Nikunj Kapadia : Citation Profile


Are you Nikunj Kapadia?

University of Massachusetts-Amherst

4

H index

4

i10 index

967

Citations

RESEARCH PRODUCTION:

6

Articles

1

Papers

RESEARCH ACTIVITY:

   12 years (2003 - 2015). See details.
   Cites by year: 80
   Journals where Nikunj Kapadia has often published
   Relations with other researchers
   Recent citing documents: 111.    Total self citations: 0 (0 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pka483
   Updated: 2022-09-24    RAS profile: 2015-02-22    
   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 Nikunj Kapadia.

Is cited by:

Xiao, Tim (18)

Christoffersen, Peter (15)

Feunou, Bruno (11)

Skiadopoulos, George (11)

Koopman, Siem Jan (10)

Prokopczuk, Marcel (10)

Schwaab, Bernd (10)

Lucas, Andre (10)

Bekaert, Geert (10)

Bollerslev, Tim (8)

Alexander, Carol (8)

Cites to:

merton, robert (5)

Leland, Hayne (4)

Pedersen, Lasse (4)

Mitchell, Mark (3)

Strebulaev, Ilya (3)

Vayanos, Dimitri (2)

Longstaff, Francis (2)

chen, long (2)

Chen, Long (2)

Trzcinka, Charles (2)

Trzcinka, Charles (2)

Main data


Where Nikunj Kapadia has published?


Journals with more than one article published# docs
Review of Financial Studies2

Recent works citing Nikunj Kapadia (2022 and 2021)


YearTitle of citing document
2022A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312.

Full description at Econpapers || Download paper

2021Estimating real-world probabilities: A forward-looking behavioral framework. (2020). Crisóstomo, Ricardo. In: Papers. RePEc:arx:papers:2012.09041.

Full description at Econpapers || Download paper

2021Dynamic industry uncertainty networks and the business cycle. (2021). Baruník, Jozef ; Faff, Robert ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:2101.06957.

Full description at Econpapers || Download paper

2021Uncertainty Network Risk and Currency Returns. (2021). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2101.09738.

Full description at Econpapers || Download paper

2021Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

Full description at Econpapers || Download paper

2021Realized GARCH, CBOE VIX, and the Volatility Risk Premium. (2021). Huang, Zhuo ; Wang, Tianyi ; Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2112.05302.

Full description at Econpapers || Download paper

2022DeepScalper: A Risk-Aware Deep Reinforcement Learning Framework for Intraday Trading with Micro-level Market Embedding. (2021). He, XU ; Wang, Rundong ; Sun, Shuo ; Li, Jian ; Zhu, Junlei. In: Papers. RePEc:arx:papers:2201.09058.

Full description at Econpapers || Download paper

2022Measuring Systemic Risk: Common Factor Exposures and Tail Dependence Effects. (2022). Chiu, Wan-Chien ; Wang, Chih-Wei ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.02276.

Full description at Econpapers || Download paper

2022Efficient Pricing and Calibration of High-Dimensional Basket Options. (2022). Gatarek, Dariusz ; Jablecki, Juliusz ; Grzelak, Lech A. In: Papers. RePEc:arx:papers:2206.09877.

Full description at Econpapers || Download paper

2021Exploring the sources of loan default clustering using survival analysis with frailty. (2021). Sanchez-Cajal, Fatima ; Mohamed, Abdulkadir ; Enrique, Enrique Batiz-Zuk. In: Working Papers. RePEc:bdm:wpaper:2021-14.

Full description at Econpapers || Download paper

2021Firm-specific risk-neutral distributions with options and CDS. (2021). Jahan-Parvar, Mohammad ; Aramonte, Sirio ; Schindler, John W ; Rosen, Samuel. In: BIS Working Papers. RePEc:bis:biswps:921.

