Jan Ericsson : Citation Profile


Are you Jan Ericsson?

McGill University
McGill University

6

H index

5

i10 index

443

Citations

RESEARCH PRODUCTION:

5

Articles

9

Papers

RESEARCH ACTIVITY:

   11 years (1998 - 2009). See details.
   Cites by year: 40
   Journals where Jan Ericsson has often published
   Relations with other researchers
   Recent citing documents: 74.    Total self citations: 3 (0.67 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/per28
   Updated: 2020-01-25    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)

Raviv, Alon (7)

Hammoudeh, Shawkat (7)

Zhou, Hao (6)

Avino, Davide (5)

McAleer, Michael (5)

Bruche, Max (5)

cotter, john (4)

Naifar, Nader (4)

Rime, Dagfinn (4)

Cites to:

Mella-Barral, Pierre (7)

Longstaff, Francis (6)

Leland, Hayne (6)

merton, robert (6)

Jarrow, Robert (5)

Duffie, Darrell (5)

Lando, David (4)

Scholes, Myron (4)

Santa-Clara, Pedro (4)

Singleton, Kenneth (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 (2018 and 2017)


YearTitle of citing document
2019Measuring corporate bond liquidity in emerging market economies: price- vs quantity-based measures. (2019). Packer, Frank ; Li, Ran ; Helwege, Jean ; Hameed, Allaudeen . In: BIS Papers chapters. RePEc:bis:bisbpc:102-07.

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2017Arbitrage costs and the persistent non-zero CDS-bond basis: Evidence from intraday euro area sovereign debt markets. (2017). Hördahl, Peter ; Gyntelberg, Jacob ; Urban, Jorg ; Ters, Kristyna ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:631.

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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.

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2017Liquidity Risk and Volatility Risk in Credit Spread Models: A Unified Approach. (2017). Perrakis, Stylianos ; Zhong, Rui. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:5:p:873-901.

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2017RISK-SHIFTING BEHAVIOR AT COMMERCIAL BANKS WITH DIFFERENT DEPOSIT INSURANCE ASSESSMENTS: FURTHER EVIDENCE FROM U.S. MARKETS. (2017). Chang, Chuang-Chang ; Ho, Ruey-Jenn . In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:1:p:55-80.

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2018Do information contagion and business model similarities explain bank credit risk commonalities?. (2018). Schaumburg, Julia ; Lelyveld, Iman ; van Lelyveld, Iman ; Wang, Dieter. In: DNB Working Papers. RePEc:dnb:dnbwpp:619.

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

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2018Investment timing, reversibility, and financing constraints. (2018). Shibata, Takashi ; Nishihara, Michi. In: Journal of Corporate Finance. RePEc:eee:corfin:v:48:y:2018:i:c:p:771-796.

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2019Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias. (2019). McLeish, Don L ; Boudreault, Mathieu ; Amaya, Diego. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:297-313.

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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.

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2019An endogenous structural credit risk model incorporating with moral hazard and rollover risk. (2019). Hua, Wei ; Niu, Huawei. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:47-59.

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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.

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2019The interaction of debt financing, cash grants and the optimal investment policy under uncertainty. (2019). Thiergart, Sascha ; Lukas, Elmar. In: European Journal of Operational Research. RePEc:eee:ejores:v:276:y:2019:i:1:p:284-299.

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2018A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors. (2018). Tu, Anthony H ; Chen, Cathy Yi-Hsuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:243-268.

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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.

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2018The reputational effects of analysts stock recommendations and credit ratings: Evidence from operational risk announcements in the financial industry. (2018). Barakat, Ahmed ; Fenn, Paul ; Ashby, Simon. In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:1-22.

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2018The non-monotonic impact of bank size on their default swap spreads: Cross-country evidence. (2018). Leonida, Leone ; Mallick, Sushanta K ; Benbouzid, Nadia. In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:226-240.

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

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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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2017Institutional investment horizon, the information environment, and firm credit risk. (2017). Switzer, Lorne ; Wang, Jun. In: Journal of Financial Stability. RePEc:eee:finsta:v:29:y:2017:i:c:p:57-71.

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2017Political uncertainty and a firms credit risk: Evidence from the international CDS market. (2017). Liu, Jinyu ; Zhong, Rui. In: Journal of Financial Stability. RePEc:eee:finsta:v:30:y:2017:i:c:p:53-66.

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2017An international forensic perspective of the determinants of bank CDS spreads. (2017). Sousa, Ricardo ; Mallick, Sushanta ; Benbouzid, Nadia. In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:60-70.

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2019Time to buy or just buying time? Lessons from October 2008 for the cross-border bailout of banks. (2019). King, Michael R. In: Journal of Financial Stability. RePEc:eee:finsta:v:41:y:2019:i:c:p:55-72.

