Francis A. Longstaff : Citation Profile


Are you Francis A. Longstaff?

University of California-Los Angeles (UCLA)

25

H index

38

i10 index

3807

Citations

RESEARCH PRODUCTION:

39

Articles

30

Papers

RESEARCH ACTIVITY:

   29 years (1989 - 2018). See details.
   Cites by year: 131
   Journals where Francis A. Longstaff has often published
   Relations with other researchers
   Recent citing documents: 634.    Total self citations: 28 (0.73 %)

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   Permalink: http://citec.repec.org/plo283
   Updated: 2019-06-16    RAS profile:    
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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 Francis A. Longstaff.

Is cited by:

Guidolin, Massimo (18)

Lo, Andrew (15)

Batten, Jonathan (15)

cotter, john (15)

Scheule, Harald (14)

Mayordomo, Sergio (14)

Monfort, Alain (14)

Augustin, Patrick (13)

Renne, Jean-Paul (13)

Rodríguez Caballero, Carlos (12)

Wu, Eliza (12)

Cites to:

Duffie, Darrell (26)

Vayanos, Dimitri (23)

Pedersen, Lasse (20)

Singleton, Kenneth (19)

Rogoff, Kenneth (16)

Reinhart, Carmen (16)

Campbell, John (13)

merton, robert (12)

Brunnermeier, Markus (10)

Amihud, Yakov (10)

Strebulaev, Ilya (9)

Main data


Where Francis A. Longstaff has published?


Journals with more than one article published# docs
Journal of Finance14
Journal of Financial Economics8
Review of Financial Studies4
The Journal of Business3
Journal of Banking & Finance2
Journal of Financial and Quantitative Analysis2
Real Estate Economics2

Recent works citing Francis A. Longstaff (2018 and 2017)


YearTitle of citing document
2017The Walking Debt Crisis. (2017). Wegener, Christoph ; Kruse, Robinson ; Basse, Tobias. In: CREATES Research Papers. RePEc:aah:create:2017-06.

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2018A multilevel factor approach for the analysis of CDS commonality and risk contribution. (2018). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Caporin, Massimiliano ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2018-33.

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2017The Costs of Sovereign Default: Evidence from Argentina. (2017). Schreger, Jesse ; Hebert, Benjamin. In: American Economic Review. RePEc:aea:aecrev:v:107:y:2017:i:10:p:3119-45.

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2017The Great Escape? A Quantitative Evaluation of the Feds Liquidity Facilities. (2017). Ferrero, Andrea ; Eggertsson, Gauti ; Del Negro, Marco ; Kiyotaki, Nobuhiro. In: American Economic Review. RePEc:aea:aecrev:v:107:y:2017:i:3:p:824-57.

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2019Vulnerable Growth. (2019). Giannone, Domenico ; Boyarchenko, Nina ; Adrian, Tobias. In: American Economic Review. RePEc:aea:aecrev:v:109:y:2019:i:4:p:1263-89.

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2017A hybrid approach for the implementation of the Heston model. (2017). Zanette, Antonino ; Briani, Maya ; Caramellino, Lucia . In: Papers. RePEc:arx:papers:1307.7178.

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2017A hybrid tree/finite-difference approach for Heston-Hull-White type models. (2017). Zanette, A. ; Briani, M. ; Caramellino, L.. In: Papers. RePEc:arx:papers:1503.03705.

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2017Valuation of capital protection options. (2017). Luo, Xiaolin ; Shevchenko, Pavel V. In: Papers. RePEc:arx:papers:1508.00668.

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2019Optimal measure transformation problems. (2015). Hyndman, Cody Blaine ; Wang, Renjie . In: Papers. RePEc:arx:papers:1511.06032.

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2017Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rate. (2017). Luo, Xiaolin ; Shevchenko, Pavel V. In: Papers. RePEc:arx:papers:1602.03238.

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2017On a hybrid method using trees and finite-differences for pricing options in complex models. (2017). Briani, Maya ; Zanette, Antonino ; Caramellino, Lucia . In: Papers. RePEc:arx:papers:1603.07225.

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2017Concurrent Credit Portfolio Losses. (2017). Sicking, Joachim ; Schafer, Rudi ; Guhr, Thomas. In: Papers. RePEc:arx:papers:1604.06917.

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2018The Jacobi Stochastic Volatility Model. (2018). Ackerer, Damien ; Pulido, Sergio ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1605.07099.

