Joost Driessen : Citation Profile


Are you Joost Driessen?

Universiteit van Tilburg
Universiteit van Tilburg

12

H index

12

i10 index

767

Citations

RESEARCH PRODUCTION:

17

Articles

12

Papers

RESEARCH ACTIVITY:

   14 years (1999 - 2013). See details.
   Cites by year: 54
   Journals where Joost Driessen has often published
   Relations with other researchers
   Recent citing documents: 155.    Total self citations: 4 (0.52 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pdr83
   Updated: 2020-01-25    RAS profile: 2013-02-05    
   Missing citations? Add them    Incorrect content? Let us know

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:

Christoffersen, Peter (10)

Zhou, Hao (9)

Gündüz, Yalin (8)

Stentoft, Lars (8)

Skiadopoulos, George (8)

Hackbarth, Dirk (7)

Zaghini, Andrea (7)

Miao, Jianjun (6)

Rombouts, Jeroen (6)

Prigent, Jean-Luc (6)

Augustin, Patrick (6)

Cites to:

Bekaert, Geert (11)

Harvey, Campbell (9)

Ait-Sahalia, Yacine (7)

Hansen, Lars (7)

de Jong, Frank (6)

Jackwerth, Jens (5)

Barro, Robert (5)

Iacone, Fabrizio (4)

Longstaff, Francis (4)

West, Kenneth (4)

Giavazzi, Francesco (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 Finance2
Journal of International Money and Finance2
Review of Financial Studies2
Review of Finance2

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 (2018 and 2017)


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

Full description at Econpapers || Download paper

2018Portfolio optimization at the frontier: Assessing the diversification benefits of African securities. (2018). Senga, Christian. In: Working Papers. RePEc:ant:wpaper:2019001.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017Dealing with dealers: sovereign CDS comovements. (). Rodriguez-Moreno, Maria ; Mayordomo, Sergio ; Anton, Miguel. In: Working Papers. RePEc:bde:wpaper:1723.

Full description at Econpapers || Download paper

2017Assessing the risks of asset overvaluation: models and challenges. (2017). Taboga, Marco ; Cecchetti, Sara. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1114_17.

Full description at Econpapers || Download paper

2017A quantitative analysis of risk premia in the corporate bond market. (2017). Cecchetti, Sara. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1141_17.

Full description at Econpapers || Download paper

2017Risk factors in Australian bond returns. (2017). Roca, Eduardo ; Drew, Michael ; Whittaker, Timothy ; Bianchi, Robert J. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:2:p:373-400.

Full description at Econpapers || Download paper

2017The role of managerial risk-taking in the ‘rise and fall’ of the CDS market. (2017). Dias, Roshanthi . In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i::p:117-145.

Full description at Econpapers || Download paper

2018The effect of 52 week highs and lows on analyst stock recommendations. (2018). Lin, MeiChen . In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:375-422.

Full description at Econpapers || Download paper

2017Diversification into Emerging Markets – An Australian and the US Perspective Using a Time-varying Approach. (2017). Gupta, Rakesh ; Jithendranathan, Thadavillil ; Yang, Junhao . In: Australian Economic Papers. RePEc:bla:ausecp:v:56:y:2017:i:2:p:134-162.

Full description at Econpapers || Download paper

2018CMBS Subordination, Ratings Inflation, and Regulatory†Capital Arbitrage. (2018). Stanton, Richard ; Wallace, Nancy. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:1:p:175-201.

Full description at Econpapers || Download paper

2017How Has the Behavior of Cross-Market Correlations Altered During Financial and Debt Crises?. (2017). demiralay, sercan ; Ulusoy, Veysel. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:6:p:765-794.

Full description at Econpapers || Download paper

2017Solvency and wholesale funding cost interactions at UK banks. (2017). Hacioglu Hoke, Sinem ; Panagiotopoulos, Apostolos ; Dent, Kieran . In: Bank of England working papers. RePEc:boe:boeewp:0681.

