10
H index
10
i10 index
548
Citations
Pennsylvania State University | 10 H index 10 i10 index 548 Citations RESEARCH PRODUCTION: 19 Articles 10 Papers 1 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Jingzhi Huang. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Management Science | 3 |
Journal of Banking & Finance | 2 |
Quarterly Journal of Finance (QJF) | 2 |
Working Papers Series with more than one paper published | # docs |
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Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.) | 2 |
Year | Title of citing document | |
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2020 | A closed formula for illiquid corporate bonds and an application to the European market. (2019). Nastasi, Emanuele ; Nassigh, Aldo ; Baviera, Roberto. In: Papers. RePEc:arx:papers:1901.06855. Full description at Econpapers || Download paper | |
2021 | An analytical perturbative solution to the Merton Garman model using symmetries. (2019). Shaw, Nathaniel Wiesendanger ; Calmet, Xavier. In: Papers. RePEc:arx:papers:1909.01413. Full description at Econpapers || Download paper | |
2021 | Hermite 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 | |
2020 | Regulatory Banking Leverage: what do you know?. (2020). Kimura, Herbert ; da Rosa, Douglas. In: Working Papers Series. RePEc:bcb:wpaper:540. Full description at Econpapers || Download paper | |
2020 | Determinants of Banks’ Liquidity: a French Perspective on Interactions between Market and Regulatory Requirements. (2020). Pouvelle, Cyril ; DE BANDT, OLIVIER ; Cyril, Pouvelle ; Sandrine, Lecarpentier ; Olivier, De Bandt. In: Working papers. RePEc:bfr:banfra:782. Full description at Econpapers || Download paper | |
2020 | The pricing of accruals quality in credit default swap spreads. (2020). Lin, Hai ; Alam, Pervaiz ; Pu, Xiaoling ; Hettler, Barry. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:1943-1977. Full description at Econpapers || Download paper | |
2021 | Share?pledging and the cost of debt. (2021). Kozlowski, Steven ; McDonald, Michael ; Puleo, Michael. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:1:p:1047-1079. Full description at Econpapers || Download paper | |
2021 | Exploring the determinants of green bond issuance: Going beyond the long?lasting debate on performance consequences. (2021). Caragnano, Alessandra ; Mariani, Massimo ; Russo, Angeloantonio. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:30:y:2021:i:1:p:38-59. Full description at Econpapers || Download paper | |
2020 | Bank liquidity, macroeconomic risk, and bank risk: Evidence from the Financial Services Modernization Act. (2020). Liu, Yongchin ; Lee, Yuyi ; Chen, Iju. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:1:p:143-175. Full description at Econpapers || Download paper | |
2020 | Unveiling Contemporaneous Relations Between Jump Risk and Cross Section of Stock Returns. (2020). Prasanna, Krishna ; Kshatriya, Saranya. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:581-604. Full description at Econpapers || Download paper | |
2020 | Market Excess Returns, Variance and the Third Cumulant. (2020). Zhao, Huimin ; Chang, Eric C ; Zhang, Jin E. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:605-637. Full description at Econpapers || Download paper | |
2021 | Liquidity risk and corporate bond yield spread: Evidence from China. (2021). Jiang, Lunan ; Chen, Yinghui. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:4:p:1117-1151. Full description at Econpapers || Download paper | |
2020 | Does Borrowing from Banks Cost More than Borrowing from the Market?. (2020). Schwert, Michael. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:2:p:905-947. Full description at Econpapers || Download paper | |
2021 | Leverage Dynamics without Commitment. (2021). He, Zhiguo ; DeMarzo, Peter. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:3:p:1195-1250. Full description at Econpapers || Download paper | |
2020 | Informed trading in government bond markets. (2020). Czech, Robert ; Wang, Tianyu ; Lou, Dong ; Huang, Shiyang. In: Bank of England working papers. RePEc:boe:boeewp:0871. Full description at Econpapers || Download paper | |
2021 | Disrupted lending relationship and borrowers strategic default: evidence from the tourism industry during the Greek economic crisis. (2021). ASIMAKOPOULOS, IOANNIS ; Malliaropulos, Dimitris ; Avramidis, Panagiotis. In: Working Papers. RePEc:bog:wpaper:285. Full description at Econpapers || Download paper | |
