6
H index
5
i10 index
515
Citations
McGill University | 6 H index 5 i10 index 515 Citations RESEARCH PRODUCTION: 5 Articles 9 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
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: | Cites to: |
Journals with more than one article published | # docs |
---|---|
Applied Mathematical Finance | 2 |
Working Papers Series with more than one paper published | # docs |
---|---|
SSE/EFI Working Paper Series in Economics and Finance / Stockholm School of Economics | 4 |
SIFR Research Report Series / Institute for Financial Research | 2 |
Year | Title of citing document |
---|---|
2021 | Liquidity 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2021 | Does 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. Full description at Econpapers || Download paper |
2020 | The Coâ€Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asiaâ€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. Full description at Econpapers || Download paper |
2022 | On 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. Full description at Econpapers || Download paper |
2021 | Financial 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2021 | Options 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. Full description at Econpapers || Download paper |
2020 | CDS 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2021 | Yield 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. Full description at Econpapers || Download paper |
2020 | News 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. Full description at Econpapers || Download paper |
2021 | Cross-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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2021 | Spurious 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. Full description at Econpapers || Download paper |
2020 | Structural 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. Full description at Econpapers || Download paper |
2021 | Evaluating 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. Full description at Econpapers || Download paper |
2020 | Corporate 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. Full description at Econpapers || Download paper |
2021 | Does 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. Full description at Econpapers || Download paper |
2020 | Expected 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. Full description at Econpapers || Download paper |
2021 | Debt 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. Full description at Econpapers || Download paper |
2020 | Looking 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. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2021 | Corporate 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. Full description at Econpapers || Download paper |
2022 | CDS 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. Full description at Econpapers || Download paper |
2020 | Measuring 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2020 | Performance 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. Full description at Econpapers || Download paper |
2021 | To 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. Full description at Econpapers || Download paper |
2021 | What 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. Full description at Econpapers || Download paper |
2020 | Pricing 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. Full description at Econpapers || Download paper |
2020 | Short-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. Full description at Econpapers || Download paper |
2020 | Policy 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. Full description at Econpapers || Download paper |
2021 | Liquidity 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. Full description at Econpapers || Download paper |
2021 | Corporate 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. Full description at Econpapers || Download paper |
2020 | Merton’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. Full description at Econpapers || Download paper |
2020 | Pricing 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. Full description at Econpapers || Download paper |
2021 | US 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. Full description at Econpapers || Download paper |
2021 | Relationship 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. Full description at Econpapers || Download paper |
2020 | Measuring 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. Full description at Econpapers || Download paper |
2020 | Seeking 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. Full description at Econpapers || Download paper |
2022 | The 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. Full description at Econpapers || Download paper |
2020 | The Credit Spread Curve Distribution and Economic Fluctuations in Japan. (2020). Okimoto, Tatsuyoshi ; Sumiko, Takaoka ; Tatsuyoshi, Okimoto. In: Discussion papers. RePEc:eti:dpaper:20030. Full description at Econpapers || Download paper |
2020 | Common 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2021 | Optimal 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2020 | Liquidity 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. Full description at Econpapers || Download paper |
2020 | L 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2020 | Distress 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2022 | The role of asset payouts in the estimation of default barriers. (2022). Leledakis, George ; Episcopos, Athanasios ; Bougias, Alexandros. In: MPRA Paper. RePEc:pra:mprapa:112317. Full description at Econpapers || Download paper |
2021 | Corporate 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. Full description at Econpapers || Download paper |
2021 | Credit 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. Full description at Econpapers || Download paper |
2022 | Is 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
---|---|---|---|
2006 | Liquidity and Credit Risk In: Journal of Finance. [Full Text][Citation analysis] | article | 147 |
2001 | Liquidity and Credit Risk.(2001) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 147 | paper | |
2000 | Liquidity and Credit Risk.(2000) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 147 | paper | |
2004 | The Determinants of Credit Default Swap Premia In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 253 |
2009 | The 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 | |
2004 | The 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 | |
1998 | A Framework for Valuing Corporate Securities In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] | paper | 34 |
1998 | A framework for valuing corporate securities.(1998) In: Applied Mathematical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | article | |
2002 | Stock Options as Barrier Contingent Claims In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] | paper | 5 |
2003 | Stock options as barrier contingent claims.(2003) In: Applied Mathematical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
2002 | A Note on Contingent Claims Pricing with Non-Traded Assets In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] | paper | 4 |
2002 | The Valuation of Corporate Liabilities: Theory and Tests In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] | paper | 12 |
2003 | Valuing Corporate Liabilities In: SIFR Research Report Series. [Full Text][Citation analysis] | paper | 8 |
2005 | Estimating Structural Bond Pricing Models In: The Journal of Business. [Full Text][Citation analysis] | article | 52 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 30 2022. Contact: CitEc Team