Full description at Econpapers || Download paper

2017Evaluación de los factores de riesgo en los activos de renta variable que conforman el índice S&P MILA 40: aplicación del modelo de tres factores de Fama y French en el periodo 2009-2013. (2017). Carmona, Diana Milena ; Leyton, Marcos Vera. In: REVISTA FINANZAS Y POLÍTICA ECONÓMICA. RePEc:col:000443:016370.

Full description at Econpapers || Download paper

2017Evaluación de los factores de riesgo en los activos de renta variable que conforman el índice S&P MILA 40: aplicación del modelo de tres factores de Fama y French en el periodo 2009-2013. (2017). Carmona, Diana Milena ; Leyton, Marcos Vera. In: REVISTA FINANZAS Y POLÍTICA ECONÓMICA. RePEc:col:000443:016479.

Full description at Econpapers || Download paper

2017The Price Effects of Liquidity Shocks: A Study of SECs Tick-Size Experiment. (2017). Albuquerque, Rui ; Yao, Chen ; Song, Shiyun. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12486.

Full description at Econpapers || Download paper

2018Safe Haven CDS Premiums. (2018). Lando, David ; Klinger, Sven. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12694.

Full description at Econpapers || Download paper

2018Expected Stock Returns and the Correlation Risk Premium. (2018). Vilkov, Grigory ; Schonleber, Lorenzo ; Buss, Adrian. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12760.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018International yield curves and currency puzzles. (2018). Chernov, Mikhail ; Creal, Drew. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13252.

Full description at Econpapers || Download paper

2019Unhedgeable Inflation Risk within Pension Schemes. (2019). van Wijnbergen, Sweder ; Beetsma, Roel ; Chen, Damiaan. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13742.

Full description at Econpapers || Download paper

2019Ownership, wealth, and risk taking: Evidence on private equity fund managers. (2019). Thorburn, Karin ; Walz, Uwe ; Bienz, Carsten . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13944.

Full description at Econpapers || Download paper

2019A Supply and Demand Approach to Equity Pricing. (2019). Jo, Evan ; Calvet, Laurent ; Betermier, Sebastien. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13974.

Full description at Econpapers || Download paper

2019Benchmark interest rates when the government is risky. (2019). Schmid, Lukas ; Chernov, Mikhail ; Augustin, Patrick ; Song, Dongo . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14105.

Full description at Econpapers || Download paper

2018Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe: A Network Approach. (2018). Siklos, Pierre ; Gross, Christian. In: CQE Working Papers. RePEc:cqe:wpaper:7218.

Full description at Econpapers || Download paper

2017A Review on Agency Cost of Shariah Governance in Mutual Fund. (2017). Yahya, Mohamed Hisham ; Fikri, Sofi Mohd ; Hassan, Taufiq. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-01-67.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017Asymmetric determinants of CDS spreads: U.S. industry-level evidence through the NARDL approach. (2017). Shahzad, Syed Jawad Hussain ; Ferrer, Roman ; Nor, Safwan Mohd ; Hussain, Syed Jawad ; Hammoudeh, Shawkat. In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:211-230.

Full description at Econpapers || Download paper

2018Public information arrival, price discovery and dynamic correlations in the Chinese renminbi markets. (2018). Zhang, Zhaoyong ; Shi, Yanlin ; Ho, Kin-Yip. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:168-186.

Full description at Econpapers || Download paper

2018Liquidity tail risk and credit default swap spreads. (2018). Irresberger, Felix ; Gabrysch, Sandra. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:3:p:1137-1153.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Financial connectedness of BRICS and global sovereign bond markets. (2018). Ahmad, Wasim ; Daly, Kevin J ; Mishra, Anil V. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:1-16.

Full description at Econpapers || Download paper

2017Earnings announcements and option returns. (2017). Chung, Sung Gon ; Louis, Henock . In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:220-235.