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2017On American VIX options under the generalized 3/2 and 1/2 models. (2017). De Temple, Jerome ; Kitapbayev, Yerkin ; Detemple, Jerome. In: Papers. RePEc:arx:papers:1606.00530.

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2018Deep Learning for Mortgage Risk. (2018). Sadhwani, Apaar ; Giesecke, Kay ; Sirignano, Justin. In: Papers. RePEc:arx:papers:1607.02470.

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2018Efficient exposure computation by risk factor decomposition. (2018). , Cornelis ; Reisinger, Christoph ; Kandhai, Drona. In: Papers. RePEc:arx:papers:1608.01197.

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2018Explicit Heston Solutions and Stochastic Approximation for Path-dependent Option Pricing. (2018). Kouritzin, Michael A. In: Papers. RePEc:arx:papers:1608.02028.

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2018Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274.

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2019Dynamic Portfolio Optimization with Liquidity Cost and Market Impact: A Simulation-and-Regression Approach. (2017). Zhang, Rongju ; Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas. In: Papers. RePEc:arx:papers:1610.07694.

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2018Multinomial method for option pricing under Variance Gamma. (2018). Guerra, Joao ; Cantarutti, Nicola . In: Papers. RePEc:arx:papers:1701.00112.

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2017Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives. (2017). Chen, Wenting ; Qiu, Xinzi ; Du, Kai . In: Papers. RePEc:arx:papers:1701.01515.

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2017A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities. (2017). Jackson, Kenneth R ; Hejazi, Seyed Amir ; Gan, Guojun. In: Papers. RePEc:arx:papers:1701.04134.

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2017Mini-symposium on automatic differentiation and its applications in the financial industry. (2017). LEHALLE, Charles-Albert ; Geeraert, S'Ebastien ; Reghai, Adil ; Pironneau, Olivier ; Pearlmutter, Barak . In: Papers. RePEc:arx:papers:1703.02311.

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2017Pricing VIX Derivatives With Free Stochastic Volatility Model. (2017). Chern, Shane ; Lin, Wei. In: Papers. RePEc:arx:papers:1703.06020.

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2019Skewed Target Range Strategy for Multi-Period Portfolio Optimization by a Two-Stage Least Squares Monte Carlo Method. (2018). Zhang, Rongju ; Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas. In: Papers. RePEc:arx:papers:1704.00416.

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2017Implied Stopping Rules for American Basket Options from Markovian Projection. (2017). Bayer, Christian ; Tempone, Ra'ul ; Happola, Juho . In: Papers. RePEc:arx:papers:1705.00558.

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2018Local risk-minimization with multiple assets under illiquidity with applications in energy markets. (2018). Christodoulou, Panagiotis ; Meyer-Brandis, Thilo ; Detering, Nils. In: Papers. RePEc:arx:papers:1705.06918.

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2017Dynamic Index Tracking and Risk Exposure Control Using Derivatives. (2017). Leung, Tim ; Ward, Brian. In: Papers. RePEc:arx:papers:1705.10454.

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2018Discrete-type approximations for non-Markovian optimal stopping problems: Part II. (2018). Bezerra, S'Ergio C ; Russo, Francesco ; Ohashi, Alberto . In: Papers. RePEc:arx:papers:1707.05250.

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2019Markov cubature rules for polynomial processes. (2019). Filipovi, Damir ; Pulido, Sergio ; Larsson, Martin. In: Papers. RePEc:arx:papers:1707.06849.

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2017Optimum thresholding using mean and conditional mean square error. (2017). , ; Mancini, Cecilia . In: Papers. RePEc:arx:papers:1708.04339.

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2017Pricing compound and extendible options under mixed fractional Brownian motion with jumps. (2017). Shokrollahi, Foad. In: Papers. RePEc:arx:papers:1708.04829.

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2018DGM: A deep learning algorithm for solving partial differential equations. (2018). Sirignano, Justin ; Spiliopoulos, Konstantinos. In: Papers. RePEc:arx:papers:1708.07469.

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2018Numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon. (2018). , Hyong-Chol ; Jon, Il-Gwang ; Kim, Jong-Chol . In: Papers. RePEc:arx:papers:1709.06517.

