Francis A. Longstaff : Citation Profile


Are you Francis A. Longstaff?

University of California-Los Angeles (UCLA)

25

H index

38

i10 index

4323

Citations

RESEARCH PRODUCTION:

37

Articles

31

Papers

RESEARCH ACTIVITY:

   31 years (1989 - 2020). See details.
   Cites by year: 139
   Journals where Francis A. Longstaff has often published
   Relations with other researchers
   Recent citing documents: 275.    Total self citations: 28 (0.64 %)

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   Permalink: http://citec.repec.org/plo283
   Updated: 2021-03-01    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:

Xiao, Tim (29)

Chernov, Mikhail (25)

Guidolin, Massimo (22)

Augustin, Patrick (19)

Pelizzon, Loriana (17)

Lafuente, Juan Angel (16)

Lo, Andrew (15)

Batten, Jonathan (15)

Shahzad, Syed Jawad Hussain (15)

cotter, john (15)

Mayordomo, Sergio (14)

Cites to:

Vayanos, Dimitri (27)

Duffie, Darrell (26)

Pedersen, Lasse (23)

Singleton, Kenneth (19)

Reinhart, Carmen (16)

Rogoff, Kenneth (16)

Campbell, John (13)

merton, robert (12)

Brunnermeier, Markus (11)

Amihud, Yakov (11)

Strebulaev, Ilya (9)

Main data


Where Francis A. Longstaff has published?


Journals with more than one article published# docs
Journal of Finance13
Journal of Financial Economics8
Review of Financial Studies4
The Journal of Business3
Journal of Financial and Quantitative Analysis2
Journal of Banking & Finance2

Recent works citing Francis A. Longstaff (2021 and 2020)


YearTitle of citing document
2020Polynomial term structure models. (2016). Tehranchi, Michael R. ; Cheng, SI. In: Papers. RePEc:arx:papers:1504.03238.

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2020Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure. (2016). Cao, Jiling ; Nazirah, Teh Raihana ; Zhang, Wenjun. In: Papers. RePEc:arx:papers:1610.09714.

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2020Mixing LSMC and PDE Methods to Price Bermudan Options. (2019). Jaimungal, Sebastian ; Jackson, Kenneth ; Farahany, David. In: Papers. RePEc:arx:papers:1803.07216.

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2020Deep 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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2020Pricing 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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2020A 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.

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2020Statistical 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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2020Neural network regression for Bermudan option pricing. (2019). Lelong, J'Erome ; Lapeyre, Bernard. In: Papers. RePEc:arx:papers:1907.06474.

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2020Fast Pricing of Energy Derivatives with Mean-reverting Jump Processes. (2019). Sabino, Piergiacomo ; Petroni, Nicola Cufaro . In: Papers. RePEc:arx:papers:1908.03137.

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2020`Regression Anytime with Brute-Force SVD Truncation. (2019). Schweizer, Nikolaus ; Bender, Christian. In: Papers. RePEc:arx:papers:1908.08264.

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2020Valuing Tradeability in Exponential L\evy Models. (2019). Mathys, Ludovic. In: Papers. RePEc:arx:papers:1912.00469.

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2020Rational Kernel on Pricing Models of Inflation Derivatives. (2020). Zhou, Yue. In: Papers. RePEc:arx:papers:2001.05124.

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2020How Safe are European Safe Bonds? An Analysis from the Perspective of Modern Portfolio Credit Risk Models. (2020). Damian, Camilla ; Kurt, Kevin ; Frey, Rudiger. In: Papers. RePEc:arx:papers:2001.11249.

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2020Randomized optimal stopping algorithms and their convergence analysis. (2020). Schoenmakers, John ; Pigato, Paolo ; Hager, Paul ; Belomestny, Denis ; Bayer, Christian. In: Papers. RePEc:arx:papers:2002.00816.

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2020The Fair Basis: Funding and capital in the reduced form framework. (2020). Lou, Wujiang . In: Papers. RePEc:arx:papers:2002.08531.

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2020Fast Lower and Upper Estimates for the Price of Constrained Multiple Exercise American Options by Single Pass Lookahead Search and Nearest-Neighbor Martingale. (2020). Gaillardetz, Patrice ; Essis-Breton, Nicolas. In: Papers. RePEc:arx:papers:2002.11258.