2021 | Issuance and valuation of corporate bonds with quantitative easing. (2021). Pegoraro, Stefano ; Montagna, Mattia. In: Working Paper Series. RePEc:ecb:ecbwps:20212520. Full description at Econpapers || Download paper | |
2020 | Conventional Mutual Funds Out Perform Islamic Mutual Funds in the Context of Pakistan. A Myth or Reality. (2020). Hussain, Arif ; Farooq, Naveed ; Ishaque, Amir ; Shah, Raza Ullah ; Saleem, Kashif ; Rehman, Alam ; Han, Jiabin ; Zeeshan, Muhammad. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-04-18. Full description at Econpapers || Download paper | |
2020 | Does operating risk affect portfolio risk? Evidence from insurers securities holding. (2020). Yu, Tong ; Yao, Tong ; Sun, Zhenzhen ; Chen, Xuanjuan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300237. Full description at Econpapers || Download paper | |
2021 | Same firm, two volatilities: How variance risk is priced in credit and equity markets. (2021). Tortorice, Daniel ; Kita, Arben. In: Journal of Corporate Finance. RePEc:eee:corfin:v:69:y:2021:i:c:s0929119921000055. Full description at Econpapers || Download paper | |
2021 | CTMC integral equation method for American options under stochastic local volatility models. (2021). Cui, Zhenyu ; Yang, Wensheng ; Ma, Jingtang. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000804. Full description at Econpapers || Download paper | |
2021 | Optimal capital structure, ambiguity aversion, and leverage puzzles. (2021). Liu, Hening ; Duan, Xiaoman ; Cao, Wenbin ; Attaoui, Sami. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:129:y:2021:i:c:s0165188921001111. Full description at Econpapers || Download paper | |
2020 | Asymmetric determinants of corporate bond credit spreads in China: Evidence from a nonlinear ARDL model. (2020). Si, Deng-Kui ; Li, Xin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302700. 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 | |
2020 | Financial risk and acquirers stockholder wealth in mergers and acquisitions. (2020). Cheng, Miao-Sih ; Hung, Pi-Hsia ; Chu, Hsiang-Hui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818300834. Full description at Econpapers || Download paper | |
2021 | Estimating yield spreads volatility using GARCH-type models. (2021). Kim, Dong H ; Jung, Hojin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000310. Full description at Econpapers || Download paper | |
2021 | Oil price shocks and credit spread: Structural effect and dynamic spillover. (2021). Xie, Rui ; Liu, Cenjie ; Jiang, Yong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000905. Full description at Econpapers || Download paper | |
2022 | Rigid payment breaking, default spread and yields of Chinese treasury bonds. (2022). Xu, Xiangyun ; Jia, Fei ; Chen, Yunping ; Yu, Cong ; Huang, Xiaoyong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001777. Full description at Econpapers || Download paper | |
2022 | Pricing European continuous-installment currency options with mean-reversion. (2022). Kim, Geonwoo ; Jeon, Junkee. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002023. 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 | |
2020 | Early exercise boundaries for American-style knock-out options. (2020). Ruas, Joo Pedro ; Vidal, Joo Pedro ; Dias, Jose Carlos. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:2:p:753-766. Full description at Econpapers || Download paper | |
2022 | Smiles & smirks: Volatility and leverage by jumps. (2022). Ballotta, Laura ; Rayee, Gregory . In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:3:p:1145-1161. Full description at Econpapers || Download paper | |
2021 | Do oil-price shocks predict the realized variance of U.S. REITs?. (2021). Pierdzioch, Christian ; GUPTA, RANGAN ; Epni, Ouzhan ; Bonato, Matteo. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321005429. Full description at Econpapers || Download paper | |
2021 | Sustainability premium in energy bonds. (2021). Escribano, Ana ; Diaz, Antonio. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000189. Full description at Econpapers || Download paper | |
2021 | Interbank funding, bank risk exposure and performance in the UK: A three-stage network DEA approach. (2021). Danso, Albert ; James, Gregory A ; Lartey, Theophilus. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000958. Full description at Econpapers || Download paper | |