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2017Optimal Purchasing Policy For Mean-Reverting Items in a Finite Horizon. (2017). Dourban, Alon ; Yedidsion, Liron . In: Papers. RePEc:arx:papers:1711.03188.

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2018Variance swaps under L\{e}vy process with stochastic volatility and stochastic interest rate in incomplete markets. (2018). Yang, Ben-Zhang ; Huang, Nan-Jing ; Yue, Jia. In: Papers. RePEc:arx:papers:1712.10105.

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2018Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations. (2018). Muhlbacher, Andreas ; Guhr, Thomas. In: Papers. RePEc:arx:papers:1803.00261.

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2018Matching distributions: Recovery of implied physical densities from option prices. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1803.03996.

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2019Mixing LSMC and PDE Methods to Price Bermudan Options. (2018). Farahany, David ; Jaimungal, Sebastian ; Jackson, Kenneth . In: Papers. RePEc:arx:papers:1803.07216.

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2018Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization. (2018). White, Alan. In: Papers. RePEc:arx:papers:1803.07843.

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2018Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization. (2018). Zhang, Rongju ; Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas. In: Papers. RePEc:arx:papers:1803.11467.

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2018Pricing sovereign contingent convertible debt. (2018). Consiglio, Andrea ; Zenios, Stavros ; Tumminello, Michele. In: Papers. RePEc:arx:papers:1804.01475.

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2018Valuation of contingent convertible catastrophe bonds - the case for equity conversion. (2018). Burnecki, Krzysztof ; Palmowski, Zbigniew ; Nicol, Mario. In: Papers. RePEc:arx:papers:1804.07997.

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2018Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs. (2018). Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:1805.09996.

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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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2018A new approach for American option pricing: The Dynamic Chebyshev method. (2018). Glau, Kathrin ; Potz, Christian ; Mahlstedt, Mirco. In: Papers. RePEc:arx:papers:1806.05579.

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2018Deep Learning-Based BSDE Solver for Libor Market Model with Application to Bermudan Swaption Pricing and Hedging. (2018). Wang, Haojie ; Shen, QI ; Liu, Richard ; Sudjianto, Agus ; Chen, Han. In: Papers. RePEc:arx:papers:1807.06622.

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2018American Put Option pricing using Least squares Monte Carlo method under Bakshi, Cao and Chen Model Framework (1997) and comparison to alternative regression techniques in Monte Carlo. (2018). Sodhi, Anurag. In: Papers. RePEc:arx:papers:1808.02791.

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2019Dynamic programming for optimal stopping via pseudo-regression. (2018). Bayer, Christian ; Schoenmakers, John ; Redmann, Martin. In: Papers. RePEc:arx:papers:1808.04725.

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2018Pricing American Options by Exercise Rate Optimization. (2018). Bayer, Christian ; Wolfers, Soren ; Tempone, Ra'ul . In: Papers. RePEc:arx:papers:1809.07300.

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2018An extension of Hestons SV model to Stochastic Interest Rates. (2018). de Frutos, Javier ; Gaton, Victor. In: Papers. RePEc:arx:papers:1809.09069.

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2019Optimal electricity demand response contracting with responsiveness incentives. (2018). Ren'e A"id, ; Touzi, Nizar ; Possamai, Dylan. In: Papers. RePEc:arx:papers:1810.09063.

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2018Neural Network for CVA: Learning Future Values. (2018). She, Jian-Huang ; Grecu, Dan . In: Papers. RePEc:arx:papers:1811.08726.

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2019Deep Learning for Ranking Response Surfaces with Applications to Optimal Stopping Problems. (2019). Hu, Ruimeng. In: Papers. RePEc:arx:papers:1901.03478.

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2019Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach. (2019). Lelong, J'Erome . In: Papers. RePEc:arx:papers:1901.05672.

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2019A fast method for pricing American options under the variance gamma model. (2019). Hirsa, Ali ; Fu, Weilong. In: Papers. RePEc:arx:papers:1903.07519.

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2019Machine Learning for Pricing American Options in High Dimension. (2019). Zanette, Antonino ; Molent, Andrea ; Goudenege, Ludovic. In: Papers. RePEc:arx:papers:1903.11275.

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2019Statistical Learning for Probability-Constrained Stochastic Optimal Control. (2019). Palczewski, Jan ; Maheshwari, Aditya ; Ludkovski, Michael ; Balata, Alessandro. In: Papers. RePEc:arx:papers:1905.00107.

