Sanjiv Ranjan Das : Citation Profile


Are you Sanjiv Ranjan Das?

Santa Clara University

14

H index

17

i10 index

982

Citations

RESEARCH PRODUCTION:

27

Articles

17

Papers

RESEARCH ACTIVITY:

   17 years (1996 - 2013). See details.
   Cites by year: 57
   Journals where Sanjiv Ranjan Das has often published
   Relations with other researchers
   Recent citing documents: 120.    Total self citations: 7 (0.71 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pda527
   Updated: 2018-11-17    RAS profile: 2013-08-28    
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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 Sanjiv Ranjan Das.

Is cited by:

Guidolin, Massimo (15)

Lucas, Andre (10)

Schwaab, Bernd (10)

Koopman, Siem Jan (10)

Andersen, Torben (9)

Duffie, Darrell (8)

Renò, Roberto (8)

Maheu, John (8)

Diebold, Francis (6)

Shen, Dehua (6)

Bollerslev, Tim (6)

Cites to:

merton, robert (20)

Jarrow, Robert (19)

Duffie, Darrell (16)

Scholes, Myron (9)

Duffee, Greg (9)

Leland, Hayne (9)

Singleton, Kenneth (8)

Lerner, Josh (6)

Campbell, John (6)

Gerardi, Kristopher (6)

Foote, Christopher (6)

Main data


Where Sanjiv Ranjan Das has published?


Journals with more than one article published# docs
Journal of Economic Dynamics and Control4
Management Science3
Journal of Financial and Quantitative Analysis3
Journal of Banking & Finance3
Journal of Finance2
Journal of Financial Intermediation2

Recent works citing Sanjiv Ranjan Das (2018 and 2017)


YearTitle of citing document
2018Option pricing: A yet simpler approach. (2018). Talponen, Jarno ; Turunen, Minna . In: Papers. RePEc:arx:papers:1705.00212.

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2018Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization. (2018). White, Alan. In: Papers. RePEc:arx:papers:1803.07843.

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2018Enhancing Stock Market Prediction with Extended Coupled Hidden Markov Model over Multi-Sourced Data. (2018). Zhang, XI ; Yu, Philip S ; Fang, Binxing ; Wang, Senzhang ; Li, Yixuan. In: Papers. RePEc:arx:papers:1809.00306.

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2018Measuring Systematic Risk with Neural Network Factor Model. (2018). Huh, Jeonggyu. In: Papers. RePEc:arx:papers:1809.04925.

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2018Multivariate Jump Diffusion Model with Markovian Contagion. (2018). Campos, Pablo Jose ; Gupta, Aparna . In: Working Papers Series. RePEc:bcb:wpaper:482.

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2017Sectoral risk in the Italian Banking System. (2017). Accornero, Matteo ; Sorrentino, Alberto Maria ; Parlapiano, Fabio ; Felici, Roberto ; Cascarino, Giuseppe . In: IFC Bulletins chapters. RePEc:bis:bisifc:45-07.

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2017MANAGING FINANCIALLY DISTRESSED PENSION PLANS IN THE INTEREST OF BENEFICIARIES. (2017). Inkmann, Joachim ; Shi, Zhen ; Blake, David. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:2:p:539-565.

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2017Are founder CEOs more overconfident than professional CEOs? Evidence from S&P 1500 companies. (2017). Lee, Joon Mahn ; Chen, Hailiang ; Hwang, Byoung-Hyoun. In: Strategic Management Journal. RePEc:bla:stratm:v:38:y:2017:i:3:p:751-769.

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2018Mortgages: estimating default correlation and forecasting default risk. (2018). Neumann, Tobias . In: Bank of England working papers. RePEc:boe:boeewp:0708.

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2017On the estimation of regime-switching Lévy models. (2017). Goutte, Stéphane ; Chevallier, Julien ; Stephane, Goutte ; Julien, Chevallier . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:1:p:3-29:n:4.

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2017Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina ; Cortes, Lina M. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:015923.

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2017Are Mutual Fund Managers Paid For Investment Skill?. (2017). Vestman, Roine ; Van Nieuwerburgh, Stijn ; Kaniel, Ron ; Ibert, Marcus . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12010.

