Joost Driessen : Citation Profile


Are you Joost Driessen?

Universiteit van Tilburg
Universiteit van Tilburg

12

H index

13

i10 index

878

Citations

RESEARCH PRODUCTION:

17

Articles

12

Papers

RESEARCH ACTIVITY:

   14 years (1999 - 2013). See details.
   Cites by year: 62
   Journals where Joost Driessen has often published
   Relations with other researchers
   Recent citing documents: 67.    Total self citations: 4 (0.45 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pdr83
   Updated: 2021-03-27    RAS profile: 2013-02-05    
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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 Joost Driessen.

Is cited by:

Stentoft, Lars (10)

Christoffersen, Peter (10)

Zhou, Hao (9)

Gündüz, Yalin (8)

Augustin, Patrick (8)

Chernov, Mikhail (8)

Hackbarth, Dirk (7)

Skiadopoulos, George (7)

Zaghini, Andrea (7)

Beck, Thorsten (7)

HASAN, IFTEKHAR (6)

Cites to:

Bekaert, Geert (11)

Harvey, Campbell (9)

Hansen, Lars (7)

Ait-Sahalia, Yacine (7)

de Jong, Frank (6)

Barro, Robert (5)

Jackwerth, Jens (5)

Giavazzi, Francesco (4)

Longstaff, Francis (4)

Favero, Carlo (4)

West, Kenneth (4)

Main data


Where Joost Driessen has published?


Journals with more than one article published# docs
Journal of Financial and Quantitative Analysis3
Journal of Banking & Finance3
Journal of International Money and Finance2
Journal of Finance2
Review of Finance2
Review of Financial Studies2

Working Papers Series with more than one paper published# docs
Yale School of Management Working Papers / Yale School of Management2

Recent works citing Joost Driessen (2021 and 2020)


YearTitle of citing document
2020Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144.

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2020Option Pricing in an Investment Risk-Return Setting. (2020). Stoyanov, Stoyan V ; Fabozzi, Frank J ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2001.00737.

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2020Quadratic Hedging and Optimization of Option Exercise Policies in Incomplete Markets and Discrete Time. (2020). Secomandi, Nicola. In: Papers. RePEc:arx:papers:2001.05788.

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2020A wavelet analysis of inter-dependence, contagion and long memory among global equity markets. (2020). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2003.14110.

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2020A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312.

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2020Implied Basket Correlation Dynamics. (2020). Silyakova, Elena ; Hardle, Wolfgang Karl. In: Papers. RePEc:arx:papers:2009.09770.

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2021Dynamics, behaviours, and anomaly persistence in cryptocurrencies and equities surrounding COVID-19. (2021). James, Nick. In: Papers. RePEc:arx:papers:2101.00576.

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2021Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20154.

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2021Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds. (2021). Hördahl, Peter ; Creal, Drew ; Chernov, Mikhail ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:918.

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2020Mispriced index option portfolios. (2020). Perrakis, Stylianos ; Czerwonko, Michal ; Constantinides, George M. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:2:p:297-330.

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2020The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets. (2020). Gottschalk, Katrin ; da Fonseca, Jose. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:551-579.

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2020Option Profit and Loss Attribution and Pricing: A New Framework. (2020). Wu, Liuren ; Carr, Peter. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2271-2316.

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2020Catastrophe Risk and the Implied Volatility Smile. (2020). ben Ammar, Semir. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:2:p:381-405.

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2020Does Concurrent Management of Mutual Funds and Pension Plans Create Conflicts of Interest?. (2020). Marti, Carmen Pilar. In: Ensayos de Economía. RePEc:col:000418:018307.

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2020Risk and return in international corporate bond markets. (2020). Bekaert, Geert ; de Santis, Roberto A. In: Working Paper Series. RePEc:ecb:ecbwps:20202452.

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2020Dependence structures and risk spillover in China’s credit bond market: A copula and CoVaR approach. (2020). Yang, Lu ; Hamori, Shigeyuki ; Ho, Kung-Cheng. In: Journal of Asian Economics. RePEc:eee:asieco:v:68:y:2020:i:c:s1049007820300440.

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2020A complex networks based analysis of jump risk in equity returns: An evidence using intraday movements from Pakistan stock market. (2020). Ouenniche, Jamal ; Aziz, Saqib ; Mohmand, Yasir Tariq ; Aslam, Faheem. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303452.