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2019Fast Calculation of Credit Exposures for Barrier and Bermudan options using Chebyshev interpolation. (2019). Potz, Christian ; Pachon, Ricardo ; Glau, Kathrin. In: Papers. RePEc:arx:papers:1905.00238.

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2019Efficient Computation of Various Valuation Adjustments Under Local L\evy Models. (2019). Oosterlee, Cornelis W ; Pascucci, Andrea ; Borovykh, Anastasia. In: Papers. RePEc:arx:papers:1905.01706.

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2017The MacroFinancial Risk Assessment Framework (MFRAF), Version 2.0. (2017). Fique, Jose. In: Technical Reports. RePEc:bca:bocatr:111.

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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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2018Multivariate Jump Diffusion Model with Markovian Contagion. (2018). de Carvalho, Pablo ; Gupta, Aparna ; Campos, Pablo Jose. In: Working Papers Series. RePEc:bcb:wpaper:482.

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2017Systemic Financial Sector and Sovereign Risks. (2017). Nadal De Simone, Francisco ; Jin, Xisong. In: BCL working papers. RePEc:bcl:bclwop:bclwp109.

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2018Missing Investors in the Italian Corporate Bond Market. (2018). Accornero, Matteo ; Nigro, Valentina ; Guazzarotti, Giovanni ; Russo, Paolo Finaldi. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_450_18.

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2017A quantitative analysis of risk premia in the corporate bond market. (2017). Cecchetti, Sara . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1141_17.

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2018Fiscal Policy and Inflation: Understanding the Role of Expectations in Mexico. (2018). Samano, Daniel ; Lopez-Martin, Bernabe ; Daniel, Samano ; de Aguilar, Ramirez ; Bernabe, Lopez-Martin . In: Working Papers. RePEc:bdm:wpaper:2018-18.

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2017Sovereign default risk in OECD countries: do global factors matter?. (2017). Ordoñez-Callamand, Daniel ; Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Ordoez-Callamand, Daniel. In: Borradores de Economia. RePEc:bdr:borrec:996.

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2017DO DIVIDEND SHOCKS AFFECT EXCESS RETURNS: AN EXPERIMENTAL STUDY. (2017). Draganac, Dragana. In: Economic Annals. RePEc:beo:journl:v:62:y:2017:i:214:p:45-86.

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2019Price effect of mutual fund flows on the corporate bond market. The French case. (2019). Coudert, Virginie ; Salakhova, Dilyara. In: Working papers. RePEc:bfr:banfra:706.

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2017Safety, Liquidity, and the Natural Rate of Interest. (2017). Tambalotti, Andrea ; Giannone, Domenico ; Del Negro, Marco ; Giannoni, Marc P. In: Brookings Papers on Economic Activity. RePEc:bin:bpeajo:v:48:y:2017:i:2017-01:p:235-316.

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2019Determinants of Asia-Pacific government bond yields. (2019). Hordahl, Peter ; Creal, Drew ; Chernov, Mikhail. In: BIS Papers chapters. RePEc:bis:bisbpc:102-05.

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2018Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M. In: BIS Papers. RePEc:bis:bisbps:95.

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2017Green bond finance and certification. (2017). Packer, Frank ; Ehlers, Torsten. In: BIS Quarterly Review. RePEc:bis:bisqtr:1709h.

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2017Arbitrage costs and the persistent non-zero CDS-bond basis: Evidence from intraday euro area sovereign debt markets. (2017). Hördahl, Peter ; Gyntelberg, Jacob ; Urban, Jorg ; Ters, Kristyna ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:631.

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2017Asset prices and macroeconomic outcomes: a survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: BIS Working Papers. RePEc:bis:biswps:676.

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2017Syndicated loans and CDS positioning. (2017). Barth, Andreas ; Aldasoro, Iñaki. In: BIS Working Papers. RePEc:bis:biswps:679.

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2018Are credit rating agencies discredited? Measuring market price effects from agency sovereign debt announcements. (2018). Miao, Evan Weicheng ; Binici, Mahir ; Hutchison, Michael M. In: BIS Working Papers. RePEc:bis:biswps:704.

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

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2019Risk endogeneity at the lender/investor-of-last-resort. (2019). Lucas, Andre ; Zhang, Xin ; Schwaab, Bernd ; Caballero, Diego. In: BIS Working Papers. RePEc:bis:biswps:766.