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2017Structure and Intensity Based Approach in Credit Risk Models: A Literature Review. (2017). Ramesh, Adithi ; Senthil, C B. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-03-81.

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2017Skin in the game: General partner capital commitment, investment behavior and venture capital fund performance. (2017). Jia, Ning ; Wang, Dan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:47:y:2017:i:c:p:110-130.

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2017Optimal portfolios when variances and covariances can jump. (2017). Branger, Nicole ; Weisheit, Stefan ; Seifried, Frank Thomas ; Muck, Matthias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:59-89.

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2018Moment matching machine learning methods for risk management of large variable annuity portfolios. (2018). Xu, Wei ; Coleman, Thomas F ; Chen, Yuehuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:87:y:2018:i:c:p:1-20.

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2017Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift☆. (2017). Li, Shaoyu ; Zheng, Tingguo . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:200-221.

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2017Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks. (2017). Lin, Shih-Kuei ; Xu, Lian-Wen ; Chen, Carl R ; Wang, Shin-Yun . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:359-373.

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2017R-estimation in semiparametric dynamic location-scale models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:233-247.

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2018Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix. (2018). Jin, Xing ; Hong, YI. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:1:p:389-398.

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2018High dimensional data classification and feature selection using support vector machines. (2018). Ghaddar, Bissan ; Naoum-Sawaya, Joe. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:3:p:993-1004.

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2018Local currency systemic risk. (2018). Borri, Nicola. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:111-123.

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2018Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network. (2018). Ugolini, Andrea ; Arismendi Zambrano, Juan ; Rivera-Castro, Miguel A. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:164-189.

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2017Portfolio selection with mental accounts and estimation risk. (2017). Yan, Shu ; Baptista, Alexandre ; Alexander, Gordon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:161-186.

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2017Systematic cojumps, market component portfolios and scheduled macroeconomic announcements. (2017). Neely, Christopher ; Bowman, Robert G ; Chan, Kam Fong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:43-58.

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2018A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses. (2018). Scheule, Harald ; Rosch, Daniel ; Oehme, Toni ; Kruger, Steffen . In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:246-262.

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2017Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models. (2017). Tunaru, Diana . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:119-129.

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2017Parameter estimation risk in asset pricing and risk management: A Bayesian approach. (2017). Tunaru, Radu ; Zheng, Teng. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:80-93.

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2017Celebrities and ordinaries in social networks: Who knows more information?. (2017). An, Yahui ; Jin, XI ; Feng, XU ; Zhang, Yongjie. In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:153-161.

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2018Pricing short-dated foreign equity options with a bivariate jump-diffusion model with correlated fat-tailed jumps. (2018). Ulyah, Siti Maghfirotul ; Miao, Daniel Wei-Chung ; Lin, Xenos Chang-Shuo. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:113-128.

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2018Option pricing under regime switching: Integration over simplexes method. (2018). Jang, Bong-Gyu ; Tae, Hyeon-Wuk. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:301-312.

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2017Understanding transactions prices in the credit default swaps market. (2017). Tang, Dragon Yongjun ; Yan, Hong. In: Journal of Financial Markets. RePEc:eee:finmar:v:32:y:2017:i:c:p:1-27.

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2017Multiple risk factor dependence structures: Copulas and related properties. (2017). Su, Jianxi ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:109-121.

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2017Multiple risk factor dependence structures: Distributional properties. (2017). Su, Jianxi ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:56-68.

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2017Option pricing under time-varying risk-aversion with applications to risk forecasting. (2017). Kiesel, Rudiger ; Rahe, Florentin . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:76:y:2017:i:c:p:120-138.

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2017Divergence of sentiment and stock market trading. (2017). Siganos, Antonios ; Verwijmeren, Patrick ; Vagenas-Nanos, Evangelos. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:130-141.

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2017Investor sentiment, flight-to-quality, and corporate bond comovement. (2017). Bethke, Sebastian ; Kempf, Alexander ; Gehde-Trapp, Monika . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:112-132.

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2017Analysing the determinants of insolvency risk for general insurance firms in the UK. (2017). cerrato, mario ; Caporale, Guglielmo Maria ; Zhang, Xuan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:107-122.