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2020A weighted finite difference method for American and Barrier options in subdiffusive Black-Scholes Model. (2020). Magdziarz, Marcin ; Zanowski, Grzegorz Krzy. In: Papers. RePEc:arx:papers:2003.05358.

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2020A wavelet analysis of inter-dependence, contagion and long memory among global equity markets. (2020). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2003.14110.

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2020Exact Simulation of Variance Gamma related OU processes: Application to the Pricing of Energy Derivatives. (2020). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2004.06786.

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2020Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets. (2020). Scaillet, Olivier ; Shen, Yiwen. In: Papers. RePEc:arx:papers:2004.10096.

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2020A machine learning approach to portfolio pricing and risk management for high-dimensional problems. (2020). Filipovi, Damir ; Fernandez-Arjona, Lucio. In: Papers. RePEc:arx:papers:2004.14149.

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2020Differential Machine Learning. (2020). Savine, Antoine ; Huge, Brian . In: Papers. RePEc:arx:papers:2005.02347.

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2020Deep xVA solver -- A neural network based counterparty credit risk management framework. (2020). Gnoatto, Alessandro ; Reisinger, Christoph ; Picarelli, Athena. In: Papers. RePEc:arx:papers:2005.02633.

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2020Robust Multiple Stopping -- A Pathwise Duality Approach. (2020). Laeven, Roger ; Stadje, Mitja ; John , . In: Papers. RePEc:arx:papers:2006.01802.

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2020Deep learning Profit & Loss. (2020). Bormetti, Giacomo ; Cocco, Flavio ; Rossi, Pietro. In: Papers. RePEc:arx:papers:2006.09955.

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2020Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model. (2020). Li, Bingqing ; Fu, Michael C ; Zhang, Tianqi ; Wu, Rongwen . In: Papers. RePEc:arx:papers:2006.15054.

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2020Analysis on the Pricing model for a Discrete Coupon Bond with Early redemption provision by the Structural Approach. (2020). Kim, Tae Song ; Chol, Hyong. In: Papers. RePEc:arx:papers:2007.01511.

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2020Optimal Nested Simulation Experiment Design via Likelihood Ratio Method. (2020). Song, Eunhye ; ben Feng, Mingbin. In: Papers. RePEc:arx:papers:2008.13087.

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2020XVA Analysis From the Balance Sheet. (2020). Saadeddine, Bouazza ; Hoskinson, Rodney ; Crepey, Stephane ; Albanese, Claudio. In: Papers. RePEc:arx:papers:2009.00368.

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2020Deep Replication of a Runoff Portfolio. (2020). Teichmann, Josef ; Krabichler, Thomas. In: Papers. RePEc:arx:papers:2009.05034.

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2020Deep learning for CVA computations of large portfolios of financial derivatives. (2020). Oosterlee, Cornelis ; Andersson, Kristoffer. In: Papers. RePEc:arx:papers:2010.13843.

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2021Sentiment Diffusion in Financial News Networks and Associated Market Movements. (2020). Yang, Jie ; Wan, Xingchen ; Dong, Xiaowen ; Zohren, Stefan ; Calliess, Jan-Peter ; Marinov, Slavi. In: Papers. RePEc:arx:papers:2011.06430.

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2020mlOSP: Towards a Unified Implementation of Regression Monte Carlo Algorithms. (2020). Ludkovski, Mike. In: Papers. RePEc:arx:papers:2012.00729.

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2021Solving optimal stopping problems with Deep Q-Learning. (2021). Ery, John ; Michel, Loris. In: Papers. RePEc:arx:papers:2101.09682.

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2021Least Squares Monte Carlo applied to Dynamic Monetary Utility Functions. (2021). Engsner, Hampus. In: Papers. RePEc:arx:papers:2101.10947.

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2021Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing. (2021). Kim, Young Shin. In: Papers. RePEc:arx:papers:2101.11001.

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2021From optimal martingales to randomized dual optimal stopping. (2021). Schoenmakers, John ; Belomestny, Denis. In: Papers. RePEc:arx:papers:2102.01533.