Full description at Econpapers || Download paper

2021Intra?industry spill?over effect of default: Evidence from the Chinese bond market. (2021). Li, Jiang ; Xu, Zijin ; Luo, Haoyi ; Hu, Xiaolu. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4703-4740.

Full description at Econpapers || Download paper

2021New Zealand whole milk powder options. (2021). Zhang, Jin E ; Aschakulporn, Pakorn. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:2201-2246.

Full description at Econpapers || Download paper

2021Recovering the market risk premium from higher?order moment risks. (2021). Rompolis, Leonidas ; Chalamandaris, George. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:147-186.

Full description at Econpapers || Download paper

2021Relevance of the disposition effect on the options market: New evidence. (2021). Chou, Robin K ; Chiu, Hsinyu ; Chiang, Mihsiu. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:1:p:75-106.

Full description at Econpapers || Download paper

2021Is aggregate volatility a priced risk factor?. (2021). Peterburgsky, Stanley. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:3:p:843-864.

Full description at Econpapers || Download paper

2021Supplementary Paper Series for the Assessment (1): The Effects of the Bank of Japans ETF Purchases on Risk Premia in the Stock Markets. (2021). Adachi, KO ; Kitamura, Tomiyuki ; Hiraki, Kazuhiro. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp21e03.

Full description at Econpapers || Download paper

2021Uncertainty Network Risk and Currency Returns. (2021). Barunik, Jozef ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp687.

Full description at Econpapers || Download paper

2021Risk modeling with option-implied correlations and score-driven dynamics. (2021). Herrera, Rodrigo ; Pia, Marco. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:932.

Full description at Econpapers || Download paper

2021Estimación de probabilidades representativas del mundo real: importancia de los sesgos conductuales. (2021). Crisóstomo, Ricardo ; Crisostomo, Ricardo . In: CNMV Documentos de Trabajo. RePEc:cnv:docutr:dt_73es.

Full description at Econpapers || Download paper

2021Credit risk spillovers and cash holdings. (2021). Qiu, Jiaping ; Lei, Jin ; Yu, Fan ; Wan, Chi. In: Journal of Corporate Finance. RePEc:eee:corfin:v:68:y:2021:i:c:s0929119921000869.

Full description at Econpapers || Download paper

2022Non-financial corporations and systemic risk. (2022). Wosser, Michael ; O'Connor, Thomas ; Flavin, Thomas ; Dungey, Mardi. In: Journal of Corporate Finance. RePEc:eee:corfin:v:72:y:2022:i:c:s0929119921002510.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Optimal 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

2021Option-implied skewness: Insights from ITM-options. (2021). Schneider, Judith C ; Mohrschladt, Hannes. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001627.

Full description at Econpapers || Download paper

2021Optimal capital structure and simultaneous bankruptcy of firms in corporate networks. (2021). Shibata, Takashi ; Nishihara, Michi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921001998.

Full description at Econpapers || Download paper

2022The stock implied volatility and the implied dividend volatility. (2022). Tunaru, Radu ; Quaye, Enoch. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002116.

Full description at Econpapers || Download paper

2022Inter-portfolio credit risk contagion including macroeconomic and financial factors: A case study for Ecuador. (2022). Tonato, Ronny ; Uquillas, Adriana. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:73:y:2022:i:c:p:299-320.

Full description at Econpapers || Download paper

2021Realized skewness and the short-term predictability for aggregate stock market volatility. (2021). Wang, Yudong ; Zhang, Yaojie ; He, Mengxi. In: Economic Modelling. RePEc:eee:ecmode:v:103:y:2021:i:c:s0264999321002030.

Full description at Econpapers || Download paper

2022Beautiful cycles: A theory and a model implying a curious role for interest. (2022). Gross, Marco. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002674.

Full description at Econpapers || Download paper

2021Default clustering of the nonfinancial sector and systemic risk: Evidence from China. (2021). Shen, Jie ; Hou, Siyuan ; Wang, Xiaoting. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:196-208.

