JUN LIU : Citation Profile


Are you JUN LIU?

Shanghai Jiao Tong University (74% share)
Southwestern University of Finance and Economics (SWUFE) (25% share)
University of California-San Diego (UCSD) (1% share)

11

H index

11

i10 index

702

Citations

RESEARCH PRODUCTION:

11

Articles

23

Papers

RESEARCH ACTIVITY:

   14 years (1999 - 2013). See details.
   Cites by year: 50
   Journals where JUN LIU has often published
   Relations with other researchers
   Recent citing documents: 132.    Total self citations: 4 (0.57 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pli926
   Updated: 2020-02-22    RAS profile: 2015-01-06    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with JUN LIU.

Is cited by:

Santa-Clara, Pedro (11)

Miao, Jianjun (11)

Wang, Neng (8)

Xing, Yuhang (8)

Ang, Andrew (8)

Longstaff, Francis (8)

Munk, Claus (7)

Bekaert, Geert (6)

Xiao, Tim (6)

Engstrom, Eric (6)

Monfort, Alain (5)

Cites to:

Campbell, John (23)

Shleifer, Andrei (15)

merton, robert (14)

Bekaert, Geert (14)

Viceira, Luis (11)

Duffie, Darrell (9)

Epstein, Larry (9)

Shiller, Robert (8)

Zin, Stanley (8)

Harvey, Campbell (8)

Brennan, Michael (8)

Main data


Where JUN LIU has published?


Journals with more than one article published# docs
Review of Financial Studies4
Journal of Financial Economics4

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, UCLA12

Recent works citing JUN LIU (2018 and 2017)


YearTitle of citing document
2017Picking Funds with Confidence. (2017). Timmermann, Allan ; Lunde, Asger ; Gronborg, Niels S ; Wermers, Russ. In: CREATES Research Papers. RePEc:aah:create:2017-13.

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2018Short-Term Market Risks Implied by Weekly Options. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-08.

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2017What drives the regional integration of agribusiness stocks? Evidence in worldwide perspective. (2017). Valdes, Rodrigo . In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258265.

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2017Effect of Correlation of Brownian Motions on an Investor,s Optimal Investment and Consumption Decision under Ornstein-Uhlenbeck Model. (2017). Ihedioha, Silas A ; Osu, Bright O ; Oruh, Ben I. In: Academic Journal of Applied Mathematical Sciences. RePEc:arp:ajoams:2017:p:52-61.

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2017A Primer on Portfolio Choice with Small Transaction Costs. (2017). Muhle-Karbe, Johannes ; Soner, Mete H ; Reppen, Max. In: Papers. RePEc:arx:papers:1612.01302.

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2018Optimal investment problem with M-CEV model: closed form solution and applications to the algorithmic trading. (2018). Muravey, Dmitry . In: Papers. RePEc:arx:papers:1703.01574.

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2017Sensitivity analysis of the utility maximization problem with respect to model perturbations. (2017). Sirbu, Mihai ; Mostovyi, Oleksii. In: Papers. RePEc:arx:papers:1705.08291.

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2017Calibration of Distributionally Robust Empirical Optimization Models. (2017). , Andrew ; Kim, Michael Jong ; Gotoh, Jun-Ya. In: Papers. RePEc:arx:papers:1711.06565.

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2017Strict Local Martingales and Optimal Investment in a Black-Scholes Model with a Bubble. (2017). Herrmann, Sebastian ; Herdegen, Martin. In: Papers. RePEc:arx:papers:1711.06679.

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2019A Term Structure Model for Dividends and Interest Rates. (2019). Willems, Sander ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1803.02249.

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2018The value of informational arbitrage. (2018). Fontana, Claudio ; Cosso, Andrea ; Chau, Huy N. In: Papers. RePEc:arx:papers:1804.00442.

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2018Portfolio Optimization with Delay Factor Models. (2018). Zhang, Zheng ; Sun, Li-Hsien ; Sheu, Shuenn-Jyi. In: Papers. RePEc:arx:papers:1805.01118.

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2018A New Model for Pricing Collateralized Financial Derivatives. (2018). Xiao, Tim. In: Papers. RePEc:arx:papers:1805.11981.

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2019Optimal Dynamic Basis Trading. (2019). Leung, Tim ; Angoshtari, Bahman . In: Papers. RePEc:arx:papers:1809.05961.

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2019Short Selling with Margin Risk and Recall Risk. (2019). Glover, Kristoffer ; Hulley, Hardy. In: Papers. RePEc:arx:papers:1903.11804.

