Sanjiv Ranjan Das : Citation Profile


Are you Sanjiv Ranjan Das?

Santa Clara University

13

H index

15

i10 index

825

Citations

RESEARCH PRODUCTION:

27

Articles

17

Papers

RESEARCH ACTIVITY:

   17 years (1996 - 2013). See details.
   Cites by year: 48
   Journals where Sanjiv Ranjan Das has often published
   Relations with other researchers
   Recent citing documents: 97.    Total self citations: 7 (0.84 %)

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   Permalink: http://citec.repec.org/pda527
   Updated: 2017-09-16    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)

Schwaab, Bernd (10)

Lucas, Andre (10)

Koopman, Siem Jan (10)

Andersen, Torben (9)

Renò, Roberto (8)

Maheu, John (8)

Duffie, Darrell (8)

Wu, Liuren (6)

Baptista, Alexandre (6)

Bollerslev, Tim (6)

Cites to:

merton, robert (20)

Jarrow, Robert (19)

Duffie, Darrell (16)

Leland, Hayne (9)

Scholes, Myron (9)

Duffee, Greg (9)

Singleton, Kenneth (8)

Campbell, John (6)

Foote, Christopher (6)

Longstaff, Francis (6)

Lerner, Josh (6)

Main data


Where Sanjiv Ranjan Das has published?


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

Recent works citing Sanjiv Ranjan Das (2017 and 2016)


YearTitle of citing document
2016The Effect of Crop Insurance Premium Subsidies on Soybean Producers Risk Management Portfolios. (2016). Rosch, Stephanie ; Hungerford, Ashley . In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235341.

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2016LSV models with stochastic interest rates and correlated jumps. (2016). Itkin, Andrey . In: Papers. RePEc:arx:papers:1511.01460.

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2016Optimal investment and consumption with downside risk constraint in jump-diffusion models. (2016). Nguyen, Thai . In: Papers. RePEc:arx:papers:1604.05584.

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2016Entropy and credit risk in highly correlated markets. (2016). Gottschalk, Sylvia . In: Papers. RePEc:arx:papers:1604.07042.

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2016Multiple risk factor dependence structures: Distributional properties. (2016). Furman, Edward ; Su, Jianxi . In: Papers. RePEc:arx:papers:1607.04739.

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2016Multiple risk factor dependence structures: Copulas and related properties. (2016). Furman, Edward ; Su, Jianxi . In: Papers. RePEc:arx:papers:1610.02126.

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2017Lean derivation of the CRR pricing formula. (2017). Talponen, Jarno ; Turunen, Minna . In: Papers. RePEc:arx:papers:1705.00212.

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2016Regime Shifts in Excess Stock Return Predictability: An Out-of-Sample Portfolio Analysis. (2016). Guidolin, Massimo ; Pra, Giulia Dal ; Vasile, Fabiola ; Pedio, Manuela . In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1637.

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

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2016Analysing the Determinants of Credit Risk for General Insurance Firms in the UK. (2016). cerrato, mario ; Caporale, Guglielmo Maria ; Zhang, Xuan . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5971.

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2016Forward Guidance in the Yield Curve: Short Rates versus Bond Supply. (2016). Greenwood, Robin ; Vayanos, Dimitri ; Hanson, Samuel G. In: Central Banking, Analysis, and Economic Policies Book Series. RePEc:chb:bcchsb:v24c02pp011-062.

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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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2016Contracting with Word-of-Mouth Management. (2016). Öry, Aniko ; Kamada, Yuichiro ; Ory, Aniko . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2048.

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2016The effect of credit and rating events on credit default swap and equity markets. (2016). Kiesel, Florian . In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). RePEc:dar:wpaper:81265.

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2016Analysing the Determinants of Credit Risk for General Insurance Firms in the UK. (2016). cerrato, mario ; Caporale, Guglielmo Maria ; Zhang, Xuan . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1591.