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2017Intraday online investor sentiment and return patterns in the U.S. stock market. (2017). Renault, Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:25-40.

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2018Legal framework quality and success of (different types of) venture capital investments. (2018). Tykvova, Tereza. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:333-350.

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2018Jumps, cojumps, and efficiency in the spot foreign exchange market. (2018). Piccotti, Louis R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:49-67.

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2018Learning about noise. (2018). Marmora, Paul ; Rytchkov, Oleg. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:89:y:2018:i:c:p:209-224.

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2018A network approach to unravel asset price comovement using minimal dependence structure. (2018). de Carvalho, Pablo ; Gupta, Aparna ; Campos, Pablo Jose. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:91:y:2018:i:c:p:119-132.

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2018Effects of government bailouts on mortgage modification. (2018). Agarwal, Sumit ; Zhang, Yunqi . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:54-70.

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2017Does who we are affect what we say and when? Investigating the impact of activity and connectivity on microbloggers response to new products. (2017). Topaloglu, Omer ; Kumar, Piyush ; Dass, Mayukh. In: Journal of Business Research. RePEc:eee:jbrese:v:77:y:2017:i:c:p:23-29.

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2018Not just for the recommender: How eWOM incentives influence the recommendation audience. (2018). Eimer, Thomas R ; Benkenstein, Martin ; Reimer, Thomas. In: Journal of Business Research. RePEc:eee:jbrese:v:86:y:2018:i:c:p:11-21.

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2017Stochastic idiosyncratic cash flow risk and real options: Implications for stock returns. (2017). Bhamra, Harjoat ; Shim, Kyung Hwan . In: Journal of Economic Theory. RePEc:eee:jetheo:v:168:y:2017:i:c:p:400-431.

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2017Moral hazard in active asset management. (2017). Brown, David C ; Davies, Shaun William . In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:2:p:311-325.

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2017Debt correlations in the wake of the financial crisis: What are appropriate default correlations for structured products?. (2017). Nickerson, Jordan ; Griffin, John M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:454-474.

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2017Systemic co-jumps. (2017). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Aleksey . In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:3:p:563-591.

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2018The customer knows best: The investment value of consumer opinions. (2018). Huang, Jiekun. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:1:p:164-182.

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2018How does the stock market absorb shocks?. (2018). Frank, Murray Z ; Sanati, Ali. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:1:p:136-153.

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2018Exploring the sources of default clustering. (2018). Azizpour, S ; Schwenkler, G ; Giesecke, K. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:1:p:154-183.

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2017Contagion effects in strategic mortgage defaults. (2017). Ramirez, Carlos ; Stahel, Christof W ; Hanouna, Paul ; Goodstein, Ryan . In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:30:y:2017:i:c:p:50-60.

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2017Financial education, investor protection and international portfolio diversification. (2017). Giofre', Maela. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:71:y:2017:i:c:p:111-139.

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2018The reality of stock market jumps diversification. (2018). Chen, KE ; Poon, Ser-Huang ; Hyde, Stuart ; Vitiello, Luiz . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:171-188.

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2018.

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2018.

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2017News sentiment and jumps in energy spot and futures markets. (2017). Dokumentov, Alexander ; Rotaru, Kristian ; Maslyuk-Escobedo, Svetlana. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:45:y:2017:i:c:p:186-210.

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2018Do Chinese internet stock message boards convey firm-specific information?. (2018). Shen, Dehua ; Zhang, Wei ; Li, Xiao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:49:y:2018:i:c:p:1-14.

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2018Optimistic bias of analysts earnings forecasts: Does investor sentiment matter in China?. (2018). Yin, Libo ; Wu, Yanran ; Han, Liyan ; Liu, Tingting. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:49:y:2018:i:c:p:147-163.

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2017Investor sentiment and stock returns: Evidence from provincial TV audience rating in China. (2017). Shen, Dehua ; ZHANG, YONG JIE . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:466:y:2017:i:c:p:288-294.

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2017Entropy measure of credit risk in highly correlated markets. (2017). Gottschalk, Sylvia . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:478:y:2017:i:c:p:11-19.

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2017The interaction of financial news between mass media and new media: Evidence from news on Chinese stock market. (2017). Shen, Dehua ; Liu, Lanbiao ; Zhang, Zuochao. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:486:y:2017:i:c:p:535-541.

