Professor Robert L. Geske : Citation Profile


Are you Professor Robert L. Geske?

University of California-Los Angeles (UCLA)

11

H index

12

i10 index

1231

Citations

RESEARCH PRODUCTION:

13

Articles

5

Papers

RESEARCH ACTIVITY:

   24 years (1977 - 2001). See details.
   Cites by year: 51
   Journals where Professor Robert L. Geske has often published
   Relations with other researchers
   Recent citing documents: 49.    Total self citations: 2 (0.16 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pge214
   Updated: 2022-11-19    RAS profile: 2013-11-01    
   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 Professor Robert L. Geske.

Is cited by:

Chiarella, Carl (11)

Lo, Andrew (9)

Li, Minqiang (8)

Engelen, Peter-Jan (8)

van wouwe, martine (8)

Giandomenico, Rossano (7)

Scholes, Myron (7)

Cassimon, Danny (7)

Giandomenico, Rossano (7)

Giandomenico, Rossano (7)

Giandomenico, Rossano (7)

Cites to:

Duffie, Darrell (3)

Scholes, Myron (3)

Longstaff, Francis (2)

merton, robert (2)

Roll, Richard (2)

Singleton, Kenneth (2)

Campbell, John (2)

Fama, Eugene (1)

Duffee, Greg (1)

Santa-Clara, Pedro (1)

French, Kenneth (1)

Main data


Where Professor Robert L. Geske has published?


Journals with more than one article published# docs
Journal of Finance5
Journal of Financial Economics4
Journal of Financial and Quantitative Analysis3

Working Papers Series with more than one paper published# docs
University of California at Los Angeles, Anderson Graduate School of Management / Anderson Graduate School of Management, UCLA5

Recent works citing Professor Robert L. Geske (2022 and 2021)


YearTitle of citing document
2021Time-Consistent Evaluation of Credit Risk with Contagion. (2021). Hainaut, Donatien ; Ketelbuters, John John. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021004.

Full description at Econpapers || Download paper

2021Perpetual callable American volatility options in a mean-reverting volatility model. (2021). Liu, Hsuan-Ku. In: Papers. RePEc:arx:papers:2104.01127.

Full description at Econpapers || Download paper

2021The American put with finite-time maturity and stochastic interest rate. (2021). Cai, Cheng ; Palczewski, Jan ; de Angelis, Tiziano. In: Papers. RePEc:arx:papers:2104.08502.

Full description at Econpapers || Download paper

2021Hermite Polynomial-based Valuation of American Options with General Jump-Diffusion Processes. (2021). Chen, LI ; Zhang, Guang. In: Papers. RePEc:arx:papers:2104.11870.

Full description at Econpapers || Download paper

2021Capital Market Returns and Inflation Nexus in Croatia: Wavelet Coherence Analysis. (2021). Maja, Bai ; Ivan, Novak ; Mile, Bonjak. In: Business Systems Research. RePEc:bit:bsrysr:v:12:y:2021:i:2:p:253-267:n:18.

Full description at Econpapers || Download paper

2021Modelling of Chinese corporate bond default – A machine learning approach. (2021). Zhuo, Zhuyao ; Lu, Zhou. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:5:p:6147-6191.

Full description at Econpapers || Download paper

2022Stock returns and inflation shocks in weaker economic times. (2022). Sun, Licheng ; Stivers, Chris ; Connolly, Robert A. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:3:p:827-867.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022How Money Relates to Value? An Empirical Examination on Gold, Silver and Bitcoin. (2022). Gonalves, Joo Quental. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9662.

Full description at Econpapers || Download paper

2021Japan’s Stock Market Performance: Evidence from Toda-Yamamoto and Dolado-Lutkepohl Tests for Multivariate Granger Causality. (2021). Islam, Anisul M ; Rahman, Matiur ; Guru-Gharana, Kishor K. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2021-03-12.

Full description at Econpapers || Download paper

2021Convertible bond valuation with regime switching. (2021). Jang, Bong-Gyu ; Kim, Byung-June. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:150:y:2021:i:c:s0960077921005555.

Full description at Econpapers || Download paper

2021Extendible stock loan. (2021). Wu, Wei-Hwa. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001595.

Full description at Econpapers || Download paper

2022CDS pricing with fractional Hawkes processes. (2022). Hainaut, Donatien ; Ketelbuters, John-John. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:3:p:1139-1150.

Full description at Econpapers || Download paper

2022The role of asset payouts in the estimation of default barriers. (2022). Leledakis, George ; Episcopos, Athanasios ; Bougias, Alexandros. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s105752192200062x.

Full description at Econpapers || Download paper

2022An empirical evaluation of alternative fundamental models of credit spreads. (2022). Headley, Adrian ; Murphy, Austin. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000904.

Full description at Econpapers || Download paper

2021A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems. (2021). Castaneda, Ranu ; Chavez-Bedoya, Luis. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:97:y:2021:i:c:p:7-23.