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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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2016Media-expressed negative tone and firm-level stock returns. (2016). Kearney, Colm ; Hutson, Elaine ; Liu, Sha ; Han, Jingguang ; Ahmad, Khurshid . In: Journal of Corporate Finance. RePEc:eee:corfin:v:37:y:2016:i:c:p:152-172.

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2016When Behavioral Portfolio Theory meets Markowitz theory. (2016). Bourachnikova, Olga ; Roger, Tristan ; Pfiffelmann, Marie . In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:419-435.

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2016Measuring systemic risk using vine-copula. (2016). Pourkhanali, Armin ; Fard, Farzad Alavi ; Tafakori, Laleh ; Kim, Jong-Min . In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:63-74.

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2016Market reaction to internet news: Information diffusion and price pressure. (2016). Shen, Dehua ; ZHANG, YONG JIE ; Song, Weixin . In: Economic Modelling. RePEc:eee:ecmode:v:56:y:2016:i:c:p:43-49.

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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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2016Increased correlation among asset classes: Are volatility or jumps to blame, or both?. (2016). Ait-Sahalia, Yacine ; Xiu, Dacheng . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:205-219.

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2016Local-momentum autoregression and the modeling of interest rate term structure. (2016). Duan, Jin-Chuan . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:349-359.

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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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2016The Elephant In The Ground: Managing Oil And Sovereign Wealth. (2016). Wills, Samuel ; van der Ploeg, Frederick (Rick) ; van den Bremer, Ton . In: European Economic Review. RePEc:eee:eecrev:v:82:y:2016:i:c:p:113-131.

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2016An empirical comparison of classification algorithms for mortgage default prediction: evidence from a distressed mortgage market. (2016). Fitzpatrick, Trevor ; Mues, Christophe . In: European Journal of Operational Research. RePEc:eee:ejores:v:249:y:2016:i:2:p:427-439.

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2016Local bias in investor attention: Evidence from Chinas Internet stock message boards. (2016). huang, yuqin ; Wu, Zhiguo ; Qiu, Huiyan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:338-354.

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2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX). (2016). Kristensen, Dennis ; Cavaliere, Giuseppe ; Rahbek, Anders ; Agosto, Arianna . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:640-663.

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2016Business cycle and credit risk modeling with jump risks. (2016). Jang, Bong-Gyu ; Hee, JI ; Rhee, Yuna . In: Journal of Empirical Finance. RePEc:eee:empfin:v:39:y:2016:i:pa:p:15-36.

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

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2016Influential investors in online stock forums. (2016). Jiang, Lei ; Ackert, Lucy ; Liu, Jie ; Lee, Hoan Soo . In: International Review of Financial Analysis. RePEc:eee:finana:v:45:y:2016:i:c:p:39-46.

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2016On the weight sign of the global minimum variance portfolio. (2016). Chiu, Wan-Yi ; Jiang, Ching-Hai . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:241-246.

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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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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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2016CDS pricing and accounting disclosures: Evidence from U.S. bank holding corporations around the recent financial crisis. (2016). Kanagaretnam, Kiridaran ; Zhang, Sanjian Bill . In: Journal of Financial Stability. RePEc:eee:finsta:v:22:y:2016:i:c:p:33-44.

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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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2016An entropy-based early warning indicator for systemic risk. (2016). Billio, Monica ; Pasqualini, Andrea ; Costola, Michele ; Casarin, Roberto . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:45:y:2016:i:c:p:42-59.

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2016A test of efficiency for the S&P 500 index option market using the generalized spectrum method. (2016). Huang, Henry ; Wang, Zhanglong . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:64:y:2016:i:c:p:52-70.

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2016The impact of news articles and corporate disclosure on credit risk valuation. (2016). Tsai, Feng-Tse ; Hung, Mao-Wei ; Lu, Hsin-Min. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:68:y:2016:i:c:p:100-116.