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2021Black-box model risk in finance. (2021). Snow, Derek ; Szpruch, Lukasz ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2102.04757.

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2020An analysis of sovereign credit risk premia in the euro area: are they explained by local or global factors?. (2020). Cecchetti, Sara. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1271_20.

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2020Treasury Inconvenience Yields during the COVID-19 Crisis. (2020). He, Zhiguo ; Nagel, Stefan ; Song, Zhaogang. In: Working Papers. RePEc:bfi:wpaper:2020-79.

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2021Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission. (2021). Arthur, Stalla-Bourdillon ; Lukas, Boeckelmann. In: Working papers. RePEc:bfr:banfra:798.

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2021Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds. (2021). Creal, Drew ; Chernov, Mikhail ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:918.

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2020The 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.

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2020Moving markets? Government bond investors and microeconomic policy changes. (2020). Wibbels, Erik ; Paniagua, Victoria ; Mosley, Layna. In: Economics and Politics. RePEc:bla:ecopol:v:32:y:2020:i:2:p:197-249.

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2020Modelling Financial Contagion Using High Frequency Data. (2020). Yao, Wenying ; Alexeev, Vitali ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:314-330.

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2020Investment and asset securitization with an option‐for‐guarantee swap. (2020). Yang, Zhaojun. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:4:p:1006-1030.

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2020Local religious beliefs and municipal bond market outcomes. (2020). Abakah, Alex Annan. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:2:p:447-471.

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2020Commonality in liquidity and multilateral trading facilities. (2020). Mekhaimer, Mohamed ; Jain, Pankaj K ; Mortal, Sandra. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:481-502.

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2020Decomposing the VIX: Implications for the predictability of stock returns. (2020). Chow, Victor K ; Li, Jingrui ; Jiang, Wanjun. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:4:p:645-668.

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2020Are Gold and Government Bond Safe‐Haven Assets? An Extremal Quantile Regression Analysis. (2020). Liu, WeiHan . In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:2:p:451-483.

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2020Reforming the European Stability Mechanism. (2020). Herz, Bernhard ; Bauer, Christian. In: Journal of Common Market Studies. RePEc:bla:jcmkts:v:58:y:2020:i:3:p:636-653.

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2020High‐Frequency Trading and Market Performance. (2020). Mollner, Joshua ; Baldauf, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1495-1526.

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2020A Macrofinance View of U.S. Sovereign CDS Premiums. (2020). Chernov, Mikhail ; Schneider, Andres ; Schmid, Lukas. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2809-2844.

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2020CORPORATE BONDS AND PRODUCT MARKET COMPETITION. (2020). Platt, Katarzyna. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:3:p:615-647.

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2020The Effect of Risk Aversion and Loss Aversion on Equity‐Linked Life Insurance With Surrender Guarantees. (2020). Hilpert, Christian. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:3:p:665-687.

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2020A martingale representation theorem and valuation of defaultable securities. (2020). Vanmaele, Michele ; Daveloose, Catherine ; Choulli, Tahir. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1527-1564.

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2020Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm. (2020). Schoenmakers, John ; Kaledin, Maxim ; Belomestny, Denis. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1591-1616.

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2020Interest rate volatility and macroeconomic dynamics: Heterogeneity matters. (2020). Velic, Adnan ; Curran, Michael. In: Review of International Economics. RePEc:bla:reviec:v:28:y:2020:i:4:p:957-975.

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2020Dissecting interbank risk using basis swap spreads. (2020). Serrano, Pedro ; Ruiz, Jesus ; Petit, Nuria ; Lafuente, Juan Angel. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:3:p:729-757.

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2020A DEEP MARKET IN ISRAELI CORPORATE BONDS: MACRO AND MICROECONOMIC ANALYSIS IN LIGHT OF THE ACCOUNTING STANDARDS. (2020). Hadad, Elroi ; Gershgoren, Gitit Gur ; Kedar-Levy, Haim. In: Israel Economic Review. RePEc:boi:isrerv:v:18:y:2020:i:1:p:139-176.

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2020Weak Diffusion Limit of Real-Time GARCH Models: The Role of Current Return Information. (2020). Ding, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20112.