Full description at Econpapers || Download paper

2021The implied arbitrage mechanism in financial markets. (2021). Liu, Qingfu ; Chng, Michael T ; Chen, Shiyi. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:468-483.

Full description at Econpapers || Download paper

2021Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies. (2021). Wang, Qingwei ; Mazouz, Khelifa ; Ding, Wenjie. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:42-56.

Full description at Econpapers || Download paper

2022The asymmetric relationship between returns and implied higher moments: Evidence from the crude oil market. (2022). Zhang, Gongqiu ; Xu, Yahua ; Bouri, Elie. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s014098832200127x.

Full description at Econpapers || Download paper

2021Exogenous factors for order arrivals on the intraday electricity market. (2021). Kiesel, Rudiger ; Kramer, Anke. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321000918.

Full description at Econpapers || Download paper

2022Risk spillovers and time-varying links between international oil and China’s commodity futures markets: Fresh evidence from the higher-order moments. (2022). Maghyereh, Aktham ; Zou, Huiwen ; Goh, Mark ; Cui, Jinxin. In: Energy. RePEc:eee:energy:v:238:y:2022:i:pb:s036054422101999x.

Full description at Econpapers || Download paper

2021VIX and liquidity premium. (2021). Honarvar, Iman ; Bams, Dennis. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521920302945.

Full description at Econpapers || Download paper

2021The financial conglomerate discount: Insights from stock return skewness. (2021). Weissensteiner, Alex ; Bressan, Silvia. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000065.

Full description at Econpapers || Download paper

2022The pricing of volatility risk in the US equity market. (2022). Zimmermann, Heinz ; Mustafi, Ismail H ; Hitz, Lukas. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921002702.

Full description at Econpapers || Download paper

2022Pricing defaultable bonds under Hawkes jump-diffusion processes. (2022). Xiao, Weilin ; Ma, Yong ; Chen, LI. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000587.

Full description at Econpapers || Download paper

2021The economics of the financial market for volatility trading. (2021). Zhang, Jin E ; Ruan, Xinfeng. In: Journal of Financial Markets. RePEc:eee:finmar:v:52:y:2021:i:c:s1386418120300252.

Full description at Econpapers || Download paper

2021Financial oligopolies and parallel exclusion in the credit default swap markets. (2021). Perrakis, Stylianos ; Zhong, Rui ; Kryzanowski, Lawrence. In: Journal of Financial Markets. RePEc:eee:finmar:v:56:y:2021:i:c:s1386418120300756.

Full description at Econpapers || Download paper

2022Can risk-neutral skewness and kurtosis subsume the information content of historical jumps?. (2022). Wu, Tu-Cheng ; Shiu, Yung-Ming ; Pan, Ging-Ginq. In: Journal of Financial Markets. RePEc:eee:finmar:v:57:y:2022:i:c:s1386418120300835.

Full description at Econpapers || Download paper

2022Option trading volume by moneyness, firm fundamentals, and expected stock returns. (2022). Zhou, YI. In: Journal of Financial Markets. RePEc:eee:finmar:v:58:y:2022:i:c:s1386418121000306.

Full description at Econpapers || Download paper

2021The SKEW index: Extracting what has been left. (2021). Tunaru, Radu ; Bevilacqua, Mattia. In: Journal of Financial Stability. RePEc:eee:finsta:v:53:y:2021:i:c:s1572308920301194.

Full description at Econpapers || Download paper

2021Aggregate volatility risk: International evidence. (2021). Peterburgsky, Stanley. In: Global Finance Journal. RePEc:eee:glofin:v:47:y:2021:i:c:s1044028319301012.

Full description at Econpapers || Download paper

2021In search of distress risk in emerging markets. (2021). Haas, Adam ; Chari, Anusha ; Asis, Gonzalo. In: Journal of International Economics. RePEc:eee:inecon:v:131:y:2021:i:c:s0022199621000404.