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2020A comparative analysis of ex ante credit spreads: Structured finance versus straight debt finance. (2020). Pinto, João ; Marques, Manuel O. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300249.

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2020CDS Returns. (2020). Xu, Haohua ; Saleh, Fahad ; Augustin, Patrick. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:118:y:2020:i:c:s0165188920301457.

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2021The role of the leverage effect in the price discovery process of credit markets. (2021). Zimmermann, Paul. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:122:y:2021:i:c:s0165188920302013.

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2020Limited attention, salience of information and stock market activity. (2020). Veiga, Helena ; Ramos, Sofia ; Latoeiro, Pedro . In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:92-108.

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2020Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads. (2020). Tsuruta, Masaru. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818306818.

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2020News sentiment, credit spreads, and information asymmetry. (2020). Wang, Xinjie ; Liu, Zhechen ; Yang, Shanxiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300760.

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2020Japan’s impactful augmentation of quantitative easing sovereign-bond purchases. (2020). Inaba, Kei-Ichiro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301492.

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2020Variance risk: A bird’s eye view. (2020). Simen, Chardin Wese ; Hollstein, Fabian. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:517-535.

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2020Modeling CDS spreads: A comparison of some hybrid approaches. (2020). Radi, Davide ; Pacelli, Graziella ; Ballestra, Luca Vincenzo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:57:y:2020:i:c:p:107-124.

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2020Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?. (2020). faff, robert ; Miffre, Joelle ; Yew, Rand Kwong ; Rad, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:164-180.

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2020Oil shocks and financial systemic stress: International evidence. (2020). Qin, Xiao. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302851.

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2020Liquidity commonality and high frequency trading: Evidence from the French stock market. (2020). Fontaine, Patrice ; Anagnostidis, Panagiotis. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521919305320.

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2020Theyre back! Post-financialization diversification benefits of commodities. (2020). Manseau, Guillaume ; Gagnon, Marie-Helene ; Power, Gabriel J. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301599.

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2021Solvency and wholesale funding cost interactions at UK banks. (2021). Hacioglu Hoke, Sinem ; Panagiotopoulos, Apostolos ; Dent, Kieran. In: Journal of Financial Stability. RePEc:eee:finsta:v:52:y:2021:i:c:s1572308920300991.

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2020Unhedgeable inflation risk within pension schemes. (2020). van Wijnbergen, Sweder ; van Wijnbergen, S. J. G., ; Beetsma, R. M. W. J., ; Chen, D. H. J., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:90:y:2020:i:c:p:7-24.

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2020Looking through systemic credit risk: Determinants, stress testing and market value. (2020). Novales, Alfonso ; Chamizo, Alvaro. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s1042443119300939.

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2020Macro disagreement and international options markets. (2020). Xiong, Xiong ; Theocharides, George ; Lu, Lei ; Li, Hong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:65:y:2020:i:c:s1042443120300718.

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2020Liquidity risk and expected option returns. (2020). Choy, Siu Kai ; Wei, Jason. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302742.

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2020Pricing individual stock options using both stock and market index information. (2020). Stentoft, Lars ; Violante, Francesco. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619303000.

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2020The surface of implied firm’s asset volatility. (2020). Silaghi, Florina ; Lovreta, Lidija. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302789.

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2020Affine multivariate GARCH models. (2020). Stentoft, Lars ; Rastegari, Javad ; Escobar-Anel, Marcos. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301618.

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2020Do investors follow the herd in option markets?. (2020). Voukelatos, Nikolaos ; Verousis, Thanos ; Bernales, Alejandro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426616000406.

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2021Unspanned stochastic volatility from an empirical and practical perspective. (2021). Backwell, Alex. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:122:y:2021:i:c:s0378426620302557.

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2021Is quantitative and qualitative information relevant for choosing mutual funds?. (2021). Duran-Santomil, Pablo ; Otero-Gonzalez, Luis. In: Journal of Business Research. RePEc:eee:jbrese:v:123:y:2021:i:c:p:476-488.

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2020Is the credit spread puzzle a myth?. (2020). Yang, Fan ; Goldstein, Robert S ; Bai, Jennie. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:2:p:297-319.