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2020A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model. (2020). Ge, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20114.

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2020The Pricing of Bank Bonds, Sovereign Credit Risk and ECBs Asset Purchase Programmes. (2020). Ribeiro, Ricardo ; Pinto, João ; Branco, Ricardo. In: Working Papers de Economia (Economics Working Papers). RePEc:cap:wpaper:012020.

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2020LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC. (2020). Fergusson, Kevin. In: ASTIN Bulletin. RePEc:cup:astinb:v:50:y:2020:i:2:p:381-417_3.

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2020Dependence structure between oil price volatility and sovereign credit risk of oil exporters: Evidence using a Copula Approach. (2020). Ehouman, Yao Axel. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-31.

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2020The effect of possible EU diversification requirements on the risk of banks’ sovereign bond portfolios. (2020). Craig, Ben ; Paterlini, Sandra ; Giuzio, Margherita. In: Working Paper Series. RePEc:ecb:ecbwps:20202384.

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2020Illiquidity Premium and Monetary Conditions in Emerging Markets: An Empirical Examination of Taiwan Stock Markets. (2020). Liu, Yi-Sheng ; Tai, Chia-Li ; Chen, Chia-Cheng. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-01-14.

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2020Exact pathwise simulation of multi-dimensional Ornstein–Uhlenbeck processes. (2020). Jimenez, J C ; de la Cruz, H. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:366:y:2020:i:c:s009630031930726x.

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2020Dependence structures and risk spillover in China’s credit bond market: A copula and CoVaR approach. (2020). Yang, Lu ; Hamori, Shigeyuki ; Ho, Kung-Cheng. In: Journal of Asian Economics. RePEc:eee:asieco:v:68:y:2020:i:c:s1049007820300440.

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2020A simple numerical method for pricing American power put options. (2020). Lee, Jung-Kyung. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:139:y:2020:i:c:s0960077920306500.

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2020Love or money: The effect of CEO divorce on firm risk and compensation. (2020). Neyland, Jordan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:60:y:2020:i:c:s0929119918304097.

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2020Hard markets, hard times: On the inefficiency of the CAT bond market. (2020). Gurtler, Marc ; Gotze, Tobias. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s092911991930937x.

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2020A comparative analysis of ex ante credit spreads: Structured finance versus straight debt finance. (2020). Pinto, João ; Marques, Manuel O. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300249.

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2020Asset mispricing in peer-to-peer loan secondary markets. (2020). Talavera, Oleksandr ; Pham, Tho ; Caglayan, Mustafa ; Xiong, Xiong. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920302133.

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2020Asset markets with insider trading disclosure rule and reselling constraint: An experimental analysis,. (2020). Halim, Edward ; Riyanto, Yohanes E. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:110:y:2020:i:c:s0165188919301447.

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2020Benchmarking machine-learning software and hardware for quantitative economics. (2020). Duarte, Victor ; Montecinos, Alexis ; Fonseca, Julia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919301939.

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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.

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2020How has empirical monetary policy analysis in the U.S. changed after the financial crisis?. (2020). Jackson Young, Laura ; Owyang, Michael T ; Francis, Neville R. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:309-321.

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2020Do mutual fund flows affect the French corporate bond market?. (2020). Salakhova, Dilyara ; Coudert, Virginie. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:496-510.

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2020Evaluating sovereign risk spillovers on domestic banks during the European debt crisis. (2020). Keddad, Benjamin ; Schalck, Christophe. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:356-375.

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2020Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries. (2020). Broto, Carmen ; Lamas, Matias. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:217-229.

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2021Quantifying sovereign risk in the euro area. (2021). Sosvilla-Rivero, Simon ; Singh, Manish K ; Gomez-Puig, Marta. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:76-96.

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2020Sovereign default risk, debt uncertainty and fiscal credibility: The case of Brazil. (2020). Souza, Ivan ; Montes, Gabriel Caldas. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302316.

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2020Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads. (2020). Tsuruta, Masaru. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818306818.

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2020Asymmetric 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.

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2020News 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.

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2020Modeling non-normal corporate bond yield spreads by copula. (2020). Jung, Hojin ; Kim, Dong H. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301078.