Full description at Econpapers || Download paper

2017Multinational operation, ownership and efficiency differences in the international oil industry. (2017). Ohene-Asare, Kwaku ; Afful-Dadzie, Anthony ; Turkson, Charles. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:303-312.

Full description at Econpapers || Download paper

2018On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach. (2018). Balcilar, Mehmet ; Toparli, Elif Akay ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:813-827.

Full description at Econpapers || Download paper

2017Bad company. The indirect effect of differences in corporate governance in the pension plan industry. (2017). Muga, Luis ; Abinzano, I ; Santamaria, R. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:63-75.

Full description at Econpapers || Download paper

2018Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries. (2018). Yang, Lu ; Hamori, Shigeyuki. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:19-34.

Full description at Econpapers || Download paper

2019Financial markets of the LAC region: Does the crisis influence the financial integration?. (2019). da Silva, Jacinto Vidigal ; Dias, Rui ; Dionisio, Andreia. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:160-173.

Full description at Econpapers || Download paper

2017What determines bank CDS spreads? Evidence from European and US banks. (2017). Thornton, John ; di Tommaso, Caterina ; Drago, Danilo. In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:140-145.

Full description at Econpapers || Download paper

2018Foreign investors and the speed of price adjustment across multiple correlation regimes in Korea. (2018). Kim, Jinyong. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:137-144.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017The relationship between equity and bond returns: An empirical investigation. (2017). Demirovic, Amer ; Tucker, Jon ; Guermat, Cherif. In: Journal of Financial Markets. RePEc:eee:finmar:v:35:y:2017:i:c:p:47-64.

Full description at Econpapers || Download paper

2017The impact of central clearing on banks’ lending discipline. (2017). Arnold, Maik. In: Journal of Financial Markets. RePEc:eee:finmar:v:36:y:2017:i:c:p:91-114.

Full description at Econpapers || Download paper

2018CMBS market efficiency: The crisis and the recovery. (2018). Jarrow, Robert ; Christopoulos, Andreas D. In: Journal of Financial Stability. RePEc:eee:finsta:v:36:y:2018:i:c:p:159-186.

Full description at Econpapers || Download paper

2017Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model. (2017). Li, Danping ; Yi, BO ; Zhao, Hui ; Rong, Ximin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:6-20.

Full description at Econpapers || Download paper

2017The equity-like behaviour of sovereign bonds. (2017). Dufour, Alfonso ; Varotto, Simone ; Stancu, Andrei . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:25-46.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Explaining CDS prices with Merton’s model before and after the Lehman default. (2019). Marra, Miriam ; Gemmill, Gordon . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:93-109.

Full description at Econpapers || Download paper

2017Discrete-time option pricing with stochastic liquidity. (2017). Leippold, Markus ; Scharer, Steven . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:1-16.

Full description at Econpapers || Download paper

2017Information in CDS spreads. (2017). Norden, Lars. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:118-135.

Full description at Econpapers || Download paper

2017The joint cross-sectional variation of equity returns and volatilities. (2017). Gonzalez-Urteaga, Ana ; Rubio, Gonzalo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:17-34.

Full description at Econpapers || Download paper

2017Slow diffusion of information and price momentum in stocks: Evidence from options markets. (2017). Chen, Zhuo ; Lu, Andrea . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:98-108.

Full description at Econpapers || Download paper

2017Which market integration measure?. (2017). Paradiso, Antonio ; Donadelli, Michael ; Billio, Monica ; Riedel, M. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:76:y:2017:i:c:p:150-174.

Full description at Econpapers || Download paper

2017The composition of CMBS risk. (2017). Christopoulos, Andreas D. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:76:y:2017:i:c:p:215-239.

Full description at Econpapers || Download paper

2017Variance risk in commodity markets. (2017). Symeonidis, Lazaros ; Prokopczuk, Marcel ; Simen, Chardin Wese . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:81:y:2017:i:c:p:136-149.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Dealing with dealers: Sovereign CDS comovements. (2018). Rodriguez-Moreno, Maria ; Mayordomo, Sergio ; Rodriguezmoreno, Maria ; Anton, Miguel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:90:y:2018:i:c:p:96-112.

