Sanjiv Ranjan Das : Citation Profile


Are you Sanjiv Ranjan Das?

Santa Clara University

14

H index

18

i10 index

1018

Citations

RESEARCH PRODUCTION:

26

Articles

18

Papers

RESEARCH ACTIVITY:

   22 years (1996 - 2018). See details.
   Cites by year: 46
   Journals where Sanjiv Ranjan Das has often published
   Relations with other researchers
   Recent citing documents: 243.    Total self citations: 7 (0.68 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pda527
   Updated: 2020-07-04    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:

Xiao, Tim (16)

Lucas, Andre (10)

Schwaab, Bernd (10)

Koopman, Siem Jan (10)

Andersen, Torben (9)

Duffie, Darrell (8)

Guidolin, Massimo (8)

Maheu, John (8)

Baptista, Alexandre (8)

Shen, Dehua (7)

Yan, Shu (7)

Cites to:

merton, robert (23)

Jarrow, Robert (19)

Duffie, Darrell (16)

Leland, Hayne (9)

Scholes, Myron (9)

Singleton, Kenneth (8)

Willen, Paul (7)

Ramaswamy, Krishna (6)

Campbell, John (6)

Duffee, Greg (6)

Longstaff, Francis (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 Banking & Finance3
Journal of Financial and Quantitative Analysis3
Journal of Financial Intermediation2

Recent works citing Sanjiv Ranjan Das (2018 and 2017)


YearTitle of citing document
2018Option pricing: A yet simpler approach. (2018). Turunen, Minna ; Talponen, Jarno . 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). Yu, Philip S ; Fang, Binxing ; Wang, Senzhang ; Li, Yixuan ; Zhang, XI. In: Papers. RePEc:arx:papers:1809.00306.

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2019Co-jumping of Treasury Yield Curve Rates. (2019). Baruník, Jozef ; Fiser, Pavel. In: Papers. RePEc:arx:papers:1905.01541.

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2019Tehran Stock Exchange Prediction Using Sentiment Analysis of Online Textual Opinions. (2019). Shamsfard, Mehrnoush ; Ghahfarrokhi, Arezoo Hatefi. In: Papers. RePEc:arx:papers:1909.03792.

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2020Optimal Dividend Strategy for An Insurance Group with Contagious Default Risk. (2019). Yu, Xiang ; Yang, Yue ; Liao, Huafu ; Jin, Zhuo. In: Papers. RePEc:arx:papers:1909.09511.

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2019Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator. (2019). Juneja, Sandeep ; Deo, Anand. In: Papers. RePEc:arx:papers:1912.12611.

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2020The Fair Basis: Funding and capital in the reduced form framework. (2020). Lou, Wujiang . In: Papers. RePEc:arx:papers:2002.08531.

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2019Economic Cycle and the Large-Scale Asset Allocation Strategy of Chinese National Social Security Fund. (2019). Tang, Zijie. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:1405-1418.

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2018Multivariate Jump Diffusion Model with Markovian Contagion. (2018). de Carvalho, Pablo ; Gupta, Aparna ; Campos, Pablo Jose. 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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2017Media sentiment, institutional investors and probability of stock price crash: evidence from Chinese stock markets. (2017). Zhu, Yanjian ; Yu, Jing ; Zhang, Hua ; Wu, Zhaoying. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:5:p:1635-1670.

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2018The sensitivity of the credit default swap market to financial analysts’ forecast revisions. (2018). Alam, Pervaiz ; Hettler, Barry ; Pu, Xiaoling . In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:3:p:697-725.

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2018Predicting FTSE 100 returns and volatility using sentiment analysis. (2018). Johnman, Mark ; Gepp, Adrian ; Vanstone, Bruce James. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:253-274.

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2018Are Internet message boards used to facilitate stock price manipulation? Evidence from an emerging market, Thailand. (2018). Laksomya, Nattapong ; Treepongkaruna, Sirimon ; Tanthanongsakkun, Suparatana ; Powell, John G. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:275-309.

