Jan Ericsson : Citation Profile

Are you Jan Ericsson?

McGill University
McGill University

6

H index

5

i10 index

515

Citations

RESEARCH PRODUCTION:

5

Articles

9

Papers

RESEARCH ACTIVITY:

   11 years (1998 - 2009). See details.
   Cites by year: 46
   Journals where Jan Ericsson has often published
   Relations with other researchers
   Recent citing documents: 58.    Total self citations: 3 (0.58 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/per28
   Updated: 2022-05-21    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)

Zhou, Hao (6)

Hammoudeh, Shawkat (6)

Avino, Davide (5)

Naifar, Nader (5)

Bruche, Max (5)

Mayordomo, Sergio (4)

Monfort, Alain (4)

Huang, Jingzhi (4)

Cites to:

Mella-Barral, Pierre (7)

merton, robert (6)

Longstaff, Francis (6)

Leland, Hayne (6)

Jarrow, Robert (5)

Duffie, Darrell (5)

Scholes, Myron (4)

Campbell, John (4)

Santa-Clara, Pedro (4)

Singleton, Kenneth (4)

Lando, David (4)

Main data

Where Jan Ericsson has published?

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

Working Papers Series with more than one paper published# docs
SSE/EFI Working Paper Series in Economics and Finance / Stockholm School of Economics4
SIFR Research Report Series / Institute for Financial Research2

Recent works citing Jan Ericsson (2021 and 2020)

YearTitle of citing document
2021Liquidity Synchronization and Asset Valuation in Selected Emerging Asian Economies. (2021). Bhutta, Nousheen Tariq ; Zaidi, Syeda Hina. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2021:p:488-500.

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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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2021Does compliance with Green Bond Principles bring any benefit to make G20’s ‘Green economy plan’ a reality?. (2021). Colombage, Sisira ; Madurika, Kariyawasam Galoluwage. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4257-4285.

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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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2022On buybacks, dilutions, dividends, and the pricing of stock?based claims. (2022). Ritchken, Peter H ; McWalter, Thomas A ; Backwell, Alex. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:1:p:273-308.

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2021Financial news and CDS spreads. (2021). Bannigidadmath, Deepa ; Narayan, Paresh Kumar. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:29:y:2021:i:c:s2214635020303774.

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2021The value of bond underwriter relationships. (2021). Nielsen, Mads Stenbo ; Dick-Nielsen, Jens ; von Ruden, Stine Louise. In: Journal of Corporate Finance. RePEc:eee:corfin:v:68:y:2021:i:c:s0929119921000511.

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2021Options trading and the cost of debt. (2021). Garcia, Sergio J ; Blanco, Ivan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:69:y:2021:i:c:s0929119921001267.

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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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2021Yield spread determinants of sukuk and conventional bonds. (2021). Tsionas, Mike ; Izzeldin, Marwan ; Elnahass, Marwa ; Saeed, Momna. In: Economic Modelling. RePEc:eee:ecmode:v:105:y:2021:i:c:s0264999321002534.

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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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2021Cross-shareholding network and corporate bond financing cost in China. (2021). Sun, Yue ; Guo, Hongling ; Qiu, Xuemei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000565.

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2021The COVID-19 Pandemic and Sovereign Bond Risk. (2021). Andrieș, Alin Marius ; Sprincean, Nicu ; Ongena, Steven. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001431.

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2021Spurious cross-sectional dependence in credit spread changes. (2021). McAleer, Michael ; Jaskowski, Marcin. In: Econometrics and Statistics. RePEc:eee:ecosta:v:18:y:2021:i:c:p:12-27.

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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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2021Evaluating corporate credit risks in emerging markets. (2021). Chan, Wing ; Kalimipalli, Madhu ; Dodd, Olga. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302532.

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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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2021Does Managerial Education Matter for Credit Risk? Evidence from Taiwan. (2021). Lin, Li-Feng ; Ngoc, Thi Bao ; Yu, Jui-Hung ; Su, Xuan-Qi. In: Finance Research Letters. RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316263.

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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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2021Debt rollover risk, credit default swap spread and stock returns: Evidence from the COVID-19 crisis. (2021). Wang, Teng ; Qiu, Buhui ; Liu, YA. In: Journal of Financial Stability. RePEc:eee:finsta:v:53:y:2021:i:c:s1572308921000140.

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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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2021A closed formula for illiquid corporate bonds and an application to the European market. (2021). Nastasi, Emanuele ; Nassigh, Aldo ; Baviera, Roberto. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000020.

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2021Corporate social responsibility and the term structure of CDS spreads. (2021). Zhong, Zhaodong ; Wang, Xinjie ; Li, Yubin ; Gao, Feng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001232.