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2017Do country-level financial structures explain bank-level CDS spreads?. (2017). Sousa, Ricardo ; Mallick, Sushanta ; Benbouzid, Nadia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:135-145.

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

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

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2017Reading between the ratings: Modeling residual credit risk and yield overlap. (2017). Chang, Charles ; Kao, Chu-Lan Michael ; Fuh, Cheng-Der. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:81:y:2017:i:c:p:114-135.

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2017Investor sentiment, flight-to-quality, and corporate bond comovement. (2017). Bethke, Sebastian ; Kempf, Alexander ; Gehde-Trapp, Monika. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:112-132.

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2017The liquidity impact on firm values: The evidence of Taiwans banking industry. (2017). Chen, Ren-Raw ; Yeh, Shih-Kuo ; Yang, Tung-Hsiao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:191-202.

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2018Zero leverage and the value in waiting to have debt. (2018). Lotfaliei, Babak. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:335-349.

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2019Operational risk and reputation in financial institutions: Does media tone make a difference?. (2019). Barakat, Ahmed ; Bryce, Cormac ; Fenn, Paul ; Ashby, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:98:y:2019:i:c:p:1-24.

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2019The asymmetric effect of equity volatility on credit default swap spreads. (2019). Lee, Hwang Hee ; Hyun, Jung-Soon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:98:y:2019:i:c:p:125-136.

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2019Pricing factors in multiple-term structures from interbank rates. (2019). Lafuente, Juan Angel ; Serrano, Pedro ; Petit, Nuria. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:91:y:2019:i:c:p:138-159.

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2018A new government bond volatility index predictor for the U.S. equity premium. (2018). Pan, Zheyao ; Chan, Kam Fong. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:50:y:2018:i:c:p:200-215.

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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.

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2018What moves benchmark money market rates? Evidence from the BBSW market. (2018). Casavecchia, Lorenzo ; Wu, Eliza ; Loudon, Geoffrey F. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:51:y:2018:i:c:p:137-154.

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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.

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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.

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2018The interconnections between U.S. financial CDS spreads and control variables: New evidence using partial and multivariate wavelet coherences. (2018). Shahbaz, Muhammad ; Hkiri, Besma ; Aloui, Chaker ; Hammoudeh, Shawkat. In: International Review of Economics & Finance. RePEc:eee:reveco:v:57:y:2018:i:c:p:237-257.

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2019Corporate debt maturity and future firm performance volatility. (2019). Vithessonthi, Chaiporn ; Adachi-Sato, Meg. In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:216-237.

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2017Does gold Liquidity learn from the greenback or the equity?. (2017). Smimou, K. In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:461-479.

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2018Bank stability and refinancing operations during the crisis: Which way causality?. (2018). Arnold, Ivo ; Soederhuizen, Beau. In: Research in International Business and Finance. RePEc:eee:riibaf:v:43:y:2018:i:c:p:79-89.

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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.

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2018Is Thailand’s credit default swap market linked to bond and stock markets? Evidence from the term structure of credit spreads. (2018). Jitmaneeroj, Boonlert. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:324-341.

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

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2017Rating Migration and Bond Valuation: Decomposing Rating Migration Matrices from Market Data via Default Probability Term Structures. (2017). Barnard, Brian. In: Expert Journal of Finance. RePEc:exp:finnce:v:5:y:2017:i::p:49-72.

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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.

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2019The Time-Spatial Dimension of Eurozone Banking Systemic Risk. (2019). Angelini, Eliana ; Foglia, Matteo. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:75-:d:246287.

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2019The Effect of Systematic Default Risk on Credit Risk Premiums. (2019). Kim, Jungmu. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:21:p:6039-:d:281911.

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2019Do Corporate Social Responsibility Activities Reduce Credit Risk? Short and Long-Term Perspectives. (2019). Kim, Jungmu ; Thu, Thuy Thi. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:24:p:6962-:d:294875.

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2019Internet Searches, Household Sentiment and Credit Spreads. (2019). Byström, Hans ; Bystrom, Hans. In: Working Papers. RePEc:hhs:lunewp:2019_015.

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2017Bank Solvency and Funding Cost; New Data and New Results. (2017). Sigmund, Michael ; Schmitz, Stefan ; Valderrama, Laura . In: IMF Working Papers. RePEc:imf:imfwpa:17/116.

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2019Demystifying Yield Spread on Corporate Bonds Trades in India. (2019). Mukherjee, Kedar nath . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:26:y:2019:i:2:d:10.1007_s10690-018-09266-w.

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2018Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach. (2018). Andreoli, Alessandro ; Pacelli, Graziella ; Ballestra, Luca Vincenzo. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:3:d:10.1007_s10614-016-9608-x.

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2019Do Energy and Banking CDS Sector Spreads Reflect Financial Risks and Economic Policy Uncertainty? A Time-Scale Decomposition Approach. (2019). Tiwari, Aviral Kumar ; Hammoudeh, Shawkat ; Naifar, Nader. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:2:d:10.1007_s10614-018-9838-1.