2021 | When central banks buy corporate bonds: Target selection and impact of the European Corporate Sector Purchase Program. (2021). Lugo, Stefano ; Galema, Rients. In: Journal of Financial Stability. RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000413. Full description at Econpapers || Download paper | |
2021 | Liquidity risk and bank performance during financial crises. (2021). Huang, Shu-Chun ; Chen, Yehning. In: Journal of Financial Stability. RePEc:eee:finsta:v:56:y:2021:i:c:s1572308921000668. 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 | On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities. (2021). Yfanti, S ; Karanasos, M. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121000111. Full description at Econpapers || Download paper | |
2022 | A clientele effect in online lending markets: Evidence from the comovement between investor sentiment and online lending rates. (2022). Yu, Jingjing ; Jin, Chenglu ; Xu, Feng ; Chen, Rongda. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001682. Full description at Econpapers || Download paper | |
2022 | Performance of intraday technical trading in China’s gold market. (2022). Jin, Xiaoye. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001876. Full description at Econpapers || Download paper | |
2020 | Foreign Lenders’ adoption of performance pricing provisions in syndicated loans. (2020). Xu, Alice Liang ; Pappas, Kostas ; Lee, Edward. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301357. Full description at Econpapers || Download paper | |
2020 | Foreign ownership in Chinese credit ratings industry: Information revelation or certification?. (2020). , Jingyu ; Wang, Lafang ; Shi, Jing ; Hu, Xiaolu ; Yu, Jing. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301576. Full description at Econpapers || Download paper | |
2020 | Bank partnership and liquidity crisis. (2020). Shin, Hojong ; Park, Junho ; Gam, Yong Kyu ; Choi, Seungho. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:120:y:2020:i:c:s037842662030220x. Full description at Econpapers || Download paper | |
2021 | Does portfolio concentration affect performance? Evidence from corporate bond mutual funds. (2021). Wang, Ying ; Qin, Nan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s0378426620302946. 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 | |
2021 | Aggregate Distress Risk and Equity Returns. (2021). Jiang, Xiaowen ; Guo, Hui. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002478. Full description at Econpapers || Download paper | |
2020 | Does going tough on banks make the going get tough? Bank liquidity regulations, capital requirements, and sectoral activity. (2020). Mirzaei, Ali ; Igan, Deniz. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:177:y:2020:i:c:p:688-726. Full description at Econpapers || Download paper | |
2021 | Risk committee complexity and liquidity risk in the European banking industry. (2021). Scannella, Enzo ; Mazzu, Sebastiano ; Galletta, Simona. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:192:y:2021:i:c:p:691-703. Full description at Econpapers || Download paper | |
2020 | Is the credit spread puzzle a myth?. (2020). Yang, Fan ; Goldstein, Robert S ; Bai, Jennie. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:2:p:297-319. Full description at Econpapers || Download paper | |
2020 | Credit migration and covered interest rate parity. (2020). Liao, Gordon. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:2:p:504-525. 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 | Unemployment and credit risk. (2021). Bai, Hang. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:1:p:127-145. Full description at Econpapers || Download paper | |
2021 | The role of financial conditions in portfolio choices: The case of insurers. (2021). Weisbach, Michael ; Ge, Shan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:2:p:803-830. Full description at Econpapers || Download paper | |
2021 | Informed trading in government bond markets. (2021). Czech, Robert ; Lou, Dong ; Huang, Shiyang ; Wang, Tianyu. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:3:p:1253-1274. Full description at Econpapers || Download paper | |
2022 | Does mutual fund illiquidity introduce fragility into asset prices? Evidence from the corporate bond market. (2022). Wang, Ashley ; Sun, Zheng ; Li, YI ; Jiang, Hao. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:1:p:277-302. 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 | |