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2016An index-based measure of liquidity. (2016). Chacko, George ; Das, Sanjiv . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:68:y:2016:i:c:p:162-178.

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2016Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC): Theory and empirical tests. (2016). Wang, Chou-Wen ; Tan, Ken Seng . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:69:y:2016:i:c:p:20-36.

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2016Market makers’ optimal price-setting policy for exchange-traded certificates. (2016). Wilkens, Marco ; Entrop, Oliver ; Baller, Stefanie ; McKenzie, Michael . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:71:y:2016:i:c:p:206-226.

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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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2016Linking pop-up brand stores to brand experience and word of mouth: The case of luxury retail. (2016). Klein, Jan F ; Gloukhovtsev, Alexei ; Esch, Franz-Rudolf ; Falk, Tomas . In: Journal of Business Research. RePEc:eee:jbrese:v:69:y:2016:i:12:p:5761-5767.

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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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2016Determinants of bank CDS spreads in Europe. (2016). Samaniego-Medina, Reyes ; di Pietro, Filippo ; Parrado-Martinez, Purificacion ; Trujillo-Ponce, Antonio . In: Journal of Economics and Business. RePEc:eee:jebusi:v:86:y:2016:i:c:p:1-15.

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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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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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2016Security design for a non-standard IPO: The case of SPACs. (2016). Chatterjee, Sris ; Goswami, Gautam ; Chidambaran, N K. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:69:y:2016:i:c:p:151-178.

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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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2016Has microblogging changed stock market behavior? Evidence from China. (2016). Shen, Dehua ; Jin, XI ; Zhang, Wei . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:452:y:2016:i:c:p:151-156.

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2016Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications. (2016). Shahzad, Syed Jawad Hussain ; Kumar, Ronald ; Hussain, Syed Jawad ; Ameer, Saba ; Ali, Sajid . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:457:y:2016:i:c:p:8-33.

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2016Daily happiness and stock returns: Some international evidence. (2016). Teglio, Andrea ; Shen, Dehua ; Zhang, Wei . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:460:y:2016:i:c:p:201-209.

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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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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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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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2016Dynamic transmissions between Sukuk and bond markets. (2016). Awartani, Basel ; Maghyereh, Aktham I. In: Research in International Business and Finance. RePEc:eee:riibaf:v:38:y:2016:i:c:p:246-261.

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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). Mensah, Jones Odei ; Premaratne, Gamini . In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:516-546.

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2016A model based on Copula Theory for sustainable and social responsible investments. (2016). Bilbao-Terol, Amelia ; Caal-Fernandez, Veronica ; Arenas-Parra, Mar . In: Revista de Contabilidad - Spanish Accounting Review. RePEc:eee:spacre:v:19:y:2016:i:1:p:55-76.

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2016Risk-taking behavior of technology firms: The role of performance feedback in the video game industry. (2016). , Mark ; Gemser, Gerda ; Wijnberg, Nachoem M. In: Technovation. RePEc:eee:techno:v:54:y:2016:i:c:p:22-34.

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2016Shipping investor sentiment and international stock return predictability. (2016). Papapostolou, Nikos ; Nomikos, Nikos K ; Pouliasis, Panos K ; Kyriakou, Ioannis . In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:96:y:2016:i:c:p:81-94.

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2016RETAIL INVESTOR SENTIMENT: CAN WE GOOGLE IT?. (2016). Brochado, Ana . In: EcoMod2016. RePEc:ekd:009007:9341.

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2016Did Investors Seeking Short Exposure Move to the CDS Market after the 2011 Short-Sale Bans in European Financial Stocks?. (2016). Silva, Paulo ; da Silva, Paulo Pereira . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:66:y:2016:i:4:p:322-353.

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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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2016Credit Ratings, Private Information, and Bank Monitoring Ability. (2016). Roszbach, Kasper ; Nakamura, Leonard. In: Working Papers. RePEc:fip:fedpwp:16-14.