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2020Policy uncertainty and corporate credit spreads. (2020). Savor, Pavel ; Maleki, Hosein ; Kryzanowski, Lawrence ; Kaviani, Mahsa S. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:3:p:838-865.

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2021Can unpredictable risk exposure be priced?. (2021). Frehen, Rik ; Driessen, Joost ; Barahona, Ricardo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:2:p:522-544.

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2021Funding liquidity shocks in a quasi-experiment: Evidence from the CDS Big Bang. (2021). Zhong, Zhaodong ; Yan, Hongjun ; Wu, Yangru ; Wang, Xinjie. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:2:p:545-560.

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2020Domestically formed international diversification. (2020). Vivian, Andrew ; Lu, Qinye. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:103:y:2020:i:c:s0261560619306473.

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2020Do Bitcoin and other cryptocurrencies jump together?. (2020). Hussain, Syed Jawad ; Roubaud, David ; Bouri, Elie. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:396-409.

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2020Dynamics of variance risk premium: Evidence from India. (2020). Ramachandran, Shankar ; Sankar, Ganesh ; Lukose, Jijo. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:321-334.

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2021The diversification benefits of cryptocurrencies in multi-asset portfolios: cross-country evidence. (2021). Colombo, Jéfferson ; Cortes, Renan X. In: Textos para discussão. RePEc:fgv:eesptd:542.

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2020Investor strategies and Liquidity Premia in the European Green Bond market. (2020). Rannou, Yves ; Boutabba, Mohamed Amine. In: Post-Print. RePEc:hal:journl:hal-02544451.

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2020The Integration of Countries Sovereign Bond Markets: An Empirical Illustration of a Global Financial Cycle. (2020). Inaba, Kei-Ichiro. In: IMES Discussion Paper Series. RePEc:ime:imedps:20-e-01.

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2020Paying for Performance in Private Equity: Evidence from Venture Capital Partnerships. (2020). Hartmann-Wendels, Thomas ; Sievers, Sonke ; Robinson, David T ; Huther, Niklas. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:4:p:1756-1782.

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2020Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps. (2020). Su, Xiaoshan ; Courtois, Olivier. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:27:y:2020:i:4:d:10.1007_s10690-020-09304-6.

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2020Diversification and portfolio theory: a review. (2020). Koumou, Gilles Boevi. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:3:d:10.1007_s11408-020-00352-6.

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2020Option-implied information: What’s the vol surface got to do with it?. (2020). Walther, Simon ; Ulrich, Maxim. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:3:d:10.1007_s11147-020-09166-0.

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2020Conditional dependence in post-crisis markets: dispersion and correlation skew trades. (2020). Sokolinskiy, Oleg. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:2:d:10.1007_s11156-019-00847-y.

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2020Can Investors Time Their Exposure to Private Equity?. (2020). Robinson, David ; Jenkinson, Tim ; Harris, Robert S ; Hu, Wendy ; Kaplan, Steven N ; Brown, Gregory. In: NBER Working Papers. RePEc:nbr:nberwo:26755.

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2020Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds. (2020). Hördahl, Peter ; Creal, Drew ; Chernov, Mikhail ; Hordahl, Peter. In: NBER Working Papers. RePEc:nbr:nberwo:27500.

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2020A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: OSF Preprints. RePEc:osf:osfxxx:hsxtu.

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2020A common risk factor and the correlation between equity and corporate bond returns. (2020). Nyman, Rickard ; Tuckett, David ; Kabiri, Ali ; Demirovic, Amer. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:2:d:10.1057_s41260-020-00151-8.

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2020Excess volatility and market efficiency in government bond markets: the ASEAN-5 context. (2020). Liao, Szu-Lang ; Lin, Shih-Kuei ; Wong, Shao-Jye ; Tang, Kin-Boon . In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:2:d:10.1057_s41260-020-00154-5.

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2021Misallocation and Financial Frictions: the Role of Long-Term Financing. (). Macnamara, Patrick ; Karabarbounis, Marios. In: Review of Economic Dynamics. RePEc:red:issued:19-18.

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2020A simulation analysis of systemic counterparty risk in over-the-counter derivatives markets. (2020). Kurosaki, Tetsuo ; Sakurai, Yuji . In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:1:d:10.1007_s11403-019-00260-7.