2020 | Domestically formed international diversification. (2020). Vivian, Andrew ; Lu, Qinye. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:103:y:2020:i:c:s0261560619306473. Full description at Econpapers || Download paper | |
2020 | The relationship between credit ratings and asset liquidity: Evidence from Western European banks. (2020). Junttila, Juha ; Merilainen, Jari-Mikko. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:108:y:2020:i:c:s0261560620301807. Full description at Econpapers || Download paper | |
2021 | Finite horizon portfolio selection with durable goods. (2021). Park, Kyunghyun ; Koo, Hyeng Keun ; Jeon, Junkee. In: Mathematical Social Sciences. RePEc:eee:matsoc:v:111:y:2021:i:c:p:55-67. Full description at Econpapers || Download paper | |
2021 | Default cycles. (2021). Kaas, Leo ; Cui, Wei. In: Journal of Monetary Economics. RePEc:eee:moneco:v:117:y:2021:i:c:p:377-394. Full description at Econpapers || Download paper | |
2020 | Political risk and bank stability in the Middle East and North Africa region. (2020). Al-Shboul, Mohammad ; Molyneux, Phillip ; Hassan, Abul ; Maghyereh, Aktham. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:60:y:2020:i:c:s0927538x19303609. Full description at Econpapers || Download paper | |
2020 | Corporate governance mechanisms with conventional bonds and Sukuk’ yield spreads. (2020). Ali, Norli ; Haniff, Mohd Nizal ; Saad, Noriza Mohd. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x17301336. Full description at Econpapers || Download paper | |
2020 | Funding liquidity risk and banks risk-taking: Evidence from Islamic and conventional banks. (2020). Temimi, Akram ; Miniaoui, Hela ; Mimouni, Karim ; Smaoui, Houcem. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:64:y:2020:i:c:s0927538x20302304. 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 | |
2022 | Corporate bonds with implicit government guarantees. (2022). Tian, Yuan ; Li, Yifei ; Zhang, Ran. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:71:y:2022:i:c:s0927538x21002043. Full description at Econpapers || Download paper | |
2020 | Efficiency, diversification, and performance of US banks. (2020). Hassan, M. Kabir ; Khan, Abu ; Ozkan, Bora ; Boujlil, Rhada ; Maroney, Neal. In: International Review of Economics & Finance. RePEc:eee:reveco:v:67:y:2020:i:c:p:101-117. Full description at Econpapers || Download paper | |
2020 | Stock market uncertainty, volatility connectedness of financial institutions, and stock-bond return correlations. (2020). Lee, Hsiu-Chuan ; Hsu, Chih-Hsiang ; Lien, Donald. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:600-621. 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 | State ownership and the cost of debt: Evidence from corporate bond issuances in China. (2020). Shen, Zhe ; Qiao, Zheng ; Liu, Yangshu ; Ge, Yao . In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919308888. Full description at Econpapers || Download paper | |
2021 | Bond market development and bank stability: Evidence from emerging markets. (2021). Cagas, Marie Anne ; Park, Donghyun ; Tian, Shu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921001197. Full description at Econpapers || Download paper | |
2021 | The Effect of Liquidity According to the Requirements of the Basel III Committee on the Profitability of Banks: Evidence from Saudi Banks. (2021). Alyousef, Shikhah ; Altahtamouni, Farouq. In: International Journal of Economics & Business Administration (IJEBA). RePEc:ers:ijebaa:v:ix:y:2021:i:2:p:439-463. Full description at Econpapers || Download paper | |
2020 | A Quasi-Closed-Form Solution for the Valuation of American Put Options. (2020). Viegas, Cristina ; Azevedo-Pereira, Jose . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:8:y:2020:i:4:p:62-:d:430231. Full description at Econpapers || Download paper | |
2021 | Accounting Comparability and Cash Holdings in Vietnam. (2021). Nguyen, Khuong Vinh. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:9:y:2021:i:2:p:27-:d:562439. Full description at Econpapers || Download paper | |
2021 | Predicting Bank Failures: A Synthesis of Literature and Directions for Future Research. (2021). Sathye, Milind ; Liu, Shuangzhe. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:10:p:474-:d:651714. Full description at Econpapers || Download paper | |
2021 | An Analytic Approach for Pricing American Options with Regime Switching. (2021). Chan, Leunglung ; Zhu, Song-Ping. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:188-:d:540271. Full description at Econpapers || Download paper | |
