jun pan : Citation Profile


Are you jun pan?

Shanghai Jiao Tong University

13

H index

14

i10 index

3962

Citations

RESEARCH PRODUCTION:

17

Articles

16

Papers

RESEARCH ACTIVITY:

   26 years (1996 - 2022). See details.
   Cites by year: 152
   Journals where jun pan has often published
   Relations with other researchers
   Recent citing documents: 163.    Total self citations: 10 (0.25 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppa1004
   Updated: 2024-01-16    RAS profile: 2024-01-04    
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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 pan.

Is cited by:

Andersen, Torben (39)

Bollerslev, Tim (37)

Chernov, Mikhail (26)

Pelizzon, Loriana (25)

Lafuente, Juan Angel (23)

Wu, Liuren (22)

Monfort, Alain (21)

Forbes, Catherine (21)

Caporin, Massimiliano (20)

Ait-Sahalia, Yacine (18)

Diebold, Francis (15)

Cites to:

Cao, Charles (13)

Chen, Zhiwu (13)

Campbell, John (10)

Calvet, Laurent (10)

merton, robert (7)

Singleton, Kenneth (7)

Bollerslev, Tim (7)

Sodini, Paolo (6)

Duffie, Darrell (5)

Lo, Andrew (5)

Scholes, Myron (5)

Main data


Where jun pan has published?


Journals with more than one article published# docs
Journal of Finance5
Journal of Financial Economics4
Review of Financial Studies2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc11

Recent works citing jun pan (2024 and 2023)


YearTitle of citing document
2023Exchange rate risk and sovereign debt risk in South Africa: A Regime Dependent Approach. (2023). Biyase, Mduduzi ; Manguzvane, Mathias. In: Economics Working Papers. RePEc:ady:wpaper:edwrg-04-2023.

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2023Analysis of Dynamic Connectedness among Sovereign CDS Premia. (2023). Ceylan, Ozcan. In: World Journal of Applied Economics. RePEc:ana:journl:v:9:y:2023:i:1:p:33-47.

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2023Epstein-Zin Utility Maximization on Random Horizons. (2019). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:1903.08782.

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2023Correlation Estimation in Hybrid Systems. (2021). Law, Baron . In: Papers. RePEc:arx:papers:2111.06042.

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2023Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\evy Models. (2022). Bayer, Christian ; Tempone, Ra'Ul ; Samet, Michael ; Papapantoleon, Antonis ; ben Hammouda, Chiheb. In: Papers. RePEc:arx:papers:2203.08196.

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2023A new self-exciting jump-diffusion process for option pricing. (2022). Oosterlee, Cornelis ; Cirillo, Pasquale ; Souto, Luis A. In: Papers. RePEc:arx:papers:2205.13321.

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2023Chaotic Hedging with Iterated Integrals and Neural Networks. (2022). Schmocker, Philipp ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2209.10166.

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2023Credit Information in Earnings Calls. (2022). Wu, Hongyu ; Shen, Yiwen ; Mamaysky, Harry. In: Papers. RePEc:arx:papers:2209.11914.

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2023A pure jump model for the valuation of options on a credit index. (2023). Shirai, Yoshihiro. In: Papers. RePEc:arx:papers:2301.05332.

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2023Price Discovery for Derivatives. (2023). Tseng, Michael ; Keller, Christian. In: Papers. RePEc:arx:papers:2302.13426.

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2023Fast Option Pricing using Nonlinear Stencils. (2023). Zhu, Yimin ; Huang, Yushen ; Das, Rathish ; Chowdhury, Rezaul ; Ahmad, Zafar. In: Papers. RePEc:arx:papers:2303.02317.

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2023Option pricing using a skew random walk pricing tree. (2023). Fabozzi, Frank J ; Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan. In: Papers. RePEc:arx:papers:2303.17014.

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2023Mind the Cap! -- Constrained Portfolio Optimisation in Hestons Stochastic Volatility Model. (2023). Escobar Anel, Marcos ; Zagst, Rudi ; Kschonnek, Michel ; Escobar-Anel, Marcos. In: Papers. RePEc:arx:papers:2306.11158.

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2023iCOS: Option-Implied COS Method. (2023). Vladimirov, Evgenii. In: Papers. RePEc:arx:papers:2309.00943.