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2019Optimal Convergence Trading with Unobservable Pricing Errors. (2019). Eksi, Zehra ; Colaneri, Katia ; Altay, Suhan. In: Papers. RePEc:arx:papers:1910.01438.

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2019Optimal Trading of a Basket of Futures Contracts. (2019). Leung, Tim ; Angoshtari, Bahman . In: Papers. RePEc:arx:papers:1910.04943.

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2019Robust portfolio optimization with multi-factor stochastic volatility. (2019). Zhu, Song-Ping ; Ma, Guiyuan ; Lu, Xiaoping ; Yang, Ben-Zhang. In: Papers. RePEc:arx:papers:1910.06872.

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2019With or without replacement? Sampling uncertainty in Shepps urn scheme. (2019). Glover, Kristoffer. In: Papers. RePEc:arx:papers:1911.11971.

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2017Measuring Limits of Arbitrage in Fixed-Income Markets. (2017). Fontaine, Jean-Sebastien ; Nolin, Guillaume. In: Staff Working Papers. RePEc:bca:bocawp:17-44.

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2018An explanation of negative swap spreads: demand for duration from underfunded pension plans. (2018). Sundaresan, Suresh ; Klingler, Sven. In: BIS Working Papers. RePEc:bis:biswps:705.

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2018Noise Momentum Around the World. (2018). Cai, Charlie X ; Shin, Yongcheol ; Faff, Robert. In: Abacus. RePEc:bla:abacus:v:54:y:2018:i:1:p:79-104.

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2017Dynamic Asset Allocation with Liabilities. (2017). Giamouridis, Daniel ; Tessaromatis, Nikolaos ; Sakkas, Athanasios. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:2:p:254-291.

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2018Non†myopic portfolio choice with unpredictable returns: The jump†to†default case. (2018). Battauz, Anna ; Sbuelz, Alessandro. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:2:p:192-208.

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2017Specification Error, Estimation Risk, and Conditional Portfolio Rules. (2017). Tian, Weidong ; Yan, Hong ; Kaniel, Ron ; Chapman, David A ; Carlson, Murray. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:2:p:263-288.

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2017EXPLOITING CLOSED-END FUND DISCOUNTS: A SYSTEMATIC EXAMINATION OF ALPHAS. (2017). Patro, Dilip ; Wu, Yangru ; Piccotti, Louis R. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:2:p:223-248.

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2017Multi yield curve stress-testing framework incorporating temporal and cross tenor structural dependencies. (2017). Karimalis, Emmanouil ; Peters, Gareth ; Kosmidis, Ioannis . In: Bank of England working papers. RePEc:boe:boeewp:0655.

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2017Generalized Disappointment Aversion, Learning, and Asset Prices. (2017). Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp606.

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2017Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan G ; Lunde, Asger ; Groenborg, Niels . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11896.

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2018Liquidity Regimes and Optimal Dynamic Asset Allocation. (2018). Collin-Dufresne, Pierre ; Saglam, Mehmet ; Daniel, Kent. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12737.

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2019Benchmark interest rates when the government is risky. (2019). Schmid, Lukas ; Chernov, Mikhail ; Augustin, Patrick ; Song, Dongo . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14105.

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2017Options, equity risks, and the value of capital structure adjustments. (2017). Borochin, Paul ; Yang, Jie. In: Journal of Corporate Finance. RePEc:eee:corfin:v:42:y:2017:i:c:p:150-178.

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2019Markowitz with regret. (2019). Korn, Olaf ; Baule, Rainer ; Kuntz, Laura-Chloe . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:103:y:2019:i:c:p:1-24.

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2019Portfolio selection with inflation-linked bonds and indexation lags. (2019). Li, Kai. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:10.

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2017Optimal portfolios when variances and covariances can jump. (2017). Branger, Nicole ; Weisheit, Stefan ; Seifried, Frank Thomas ; Muck, Matthias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:59-89.

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2018Dynamic derivative strategies with stochastic interest rates and model uncertainty. (2018). Escobar, Marcos ; Rubtsov, Alexey ; Ferrando, Sebastian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:49-71.

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2018Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility. (2018). Zeng, Yan ; Yang, Zhou ; Chen, Zheng ; Li, Danping. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:88:y:2018:i:c:p:70-103.

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2018Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like. (2018). Oliva, I ; Reno, R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:94:y:2018:i:c:p:242-256.

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2017Pair trading based on quantile forecasting of smooth transition GARCH models. (2017). Chen, Cathy W. S. ; Lee, Sang Yeol ; Sriboonchitta, Songsak ; Wang, Zona . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:38-55.