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2018Liquidity and Pricing of Credit Default Swaps in Japan: Evidence from a Benchmark Index for Corporate Debt Claims. (2018). Inaba, Kei-Ichiro. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:54:y:2018:i:1:d:10.1007_s10693-016-0241-6.

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2018The Effects of Industry Specific and Local Economic Factors on Credit Default Swap Spreads: Evidence from REITs. (2018). Bai, Qing ; Zhu, LU. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:54:y:2018:i:3:d:10.1007_s10693-016-0269-7.

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2018The determinants of CDS spreads: evidence from the model space. (2018). Pelster, Matthias ; Vilsmeier, Johannes. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:1:d:10.1007_s11147-017-9134-6.

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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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2018Credit default swap spreads and annual report readability. (2018). Hu, Nan ; Zhu, LU ; Liu, Ling. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:2:d:10.1007_s11156-017-0639-8.

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2018Credit Risk Research: Review and Agenda. (2018). Zamore, Stephen ; Hobdari, Bersant ; Alon, Ilan ; Djan, Kwame Ohene. In: Emerging Markets Finance and Trade. RePEc:mes:emfitr:v:54:y:2018:i:4:p:811-835.

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2018Systemic risk spillovers in sovereign credit default swaps in Europe: a spatial approach. (2018). Mili, Mehdi. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:2:d:10.1057_s41260-017-0068-1.

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2018Modelling credit spreads with time volatility, skewness, and kurtosis. (2018). Clark, Ephraim ; Baccar, Selima. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-1975-5.

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2018The variance risk premium and capital structure. (2018). Lotfaliei, Babak. In: ESRB Working Paper Series. RePEc:srk:srkwps:201870.

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2019Do information contagion and business model similarities explain bank credit risk commonalities?. (2019). Schaumburg, Julia ; Lelyveld, Iman ; van Lelyveld, Iman ; Wang, Dieter. In: ESRB Working Paper Series. RePEc:srk:srkwps:201994.

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2018Do information contagion and business model similarities explain bank credit risk commonalities?. (2018). Schaumburg, Julia ; Lelyveld, Iman ; van Lelyveld, Iman. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180100.

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2018Spurious Cross-Sectional Dependence in Credit Spread Changes. (2018). McAleer, Michael ; Jaskowski, Marcin . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1821.

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2019Forward-looking asset correlations in the estimation of economic capital. (2019). Novales, Alfonso ; Fonollosa, Alexandre ; Chamizo, Alvaro. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1925.

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2019Looking through systemic credit risk: determinants, stress testing and market value. (2019). Novales, Alfonso ; Chamizo, Alvaro. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1927.

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2017How Does Credit Risk Influence Liquidity Risk? Evidence from Ukrainian Banks. (2017). Cai, Ruoyu ; Zhang, Mao. In: Visnyk of the National Bank of Ukraine. RePEc:ukb:journl:y:2017:i:241:p:21-32.

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2019Credit Variance Risk Premiums. (2019). Morke, Mathis ; Ammann, Manuel. In: Working Papers on Finance. RePEc:usg:sfwpfi:2019:08.

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2018Corporate Governance Effects on Risk Management and Shareholder Wealth: The Case of Mergers and Acquisitions. (2018). Zhang, Yang. In: PhD Thesis. RePEc:uts:finphd:4-2018.

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2018The time-varying impact of systematic risk factors on corporate bond spreads. (2018). Pliszka, Kamil ; Klein, Arne C. In: Discussion Papers. RePEc:zbw:bubdps:142018.

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2018Much ado about nothing: A study of differential pricing and liquidity of short and long term bonds. (2018). Simon, Zorka ; Nijman, Theodore E ; Driessen, Joost. In: SAFE Working Paper Series. RePEc:zbw:safewp:238.

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Works by Jan Ericsson:


YearTitleTypeCited
2006Liquidity and Credit Risk In: Journal of Finance.
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article124
2001Liquidity and Credit Risk.(2001) In: FAME Research Paper Series.
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This paper has another version. Agregated cites: 124
paper
2000Liquidity and Credit Risk.(2000) In: FMG Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 124
paper
2004The Determinants of Credit Default Swap Premia In: CIRANO Working Papers.
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paper213
2009The Determinants of Credit Default Swap Premia.(2009) In: Journal of Financial and Quantitative Analysis.
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This paper has another version. Agregated cites: 213
article
2004The Determinants of Credit Default Swap Premia.(2004) In: SIFR Research Report Series.
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This paper has another version. Agregated cites: 213
paper
1998A Framework for Valuing Corporate Securities In: SSE/EFI Working Paper Series in Economics and Finance.
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paper32
1998A framework for valuing corporate securities.(1998) In: Applied Mathematical Finance.
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This paper has another version. Agregated cites: 32
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.
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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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article45

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