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2023From constant to rough: A survey of continuous volatility modeling. (2023). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2309.01033.

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2023Kelvin Waves, Klein-Kramers and Kolmogorov Equations, Path-Dependent Financial Instruments: Survey and New Results. (2023). Lipton, Alexander. In: Papers. RePEc:arx:papers:2309.04547.

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2023How Does Chinas Household Portfolio Selection Vary with Financial Inclusion?. (2023). Wang, Xiqian ; Bian, Yong ; Zhang, Qin. In: Papers. RePEc:arx:papers:2311.01206.

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2023Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility. (2023). Xu, Wei ; Horst, Ulrich ; Zhang, Rouyi. In: Papers. RePEc:arx:papers:2312.08784.

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2023Volume dynamics around FOMC announcements. (2023). Zhu, Sonya. In: BIS Working Papers. RePEc:bis:biswps:1079.

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2023The cumulant risk premium. (2023). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:1128.

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2023Dealer capacity and US Treasury market functionality. (2023). Van Tassel, Peter ; Fleming, Michael ; Shachar, OR ; Nelson, Claire ; Keane, Frank ; Duffie, Darrell. In: BIS Working Papers. RePEc:bis:biswps:1138.

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2023The maturity?lengthening role of national development banks. (2023). Schclarek, Alfredo ; Yan, Jianye ; Xu, Jiajun. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:1:p:130-157.

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2023The effect of option listing on financing decisions. (2023). King, Taohsien Dolly ; Park, Min C ; Hong, Eunpyo. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:50:y:2023:i:3-4:p:858-891.

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2023Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price. (2023). Vasudevan, Kaushik ; Moskowitz, Tobias J ; Hazelkorn, Todd M. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:301-345.

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2023Trading and liquidity in the catastrophe bond market. (2023). Hibbeln, Martin ; Herrmann, Markus. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:283-328.

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2023Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps. (2023). Kwok, Yue Kuen ; Jiang, Pingping ; Xu, Ziqing ; Zeng, Pingping. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:842-890.

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2023.

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2023The liquidity state-dependence of monetary policy transmission. (2023). Wijnandts, Jean-Charles ; Pinter, Gabor ; Guimaraes, Rodrigo. In: Bank of England working papers. RePEc:boe:boeewp:1045.

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2023Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data. (2023). GUPTA, RANGAN ; Dimitrios, Vortelinos ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:1:p:25-47:n:8.

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2023.

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2023Physical and transition risk premiums in euro area corporate bond markets. (2023). Kapp, Daniel ; Bua, Giovanna ; Bats, Joost. In: Working Papers. RePEc:dnb:dnbwpp:761.

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2023Macroprudential Regulation: A Risk Management Approach. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:765.

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2023A stochastic-local volatility model with Le´vy jumps for pricing derivatives. (2023). Kim, Jeong-Hoon. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:451:y:2023:i:c:s0096300323002035.

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2023Local guarantees and SOE bond pricing in China. (2023). Wu, Sharon Xiaohui ; Wang, Yabin. In: China Economic Review. RePEc:eee:chieco:v:78:y:2023:i:c:s1043951x23000056.

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2023A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model. (2023). Ge, Shuyi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002688.

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2023Short selling, divergence of opinion and volatility in the corporate bond market. (2023). Tian, Xiao ; Kalev, Petko S ; Duong, Huu Nhan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s0165188922002950.

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2023Systemic risk of optioned portfolio: Controllability and optimization. (2023). Ma, Jiali ; Cui, Xueting ; Zhu, Shushang ; Pang, Xiaochuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923001070.

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2023Portfolio optimization in the presence of tail correlation. (2023). Chibane, Messaoud ; ben Abdelaziz, Fouad. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000470.

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2023Cross-border Italian sovereign risk transmission in EMU countries. (2023). Napolitano, Oreste ; Fiorelli, Cristiana ; D'Uva, Marcella ; Capasso, Salvatore. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002365.

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2023Which stock price component drives the Amihud illiquidity premium?. (2023). Kim, Yongsik. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s106294082200211x.

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2023A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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2023Bias reduction in spot volatility estimation from options. (2023). Zhang, Yang ; Todorov, Viktor. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:53-81.

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2023Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds. (2023). Melin, Olena ; Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001586.