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2019An outperforming investment strategy under fractional Brownian motion. (2019). Zhao, Yonghong ; Xiang, Yun ; Liu, Qiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:505-515.

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2018Non-zero-sum stochastic differential reinsurance and investment games with default risk. (2018). Zhu, Huiming ; Deng, Chao ; Zeng, Xudong. In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:3:p:1144-1158.

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2018Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix. (2018). Jin, Xing ; Hong, YI. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:1:p:389-398.

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2019Dynamic portfolio choice with return predictability and transaction costs. (2019). Siu, Chi Chung ; Ma, Guiyuan ; Zhu, Song-Ping. In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:3:p:976-988.

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2018Can Islamic banks have their own benchmark?. (2018). Azad, A. S. M. S., ; Ahsan, Amirul ; Chazi, Abdelaziz ; Azmat, Saad. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:120-136.

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2019One country, two systems? The heavy-tailedness of Chinese A- and H- share markets. (2019). Ibragimov, Rustam ; Chen, Zhimin. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:115-141.

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2017Predicting international stock returns with conditional price-to-fundamental ratios. (2017). Lawrenz, Jochen ; Zorn, Josef. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:159-184.

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2018Crash risk and risk neutral densities. (2018). Chen, Ren-Raw ; Huang, Jeffrey ; Hsieh, Pei-Lin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:162-189.

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2019Moment spreads in the energy market. (2019). Zhang, Jin E ; Ruan, Xinfeng. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:598-609.

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2017Robust asset pricing with stochastic hyperbolic discounting. (2017). Wang, Haijun. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:178-185.

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2018Distribution uncertainty and expected stock returns. (2018). Chae, Joon ; Lee, Eunjung. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:55-61.

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2018A single-stage approach for cointegration-based pairs trading. (2018). Law, K F ; Li, W K. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:177-184.

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2019Co-explosivity in the cryptocurrency market. (2019). Shahzad, Syed Jawad Hussain ; Hussain, Syed Jawad ; Bouri, Elie ; Roubaud, David. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:178-183.

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2019Extending the Hansen–Jagannathan distance measure of model misspecification. (2019). Yao, Xiangkun ; Xu, Yuewu . In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:384-392.

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2019Suboptimal investment behavior and welfare costs: A simulation based approach. (2019). Reus, Lorenzo ; Castaeda, Pablo . In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:170-180.

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2019Tail risk and the consumption CAPM. (2019). Ho, JI. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:69-75.

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2019Strategic trading with risk aversion and information flow. (2019). Thompson, Rex ; Sastry, Ravi. In: Journal of Financial Markets. RePEc:eee:finmar:v:44:y:2019:i:c:p:1-16.

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2019Recursive non-expected utility: Connecting ambiguity attitudes to risk preferences and the level of ambiguity. (2019). Evren, Ozgur. In: Games and Economic Behavior. RePEc:eee:gamebe:v:114:y:2019:i:c:p:285-307.

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2017Optimal consumption–investment strategy under the Vasicek model: HARA utility and Legendre transform. (2017). Chang, Hao. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:215-227.

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2017Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity. (2017). Viens, Frederi G ; Yi, BO ; Gu, Ailing. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:235-249.

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2017Wanting robustness in insurance: A model of catastrophe risk pricing and its empirical test. (2017). Zhu, Wenge. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:14-23.

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2018Dynamic derivative-based investment strategy for mean–variance asset–liability management with stochastic volatility. (2018). Li, Danping ; Zeng, Yan ; Shen, Yang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:72-86.

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2018Optimal investment under VaR-Regulation and Minimum Insurance. (2018). Chen, AN ; Stadje, Mitja ; Nguyen, Thai. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:194-209.

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2018Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility. (2018). Wang, Pei ; Li, Zhongfei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:80:y:2018:i:c:p:67-83.

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2018Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing. (2018). Gu, Ailing ; Yao, Haixiang ; Viens, Frederi G. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:80:y:2018:i:c:p:93-109.

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2019Derivatives trading for insurers. (2019). Xue, Xiaole ; Weng, Chengguo ; Wei, Pengyu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:84:y:2019:i:c:p:40-53.

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2019Does the volatility of volatility risk forecast future stock returns?. (2019). JAWADI, Fredj ; Fu, XI ; Bu, Ruijun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:16-36.

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2019Individual pension risk preference elicitation and collective asset allocation with heterogeneity. (2019). dellaert, benedict ; Swinkels, Laurens. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:206-225.

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2019The decline in idiosyncratic values of US Treasury securities. (2019). Zhou, Lei ; Wu, Yanbin ; Livingston, Miles. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:107:y:2019:i:c:8.