Full description at Econpapers || Download paper

2021Airport infrastructure investments and valuing expansion decisions using the compound real option approach. (2021). Battal, Unal ; Polat, Levent. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:91:y:2021:i:c:s0969699720305901.

Full description at Econpapers || Download paper

2022Mine offtake contracting, strategic alliances and the equity market. (2022). Ferguson, Andrew ; Distadio, Luiz Fernando . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:27:y:2022:i:c:s240585132100057x.

Full description at Econpapers || Download paper

2022Quantile Granger causality between US stock market indices and precious metal prices. (2022). Mighri, Zouheir ; Wang, Yihan ; Sarwar, Suleman ; Ragoubi, Hanen. In: Resources Policy. RePEc:eee:jrpoli:v:76:y:2022:i:c:s0301420722000460.

Full description at Econpapers || Download paper

2022Impact of macroeconomic variables on the topological structure of the Brazilian stock market: A complex network approach. (2022). Rego, Leandro Chaves ; de Pontes, Lucca Siebra. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:604:y:2022:i:c:s0378437122004447.

Full description at Econpapers || Download paper

2021Time-varying comovement of stock and treasury bond markets in Europe: A quantile regression approach. (2021). Lee, Hyunchul. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:1-20.

Full description at Econpapers || Download paper

2022What threatens stock markets more - The coronavirus or the hype around it?. (2022). Zykov, Alexander ; Dzhuraeva, Zarnigor ; Egorova, Julia ; Okhrin, Ostap ; Nepp, Alexander. In: International Review of Economics & Finance. RePEc:eee:reveco:v:78:y:2022:i:c:p:519-539.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021Changes in the impact of US macroeconomic news on financial markets the example of the Warsaw Stock Exchange. (2021). Gurgul, Henryk ; Wojtowicz, Tomasz ; Hastenteufel, Jessica. In: Statistics in Transition New Series. RePEc:exl:29stat:v:22:y:2021:i:4:p:41-58.

Full description at Econpapers || Download paper

2021Measuring Corporate Bond Market Dislocations. (2021). Shachar, Or ; Kovner, Anna ; Crump, Richard ; Boyarchenko, Nina. In: Staff Reports. RePEc:fip:fednsr:89473.

Full description at Econpapers || Download paper

2021An Analytic Approach for Pricing American Options with Regime Switching. (2021). Zhu, Song-Ping ; Chan, Leunglung. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:188-:d:540271.

Full description at Econpapers || Download paper

2021Firm, Industry and Macroeconomics Dynamics of Stock Returns: A Case of Pakistan Non-Financial Sector. (2021). Popp, Jozsef ; Khan, Muhammad Asif ; Naseer, Mirza Muhammad ; Olah, Judit. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:190-:d:540877.

Full description at Econpapers || Download paper

2022A Discourse on Foresight and the Valuation of Explicit and Tacit Synergies in Strategic Collaborations. (2022). Irjevskis, Andrejs. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:7:p:305-:d:861059.

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

2022How Money relates to value? An empirical examination on Gold, Silver and Bitcoin. (2022). Gonalves, Joo Quental. In: Working Papers REM. RePEc:ise:remwps:wp02222022.

Full description at Econpapers || Download paper

2021Valuation of R&D compound option using Markov chain approach. (2021). Villani, Giovanni ; Damico, Guglielmo. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:3:d:10.1007_s10436-021-00389-1.

Full description at Econpapers || Download paper

2022Corporate bond yields and returns: a survey. (2022). Heck, Stephanie. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:36:y:2022:i:2:d:10.1007_s11408-021-00394-4.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Optimal exercise of American put options near maturity: A new economic perspective. (2022). De Donno, Marzia ; Gajda, Janusz ; Battauz, Anna ; Sbuelz, Alessandro. In: Review of Derivatives Research. RePEc:kap:revdev:v:25:y:2022:i:1:d:10.1007_s11147-021-09180-w.

Full description at Econpapers || Download paper

2021Inflación y rendimientos en mercados emergentes: el caso de Argentina || Inflation and returns in emerging markets: the case of Argentina. (2021). Pedroni, Florencia Veronica ; Pesce, Gabriela. In: Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration. RePEc:pab:rmcpee:v:32:y:2021:i:1:p:341-375.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022GFH validity for Canada, UK, and Suisse stock markets: Evidence ?from univariate and panel ARDL models. (2022). Hachicha, Fatma ; Neifar, Malika. In: MPRA Paper. RePEc:pra:mprapa:114613.

Full description at Econpapers || Download paper

2021The Impact of US Macroeconomic News on the Prices of Single Stocks on the Vienna Stock Exchange. (2021). Wojtowicz, Tomasz ; Mitterer, Christoph ; Gurgul, Henryk. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:13:y:2021:i:3:p:287-329.