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2016Understanding Corporate Vulnerabilities in Latin America. (2016). Caceres, Carlos ; Bastos, Fabiano Rodrigues . In: IMF Working Papers. RePEc:imf:imfwpa:16/80.

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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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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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2016Stock prices, dividends, earnings, and investor sentiment. (2016). Baek, Chung . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:47:y:2016:i:4:d:10.1007_s11156-015-0530-4.

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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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2016MODELLING BANKRUPTCY USING HUNGARIAN FIRM-LEVEL DATA. (2016). Endresz, Marianna ; Bauer, Peter . In: MNB Occasional Papers. RePEc:mnb:opaper:2016/122.

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2016Incentive Fees and Competition in Pension Funds: Evidence from a Regulatory Experiment. (2016). Kandel, Eugene ; Yafeh, Yishay ; Hamdani, Assaf ; Mugerman, Yevgeny . In: NBER Working Papers. RePEc:nbr:nberwo:22634.

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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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2016Demographics and the Behavior of Interest Rates. (2016). Favero, Carlo ; Yang, Haoxi ; Gozluklu, Arie E. In: IMF Economic Review. RePEc:pal:imfecr:v:64:y:2016:i:4:d:10.1057_s41308-016-0020-2.

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2016International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns. (2016). Solnik, Bruno ; Watewai, Thaisiri . In: PIER Discussion Papers. RePEc:pui:dpaper:31..

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2016Uniform-price auctions for Swiss government bonds: Origin and evolution. (2016). Rossi, Enzo ; Ranaldo, Angelo. In: Economic Studies. RePEc:snb:snbecs:2016-10.

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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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2016The role of online buzz for leader versus challenger brands: the case of the MP3 player market. (2016). Shin, Hyun Song ; Il, Kyoo ; Hanssens, Dominique M. In: Electronic Commerce Research. RePEc:spr:elcore:v:16:y:2016:i:4:d:10.1007_s10660-016-9218-7.

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2017Does big data mean big knowledge? Integration of big data analysis and conceptual model for social commerce research. (2017). Tian, Xuemei ; Liu, Libo . In: Electronic Commerce Research. RePEc:spr:elcore:v:17:y:2017:i:1:d:10.1007_s10660-016-9242-7.

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2017Market sentiment dispersion and its effects on stock return and volatility. (2017). , Eric ; Yang, Yang . In: Electronic Markets. RePEc:spr:elmark:v:27:y:2017:i:3:d:10.1007_s12525-017-0254-5.

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2017The changing relevance of accounting information to debt holders over time. (2017). Givoly, Dan ; Katz, Sharon ; Hayn, Carla. In: Review of Accounting Studies. RePEc:spr:reaccs:v:22:y:2017:i:1:d:10.1007_s11142-016-9374-y.

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2017The internet as an information intermediary. (2017). Drake, Michael S ; Twedt, Brady J ; Thornock, Jacob R. In: Review of Accounting Studies. RePEc:spr:reaccs:v:22:y:2017:i:2:d:10.1007_s11142-017-9395-1.

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2016Measuring word-of-mouth activity after a service encounter: are we measuring what customers communicate?. (2016). Terblanche, Nic S. In: Service Business. RePEc:spr:svcbiz:v:10:y:2016:i:2:d:10.1007_s11628-015-0268-z.

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2016An Empirical Examination of the Behavioral CAPM. (2016). Mokhtar, Ahmed Ibrahim . In: Journal of Finance and Investment Analysis. RePEc:spt:fininv:v:5:y:2016:i:3:f:5_3_2.

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2016Uniform-price Auctions for Swiss Government Bonds: Origin and Evolution. (2016). Ranaldo, Angelo ; Rossi, Enzo . In: Working Papers on Finance. RePEc:usg:sfwpfi:2016:09.