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2020Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness. (2020). Jang, Hyun Jin ; Choi, So Eun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818302973.

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2020Hedging and pricing early-exercise options with complex fourier series expansion. (2020). Chan, Tat Lung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818304194.

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2020An excellent approximation for the m out of n day provision. (2020). Guo, Shuxin ; Liu, Qiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301194.

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2020The effect of market sentiment and information asymmetry on option pricing. (2020). Nobanee, Haitham ; Eleuch, Hichem ; ben Hamad, Salah ; Zghal, Imen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301327.

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2020Crude oil price dynamics with crash risk under fundamental shocks. (2020). Wong, Andrew ; Cheung, Chi-Hin ; Lo, Chi-Fai ; Hui, Cho-Hoi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301352.

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2020Spillover effects in oil-related CDS markets during and after the sub-prime crisis. (2020). Ozdemir, Zeynel ; Balcilar, Mehmet ; Wohar, Mark E. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301467.

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2020Expected utility and catastrophic risk in a stochastic economy–climate model. (2020). Laeven, Roger ; Muris, Chris ; Magnus, Jan R ; Ikefuji, Masako. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:110-129.

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2020Hypothesis testing based on a vector of statistics. (2020). Akram, Muhammad ; Zhang, Xibin ; King, Maxwell L. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:425-455.

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2021Monetary policy at the zero lower bound: Information in the Federal Reserve’s balance sheet. (2021). Golinski, Adam ; Goliski, Adam. In: European Economic Review. RePEc:eee:eecrev:v:131:y:2021:i:c:s0014292120302439.

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2020VIX derivatives, hedging and vol-of-vol risk. (2020). Kaeck, Andreas ; Seeger, Norman J. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:2:p:767-782.

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2020Structural 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.

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2020Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties. (2020). Pflug, Georg C ; Maier, Sebastian ; Polak, John W. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:133-147.

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2020Probabilistic bisection with spatial metamodels. (2020). Ludkovski, Michael ; Rodriguez, Sergio. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:2:p:588-603.

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2020Mildly explosive dynamics in U.S. fixed income markets. (2020). Guidolin, Massimo ; De Pace, Pierangelo ; DePace, Pierangelo ; Contessi, Silvio. In: European Journal of Operational Research. RePEc:eee:ejores:v:287:y:2020:i:2:p:712-724.