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2017Risk factors in Australian bond returns. (2017). Roca, Eduardo ; Drew, Michael ; Whittaker, Timothy ; Bianchi, Robert J. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:2:p:373-400.

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2017Financial constraints and investment thirst in Chinese reverse merger companies. (2017). Cheng, Zijian ; Liu, Zhangxin ; Fleming, Grant. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:5:p:1315-1347.

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2017The role of managerial risk-taking in the ‘rise and fall’ of the CDS market. (2017). Dias, Roshanthi . In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i::p:117-145.

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2018The sensitivity of the credit default swap market to financial analysts’ forecast revisions. (2018). Alam, Pervaiz ; Hettler, Barry ; Pu, Xiaoling . In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:3:p:697-725.

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2017The Market Liquidity Timing Skills of Debt†oriented Hedge Funds. (2017). Li, Baibing ; Tee, Kaia Hong ; Luo, JI. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:1:p:32-54.

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2017Endogenous Credit Spreads and Optimal Debt Financing Structure in the Presence of Liquidity Risk. (2017). Ltkebohmert, Eva ; Xiao, Yajun ; Oeltz, Daniel. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:1:p:55-86.

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2017Cold Case File? Inventory Risk and Information Sharing during the pre†1997 NASDAQ. (2017). Lescourret, Laurence . In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:4:p:761-806.

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2017Liquidity Risk and Volatility Risk in Credit Spread Models: A Unified Approach. (2017). Perrakis, Stylianos ; Zhong, Rui. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:5:p:873-901.

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2018Market†based estimates of implicit government guarantees in European financial institutions. (2018). Zhao, Lei. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:1:p:79-112.

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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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2018Income uncertainty and the decision to invest in bulk shipping. (2018). Kyriakou, Ioannis ; Nomikos, Nikos K ; Papapostolou, Nikos C ; Pouliasis, Panos K. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:3:p:387-417.

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2018Are Low Equity R2 Firms More or Less Transparent? Evidence from the Corporate Bond Market. (2018). Hao, Wei ; Wongchoti, Udomsak ; Prevost, Andrew. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:4:p:865-909.

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2018Credit Insurance, Distress Resolution Costs, and Bond Spreads. (2018). Narayanan, Rajesh ; Uzmanoglu, Cihan. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:4:p:931-951.

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2019Measuring Sovereign Risk: Are CDS Spreads Better than Sovereign Credit Ratings?. (2019). Lawrence, Edward R ; Dandapani, Krishnan ; Rodriguez, Ivan M. In: Financial Management. RePEc:bla:finmgt:v:48:y:2019:i:1:p:229-256.

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2018Sovereign Reputation and Yield Spreads: A Case Study on Retroactive Legislation. (2018). Zechner, Josef ; Randl, Otto . In: German Economic Review. RePEc:bla:germec:v:19:y:2018:i:3:p:260-279.

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2017Time-Varying Linkage of Possible Safe Haven Assets: A Cross-Market and Cross-asset Analysis. (2017). Nguyen, Phong ; Liu, Wei-Han. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:1:p:43-76.

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2017MANAGING FINANCIALLY DISTRESSED PENSION PLANS IN THE INTEREST OF BENEFICIARIES. (2017). Blake, David ; Shi, Zhen ; Inkmann, Joachim . In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:2:p:539-565.

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2017Optimal Enterprise Risk Management and Decision Making With Shared and Dependent Risks. (2017). Ai, Jing ; Wang, Tianyang ; Brockett, Patrick L. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:4:p:1127-1169.

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2017How Has the Behavior of Cross-Market Correlations Altered During Financial and Debt Crises?. (2017). demiralay, sercan ; Ulusoy, Veysel. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:6:p:765-794.

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

Works by Francis A. Longstaff:


YearTitleTypeCited
2009Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets In: American Economic Review.
[Full Text][Citation analysis]
article17
2011How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]
article356
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 356
paper
1990 Pricing Options with Extendible Maturities: Analysis and Applications. In: Journal of Finance.
[Full Text][Citation analysis]
article19
1990 Time Varying Term Premia and Traditional Hypotheses about the Term Structure. In: Journal of Finance.
[Full Text][Citation analysis]
article8
1992 Dual Trading in Futures Markets. In: Journal of Finance.
[Full Text][Citation analysis]
article49
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