Main data


Where Tomas Bjork has published?


Journals with more than one article published# docs
Finance and Stochastics2

Recent works citing Tomas Bjork (2018 and 2017)


YearTitle of citing document
2017Term Structure Analysis with Big Data. (2017). Rudebusch, Glenn ; Andreasen, Martin M. In: CREATES Research Papers. RePEc:aah:create:2017-31.

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2019Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274.

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2017Consistency of extended Nelson-Siegel curve families with the Ho-Lee and Hull and White short rate models. (2017). Meier, Karem ; Kisbye, Patricia . In: Papers. RePEc:arx:papers:1707.02496.

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2019Arbitrage-Free Regularization. (2018). Hyndman, Cody B ; Kratsios, Anastasis. In: Papers. RePEc:arx:papers:1710.05114.

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2019Pricing Formulae of Power Binary and Normal Distribution Standard Options and Applications. (2019). Choe, Dae-Sung. In: Papers. RePEc:arx:papers:1903.04106.

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2019Existence of affine realizations for L\evy term structure models. (2019). Tappe, Stefan. In: Papers. RePEc:arx:papers:1907.02363.

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2019An alternative approach on the existence of affine realizations for HJM term structure models. (2019). Tappe, Stefan. In: Papers. RePEc:arx:papers:1907.03256.

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2017Updating the Ultimate Forward Rate over Time: A Possible Approach. (2017). Zigraiova, Diana ; Jakubík, Petr ; Jakubik, Petr . In: Working Papers. RePEc:cnb:wpaper:2017/03.

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2017Introducing global term structure in a risk parity framework. (2017). Stagnol, Lauren. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-23.

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2019Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices. (2019). Rudebusch, Glenn ; Andreasen, Martin M. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:26-46.

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2018The impact of oil price shocks on the term structure of interest rates. (2018). Ioannidis, Christos ; Ka, Kook. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:601-620.

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2019An asset pricing approach to testing general term structure models. (2019). van der Wel, Michel ; Christensen, Bent Jesper. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:1:p:165-191.

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2018General dynamic term structures under default risk. (2018). Fontana, Claudio ; Schmidt, Thorsten. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:10:p:3353-3386.

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2017Term Structure Analysis with Big Data. (2017). Rudebusch, Glenn ; Christensen, Jens ; Andreasen, Martin. In: Working Paper Series. RePEc:fip:fedfwp:2017-21.

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2018Modeling Longevity Risk using Consistent Dynamics Affine Mortality Models. (2018). Kedidi, Islem ; Bedoui, Rihab. In: Working Papers. RePEc:hal:wpaper:hal-01678050.

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2018On the implied market price of risk under the stochastic numéraire. (2018). Dokuchaev, Nikolai. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:2:d:10.1007_s10436-017-0315-y.

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2019Modifying Hybrid Optimisation Algorithms to Construct Spot Term Structure of Interest Rates and Proposing a Standardised Assessment. (2019). Husodo, Zaafri Ananto ; Wibowo, Buddi ; Utama, Cynthia Afriani ; Sasongko, Aryo. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:3:d:10.1007_s10614-018-9848-z.

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2018Comparing different methods for the estimation of interbank intraday yield curves. (2018). Demertzidis, Anastasios ; Jeleskovic, Vahidin. In: MAGKS Papers on Economics. RePEc:mar:magkse:201839.

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2019Extracting global factors from local yield curves. (2019). Stagnol, Lauren. In: Journal of Asset Management. RePEc:pal:assmgt:v:20:y:2019:i:5:d:10.1057_s41260-019-00126-4.

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2018Long-term factorization in Heath–Jarrow–Morton models. (2018). Qin, Likuan ; Linetsky, Vadim. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0365-7.

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Works by Tomas Bjork:


YearTitleTypeCited
1995Parameter Estimation and Reverse Martingales In: SSE/EFI Working Paper Series in Economics and Finance.
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paper0
1996Diversified Portfolios in Continuous Time In: SSE/EFI Working Paper Series in Economics and Finance.
[Full Text][Citation analysis]
paper0
1996Interest Rate Theory - CIME Lectures 1996 In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
paper1
1996Towards a General Theory of Bond Markets. In: SSE/EFI Working Paper Series in Economics and Finance.
[Full Text][Citation analysis]
paper15
1997Towards a general theory of bond markets (*).(1997) In: Finance and Stochastics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
article
1997Minimal Realizations of Forward Rates In: SSE/EFI Working Paper Series in Economics and Finance.
[Full Text][Citation analysis]
paper7
1997Interest Rate Dynamics and Consistent Forward Rate Curves In: SSE/EFI Working Paper Series in Economics and Finance.
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paper118
1999On the Existence of Finite Dimensional Realizations for Nonlinear Forward Rate Models In: SSE/EFI Working Paper Series in Economics and Finance.
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paper23
2000On the Term Structure of Futures and Forward Prices In: SSE/EFI Working Paper Series in Economics and Finance.
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paper6
2000A Geometric View of Interest Rate Theory In: SSE/EFI Working Paper Series in Economics and Finance.
[Full Text][Citation analysis]
paper3
2000On the construction of finite dimensional realizations for nonlinear forward rate models In: SSE/EFI Working Paper Series in Economics and Finance.
[Full Text][Citation analysis]
paper12
2002On the Use of Numeraires in Option pricing In: SSE/EFI Working Paper Series in Economics and Finance.
[Full Text][Citation analysis]
paper12
1999Minimal realizations of interest rate models In: Finance and Stochastics.
[Full Text][Citation analysis]
article18

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