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2019Does investor risk perception drive asset prices in markets? Experimental evidence. (2019). Zeisberger, Stefan ; Palan, Stefan ; Huber, Jurgen. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:108:y:2019:i:c:s0378426619302109.

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2018Detecting money market bubbles. (2018). Platen, Eckhard ; Ignatieva, Katja ; Baldeaux, Jan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:369-379.

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2018Jumps, cojumps, and efficiency in the spot foreign exchange market. (2018). Piccotti, Louis R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:49-67.

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2018Loss aversion around the world: Empirical evidence from pension funds. (2018). Hwang, Soosung ; Pantelous, Athanasios A ; Xie, Yuxin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:52-62.

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2018Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics. (2018). Chen, Cathy Yi-Hsuan ; Hardle, Wolfgang Karl ; Chiang, Thomas C. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:21-32.

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2019Robust consumption and portfolio policies when asset prices can jump. (2019). Ait-Sahalia, Yacine ; Matthys, Felix. In: Journal of Economic Theory. RePEc:eee:jetheo:v:179:y:2019:i:c:p:1-56.

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2019Who benefits in a crisis? Evidence from hedge fund stock and option holdings. (2019). Shi, Zhen ; Martin, Spencer J ; Aragon, George O. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:2:p:345-361.

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2019Should Long-Term Investors Time Volatility?. (2019). Muir, Tyler ; Moreira, Alan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:507-527.

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2019Time-varying ambiguity, credit spreads, and the levered equity premium. (2019). Shi, Zhan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:3:p:617-646.

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2019Counterparty credit risk and derivatives pricing. (2019). Zhang, Chu ; Li, Gang. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:3:p:647-668.

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2019Pricing factors in multiple-term structures from interbank rates. (2019). Lafuente, Juan Angel ; Serrano, Pedro ; Petit, Nuria. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:91:y:2019:i:c:p:138-159.

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2017Covered interest parity deviation and counterparty default risk: U.S. Dollar/Korean Won FX swap market. (2017). Kim, Don H ; Ho, Young ; Choi, Hanbok ; Jang, Woon Wook . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:44:y:2017:i:c:p:47-63.

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2019Is CEO pay disparity relevant to seasoned bondholders?. (2019). Lee, Chun I ; Huang, Henry H. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:271-289.

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2017Does the equity premium puzzle persist during financial crisis? The case of the French equity market. (2017). Bellelah, M A ; ben Ameur, H ; ben Hafsia, R. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pb:p:851-866.

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2018Corruption and emerging markets: Systematic review of the most cited. (2018). Cintra, Renato Fabiano ; de Carvalho, Antonio Oliveira ; Ribeiro, Ivano ; Cassol, Alessandra. In: Research in International Business and Finance. RePEc:eee:riibaf:v:45:y:2018:i:c:p:607-619.

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2018Evidence of time-varying conditional discrete jump dynamics in sub-Saharan African foreign exchange markets. (2018). Kuttu, Saint ; Bokpin, Godfred A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:211-226.

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2019Ownership structure, overinvestment and underinvestment: Evidence from Brazil. (2019). Guimares, Aquiles Elie ; Pellicani, Aline Damasceno . In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:475-482.

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2018Ambiguity Aversion and Variance Premium. (2018). zhao, hao ; Wei, Bin ; Miao, Jianjun ; Zhou, Hao. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2018-14.

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2017A Discussion of a Risk-Sharing Pension Plan. (2017). Donnelly, Catherine . In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:1:p:12-:d:90221.

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2017Private Valuation of Compensation Stock Options. (2017). Cueto, Diego. In: Economía Coyuntural,Revista de temas de perspectivas y coyuntura. RePEc:grm:ecoyun:201705.

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2017A New Model for Pricing Collateralized Financial Derivatives. (2017). Xiao, Tim. In: Post-Print. RePEc:hal:journl:hal-01800559.

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2018A Leverage-Based Measure of Financial Stability. (2018). Borowiecki, Karol ; Adrian, Tobias ; Tepper, Alexander. In: Discussion Papers of Business and Economics. RePEc:hhs:sdueko:2018_001.

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2018The pricing kernel puzzle: survey and outlook. (2018). Cuesdeanu, Horatio ; Jackwerth, Jens Carsten. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9.

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2019Optimal dynamic basis trading. (2019). Leung, Tim ; Angoshtari, Bahman . In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:3:d:10.1007_s10436-019-00348-x.

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2019Dynamic portfolio strategies under a fully correlated jump-diffusion process. (2019). Moreno-Franco, Harold A ; Escobar-Anel, Marcos. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:3:d:10.1007_s10436-019-00350-3.