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2020What do we know about individual equity options?. (2020). Verousis, Thanos ; Bernales, Alejandro ; Zhang, Mengyu ; Voukelatos, Nikolaos. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:1:p:67-91.

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2020Index options open interest and stock market returns. (2020). Seo, Sung Won ; Kim, Jun Sik ; Byun, Suk Joon. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:6:p:989-1010.

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2020Collateral eligibility of corporate debt in the Eurosystem. (2020). Pelizzon, Loriana ; Subrahmanyam, Marti G ; Simon, Zorka ; Riedel, Max. In: SAFE Working Paper Series. RePEc:zbw:safewp:275.

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2020Liquidity Premium in the Eye of the Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market. (2020). Huang, Jingzhi ; Yu, Tong ; Yao, Tong ; Sun, Zhenzhen ; Chen, Xuanjuan. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:2:p:932-957.

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Works by Joost Driessen:


YearTitleTypeCited
2005Explaining the level of credit spreads: option-implied jump risk premia in a firm value model In: BIS Working Papers.
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paper47
2008Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model.(2008) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 47
article
2009The Price of Correlation Risk: Evidence from Equity Options In: Journal of Finance.
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article124
2011Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market In: Journal of Finance.
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article131
2004Confidence Building on Euro Conversion: Theory and Evidence from Currency Options In: CEPR Discussion Papers.
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paper0
2011Pricing Liquidity Risk with Heterogeneous Investment Horizons In: CEPR Discussion Papers.
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paper10
2003The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions In: Journal of Financial and Quantitative Analysis.
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article35
2000The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions.(2000) In: Discussion Paper.
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This paper has another version. Agregated cites: 35
paper
2009Does Skin in the Game Matter? Director Incentives and Governance in the Mutual Fund Industry In: Journal of Financial and Quantitative Analysis.
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article28
2008Does Skin in the Game Matter? Director Incentives and Governance in the Mutual Fund Industry.(2008) In: Yale School of Management Working Papers.
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This paper has another version. Agregated cites: 28
paper
2012A New Method to Estimate Risk and Return of Nontraded Assets from Cash Flows: The Case of Private Equity Funds In: Journal of Financial and Quantitative Analysis.
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article31
2008A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows: The Case of Private Equity Funds.(2008) In: NBER Working Papers.
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This paper has another version. Agregated cites: 31
paper
2000Testing Affine Term Structure Models in Case of Transaction Costs In: Econometric Society World Congress 2000 Contributed Papers.
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paper5
2005Testing affine term structure models in case of transaction costs.(2005) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 5
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1999Testing Affine Term Structure Models in Case of Transaction Costs.(1999) In: Discussion Paper.
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This paper has another version. Agregated cites: 5
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2007International portfolio diversification benefits: Cross-country evidence from a local perspective In: Journal of Banking & Finance.
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article84
2008Individual stock-option prices and credit spreads In: Journal of Banking & Finance.
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article82
2005Individual Stock-Option Prices and Credit Spreads.(2005) In: Yale School of Management Working Papers.
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This paper has another version. Agregated cites: 82
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2013The world price of jump and volatility risk In: Journal of Banking & Finance.
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article7
2012Pricing of commercial real estate securities during the 2007–2009 financial crisis In: Journal of Financial Economics.
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article9
2003Common factors in international bond returns In: Journal of International Money and Finance.
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article55
2000Common Factors in International Bond Returns.(2000) In: Discussion Paper.
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This paper has another version. Agregated cites: 55
paper
2011Confidence building on Euro convergence: Evidence from currency options In: Journal of International Money and Finance.
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article0
2005(UBS Pensions Series 036) Dynamic portfolio and mortgage choice for homeowners In: FMG Discussion Papers.
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2004On the Information in the Interest Rate Term Structure and Option Prices In: Review of Derivatives Research.
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article14
2007An Empirical Portfolio Perspective on Option Pricing Anomalies In: Review of Finance.
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article40
2013How the 52-Week High and Low Affect Option-Implied Volatilities and Stock Return Moments In: Review of Finance.
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article8
2005Is Default Event Risk Priced in Corporate Bonds? In: Review of Financial Studies.
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article160
2000Libor and Swap Market Models for the Pricing of Interest Rate Derivatives : An Empirical Analysis In: Discussion Paper.
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paper8

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