Jan Ericsson : Citation Profile


Are you Jan Ericsson?

McGill University
McGill University

6

H index

5

i10 index

481

Citations

RESEARCH PRODUCTION:

5

Articles

9

Papers

RESEARCH ACTIVITY:

   11 years (1998 - 2009). See details.
   Cites by year: 43
   Journals where Jan Ericsson has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 3 (0.62 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/per28
   Updated: 2021-01-16    RAS profile: 2010-04-15    
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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 Jan Ericsson.

Is cited by:

Realdon, Marco (11)

Realdon, Marco (11)

Hammoudeh, Shawkat (7)

Raviv, Alon (7)

Zhou, Hao (6)

Avino, Davide (5)

McAleer, Michael (5)

Bruche, Max (5)

Galil, Koresh (4)

Zechner, Josef (4)

Renne, Jean-Paul (4)

Cites to:

Mella-Barral, Pierre (7)

merton, robert (6)

Leland, Hayne (6)

Longstaff, Francis (6)

Jarrow, Robert (5)

Duffie, Darrell (5)

Campbell, John (4)

Singleton, Kenneth (4)

Lando, David (4)

Santa-Clara, Pedro (4)

Perraudin, William (4)

Main data


Where Jan Ericsson has published?


Journals with more than one article published# docs
Applied Mathematical Finance2

Recent works citing Jan Ericsson (2021 and 2020)


YearTitle of citing document
2020The financial distress pricing puzzle in banking firms. (2020). Lee, Inro ; Kim, Dongcheol. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:2:p:1351-1384.

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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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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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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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2020Structural recovery of face value at default. (2020). Tarelli, Andrea ; Sbuelz, Alessandro ; Guha, Rajiv. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:3:p:1148-1171.

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2020Corporate innovation and credit default swap spreads. (2020). Oh, Frederick Dongchuhl ; Lee, Hwang Hee. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318306226.

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2020Expected issuance fees and market liquidity. (2020). Zwinkels, Remco ; Verschoor, Willem ; Pieterse-Bloem, Mary ; Buis, Boyd . In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s1386418119300795.

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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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2020Measuring banks’ liquidity risk: An option-pricing approach. (2020). Zhang, Jinqing ; Bian, Yun ; He, Liang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302778.

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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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2020Performance of default-risk measures: the sample matters. (2020). Muga, Luis ; Sanchez, Santiago ; Gonzalez-Urteaga, Ana ; Abinzano, Isabel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:120:y:2020:i:c:s0378426620302211.

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2020Pricing structured products with economic covariates. (2020). Jacobs, Kris ; Doshi, Hitesh ; Choi, Yongseok ; Turnbull, Stuart M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:3:p:754-773.

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2020Short-term debt and incentives for risk-taking. (2020). Morellec, Erwan ; della Seta, Marco ; Zucchi, Francesca. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:1:p:179-203.

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2020Merton’s equation and the quantum oscillator: Pricing risky corporate coupon bonds. (2020). Baaquie, Belal Ehsan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:541:y:2020:i:c:s0378437119318837.

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2020Pricing equity warrants in Merton jump–diffusion model with credit risk. (2020). Zhang, Xili ; Zhou, Qing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:557:y:2020:i:c:s037843712030457x.

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2020Measuring the multi-faceted dimension of liquidity in financial markets: A literature review. (2020). Diaz, Antonio ; Escribano, Ana. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918311024.

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2020Seeking causality between liquidity risk and credit risk: TED-OIS spreads and CDS indexes. (2020). Gunay, Samet. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919306282.

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2020The Credit Spread Curve Distribution and Economic Fluctuations in Japan. (2020). Okimoto, Tatsuyoshi ; Sumiko, Takaoka ; Tatsuyoshi, Okimoto. In: Discussion papers. RePEc:eti:dpaper:20030.

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2020Common Determinants of Credit Default Swap Premia in the North American Oil and Gas Industry. A Panel BMA Approach. (2020). Szafranek, Karol ; Szafrański, Grzegorz ; Szafraski, Grzegorz ; Kwas, Marek ; Woko, Zuzanna. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:23:p:6327-:d:453941.

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2020The Role of Redenomination Risk in the Price Evolution of Italian Banks’ CDS Spreads. (2020). Zedda, Stefano ; Toscano, Mario ; Patane, Michele ; Anelli, Michele. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:7:p:150-:d:382904.

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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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2020L impact des mécanismes de gouvernance interne sur le risque opérationnel bancaire. (2020). Henchiri, Jamel Eddine ; Bouabdallah, Narjess. In: Journal of Academic Finance. RePEc:jaf:journl:v:11:y:2020:i:1:n:393.

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2020The risk management implications of using end of day consensus pricing for single name CDS. (2020). Ronen, Tavy ; Sopranzetti, Ben ; Sokolinskiy, Oleg. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:1:d:10.1007_s11156-019-00843-2.

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2020Distress risk, product market competition, and corporate bond yield spreads. (2020). Lee, Han-Hsing. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:3:d:10.1007_s11156-019-00869-6.

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2020The effect of environmental sustainability on credit risk. (2020). Zwergel, Bernhard ; Landau, Alexander ; Klein, Christian ; Hock, Andre. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:2:d:10.1057_s41260-020-00155-4.

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Works by Jan Ericsson:


YearTitleTypeCited
2006Liquidity and Credit Risk In: Journal of Finance.
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article136
2001Liquidity and Credit Risk.(2001) In: FAME Research Paper Series.
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This paper has another version. Agregated cites: 136
paper
2000Liquidity and Credit Risk.(2000) In: FMG Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 136
paper
2004The Determinants of Credit Default Swap Premia In: CIRANO Working Papers.
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paper234
2009The Determinants of Credit Default Swap Premia.(2009) In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 234
article
2004The Determinants of Credit Default Swap Premia.(2004) In: SIFR Research Report Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 234
paper
1998A Framework for Valuing Corporate Securities In: SSE/EFI Working Paper Series in Economics and Finance.
[Full Text][Citation analysis]
paper33
1998A framework for valuing corporate securities.(1998) In: Applied Mathematical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33
article
2002Stock Options as Barrier Contingent Claims In: SSE/EFI Working Paper Series in Economics and Finance.
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paper5
2003Stock options as barrier contingent claims.(2003) In: Applied Mathematical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2002A Note on Contingent Claims Pricing with Non-Traded Assets In: SSE/EFI Working Paper Series in Economics and Finance.
[Full Text][Citation analysis]
paper4
2002The Valuation of Corporate Liabilities: Theory and Tests In: SSE/EFI Working Paper Series in Economics and Finance.
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paper12
2003Valuing Corporate Liabilities In: SIFR Research Report Series.
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paper8
2005Estimating Structural Bond Pricing Models In: The Journal of Business.
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article49

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