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2016SHORT RATE FORECASTING BASED ON THE INFERENCE FROM THE CIR MODEL FOR MULTIPLE YIELD CURVE DYNAMICS. (2016). Hin, Lin-Yee ; Dokuchaev, Nikolai . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:11:y:2016:i:01:p:1-33.

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2016SHORT RATE FORECASTING BASED ON THE INFERENCE FROM THE CIR MODEL FOR MULTIPLE YIELD CURVE DYNAMICS. (2016). Hin, Lin-Yee ; Dokuchaev, Nikolai . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:11:y:2016:i:01:p:1650004-01-1650004-33.

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2016Time-Varying Rating Standards and the Distorted Incentives of Credit Rating Agencies. (2016). Wang, Tao . In: Global Credit Review (GCR). RePEc:wsi:gcrxxx:v:06:y:2016:i:01:p:21-39.

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2016A TWO-FACTOR JUMP-DIFFUSION MODEL FOR PRICING CONVERTIBLE BONDS WITH DEFAULT RISK. (2016). Bhuruth, Muddun ; Coonjobeharry, Radha Krishn ; Tangman, Desire Yannick . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:06:p:1650046-01-1650046-26.

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2016Effects of Liquidity on the Non-Default Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data. (2016). Han, Song ; Zhou, Hao . In: Quarterly Journal of Finance (QJF). RePEc:wsi:qjfxxx:v:06:y:2016:i:03:p:1650012-01-1650012-49.

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2016Financial media, price discovery, and merger arbitrage. (2016). Zechner, Josef ; Matthias, . In: CFS Working Paper Series. RePEc:zbw:cfswop:551.

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2016Systemic co-jumps. (2016). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Alexey . In: SAFE Working Paper Series. RePEc:zbw:safewp:149.

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2017Liquidity premia in CDS markets. (2017). Kamga, Merlin Kuate ; Wilde, Christian . In: SAFE Working Paper Series. RePEc:zbw:safewp:173.

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Works by Sanjiv Ranjan Das:


YearTitleTypeCited
2010Credit default swaps – Financial innovation or financial dysfunction? In: Financial Stability Review.
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2004Systemic Risk and International Portfolio Choice In: Journal of Finance.
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2002Systemic Risk and International Portfolio Choice.(2002) In: CEPR Discussion Papers.
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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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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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2010Portfolio Optimization with Mental Accounts In: Journal of Financial and Quantitative Analysis.
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article23
2012The Principal Principle In: Journal of Financial and Quantitative Analysis.
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article3
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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article22
2013Options and structured products in behavioral portfolios In: Journal of Economic Dynamics and Control.
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article7
2002The surprise element: jumps in interest rates In: Journal of Econometrics.
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article116
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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article23
2013Strategic loan modification: An options-based response to strategic default In: Journal of Banking & Finance.
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article2
2009Hedging credit: Equity liquidity matters In: Journal of Financial Intermediation.
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article18
2011Polishing diamonds in the rough: The sources of syndicated venture performance In: Journal of Financial Intermediation.
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article4
2005eInformation: A Clinical Study of Investor Discussion and Sentiment In: Financial Management.
[Citation analysis]
article2
1996The Central Tendency: A Second Factor in Bond Yields In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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paper63
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: 63
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: 63
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]
paper1
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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article17
2007Yahoo! for Amazon: Sentiment Extraction from Small Talk on the Web In: Management Science.
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article42
2007An Integrated Model for Hybrid Securities In: Management Science.
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article10
2007Basel II: Correlation Related Issues In: Journal of Financial Services Research.
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article4
2005The Firms Management of Social Interactions In: Marketing Letters.
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article27
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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paper5
1997Average Interest In: NBER Working Papers.
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paper1
1998Poisson-Guassian Processes and the Bond Markets In: NBER Working Papers.
[Full Text][Citation analysis]
paper12
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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paper9
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.
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article21
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]
article4

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