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2023Semiparametric estimation of latent variable asset pricing models. (2023). Dalderop, Jeroen. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001598.

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2023On illiquidity of an emerging sovereign bond market. (2023). Soykok, Emre ; Karahan, Cenk C. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:2:s093936252300002x.

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2023Robust consumption and portfolio choice with derivatives trading. (2023). Zhuang, YI ; Yang, Charles ; Wei, Pengyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:832-850.

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2023Pandemic portfolio choice. (2023). Weiss, Farina ; Kraft, Holger. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:1:p:451-462.

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2023A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks. (2023). Seeger, Norman J ; Schlag, Christian ; Rodrigues, Paulo ; Pollastri, Alessandro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:322-341.

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2023A global monetary policy factor in sovereign bond yields. (2023). Migiakis, Petros ; Malliaropulos, Dimitris. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:445-465.

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2023Forecasting tail risk measures for financial time series: An extreme value approach with covariates. (2023). Prokhorov, Artem ; Yin, Jessica Wai ; Leung, Henry ; James, Robert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:29-50.

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2023Price convergence between credit default swap and put option: New evidence. (2023). Poon, Ser-Huang ; Lin, Ming-Tsung ; Kolokolova, Olga ; Chan, Ka Kei. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:188-213.

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2023Burned by leverage? Flows and fragility in bond mutual funds. (2023). Wedow, Michael ; Weistroffer, Christian ; Vivar, Luis Molestina. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:354-380.

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2023Sustainability and sovereign credit risk. (2023). Lonarski, Igor ; Vanpee, Rosanne ; Anand, Arsh. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000108.

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2023Random sources correlations and carbon futures pricing. (2023). Wang, Jieyu ; Feng, Ling. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000455.

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2023Jump-diffusion volatility models for variance swaps: An empirical performance analysis. (2023). Hong, YI ; Jin, Xing. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001229.

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2023Market-wide illiquidity and the distribution of non-parametric stochastic discount factors. (2023). Rubio, Gonzalo ; Pascual, Roberto ; Nieto, Belen ; Abad, David. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001667.

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2023Good volatility, bad volatility, and the cross section of cryptocurrency returns. (2023). Zhao, Ran ; Zhang, Zehua. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002284.

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2023A class of portfolio optimization solvable problems. (2023). Escobar Anel, Marcos ; Escobar-Anel, Marcos ; Cheng, Yuyang. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005505.

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2023Robust leverage choice of hedge funds with rare disasters. (2023). Luo, Deqing ; Yan, Qianhui ; Mu, Congming. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000636.

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2023Bond liquidity, debt maturity and bond risk premium. (2023). Wei, XU ; Zhou, Yimin. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000909.

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2023Stock illiquidity and option returns. (2023). Uhrig-Homburg, Marliese ; Korn, Olaf ; Kanne, Stefan. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000556.

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2023Informed options strategies before corporate events. (2023). Subrahmanyam, Marti G ; Orowski, Piotr ; Grass, Gunnar ; Brenner, Menachem ; Augustin, Patrick. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000568.

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2023Firm fundamentals and the cross-section of implied volatility shapes. (2023). Zhou, Guofu ; Guo, Biao ; Chen, Ding. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000611.

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2023A Bayesian analysis of time-varying jump risk in S&P 500 returns and options. (2023). Luo, Dan ; Carverhill, Andrew. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000751.

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2023Spillover effects between liquidity risks through endogenous debt maturity. (2023). Zhou, Yi ; Xiao, Xiao ; Wei, XU. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418123000125.

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2023What is mine is yours: Sovereign risk transmission during the European debt crisis. (2023). Shin, Yongcheol ; Nguyen, Viet Hoang ; Greenwood-Nimmo, Matthew. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000037.

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2023Deal! Market reactions to the agreement on the EU Covid-19 recovery fund. (2023). ap Gwilym, Owain ; Molyneux, Philip ; Pancotto, Livia. In: Journal of Financial Stability. RePEc:eee:finsta:v:67:y:2023:i:c:s1572308923000578.

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2023The behavior and determinants of illiquidity in the non-fungible tokens (NFTs) market. (2023). Yildiz, Serhat ; Wilkoff, Sean. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322000849.