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2018Credit risk in banks’ exposures to non‐financial firms. (2018). Cascarino, Giuseppe ; Sorrentino, Alberto Maria ; Parlapiano, Fabio ; Felici, Roberto ; Accornero, Matteo. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:5:p:775-791.

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2018Wisdom of Crowds: Cross‐Sectional Variation in the Informativeness of Third‐Party‐Generated Product Information on Twitter. (2018). Tang, Vicki Wei . In: Journal of Accounting Research. RePEc:bla:joares:v:56:y:2018:i:3:p:989-1034.

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2020Estimating the probability of default for no‐default and low‐default portfolios. (2020). Blumke, Oliver. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:69:y:2020:i:1:p:89-107.

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2017MANAGING FINANCIALLY DISTRESSED PENSION PLANS IN THE INTEREST OF BENEFICIARIES. (2017). Blake, David ; Shi, Zhen ; Inkmann, Joachim . 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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2018“Much Ado about Nothing”? The Effect of Print Media Tone on Stock Indices. (2018). Schreiber, Ben Z ; Saadon, Yossi ; Rosenboim, Mosi. In: Bank of Israel Working Papers. RePEc:boi:wpaper:2018.10.

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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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2018Low Inflation: High Default Risk AND High Equity Valuations. (2018). Weber, Michael ; Bhamra, Harjoat ; Jeanneret, Alexandre ; Dorion, Christian. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7391.

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2019British Stock Market, BREXIT and Media Sentiments - A Big Data Analysis. (2019). Yang, Lei ; Mukherjee, Debashis ; Marjit, Sugata ; Das, Pranab Kumar ; Basak, Gopal K. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7760.

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2020Análisis de Sentimiento Basado en el Informe de Percepciones de Negocios del Banco Central de Chile. (2020). Avila, Bruno ; Peralta, Hugo ; del Pilar, Maria. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:862.

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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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2018Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads. (2018). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12857.

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2019Portfolios Optimizations of Behavioral Stocks with Perception Probability Weightings. (2019). Young, Michael Nayat ; Chang, Kuo-Hwa. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2019:v:20:i:2:changyoung.

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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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2019Does social interaction have an impact on residents’ sustainable lifestyle decisions? A multi-agent stimulation based on regret and game theory. (2019). Chen, Hong ; Long, Ruyin ; Cheng, Xiu ; Yang, Jiahui. In: Applied Energy. RePEc:eee:appene:v:251:y:2019:i:c:95.

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2019Large EU banks’ capital and liquidity: Relationship and impact on credit default swap spreads. (2019). Girardone, Claudia ; Sclip, Alex ; Miani, Stefano. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:4:p:438-461.

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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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2019Markowitz with regret. (2019). Korn, Olaf ; Baule, Rainer ; Kuntz, Laura-Chloe . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:103:y:2019:i:c:p:1-24.

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2019Measuring the covariance risk of consumer debt portfolios. (2019). Madeira, Carlos. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:104:y:2019:i:c:p:21-38.

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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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2019Who poisons the pool? Time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets. (2019). Wang, Jinghua ; Kim, Yea Lee ; Ngene, Geoffrey M. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:136-147.

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2019Intersectoral default contagion: A multivariate Poisson autoregression analysis. (2019). Maggi, Mario ; Escribano, Ana. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:376-400.

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2020Financialization of agricultural commodities: Evidence from China. (2020). Ouyang, Ruolan ; Zhang, Xuan. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:381-389.

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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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2019Multi-period and tri-objective uncertain portfolio selection model: A behavioral approach. (2019). Yuan, Ying ; Chen, NA ; Jin, Xiu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:492-504.

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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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2019Commercial and Residential Mortgage Defaults: Spatial Dependence with Frailty. (2019). Babii, Andrii ; Ghysels, Eric ; Chen, XI. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:47-77.

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2019Simulated likelihood estimators for discretely observed jump–diffusions. (2019). Schwenkler, G ; Giesecke, K. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:297-320.

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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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2019On the optimality of path-dependent structured funds: The cost of standardization. (2019). Prigent, Jean-Luc ; BERTRAND, Philippe. In: European Journal of Operational Research. RePEc:eee:ejores:v:277:y:2019:i:1:p:333-350.