Full description at Econpapers || Download paper

2021Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type. (2021). Su, Jianxi ; Kye, Yisub ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:153-167.

Full description at Econpapers || Download paper

2021The effect of option-implied skewness on delta- and vega-hedged option returns. (2021). Zhao, Yanhui ; Wu, Zekun ; Borochin, Paul. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001244.

Full description at Econpapers || Download paper

2021Multivariate volatility forecasts for stock market indices. (2021). Croux, Christophe ; Rombouts, Jeroen ; Wilms, Ines. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:484-499.

Full description at Econpapers || Download paper

2021Systematic credit risk in securitised mortgage portfolios. (2021). Scheule, Harald ; Rosch, Daniel ; Lee, Yongwoong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:122:y:2021:i:c:s0378426620302582.

Full description at Econpapers || Download paper

2021Positive stock information in out-of-the-money option prices. (2021). Stilger, Przemyslaw S ; Skiadopoulos, George ; Kostakis, Alexandros ; Gkionis, Konstantinos. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:128:y:2021:i:c:s0378426621000704.

Full description at Econpapers || Download paper

2022The Correlation Risk Premium: International Evidence. (2022). Wang, Tianyu ; Kosowski, Robert ; Faria, Gonalo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:136:y:2022:i:c:s0378426621003502.

Full description at Econpapers || Download paper

2022What can we learn from firm-level jump-induced tail risk around earnings announcements?. (2022). faff, robert ; Chan, Kam Fong ; Liu, Mengxi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000097.

Full description at Econpapers || Download paper

2022Credit derivatives and corporate default prediction. (2022). Zhao, Ran ; Yu, Fan ; Ye, Xiaoxia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000188.

Full description at Econpapers || Download paper

2021Long-term reversals in the corporate bond market. (2021). Wen, Quan ; Subrahmanyam, Avanidhar ; Bali, Turan G. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:2:p:656-677.

Full description at Econpapers || Download paper

2021Hedging macroeconomic and financial uncertainty and volatility. (2021). Kelly, Bryan ; Giglio, Stefano ; Dew-Becker, Ian. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:1:p:23-45.

Full description at Econpapers || Download paper

2021Is there a risk-return tradeoff in the corporate bond market? Time-series and cross-sectional evidence. (2021). Wen, Quan ; Bali, Turan G ; Bai, Jennie. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:3:p:1017-1037.

Full description at Econpapers || Download paper

2022The cross section of the monetary policy announcement premium. (2022). Xu, Lai ; Pan, Xuhui Nick ; Han, Leyla Jianyu ; Ai, Hengjie. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:1:p:247-276.

Full description at Econpapers || Download paper

2022A factor model for option returns. (2022). Kelly, Bryan ; Buchner, Matthias. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:3:p:1140-1161.

Full description at Econpapers || Download paper

2022Pricing of index options in incomplete markets. (2022). Freire, Gustavo ; Almeida, Caio. In: Journal of Financial Economics. RePEc:eee:jfinec:v:144:y:2022:i:1:p:174-205.

Full description at Econpapers || Download paper

2021Is volatility spillover enough for investor decisions? A new viewpoint from higher moments. (2021). Hamori, Shigeyuki ; He, Xie. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:116:y:2021:i:c:s0261560621000632.

Full description at Econpapers || Download paper

2021Spillovers in higher moments and jumps across US stock and strategic commodity markets. (2021). Lei, Xiaojie ; Bouri, Elie ; Zhang, Hongwei ; Xu, Yahua ; Jalkh, Naji. In: Resources Policy. RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721000775.

Full description at Econpapers || Download paper

2021Borrow low, lend high: Credit arbitrage by sophisticated investors. (2021). Wu, Weixing ; Wang, Xiaowen ; Tian, Geran. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000512.

Full description at Econpapers || Download paper

2021Do fund managers time implied tail risk? — Evidence from Chinese mutual funds. (2021). Li, Weishu ; Wang, Linyu ; Ni, Zhongxin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x21000974.