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2018The cross-correlations between online sentiment proxies: Evidence from Google Trends and Twitter. (2018). Zhang, Zuochao ; Shen, Dehua. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:508:y:2018:i:c:p:67-75.

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2017Welfare economics of review information: Implications for the online selling platform owner. (2017). Zhang, Tao ; Li, Gang ; Lai, Kin Keung. In: International Journal of Production Economics. RePEc:eee:proeco:v:184:y:2017:i:c:p:69-79.

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2017A multidisciplinary perspective of big data in management research. (2017). Sheng, Jie ; Wang, Xiaojun ; Amankwah-Amoah, Joseph. In: International Journal of Production Economics. RePEc:eee:proeco:v:191:y:2017:i:c:p:97-112.

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2018Interest rate volatility and risk management: Evidence from CBOE Treasury options. (2018). Markellos, Raphael N ; Psychoyios, Dimitris. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:190-202.

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2017Stochastic volatility vs. jump diffusions: Evidence from the Chinese convertible bond market. (2017). Fan, Chenxi ; Wu, Qingbiao ; Luo, Xingguo. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:1-16.

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2018Investor sentiment extracted from internet stock message boards and IPO puzzles. (2018). Tsukioka, Yasutomo ; Takada, Teruko ; Yanagi, Junya. In: International Review of Economics & Finance. RePEc:eee:reveco:v:56:y:2018:i:c:p:205-217.

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2017The use of open source internet to analysis and predict stock market trading volume. (2017). Moussa, Faten ; Delhoumi, Ezzeddine ; Benouda, Olfa ; ben Ouda, Olfa . In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:399-411.

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2017Dependence patterns among Asian banking sector stocks: A copula approach. (2017). Premaratne, Gamini ; Mensah, Jones Odei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:516-546.

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2018The housing market and the credit default swap premium in the UK banking sector: A VAR approach. (2018). Benbouzid, Nadia ; Pilbeam, Keith ; Mallick, Sushanta. In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:1-15.

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2018Dependence patterns among Asian banking sector stocks: A copula approach. (2018). Premaratne, Gamini ; Mensah, Jones Odei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:45:y:2018:i:c:p:357-388.

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2018Trains and Twitter: Firm generated content, consumer relationship management and message framing. (2018). Nisar, Tahir M ; Prabhakar, Guru. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:113:y:2018:i:c:p:318-334.

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2017Asset volatility. (2017). Correia, Maria ; Richardson, Scott ; Kang, Johnny. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:84405.

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2018An Empirical Analysis of the Propagation of Corporate Bankruptcy. (2018). Yoshiyuki, Arata. In: Discussion papers. RePEc:eti:dpaper:18040.

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2017Design of New Barrier Outperformance Certificates in Oil Market. (2017). Soltes, Vincent ; Harcarikova, Monika . In: Engineering Economics. RePEc:exl:25engi:v:28:y:2017:i:3:p:262-270.

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2017Estimating Loss Given Default from CDS under Weak Identification. (2017). Liu, Lily. In: Risk and Policy Analysis Unit Working Paper. RePEc:fip:fedbqu:rpa17-1.

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2017Systematic Cojumps, Market Component Portfolios and Scheduled Macroeconomic Announcements. (2017). Neely, Christopher ; Bowman, Robert G ; Chan, Kam Fong. In: Working Papers. RePEc:fip:fedlwp:2017-011.

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2017A General Framework for Incorporating Stochastic Recovery in Structural Models of Credit Risk. (2017). Cohen, Albert ; Costanzino, Nick. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:65-:d:123567.

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2018Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization. (2018). White, Alan. In: Working Papers. RePEc:hal:wpaper:hal-01739310.

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2018A simpler algorithm to price American Lookback options in a discrete stochastic volatility model. (2018). Ramprasath, L. In: Working papers. RePEc:iik:wpaper:294.

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2017Cross-Selling Investment Products with a Win-Win Perspective in Portfolio Optimization. (2017). Ozelik, Hamdi M ; Akay, Yalin ; Ali, Ozden Gur ; Yilmaz, Emrah ; Sayman, Serdar . In: Operations Research. RePEc:inm:oropre:v:65:y:2017:i:1:p:55-74.