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2020Does societal trust make firms more trustworthy?. (2020). Shi, Lisi ; Gu, Yan ; Yen, Huang-Ping ; Ho, Kung-Cheng. In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014118302401.

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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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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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2019Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil. (2019). Gao, Lin ; Brandt, Michael W. In: Journal of Empirical Finance. RePEc:eee:empfin:v:51:y:2019:i:c:p:64-94.

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2019Bond and option prices with permanent shocks. (2019). Al-Zoubi, Haitham A. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:272-290.

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2019Option prices and implied volatility in the crude oil market. (2019). Lorentzen, Sindre ; Soini, Vesa. In: Energy Economics. RePEc:eee:eneeco:v:83:y:2019:i:c:p:515-539.

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2019Social Networks in Economic History: Opportunities and Challenges. (2019). Mesevage, Gabriel Geisler ; Esteves, Rui. In: Explorations in Economic History. RePEc:eee:exehis:v:74:y:2019:i:c:s0014498318301682.

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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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2018Polytomous response financial distress models: The role of accounting, market and macroeconomic variables. (2018). Tinoco, Mario Hernandez ; Wilson, Nick ; Holmes, Phil. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:276-289.

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2019Assimilation of oil news into prices. (2019). McDonald, Bill ; Loughran, Tim ; Pragidis, Ioannis. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:105-118.

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2019Reaction of the credit default swap market to the release of periodic financial reports. (2019). Nasiri, Maryam Akbari ; Mishra, Sagarika ; Narayan, Paresh Kumar. In: International Review of Financial Analysis. RePEc:eee:finana:v:65:y:2019:i:c:s1057521918306872.

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2019The risk spiral: The effects of bank capital and diversification on risk taking. (2019). Raviv, Alon ; Lazar, Sharon Peleg. In: International Review of Financial Analysis. RePEc:eee:finana:v:65:y:2019:i:c:s1057521919300973.

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2020Social media effect, investor recognition and the cross-section of stock returns. (2020). Li, Youwei ; Feng, XU ; Cao, Xing ; Zhang, Wei ; Meng, Xiangtong. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521919304818.

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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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2018Debt market illiquidity and correlated default risk. (2018). Javadi, Siamak ; Mollagholamali, Mohsen. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:266-273.

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2020Predicting default rates by capturing critical transitions in the macroeconomic system. (2020). Yang, Xiaoguang ; Xing, Kai. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318300357.

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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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2018Systemic risk in a structural model of bank default linkages. (2018). Kreis, Yvonne. In: Journal of Financial Stability. RePEc:eee:finsta:v:39:y:2018:i:c:p:221-236.

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2019Comparing automated text classification methods. (2019). Heitmann, Mark ; Schamp, Christina ; Huppertz, Juliana ; Hartmann, Jochen. In: International Journal of Research in Marketing. RePEc:eee:ijrema:v:36:y:2019:i:1:p:20-38.

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2019Exchange rate disconnect and private information: What can we learn from Euro-Dollar tweets?. (2019). van Wincoop, Eric ; Gholampour, Vahid . In: Journal of International Economics. RePEc:eee:inecon:v:119:y:2019:i:c:p:111-132.

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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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2020Copula-based Markov process. (2020). Yang, Jingping ; Liu, Yong ; Jiang, Fan ; Fang, Jun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:91:y:2020:i:c:p:166-187.

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2018What drives corporate CDS spreads? A comparison across US, UK and EU firms. (2018). Pereira, John ; Nurullah, Mohamed ; Sorwar, Ghulam. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:188-200.

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2019Forward-looking asset correlations in the estimation of economic capital. (2019). Novales, Alfonso ; Fonollosa, Alexandre ; Chamizo, Alvaro. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:264-288.

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2019Text-based crude oil price forecasting: A deep learning approach. (2019). Wang, Shouyang ; Shang, Wei ; Li, Xuerong. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1548-1560.

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2019Brand perceptions of airports using social networks. (2019). Gitto, Simone ; Mancuso, Paolo . In: Journal of Air Transport Management. RePEc:eee:jaitra:v:75:y:2019:i:c:p:153-163.