Full description at Econpapers || Download paper

2018The impacts of asymmetric information and short sales on the illiquidity risk premium in the stock option market. (2018). Lin, Zih-Ying ; Wang, Yaw-Huei ; Chang, Chuang-Chang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:94:y:2018:i:c:p:152-165.

Full description at Econpapers || Download paper

2018Covariance forecasting in equity markets. (2018). Symeonidis, Lazaros ; Markellos, Raphael ; Kourtis, Apostolos ; Symitsi, Efthymia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:153-168.

Full description at Econpapers || Download paper

2017The term structure of credit spreads, firm fundamentals, and expected stock returns. (2017). Han, Bing ; Zhou, YI ; Subrahmanyam, Avanidhar. In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:1:p:147-171.

Full description at Econpapers || Download paper

2017Skill and luck in private equity performance. (2017). Korteweg, Arthur ; Sorensen, Morten. In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:3:p:535-562.

Full description at Econpapers || Download paper

2018The 52-week high, q-theory, and the cross section of stock returns. (2018). George, Thomas J ; Li, Yuan ; Hwang, Chuan-Yang. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:1:p:148-163.

Full description at Econpapers || Download paper

2018Interest rate volatility, the yield curve, and the macroeconomy. (2018). Joslin, Scott ; Konchitchki, Yaniv. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:2:p:344-362.

Full description at Econpapers || Download paper

2019The leverage effect and the basket-index put spread. (2019). Bai, Jennie ; Yang, Fan ; Goldstein, Robert S. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:1:p:186-205.

Full description at Econpapers || Download paper

2019Acquirer reference prices and acquisition performance. (2019). Zhang, Wei ; Whidbee, David A ; Ma, Qingzhong. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:1:p:175-199.

Full description at Econpapers || Download paper

2019Do private equity funds manipulate reported returns?. (2019). Kaplan, Steven N ; Gredil, Oleg R ; Brown, Gregory W. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:2:p:267-297.

Full description at Econpapers || Download paper

2019Volatility and the cross-section of corporate bond returns. (2019). Wu, Chunchi ; Wang, Junbo ; Chung, Kee H. In: Journal of Financial Economics. RePEc:eee:jfinec:v:133:y:2019:i:2:p:397-417.

Full description at Econpapers || Download paper

2018Factors of the term structure of sovereign yield spreads. (2018). Trueck, Stefan ; Truck, Stefan ; Wellmann, Dennis. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:56-75.

Full description at Econpapers || Download paper

2018Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy. (2018). Nitschka, Thomas. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:83:y:2018:i:c:p:44-54.

Full description at Econpapers || Download paper

2018An empirical evaluation of estimation error reduction strategies applied to international diversification. (2018). McDowell, Shaun. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:44:y:2018:i:c:p:1-13.

Full description at Econpapers || Download paper

2018State-varying illiquidity risk in sovereign bond spreads. (2018). Docherty, Paul ; Easton, Steve. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:50:y:2018:i:c:p:235-248.

Full description at Econpapers || Download paper

2019Energy, precious metals, and GCC stock markets: Is there any risk spillover?. (2019). Sensoy, Ahmet ; Mensi, Walid ; Al-Yahyaee, Khamis Hamed ; Kang, Sang Hoon. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:56:y:2019:i:c:p:45-70.

Full description at Econpapers || Download paper

2019Bayesian statistical inference for European options with stock liquidity. (2019). Lin, Lisha ; Gao, Rui. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:518:y:2019:i:c:p:312-322.

Full description at Econpapers || Download paper

2017Valuation of systematic risk in the cross-section of credit default swap spreads. (2017). Scheule, Harald ; Claussen, Arndt ; Rosch, Daniel ; Lohr, Sebastian . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:183-195.