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2018Initial Jump and Recovering Jump in the S&P 500 Index Returns: A Jump-Recovering-Switching Approach. (2018). Lai, Yi-Hao ; Chung, Wei-Shih ; Wang, Yi-Chiuan. In: Journal of Economics and Management. RePEc:jec:journl:v:14:y:2018:i:1:p:51-66.

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2017Game Theoretic Modeling of Economic Systems and the European Debt Crisis. (2017). Welburn, Jonathan ; Hausken, Kjell. In: Computational Economics. RePEc:kap:compec:v:49:y:2017:i:2:d:10.1007_s10614-015-9542-3.

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2018International asset allocation using the market implied cost of capital. (2018). Bielstein, Patrick. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:32:y:2018:i:1:d:10.1007_s11408-017-0302-3.

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2018Hedge fund incentives, management commitment and survivorship. (2018). Qiu, Judy ; Walter, Ingo ; Tang, Leilei. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:32:y:2018:i:2:d:10.1007_s11408-018-0309-4.

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2017A bias in the volatility smile. (2017). Chance, Don M ; Muthuswamy, Jayaram ; Li, Weiping ; Hanson, Thomas A. In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:1:d:10.1007_s11147-016-9124-0.

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2017The economic significance of CDS price discovery. (2017). Xiang, Vincent ; Fang, Victor ; Chng, Michael T. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:1:d:10.1007_s11156-015-0540-2.

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2017Copula-based factor model for credit risk analysis. (2017). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan ; Lu, Meng-Jou. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:49:y:2017:i:4:d:10.1007_s11156-016-0613-x.

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2017Text as Data. (2017). Gentzkow, Matthew ; Taddy, Matt ; Kelly, Bryan T. In: NBER Working Papers. RePEc:nbr:nberwo:23276.

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2017Are Mutual Fund Managers Paid For Investment Skill?. (2017). Vestman, Roine ; Van Nieuwerburgh, Stijn ; Kaniel, Ron ; Ibert, Markus . In: NBER Working Papers. RePEc:nbr:nberwo:23373.

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2018How News and Its Context Drive Risk and Returns Around the World. (2018). Calomiris, Charles ; Mamaysky, Harry. In: NBER Working Papers. RePEc:nbr:nberwo:24430.

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2018Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads. (2018). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick. In: NBER Working Papers. RePEc:nbr:nberwo:24506.

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2018Big Data & Macroeconomic Nowcasting: Methodological Review. (2018). Kapetanios, George ; Papailias, Fotis . In: Economic Statistics Centre of Excellence (ESCoE) Discussion Papers. RePEc:nsr:escoed:escoe-dp-2018-12.

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2018Timid performance fees in mutual funds. (2018). Santamaria, Teresa Corzo ; Calvo, Juan Rodriguez ; de Ibarreta, Carlos Martinez. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:1:d:10.1057_s41260-017-0061-8.

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2018Political connections and voluntary disclosure: Evidence from around the world. (2018). Hung, Mingyi ; Li, Siqi ; Kim, Yongtae. In: Journal of International Business Studies. RePEc:pal:jintbs:v:49:y:2018:i:3:d:10.1057_s41267-017-0139-z.

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2018Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization. (2018). White, Alan. In: MPRA Paper. RePEc:pra:mprapa:85331.

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2018Are financial ratios relevant for trading credit risk? Evidence from the CDS market. (2018). Chalamandaris, George ; Vlachogiannakis, Nikos E. In: Annals of Operations Research. RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-016-2373-3.

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2017Corporate distress and turnaround: integrating the literature and directing future research. (2017). Schweizer, Lars ; Nienhaus, Andreas . In: Business Research. RePEc:spr:busres:v:10:y:2017:i:1:d:10.1007_s40685-016-0041-8.

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More than 100 citations found, this list is not complete...