2020 | . Full description at Econpapers || Download paper | |
2021 | Corporate Social Responsibility and Bond Price at Issuances: U.S. Evidence. (2021). Zhen, Xinting ; Shen, Hao ; Du, Wei ; Zhao, Hong. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:23:p:13123-:d:688789. Full description at Econpapers || Download paper | |
2022 | What drives the risk of European banks during crises? New evidence and insights. (2022). Lapteacru, Ion. In: Bordeaux Economics Working Papers. RePEc:grt:bdxewp:2022-02. Full description at Econpapers || Download paper | |
2021 | The Joint Impact of Bank Capital and Funding Liquidity on the Monetary Policys Risk-Taking Channel. (2021). de Menna, Bruno. In: Working Papers. RePEc:hal:wpaper:hal-03138724. Full description at Econpapers || Download paper | |
2021 | Liquidity Regulation and Bank Lending. (2021). Wilson, John ; Tarazi, Amine ; Chronopoulos, Dimitris ; Ananou, Foly. In: Working Papers. RePEc:hal:wpaper:hal-03259305. Full description at Econpapers || Download paper | |
2021 | Liquidity Regulation and Bank Risk. (2021). TARAZI, Amine ; Ananou, Foly ; Wilson, John ; Chronopoulos, Dimitris. In: Working Papers. RePEc:hal:wpaper:hal-03366418. Full description at Econpapers || Download paper | |
2022 | What drives the risk of European banks during crises? New evidence and insights. (2022). Lapteacru, Ion. In: Working Papers. RePEc:hal:wpaper:hal-03625046. Full description at Econpapers || Download paper | |
2020 | THE IMPACT OF NET STABLE FUNDING RATIO ON BANK PERFORMANCE AND RISK AROUND THE WORLD. (2020). Naufa, Ahmad Maulin ; Setiyono, Bowo. In: Bulletin of Monetary Economics and Banking. RePEc:idn:journl:v:23:y:2020:i:4e:p:543-564. Full description at Econpapers || Download paper | |
2020 | Growth Options and Credit Risk. (2020). Gamba, Andrea ; Saretto, Alessio. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:9:p:4269-4291. Full description at Econpapers || Download paper | |
2020 | Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach. (2020). Nguyen, Duc Khuong ; Walther, Thomas ; Topaloglou, Nikolas. In: Working Papers. RePEc:ipg:wpaper:2020-009. Full description at Econpapers || Download paper | |
2020 | Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules. (2020). Fabozzi, Frank J ; Brogi, Marina ; Lagasio, Valentina ; Russo, Vincenzo. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:1:d:10.1007_s10436-020-00358-0. Full description at Econpapers || Download paper | |
2020 | Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps. (2020). Su, Xiaoshan ; Courtois, Olivier. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:27:y:2020:i:4:d:10.1007_s10690-020-09304-6. Full description at Econpapers || Download paper | |
2020 | Valuing American-style options under the CEV model: an integral representation based method. (2020). Dias, Jose Carlos ; Cruz, Aricson. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:1:d:10.1007_s11147-019-09157-w. Full description at Econpapers || Download paper | |
2022 | Optimal exercise of American put options near maturity: A new economic perspective. (2022). De Donno, Marzia ; Sbuelz, Alessandro ; Gajda, Janusz ; Battauz, Anna. 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 | |
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 | |
2021 | Assessing models of individual equity option prices. (2021). Zhong, Zhaodong ; Cao, Charles ; Bakshi, Gurdip. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:1:d:10.1007_s11156-020-00951-4. Full description at Econpapers || Download paper | |
2022 | Selection ability, timing ability, and performance persistence of Indian fixed income mutual funds. (2022). Gupta, Supratim ; Madhavan, Vinodh ; Patel, Mayank. In: Journal of Asset Management. RePEc:pal:assmgt:v:23:y:2022:i:1:d:10.1057_s41260-021-00253-x. Full description at Econpapers || Download paper | |
2021 | The role of net stable funding ratio on the bank lending channel: evidence from European Union. (2021). Siriopoulos, Costas ; Papadamou, Stephanos ; Syriopoulos, Konstantinos ; Sogiakas, Vasilios. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:22:y:2021:i:4:d:10.1057_s41261-021-00144-6. Full description at Econpapers || Download paper | |
2020 | Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach. (2020). Walther, Thomas ; Topaloglou, Nikolas ; Nguyen, Duc Khuong. In: MPRA Paper. RePEc:pra:mprapa:103870. Full description at Econpapers || Download paper | |