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2023Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds. (2023). Chernov, Mikhail ; Hordahl, Peter ; Creal, Drew. In: Journal of International Economics. RePEc:eee:inecon:v:140:y:2023:i:c:s0022199622001246.

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2023Does it matter how central banks accumulate reserves? Evidence from sovereign spreads. (2023). Sosa-Padilla, Cesar ; Sturzenegger, Federico. In: Journal of International Economics. RePEc:eee:inecon:v:140:y:2023:i:c:s002219962200143x.

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2023Pricing extreme mortality risk in the wake of the COVID-19 pandemic. (2023). Yuan, Zhongyi ; Tang, Qihe ; Liu, Haibo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:84-106.

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2023Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561.

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2023FinTech platforms and mutual fund markets. (2023). Lu, Lei ; Zhang, Wenqiao ; Yu, Zongdai ; You, YU. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:84:y:2023:i:c:s104244312200124x.

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2023Deviations from covered interest parity in the emerging markets after the global financial crisis. (2023). Geyikçi, Utku ; Ozyildirim, Suheyla ; Geyiki, Utku Bora. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000331.

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2023Detecting political event risk in the option market. (2023). KOSTAKIS, ALEXANDROS ; Otsubo, Yoichi ; Mu, Liangyi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002047.

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2023The sum of all fears: Forecasting international returns using option-implied risk measures. (2023). Toupin, Dominique ; Power, Gabriel J ; Gagnon, Marie-Helene. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002813.

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2023Breakup and default risks in the great lockdown. (2023). Consiglio, Andrea ; Borri, Nicola ; Bonaccolto, Giovanni. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426621002600.

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2023Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants. (2023). Lutkebohmert, Eva ; Gonzato, Luca ; Brignone, Riccardo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003259.

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2023Anticipating jumps: Decomposition of straddle price. (2023). Vasquez, Aurelio ; Gan, Quan ; Chen, Bei. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426622003351.

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2023Information acquisition costs and credit spreads. (2023). Rettl, Daniel A ; Jaskowski, Marcin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s037842662300016x.

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2023Enhancement in a firms information environment via options trading and the efficiency of corporate investment. (2023). Tsekrekos, Andrianos E ; Trigeorgis, Lenos ; Anagnostopoulou, Seraina C. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426623000341.

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2023Downside variance premium, firm fundamentals, and expected corporate bond returns. (2023). Li, Junye ; Jiang, Liang ; Huang, Tao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001516.

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2023News indices on country fundamentals. (2023). Kocsis, Zalan ; Fulop, Andras. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001565.

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2023Sovereign risk premia and global macroeconomic conditions. (2023). Jeanneret, Alexandre ; Ekponon, Adelphe ; Andrade, Sandro C. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:1:p:172-197.

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2023Institutional investors, the dollar, and U.S. credit conditions. (2023). Schmidt-Eisenlohr, Tim ; Niepmann, Friederike. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:1:p:198-220.

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2023Market power in wholesale funding: A structural perspective from the triparty repo market. (2023). Huber, Amy Wang. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:2:p:235-259.

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2023Systematic default and return predictability in the stock and bond markets. (2023). Zhang, Shaojun ; Hou, Kewei ; Bao, Jack. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:3:p:349-377.

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2023Momentum turning points. (2023). Mazzoleni, Michele G ; Harvey, Campbell R ; Goulding, Christian L. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:3:p:378-406.

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2023A credit-based theory of the currency risk premium. (2023). , Ella ; Jeanneret, Alexandre ; della Corte, Pasquale. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:3:p:473-496.

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2023Debt dynamics and credit risk. (2023). Schaefer, Stephen ; Feldhutter, Peter. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:3:p:497-535.

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2023Do prime brokers intermediate capital?. (2023). Sinclair, Andrew J. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:53:y:2023:i:c:s1042957322000572.

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2023Reserves and risk: Evidence from China. (2023). Yamamoto, Yohei ; Hattori, Takahiro ; Fatum, Rasmus. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:134:y:2023:i:c:s0261560623000451.

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2023Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Politsidis, Panagiotis N ; Bampinas, Georgios. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001031.

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2023Systemwide directional connectedness from Crude Oil to sovereign credit risk. (2023). Singh, Vipul Kumar ; Kumar, Pawan ; Bajaj, Vimmy. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000290.