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2019On the Numerical Solution of Mertonian Control Problems: A Survey of the Markov Chain Approximation Method for the Working Economist. (2019). Ellersgaard, Simon. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:3:d:10.1007_s10614-018-9865-y.

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2018Risk-adjusted option-implied moments. (2018). Brinkmann, Felix ; Korn, Olaf . In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:2:d:10.1007_s11147-017-9136-4.

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2017Asset Mispricing. (2017). Longstaff, Francis ; Lewis, Kurt ; Petrasek, Lubomir . In: NBER Working Papers. RePEc:nbr:nberwo:23231.

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2018Portfolio Rebalancing in General Equilibrium. (2018). Zhang, Jing ; Shapiro, Matthew ; Kimball, Miles ; Shumway, Tyler. In: NBER Working Papers. RePEc:nbr:nberwo:24722.

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2019Negative Swap Spreads and Limited Arbitrage. (2019). Jermann, Urban. In: NBER Working Papers. RePEc:nbr:nberwo:25422.

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2019The Endowment Model and Modern Portfolio Theory. (2019). Wang, Neng ; Dimmock, Stephen ; Yang, Jinqiang. In: NBER Working Papers. RePEc:nbr:nberwo:25559.

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2019Benchmark Interest Rates When the Government is Risky. (2019). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick ; Schmid, Lukas. In: NBER Working Papers. RePEc:nbr:nberwo:26429.

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

Works by JUN LIU:


YearTitleTypeCited
2000The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper29
2002The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads.(2002) In: NBER Working Papers.
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This paper has another version. Agregated cites: 29
paper
2005Risk, Return and Dividends In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper15
2007Risk, return, and dividends.(2007) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 15
article
2007Risk, Return and Dividends.(2007) In: NBER Working Papers.
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This paper has another version. Agregated cites: 15
paper
2005Corruption, Firm Governance, and the Cost of Capital In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper6
2001Dynamic Choice and Risk Aversion In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper2
2000Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper72
2004Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities.(2004) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 72
article
2004THE MARKET PRICE OF RISK IN INTEREST RATE SWAPS: THE ROLES OF DEFAULT AND LIQUIDITY RISKS In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper76
2006The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks.(2006) In: The Journal of Business.
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This paper has another version. Agregated cites: 76
article
2004The Value of Private Information In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
2002Debt Policy, Corporate Taxes, and Discount Rates In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper8
2008Debt policy, corporate taxes, and discount rates.(2008) In: Journal of Economic Theory.
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This paper has another version. Agregated cites: 8
article
2002Debt Policy, Corporate Taxes, and Discount Rates.(2002) In: NBER Working Papers.
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This paper has another version. Agregated cites: 8
paper
2005Information, Diversification, and Cost of Capital In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper4
2001Paper Millionaires: How Valuable is Stock to a Stockholder Who is Restricted from Selling it? In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper66
2002Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it?.(2002) In: NBER Working Papers.
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This paper has another version. Agregated cites: 66
paper
2003Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it?.(2003) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 66
article
2001Dynamic Asset Allocation with Event Risk In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper7
2002Dynamic Asset Allocation With Event Risk.(2002) In: NBER Working Papers.
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This paper has another version. Agregated cites: 7
paper
2001Conditioning Information and Variance on Pricing Kernals In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
2009Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications In: CEPR Discussion Papers.
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paper0
2010Information, Expected Utility, and Portfolio Choice In: Journal of Financial and Quantitative Analysis.
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article4
2003Dynamic derivative strategies In: Journal of Financial Economics.
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article88
2003Dynamic Derivative Strategies.(2003) In: Working papers.
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This paper has another version. Agregated cites: 88
paper
2005Why stocks may disappoint In: Journal of Financial Economics.
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article87
2000Why Stocks May Disappoint.(2000) In: NBER Working Papers.
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This paper has another version. Agregated cites: 87
paper
2002An Equilibrium Model of Rare Event Premia In: Working papers.
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paper1
2003How to Discount Cashflows with Time-Varying Expected Returns In: NBER Working Papers.
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paper0
1999Conditioning Information and Variance Bounds on Pricing Kernels In: NBER Working Papers.
[Full Text][Citation analysis]
paper41
2005An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks In: Review of Financial Studies.
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article83
2007Portfolio Selection in Stochastic Environments In: Review of Financial Studies.
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article97
2013Optimal Convergence Trade Strategies In: Review of Financial Studies.
[Full Text][Citation analysis]
article16

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