Full description at Econpapers || Download paper

2017Financial crisis, the real sector and global effects on the African stock markets. (2017). Boamah, Nicholas Addai ; Loudon, Geoffrey ; Watts, Edward J. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:65:y:2017:i:c:p:88-96.

Full description at Econpapers || Download paper

2018The benefits of international diversification with weight constraints: A cross-country examination. (2018). McDowell, Shaun. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:99-109.

Full description at Econpapers || Download paper

2017Macroeconomic factors and index option returns. (2017). Lai, Ya-Wen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:452-477.

Full description at Econpapers || Download paper

2017Liquidity basis between credit default swaps and corporate bonds markets. (2017). Kim, Kwanho. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:98-115.

Full description at Econpapers || Download paper

2018On profitability of volatility trading on S&P 500 equity index options: The role of trading frictions. (2018). Hong, Hui ; Yang, Jingjing ; Sung, Hao-Chang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:55:y:2018:i:c:p:295-307.

Full description at Econpapers || Download paper

2017The dynamics of the relative global sector effects and contagion in emerging markets equity returns. (2017). Boamah, Nicholas Addai. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:433-453.

Full description at Econpapers || Download paper

2017How Germany benefits the most from its Eurozone membership. (2017). Juneja, Januj. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1074-1088.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018Portfolio diversification between developed and developing stock markets: The case of US and UK investors in Nigeria. (2018). Oloko, Tirimisiyu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:45:y:2018:i:c:p:219-232.

Full description at Econpapers || Download paper

2019Analyzing credit risk transmission to the non-financial sector in Europe: A network approach. (2019). Siklos, Pierre ; Gross, Christian. In: CAMA Working Papers. RePEc:een:camaaa:2019-43.

Full description at Econpapers || Download paper

2017International correlation risk. (2017). Vedolin, Andrea ; Stathopoulos, Andreas ; Mueller, Philippe. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:84140.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018Spurious Cross-Sectional Dependence in Credit Spread Changes. (2018). McAleer, Michael ; Jaskowski, M. In: Econometric Institute Research Papers. RePEc:ems:eureir:110016.

Full description at Econpapers || Download paper

2019Liquidity Risk and Corporate Bond Yield Spread: Evidence from China. (2019). Jiang, Lunan ; Chen, Yinghui. In: CFDS Discussion Paper Series. RePEc:fds:dpaper:201909.

Full description at Econpapers || Download paper

2017Estimating Loss Given Default from CDS under Weak Identification. (2017). Liu, Lily. In: Supervisory Research and Analysis Working Papers. RePEc:fip:fedbqu:rpa17-1.

Full description at Econpapers || Download paper

2017Firm-Specific Risk-Neutral Distributions : The Role of CDS Spreads. (2017). Jahan-Parvar, Mohammad ; Schindler, John W ; Rosen, Samuel ; Aramonte, Sirio. In: International Finance Discussion Papers. RePEc:fip:fedgif:1212.

Full description at Econpapers || Download paper

2017Estimating the Tax and Credit-Event Risk Components of Credit Spreads. (2017). Benzoni, Luca ; Goldstein, Robert S. In: Working Paper Series. RePEc:fip:fedhwp:wp-2017-17.

Full description at Econpapers || Download paper

2019Asymmetric Information, Dynamic Debt Issuance, and the Term Structure of Credit Spreads. (2019). Benzoni, Luca ; Goldstein, Robert S ; Garlappi, Lorenzo. In: Working Paper Series. RePEc:fip:fedhwp:wp-2019-08.

Full description at Econpapers || Download paper

2017Financial Insights from the Last Few Components of a Stock Market PCA. (2017). Yang, Libin ; Rea, Alethea . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:5:y:2017:i:3:p:15-:d:105316.

Full description at Econpapers || Download paper

2017Capital Structure Arbitrage under a Risk-Neutral Calibration. (2017). Zeitsch, Peter J. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:1:p:3-:d:88258.