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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.
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article26
2011How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics.
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article436
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
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This paper has another version. Agregated cites: 436
paper
1990 Pricing Options with Extendible Maturities: Analysis and Applications. In: Journal of Finance.
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article21
1990 Time Varying Term Premia and Traditional Hypotheses about the Term Structure. In: Journal of Finance.
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article9
1992 Dual Trading in Futures Markets. In: Journal of Finance.
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article52
1992 Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model. In: Journal of Finance.
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article179
1995 A Simple Approach to Valuing Risky Fixed and Floating Rate Debt. In: Journal of Finance.
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article620
1995 How Much Can Marketability Affect Security Values? In: Journal of Finance.
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article57
2000Arbitrage and the Expectations Hypothesis In: Journal of Finance.
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article19
2000Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program In: Journal of Finance.
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article26
2001The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence In: Journal of Finance.
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article32
2003Dynamic Asset Allocation with Event Risk In: Journal of Finance.
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article148
2002Dynamic Asset Allocation With Event Risk.(2002) In: NBER Working Papers.
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This paper has another version. Agregated cites: 148
paper
2005Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market In: Journal of Finance.
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article582
2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market.(2004) In: NBER Working Papers.
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This paper has another version. Agregated cites: 582
paper
2007The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds In: Journal of Finance.
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article7
2008An Empirical Analysis of the Pricing of Collateralized Debt Obligations In: Journal of Finance.
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article101
2006An Empirical Analysis of the Pricing of Collateralized Debt Obligations.(2006) In: NBER Working Papers.
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This paper has another version. Agregated cites: 101
paper
1996Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate In: Real Estate Economics.
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article3
1991General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence In: Journal of Financial and Quantitative Analysis.
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article23
1993Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market In: Journal of Financial and Quantitative Analysis.
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article25
2005The Cherry-Picking Option in the U.S. Treasury Buyback Auctions In: Working Paper Series.
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paper0
1993The valuation of options on coupon bonds In: Journal of Banking & Finance.
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article13
1996Valuing futures and options on volatility In: Journal of Banking & Finance.
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article72
1989A nonlinear general equilibrium model of the term structure of interest rates In: Journal of Financial Economics.
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article51
1990The valuation of options on yields In: Journal of Financial Economics.
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article16
1992Multiple equilibria and term structure models In: Journal of Financial Economics.
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article11
2000The term structure of very short-term rates: New evidence for the expectations hypothesis In: Journal of Financial Economics.
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article57
2001Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market In: Journal of Financial Economics.
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article16
2003Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? In: Journal of Financial Economics.
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article71
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: 71
paper
2004Corporate earnings and the equity premium In: Journal of Financial Economics.
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article64
2003Corporate Earnings and the Equity Premium.(2003) In: NBER Working Papers.
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This paper has another version. Agregated cites: 64
paper
2010The subprime credit crisis and contagion in financial markets In: Journal of Financial Economics.
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article206
1994Electronic Screen Trading and the Transmission of Information: An Empirical Examination In: Journal of Financial Intermediation.
[Full Text][Citation analysis]
article45
1994Calling Nonconvertible Debt and the Problem of Related Wealth Transfer Effect In: Financial Management.
[Citation analysis]
article9
2003Two Trees: Asset Price Dynamics Induced by Market Clearing In: NBER Working Papers.
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paper2
2004Two Trees: Asset Price Dynamics Induced by Market Clearing.(2004) In: 2004 Meeting Papers.
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This paper has another version. Agregated cites: 2
paper
2004Financial Claustrophobia: Asset Pricing in Illiquid Markets In: NBER Working Papers.
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paper5
2004Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities In: NBER Working Papers.
[Full Text][Citation analysis]
paper7
2009Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices? In: NBER Working Papers.
[Full Text][Citation analysis]
paper1
2009Valuing Toxic Assets: An Analysis of CDO Equity In: NBER Working Papers.
[Full Text][Citation analysis]
paper7
2010Corporate Bond Default Risk: A 150-Year Perspective In: NBER Working Papers.
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paper11
2010Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle In: NBER Working Papers.
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paper22
2011Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe In: NBER Working Papers.
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paper188
2012Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective In: NBER Working Papers.
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paper3
2012Inflation Tracking Portfolios In: NBER Working Papers.
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paper1
2012Disagreement and Asset Prices In: NBER Working Papers.
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paper1
2013Deflation Risk In: NBER Working Papers.
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paper6
2014Corporate Taxes and Capital Structure: A Long-Term Historical Perspective In: NBER Working Papers.
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paper4
2014Valuing Thinly-Traded Assets In: NBER Working Papers.
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paper2
2015The U.S. Debt Restructuring of 1933: Consequences and Lessons In: NBER Working Papers.
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paper0
2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities In: NBER Working Papers.
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paper6
2017Asset Mispricing In: NBER Working Papers.
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paper21
2018Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints In: NBER Working Papers.
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paper4
2018Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes In: NBER Working Papers.
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paper2
2020The Market Risk Premium for Unsecured Consumer Credit Risk In: NBER Working Papers.
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paper0
2020Private Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market In: NBER Working Papers.
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paper0
2002The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads In: NBER Working Papers.
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paper28
2002The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices In: NBER Working Papers.
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paper172
2004The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices.(2004) In: The Journal of Business.
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This paper has another version. Agregated cites: 172
article
2001Valuing American Options by Simulation: A Simple Least-Squares Approach. In: Review of Financial Studies.
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article567
2001Optimal Portfolio Choice and the Valuation of Illiquid Securities. In: Review of Financial Studies.
[Citation analysis]
article72
2008Two Trees In: Review of Financial Studies.
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article19
1995Option Pricing and the Martingale Restriction. In: Review of Financial Studies.
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article80
1992Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle. In: The Journal of Business.
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article15
2006The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks In: The Journal of Business.
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article80

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2 2021. Contact: CitEc Team