Full description at Econpapers || Download paper

2021The implied volatility smirk in the Chinese equity options market. (2021). Zhang, Jin E ; Gehricke, Sebastian A ; Yue, Tian ; Pan, Zheyao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:69:y:2021:i:c:s0927538x21001311.

Full description at Econpapers || Download paper

2021Evaluation of market risk associated with hedging a credit derivative portfolio. (2021). Novales, Alfonso ; Chamizo, Alvaro. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:411-430.

Full description at Econpapers || Download paper

2021Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?. (2021). Lyocsa, Tefan ; Plihal, Toma. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:811-829.

Full description at Econpapers || Download paper

2021International portfolio allocation: The role of conditional higher moments. (2021). Le, Trung H. In: International Review of Economics & Finance. RePEc:eee:reveco:v:74:y:2021:i:c:p:33-57.

Full description at Econpapers || Download paper

2022Endogenous Option Pricing. (2022). Saretto, Alessio ; Gamba, Andrea. In: Working Papers. RePEc:fip:feddwp:93888.

Full description at Econpapers || Download paper

2021Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model. (2021). Sriananthakumar, Sivagowry ; Tchatoka, Firmin Doko ; Alavifard, Farzad. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:3:p:97-:d:507723.

Full description at Econpapers || Download paper

2021The Effect of Industry Restructuring on Peer Firms. (2021). Holcomb, Alex ; Mason, Paul. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:205-:d:548321.

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021Credit Shock Propagation Along Supply Chains: Evidence from the CDS Market. (2021). Wu, Jing ; Birge, John ; Babich, Volodymyr ; Agca, Senay. In: Working Papers. RePEc:gwi:wpaper:2021-18.

Full description at Econpapers || Download paper

2021Credit Risk: Simple Closed-Form Approximate Maximum Likelihood Estimator. (2021). Juneja, Sandeep ; Deo, Anand. In: Operations Research. RePEc:inm:oropre:v:69:y:2021:i:2:p:361-379.

Full description at Econpapers || Download paper

2021A volatility smile-based uncertainty index. (2021). Moura, Jaqueline Terra ; Machado, Jose Valentim. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:2:d:10.1007_s10436-021-00384-6.

Full description at Econpapers || Download paper

2021Designing volatility indices for Austria, Finland and Spain. (2021). Muzzioli, Silvia ; Campisi, Giovanni. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:35:y:2021:i:3:d:10.1007_s11408-021-00381-9.

Full description at Econpapers || Download paper

2021Spatial Dependence in Subprime Mortgage Defaults. (2021). Kau, James B ; Heinen, Andreas ; Kim, Mi Lim ; Keenan, Donald C. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:62:y:2021:i:1:d:10.1007_s11146-019-09708-w.

Full description at Econpapers || Download paper

2021Idiosyncratic volatility, option-based measures of informed trading, and investor attention. (2021). Schneider, Judith C ; Mohrschladt, Hannes. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:3:d:10.1007_s11147-021-09175-7.

Full description at Econpapers || Download paper

2021Pricing vulnerable options with jump risk and liquidity risk. (2021). Wang, Xingchun. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:3:d:10.1007_s11147-021-09177-5.

Full description at Econpapers || Download paper

2021Joint estimation of volatility risk and tail risk premia with time-varying macro-state-dependent property. (2021). Gu, Yuchi ; Chen, SonNan . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:4:d:10.1007_s11156-020-00925-6.

Full description at Econpapers || Download paper

2021Assessing 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

2021Estimating volatility clustering and variance risk premium effects on bank default indicators. (2021). Cevik, Emrah Ismail ; Kenc, Turalay. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:4:d:10.1007_s11156-021-00981-6.

Full description at Econpapers || Download paper

2021A Factor Model For Option Returns. (2021). Buechner, Matthias ; Kelly, Bryan T. In: NBER Working Papers. RePEc:nbr:nberwo:29369.