2021 | Bank equity, interest payments, and credit creation under Basel III regulations. (2021). Li, Boyao. In: MPRA Paper. RePEc:pra:mprapa:111269. 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 | |
2020 | Do Oil-Price Shocks Predict the Realized Variance of U.S. REITs?. (2020). GUPTA, RANGAN ; Bonato, Matteo ; Pierdzioch, Christian. In: Working Papers. RePEc:pre:wpaper:2020100. Full description at Econpapers || Download paper | |
2021 | On the Dynamics of International Real Estate Investment Trust Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures. (2021). GUPTA, RANGAN ; Gabauer, David ; Bouri, Elie ; Lesame, Keagile. In: Working Papers. RePEc:pre:wpaper:202152. Full description at Econpapers || Download paper | |
2022 | Herding in International REITs Markets around the COVID-19 Pandemic. (2022). Bouri, Elie ; Gupta, Rangan ; Ngene, Geoffrey ; Lesame, Keagile. In: Working Papers. RePEc:pre:wpaper:202218. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2015 | Double-jump stochastic volatility model for VIX: evidence from VVIX In: Papers. [Full Text][Citation analysis] | paper | 0 |
2002 | When Does Strategic Debt Service Matter? In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 26 |
2006 | When does Strategic Debt-service Matter?.(2006) In: Economic Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | article | |
2016 | Hedging Interest Rate Risk Using a Structural Model of Credit Risk In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2004 | Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes In: Econometric Society 2004 North American Winter Meetings. [Full Text][Citation analysis] | paper | 75 |
2004 | Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes.(2004) In: Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 75 | paper | |
2000 | The valuation of American barrier options using the decomposition technique In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 26 |
1998 | The Valuation of American Barrier Options Using the Decomposition Technique.(1998) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
2020 | Testing moving average trading strategies on ETFs In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 1 |
2014 | The information content of Basel III liquidity risk measures In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 66 |
2020 | Why do firms issue guaranteed bonds? In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 1 |
2014 | Liquidity effects in corporate bond spreads In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 31 |
2013 | Should investors invest in hedge fund-like mutual funds? Evidence from the 2007 financial crisis In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 1 |
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2012 | Inflation risk premium: evidence from the TIPS market In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 51 |
2000 | Costly Financing, Optimal Payout Policies and the Valuation of Corporate Debt In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 7 |
2014 | Timing Ability of Government Bond Fund Managers: Evidence from Portfolio Holdings In: Management Science. [Full Text][Citation analysis] | article | 9 |
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2020 | Liquidity Premium in the Eye of the Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market In: Management Science. [Full Text][Citation analysis] | article | 5 |
2013 | Time Variation in Diversification Benefits of Commodity, REITs, and TIPS In: The Journal of Real Estate Finance and Economics. [Full Text][Citation analysis] | article | 21 |
2007 | Determinants of S&P 500 index option returns In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 2 |
2002 | A Note on Forward Price and Forward Measure. In: Review of Quantitative Finance and Accounting. [Full Text][Citation analysis] | article | 1 |
2012 | How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? In: Review of Asset Pricing Studies. [Full Text][Citation analysis] | article | 125 |
1996 | Pricing and Hedging American Options: A Recursive Integration Method. In: Review of Financial Studies. [Full Text][Citation analysis] | article | 78 |
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2014 | Stochastic Volatility Models for Asset Returns with Leverage, Skewness and Heavy-Tails via Scale Mixture In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] | article | 0 |
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