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2023Explaining intraday crude oil returns with higher order risk-neutral moments. (2023). Wong, Patrick. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000211.

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2023Oil price bubbles: The role of network centrality on idiosyncratic sovereign risk. (2023). Yang, Lu. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002015.

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2023Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm. (2023). Hamdi, Abdelouahed ; Noorani, Idin ; Mehrdoust, Farshid. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:204:y:2023:i:c:p:660-678.

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2023Russia-Ukraine conflict: The effect on European banks’ stock market returns. (2023). Gouveia, Ricardo ; Correia, Pedro ; Martins, Antonio Miguel. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:67:y:2023:i:c:s1042444x23000051.

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2023The flight to safety during credit recovery: The role of implicit government guarantees. (2023). Wang, Zhiqiang ; Li, Yifei ; Xiong, Haifang ; Liu, Tianming. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000793.

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2023Elucidating Directed Statistical Dependencies: Investigating Global Financial Market Indices Influence on Korean Short Selling Activities. (2023). Kim, Woo Chang ; Lee, Myounggu ; Choi, Insu. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000847.

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

Works by jun pan:


YearTitleTypeCited
2011How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics.
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article607
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 607
paper
2003Dynamic Asset Allocation with Event Risk In: Journal of Finance.
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article183
2001Dynamic Asset Allocation with Event Risk.(2001) In: University of California at Los Angeles, Anderson Graduate School of Management.
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This paper has nother version. Agregated cites: 183
paper
2002Dynamic Asset Allocation With Event Risk.(2002) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 183
paper
2008Volatility Information Trading in the Option Market In: Journal of Finance.
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article78
2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads In: Journal of Finance.
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article394
2011The Illiquidity of Corporate Bonds In: Journal of Finance.
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article311
2013Noise as Information for Illiquidity In: Journal of Finance.
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article207
2010Noise as Information for Illiquidity.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 207
paper
2021Tri-Party Repo Pricing In: Journal of Financial and Quantitative Analysis.
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article10
2015Tri-Party Repo Pricing.(2015) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 10
paper
2010Excess Volatility of Corporate Bonds In: Working Paper Series.
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paper2
2000Transform Analysis and Asset Pricing for Affine Jump-Diffusions In: Econometrica.
[Citation analysis]
article1054
1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions.(1999) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 1054
paper
2017Early peek advantage? Efficient price discovery with tiered information disclosure In: Journal of Financial Economics.
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article17
2022Premium for heightened uncertainty: Explaining pre-announcement market returns In: Journal of Financial Economics.
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article2
2019Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns.(2019) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2
paper
2002The jump-risk premia implicit in options: evidence from an integrated time-series study In: Journal of Financial Economics.
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article581
2003Dynamic derivative strategies In: Journal of Financial Economics.
[Full Text][Citation analysis]
article127
2003Dynamic Derivative Strategies.(2003) In: Working papers.
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This paper has nother version. Agregated cites: 127
paper
2006Interpreting Recent Changes in the Credit Spreads of Japanese Banks In: Monetary and Economic Studies.
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article6
2002An Equilibrium Model of Rare Event Premia In: Working papers.
[Full Text][Citation analysis]
paper1
2004The Information of Option Volume for Future Stock Prices In: NBER Working Papers.
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paper272
2006The Information in Option Volume for Future Stock Prices.(2006) In: Review of Financial Studies.
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This paper has nother version. Agregated cites: 272
article
2018Chinese Capital Market: An Empirical Overview In: NBER Working Papers.
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paper9
2019The SOE Premium and Government Support in Chinas Credit Market In: NBER Working Papers.
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paper7
2019FinTech Platforms and Mutual Fund Distribution In: NBER Working Papers.
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paper3
2020FinTech Adoption and Household Risk-Taking: From Digital Payments to Platform Investments In: NBER Working Papers.
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paper6
2013Bond Illiquidity and Excess Volatility In: Review of Financial Studies.
[Full Text][Citation analysis]
article33
2001Analytical value-at-risk with jumps and credit risk In: Finance and Stochastics.
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article50
1996STRUCTURES OF SILICON CLUSTERS In: Surface Review and Letters (SRL).
[Full Text][Citation analysis]
article0
In: .
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paper2

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