Works by Sanjiv Ranjan Das:


YearTitleTypeCited
2010Credit default swaps – Financial innovation or financial dysfunction? In: Financial Stability Review.
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article3
2004Systemic Risk and International Portfolio Choice In: Journal of Finance.
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article138
2002Systemic Risk and International Portfolio Choice.(2002) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 138
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2007Common Failings: How Corporate Defaults Are Correlated In: Journal of Finance.
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article148
2006Common Failings: How Corporate Defaults are Correlated.(2006) In: NBER Working Papers.
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This paper has another version. Agregated cites: 148
paper
2002Pricing Credit Derivatives with Rating Transitions In: CEPR Discussion Papers.
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paper9
1999Of Smiles and Smirks: A Term Structure Perspective In: Journal of Financial and Quantitative Analysis.
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article104
1998Of Smiles and Smirks: A Term-Structure Perspective.(1998) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Citation analysis]
This paper has another version. Agregated cites: 104
paper
2010Portfolio Optimization with Mental Accounts In: Journal of Financial and Quantitative Analysis.
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article27
2012The Principal Principle In: Journal of Financial and Quantitative Analysis.
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article4
1998A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model In: Journal of Economic Dynamics and Control.
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article0
1999A theory of optimal timing and selectivity In: Journal of Economic Dynamics and Control.
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article0
2009Implied recovery In: Journal of Economic Dynamics and Control.
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article23
2013Options and structured products in behavioral portfolios In: Journal of Economic Dynamics and Control.
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article10
2002The surprise element: jumps in interest rates In: Journal of Econometrics.
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article127
2009Options on portfolios with higher-order moments In: Finance Research Letters.
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article2
1999A theory of banking structure In: Journal of Banking & Finance.
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article7
2009Accounting-based versus market-based cross-sectional models of CDS spreads In: Journal of Banking & Finance.
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article28
2013Strategic loan modification: An options-based response to strategic default In: Journal of Banking & Finance.
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article3
2009Hedging credit: Equity liquidity matters In: Journal of Financial Intermediation.
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article19
2011Polishing diamonds in the rough: The sources of syndicated venture performance In: Journal of Financial Intermediation.
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article8
2005eInformation: A Clinical Study of Investor Discussion and Sentiment In: Financial Management.
[Citation analysis]
article6
1996The Central Tendency: A Second Factor in Bond Yields In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Citation analysis]
paper64
1997The Central Tendency: A Second Factor in Bond Yields.(1997) In: NBER Working Papers.
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This paper has another version. Agregated cites: 64
paper
1998The Central Tendency: A Second Factor In Bond Yields.(1998) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 64
article
1998The Regulation of Fee Structures in Mutual Funds: A Theoretical Analysis In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Citation analysis]
paper2
1998A Direct Approach to Arbitrage-Free Pricing of Derivatives In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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paper5
1999Fee Speech: Signalling and the Regulation of Mutual Fund Fees In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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paper1
2000A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives In: Management Science.
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article18
2007Yahoo! for Amazon: Sentiment Extraction from Small Talk on the Web In: Management Science.
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article83
2007An Integrated Model for Hybrid Securities In: Management Science.
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article12
2007Basel II: Correlation Related Issues In: Journal of Financial Services Research.
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article5
2005The Firms Management of Social Interactions In: Marketing Letters.
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article43
1997An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model In: NBER Technical Working Papers.
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paper0
1997Auction Theory: A Summary with Applications to Treasury Markets In: NBER Working Papers.
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paper9
1997Taming the Skew: Higher-Order Moments in Modeling Asset Price Processes in Finance In: NBER Working Papers.
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paper6
1997Average Interest In: NBER Working Papers.
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paper1
1998Poisson-Guassian Processes and the Bond Markets In: NBER Working Papers.
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paper14
1998A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives In: NBER Working Papers.
[Full Text][Citation analysis]
paper8
1998On the Regulation of Fee Structures in Mutual Funds In: NBER Working Papers.
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paper10
1998Fee Speech: Adverse Selection and the Regulation of Mutual Funds In: NBER Working Papers.
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paper4
2002Fee Speech: Signaling, Risk-Sharing, and the Impact of Fee Structures on Investor Welfare In: Review of Financial Studies.
[Citation analysis]
article25
1997Macroeconomic implications of search theory for the labour market In: Applied Economics Letters.
[Full Text][Citation analysis]
article0
2006A simple approach for pricing equity options with Markov switching state variables In: Quantitative Finance.
[Full Text][Citation analysis]
article6

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