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2020Portfolio selection with mental accounts: An equilibrium model with endogenous risk aversion. (2020). Yan, Shu ; Baptista, Alexandre M ; Alexander, Gordon J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:110:y:2020:i:c:s0378426619301669.

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2020Macroeconomic effects and frailties in the resolution of non-performing loans. (2020). Rosch, Daniel ; Kellner, Ralf ; Kruger, Steffen ; Betz, Jennifer. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302224.

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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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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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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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2020Predicting the antecedents of trust in social commerce – A hybrid structural equation modeling with neural network approach. (2020). Chong, Alain Yee-Loong ; Ooi, Keng-Boon ; Hew, Teck-Soon ; Leong, Lai-Ying. In: Journal of Business Research. RePEc:eee:jbrese:v:110:y:2020:i:c:p:24-40.

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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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2019Experiential product framing and its influence on the creation of consumer reviews. (2019). Alegre, Ines ; Townsend, Claudia ; Gallo, Iigo. In: Journal of Business Research. RePEc:eee:jbrese:v:98:y:2019:i:c:p:177-190.

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2019Mind the tail, or risk to fail. (2019). Chaudhry, Sajid ; Gupta, Jairaj. In: Journal of Business Research. RePEc:eee:jbrese:v:99:y:2019:i:c:p:167-185.

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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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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 ; 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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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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2007Common Failings: How Corporate Defaults Are Correlated In: Journal of Finance.
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2006Common Failings: How Corporate Defaults are Correlated.(2006) In: NBER Working Papers.
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2002Systemic Risk and International Portfolio Choice In: CEPR Discussion Papers.
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paper2
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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1998Of Smiles and Smirks: A Term-Structure Perspective.(1998) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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This paper has another version. Agregated cites: 111
paper
2010Portfolio Optimization with Mental Accounts In: Journal of Financial and Quantitative Analysis.
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article34
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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article19
2002The surprise element: jumps in interest rates In: Journal of Econometrics.
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article138
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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article9
2009Accounting-based versus market-based cross-sectional models of CDS spreads In: Journal of Banking & Finance.
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article36
2013Strategic loan modification: An options-based response to strategic default In: Journal of Banking & Finance.
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article4
2009Hedging credit: Equity liquidity matters In: Journal of Financial Intermediation.
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article20
2011Polishing diamonds in the rough: The sources of syndicated venture performance In: Journal of Financial Intermediation.
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article9
2005eInformation: A Clinical Study of Investor Discussion and Sentiment In: Financial Management.
[Citation analysis]
article10
1996The Central Tendency: A Second Factor in Bond Yields In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Citation analysis]
paper67
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: 67
paper
1998The Central Tendency: A Second Factor In Bond Yields.(1998) In: The Review of Economics and Statistics.
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This paper has another version. Agregated cites: 67
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]
paper3
1998A Direct Approach to Arbitrage-Free Pricing of Derivatives In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Full Text][Citation analysis]
paper6
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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article124
2007An Integrated Model for Hybrid Securities In: Management Science.
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article13
2007Basel II: Correlation Related Issues In: Journal of Financial Services Research.
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article8
2005The Firms Management of Social Interactions In: Marketing Letters.
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article53
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
2018Systemic Risk and the Great Depression In: NBER Working Papers.
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paper3
1997Auction Theory: A Summary with Applications to Treasury Markets In: NBER Working Papers.
[Full Text][Citation analysis]
paper10
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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paper15
1998A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives In: NBER Working Papers.
[Full Text][Citation analysis]
paper9
1998On the Regulation of Fee Structures in Mutual Funds In: NBER Working Papers.
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paper11
1998Fee Speech: Adverse Selection and the Regulation of Mutual Funds In: NBER Working Papers.
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paper5
2002Fee Speech: Signaling, Risk-Sharing, and the Impact of Fee Structures on Investor Welfare In: Review of Financial Studies.
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article30
1997Macroeconomic implications of search theory for the labour market In: Applied Economics Letters.
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article0
2006A simple approach for pricing equity options with Markov switching state variables In: Quantitative Finance.
[Full Text][Citation analysis]
article7

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