Full description at Econpapers || Download paper

2021Disastrous Defaults*. (2021). Renne, Jean-Paul ; Mouabbi, Sarah ; Monfort, Alain ; Gourieroux, Christian. In: Review of Finance. RePEc:oup:revfin:v:25:y:2021:i:6:p:1727-1772..

Full description at Econpapers || Download paper

2021The ABC’s of the alternative risk premium: academic roots. (2021). Fabozzi, Frank J ; Gorman, Stephen A. In: Journal of Asset Management. RePEc:pal:assmgt:v:22:y:2021:i:6:d:10.1057_s41260-021-00234-0.

Full description at Econpapers || Download paper

2022Dividend predictability and higher moment risk premia. (2022). Al-Jaaf, Aty. In: Journal of Asset Management. RePEc:pal:assmgt:v:23:y:2022:i:2:d:10.1057_s41260-021-00244-y.

Full description at Econpapers || Download paper

2021The multivariate mixture dynamics model: shifted dynamics and correlation skew. (2021). Brigo, Damiano ; Rapisarda, Francesco ; PISANI, CAMILLA . In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03239-6.

Full description at Econpapers || Download paper

2021A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations. (2021). Wang, Mingzheng ; Zhang, Xiaohui ; Yan, Dawen. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-020-03571-2.

Full description at Econpapers || Download paper

2021A collective investment problem in a stochastic volatility environment: The impact of sharing rules. (2021). Rach, Manuel ; Nguyen, Thai ; Chen, AN. In: Annals of Operations Research. RePEc:spr:annopr:v:302:y:2021:i:1:d:10.1007_s10479-021-03983-8.

Full description at Econpapers || Download paper

2021Explaining S&P500 option returns: an implied risk-adjusted approach. (2021). Volkmann, David. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:29:y:2021:i:2:d:10.1007_s10100-019-00666-5.

Full description at Econpapers || Download paper

2021On the factors of Bitcoin’s value at risk. (2021). Ho, JI. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00297-3.

Full description at Econpapers || Download paper

2022Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the Dutch Financial Sector. (2022). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220034.

Full description at Econpapers || Download paper

2022Information gains from using short?dated options for measuring and forecasting volatility. (2022). Zhang, Yang ; Todorov, Viktor. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:2:p:368-391.

Full description at Econpapers || Download paper

2022Multiperiod default probability forecasting. (2022). Blumke, Oliver. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:4:p:677-696.

Full description at Econpapers || Download paper

2021Stock market tail risk, tail risk premia, and return predictability. (2021). Yoon, SunJoong ; Suh, Sangwon. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1569-1596.

Full description at Econpapers || Download paper

2021Estimating real?world probabilities: A forward?looking behavioral framework. (2021). Crisostomo, Ricardo . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:11:p:1797-1823.

Full description at Econpapers || Download paper

2021The lead of oil price rises on US equity market beliefs and preferences. (2021). Dark, Jonathan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:11:p:1861-1887.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Nikunj Kapadia:


YearTitleTypeCited
2007Common Failings: How Corporate Defaults Are Correlated In: Journal of Finance.
[Full Text][Citation analysis]
article232
2006Common Failings: How Corporate Defaults are Correlated.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 232
paper
2015An options-based approach to coordinating distributed decision systems In: European Journal of Operational Research.
[Full Text][Citation analysis]
article4
2012Limited arbitrage between equity and credit markets In: Journal of Financial Economics.
[Full Text][Citation analysis]
article51
2012Equilibrium exercise of European warrants In: Review of Derivatives Research.
[Full Text][Citation analysis]
article0
2003Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options In: Review of Financial Studies.
[Citation analysis]
article446
2003Delta-Hedged Gains and the Negative Market Volatility Risk Premium In: Review of Financial Studies.
[Full Text][Citation analysis]
article234

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