Full description at Econpapers || Download paper

2022Time-Varying Impacts of Macroeconomic Variables on Stock Market Returns and Volatility : Evidence from Pakistan. (2022). Jehan, Zainab ; Javed, Aamir ; Rashid, Abdul ; Iqbal, Uzma. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2022:i:3:p:144-166.

Full description at Econpapers || Download paper

2021Effect of Interest Rate on Stock Prices in Ghana. (2021). Adjei, Kofi Sarfo ; Yeboah, Augustine Kwadwo ; Arhenful, Peter. In: Journal of Social and Development Sciences. RePEc:rnd:arjsds:v:12:y:2021:i:1:p:1-7.

Full description at Econpapers || Download paper

2022Is the Impact of COVID-19 Significant in Determining Equity Market Integration? Insights from BRICS Economies. (2022). Mishra, S K. In: Global Journal of Emerging Market Economies. RePEc:sae:emeeco:v:14:y:2022:i:2:p:137-162.

Full description at Econpapers || Download paper

2021Modeling the Relationships Across Nigeria Inflation, Exchange Rate, and Stock Market Returns and Further Analysis. (2021). Okorie, I E ; Chikezie, D C ; Onyemachi, C U ; Akpanta, A C ; Ohakwe, J ; Ugwu, M C. In: Annals of Data Science. RePEc:spr:aodasc:v:8:y:2021:i:2:d:10.1007_s40745-019-00206-7.

Full description at Econpapers || Download paper

2022A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders. (2022). Angelis, Paolo ; Russo, Emilio ; Martire, Antonio L ; Marchis, Roberto. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:45:y:2022:i:1:d:10.1007_s10203-022-00371-0.

Full description at Econpapers || Download paper

2022Perpetual American Double Lookback Options on Drawdowns and Drawups with Floating Strikes. (2022). Gapeev, Pavel V. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-021-09917-y.

Full description at Econpapers || Download paper

2021U.S. stock prices and macroeconomic fundamentals: Fresh evidence using the quantile ARDL approach. (2021). Ferrer, Roman ; Hurley, Dene ; Hussain, Syed Jawad. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:3569-3587.

Full description at Econpapers || Download paper

2022Do movements in macroeconomic determinants affect American depository receipt prices? Evidence from France. (2022). Anwer, Zaheer ; Ahad, Muhammad. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:1700-1710.

Full description at Econpapers || Download paper

2021Do put warrants unwind short?sale restrictions? Further evidence from the Taiwan Stock Exchange. (2021). Tsai, Weiche ; Chuang, Yiwei ; Yin, Chi ; Weng, Peishih. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:3:p:325-348.

Full description at Econpapers || Download paper

2021American option pricing: Optimal Lattice models and multidimensional efficiency tests. (2021). Byrne, Brian ; Shang, Qianru. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:4:p:514-535.

Full description at Econpapers || Download paper

2022Approximate pricing of American exchange options with jumps. (2022). Yang, Zhaojun ; Kalev, Petko ; Elliott, Robert J ; Lian, Guanghua. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:6:p:983-1001.

Full description at Econpapers || Download paper

Works by Professor Robert L. Geske:


YearTitleTypeCited
1978The Pricing of Options with Stochastic Dividend Yield. In: Journal of Finance.
[Full Text][Citation analysis]
article12
1983 The Fiscal and Monetary Linkage between Stock Returns and Inflation. In: Journal of Finance.
[Full Text][Citation analysis]
article338
1983 Over-the-Counter Option Market Dividend Protection and Biases in the Black-Scholes Model: A Note. In: Journal of Finance.
[Full Text][Citation analysis]
article5
1984 On Valuing American Call Options with the Black-Scholes European Formula. In: Journal of Finance.
[Full Text][Citation analysis]
article20
1984 The American Put Option Valued Analytically. In: Journal of Finance.
[Full Text][Citation analysis]
article164
2001The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]
paper81
1986Controlling Interest Rate Risk and Return with Futures In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]
paper0
1987Volatility and Mispricing: Robust Variance Estimation and Black-Scholes Call Option Pricing In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]
paper0
1998Credit Risk and Risk Neutral Default Probabilities: Information About Migrations and Defaults In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]
paper26
1986An Explanation of Seemingly Anomalous Time Premium Behavior for American Put Options In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]
paper0
1977The Valuation of Corporate Liabilities as Compound Options In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article210
1984The Valuation of Corporate Liabilities as Compound Options: A Correction In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article19
1985Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article42
1985The early exercise of American puts In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article4
1979The valuation of compound options In: Journal of Financial Economics.
[Full Text][Citation analysis]
article246
1979A note on an analytical valuation formula for unprotected American call options on stocks with known dividends In: Journal of Financial Economics.
[Full Text][Citation analysis]
article51
1980Mutual fund insurance In: Journal of Financial Economics.
[Full Text][Citation analysis]
article3
1981Comments on Whaleys note In: Journal of Financial Economics.
[Full Text][Citation analysis]
article10

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 1st 2022. Contact: CitEc Team