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2022CDS spreads and COVID-19 pandemic. (2022). Dănuleţiu, Dan ; Apergis, Nicholas ; Xu, Bing ; Danuletiu, Dan . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001463.

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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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2021To change or not to change? The CDS market response of firms on credit watch. (2021). Schiereck, Dirk ; Norden, Lars ; Kolaric, Sascha ; Kiesel, Florian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s037842662100025x.

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2021What determines wholesale funding costs of the global systemically important banks?. (2021). Ma, Yihong ; Delpachitra, Sarath ; Yu, Xiao ; Cottrell, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:132:y:2021:i:c:s0378426621001564.

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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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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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2021Liquidity and price pressure in the corporate bond market: evidence from mega-bonds. (2021). Wang, Liying ; Helwege, Jean. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:48:y:2021:i:c:s1042957321000231.

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2021Corporate environmental responsibility and default risk: Evidence from China. (2021). Ma, Yi-Ming ; Zhong, Rui ; Wang, Yao ; Shih, Yi-Cheng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x21001037.

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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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2021US quantitative easing and firm’s default risk: The role of Corporate Social Responsibility (CSR). (2021). Chen, Sheng-Hung ; Hsu, Feng-Jui. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:650-664.

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2021Relationship between the financial and the real economy: A bibliometric analysis. (2021). Verbi, Miroslav ; Zabavnik, Darja. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:55-75.

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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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2022The Impact of Covid-19 Dynamics on SCDS Spreads in Selected CEE Countries. (2022). Czech, Maria . In: European Research Studies Journal. RePEc:ers:journl:v:xxv:y:2022:i:1:p:254-271.

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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 ; Woko, Zuzanna ; Szafraski, Grzegorz ; Kwas, Marek. 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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2021Optimal asset allocation subject to withdrawal risk and solvency constraints. (2021). Robert, Christian ; Jiao, Ying ; Cousin, Areski ; Zerbib, Olivier David. In: Working Papers. RePEc:hal:wpaper:hal-03244380.

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2021The Relevance of Liquidity and Country Risk to Euro-Denominated Bonds and the Influence of ECB Monetary Policy. (2021). Giovanni, Verga ; Manoux, Monteux ; Gino, Gandolfi ; Cristina, Arcuri Maria. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:13:y:2021:i:6:p:1.

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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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2021The impact of the leverage effect on the implied volatility smile: evidence for the German option market. (2021). Stockl, S ; Stadler, J ; Rathgeber, A W. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:2:d:10.1007_s11147-020-09171-3.

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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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2021The dynamic relationship between the sovereign CDS market and the Eurozone sovereign bond market (classified by maturity): Contagion or Spillovers?. (2021). Hellara, Slaheddine ; Amamou, Souhir Amri. In: MPRA Paper. RePEc:pra:mprapa:109038.

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2022The role of asset payouts in the estimation of default barriers. (2022). Leledakis, George ; Episcopos, Athanasios ; Bougias, Alexandros. In: MPRA Paper. RePEc:pra:mprapa:112317.

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2021Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model. (2021). Ravazzolo, Francesco ; Casarin, Roberto ; Bulfone, Giacomo. In: Working Paper series. RePEc:rim:rimwps:21-09.

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2021Credit default swap spreads: market conditions, firm performance, and the impact of the 2007–2009 financial crisis. (2021). Molyneux, Philip ; Li, Matthew C ; Fu, Xiaoqing. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:5:d:10.1007_s00181-020-01852-0.

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2022Is there a threshold effect in the liquidity risk–non?performing loans relationship? A PSTR approach for MENA banks. (2022). Karmani, Majdi ; Hakimi, Abdelaziz ; Boussaada, Rim. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:1886-1898.

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Works by Jan Ericsson:

YearTitleTypeCited
2006Liquidity and Credit Risk In: Journal of Finance.
[Full Text][Citation analysis]		article147
2001Liquidity and Credit Risk.(2001) In: FAME Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 147		paper
2000Liquidity and Credit Risk.(2000) In: FMG Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 147		paper
2004The Determinants of Credit Default Swap Premia In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper253
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: 253		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: 253		paper
1998A Framework for Valuing Corporate Securities In: SSE/EFI Working Paper Series in Economics and Finance.
[Full Text][Citation analysis]		paper34
1998A framework for valuing corporate securities.(1998) In: Applied Mathematical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34		article
2002Stock Options as Barrier Contingent Claims In: SSE/EFI Working Paper Series in Economics and Finance.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper12
2003Valuing Corporate Liabilities In: SIFR Research Report Series.
[Full Text][Citation analysis]		paper8
2005Estimating Structural Bond Pricing Models In: The Journal of Business.
[Full Text][Citation analysis]		article52

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