Full description at Econpapers || Download paper

2019Splitting Credit Risk into Systemic, Sectorial and Idiosyncratic Components. (2019). Chamizo, Alvaro ; Novales, Alfonso. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:3:p:129-:d:255199.

Full description at Econpapers || Download paper

2019Are CDS Spreads Sensitive to the Term Structure of the Yield Curve? A Sector-Wise Analysis under Various Market Conditions. (2019). Aman, Asia. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:158-:d:272145.

Full description at Econpapers || Download paper

2019The Effect of Jumps in the Crude Oil Market on the Sovereign Risks of Major Oil Exporters. (2019). Bouri, Elie. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:4:p:118-:d:293243.

Full description at Econpapers || Download paper

2018Regime-Switching Determinants for Spreads of Emerging Markets Sovereign Credit Default Swaps. (2018). Ma, Jason Z ; Tsai, Sang-Bing ; Ho, Kung-Cheng ; Deng, Xiang. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:8:p:2730-:d:161653.

Full description at Econpapers || Download paper

2018Conceptual Framework for the Determinants of Mutual Fund Performance in Malaysia. (2018). Hassan, Hafinaz Hasniyanti. In: GATR Journals. RePEc:gtr:gatrjs:jfbr146.

Full description at Econpapers || Download paper

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

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.
[Full Text][Citation analysis]
paper40
2008Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model.(2008) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40
article
2009The Price of Correlation Risk: Evidence from Equity Options In: Journal of Finance.
[Full Text][Citation analysis]
article105
2011Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market In: Journal of Finance.
[Full Text][Citation analysis]
article106
2004Confidence Building on Euro Conversion: Theory and Evidence from Currency Options In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper0
2011Pricing Liquidity Risk with Heterogeneous Investment Horizons In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper8
2003The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article32
2000The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions.(2000) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32
paper
2009Does Skin in the Game Matter? Director Incentives and Governance in the Mutual Fund Industry In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article24
2008Does Skin in the Game Matter? Director Incentives and Governance in the Mutual Fund Industry.(2008) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24
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.
[Full Text][Citation analysis]
article23
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23
paper
2000Testing Affine Term Structure Models in Case of Transaction Costs In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
paper5
2005Testing affine term structure models in case of transaction costs.(2005) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
1999Testing Affine Term Structure Models in Case of Transaction Costs.(1999) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2007International portfolio diversification benefits: Cross-country evidence from a local perspective In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article76
2008Individual stock-option prices and credit spreads In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article78
2005Individual Stock-Option Prices and Credit Spreads.(2005) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 78
paper
2013The world price of jump and volatility risk In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article4
2012Pricing of commercial real estate securities during the 2007–2009 financial crisis In: Journal of Financial Economics.
[Full Text][Citation analysis]
article8
2003Common factors in international bond returns In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article49
2000Common Factors in International Bond Returns.(2000) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49
paper
2011Confidence building on Euro convergence: Evidence from currency options In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article0
2005(UBS Pensions Series 036) Dynamic portfolio and mortgage choice for homeowners In: FMG Discussion Papers.
[Full Text][Citation analysis]
paper0
2004On the Information in the Interest Rate Term Structure and Option Prices In: Review of Derivatives Research.
[Full Text][Citation analysis]
article14
2007An Empirical Portfolio Perspective on Option Pricing Anomalies In: Review of Finance.
[Full Text][Citation analysis]
article33
2013How the 52-Week High and Low Affect Option-Implied Volatilities and Stock Return Moments In: Review of Finance.
[Full Text][Citation analysis]
article6
2005Is Default Event Risk Priced in Corporate Bonds? In: Review of Financial Studies.
[Full Text][Citation analysis]
article147
2000Libor and Swap Market Models for the Pricing of Interest Rate Derivatives : An Empirical Analysis In: Discussion Paper.
[Full Text][Citation analysis]
paper9

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 6 2020. Contact: CitEc Team