Sanjiv Ranjan Das : Citation Profile

Are you Sanjiv Ranjan Das?

Santa Clara University

17

H index

27

i10 index

1559

Citations

RESEARCH PRODUCTION:

35

Articles

19

Papers

2

Chapters

RESEARCH ACTIVITY:

   27 years (1996 - 2023). See details.
   Cites by year: 57
   Journals where Sanjiv Ranjan Das has often published
   Relations with other researchers
   Recent citing documents: 124.    Total self citations: 10 (0.64 %)

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   Permalink: http://citec.repec.org/pda527
   Updated: 2024-12-03    RAS profile: 2023-03-12    
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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 Sanjiv Ranjan Das.

Is cited by:

Xiao, Tim (18)

Härdle, Wolfgang (15)

Schwaab, Bernd (10)

Lucas, Andre (10)

Andersen, Torben (10)

Koopman, Siem Jan (10)

Guidolin, Massimo (10)

Shen, Dehua (9)

Maheu, John (9)

Duffie, Darrell (8)

Baptista, Alexandre (8)

Cites to:

merton, robert (33)

Jarrow, Robert (20)

Duffie, Darrell (19)

Leland, Hayne (14)

Scholes, Myron (10)

Lerner, Josh (10)

Longstaff, Francis (9)

Singleton, Kenneth (8)

Engle, Robert (8)

Willen, Paul (8)

Gerardi, Kristopher (7)

Main data

Where Sanjiv Ranjan Das has published?

Journals with more than one article published# docs
Journal of Banking & Finance5
Journal of Economic Dynamics and Control4
Journal of Financial and Quantitative Analysis4
Journal of Financial Intermediation2
Journal of Financial Services Research2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc10
CEPR Discussion Papers / C.E.P.R. Discussion Papers2

Recent works citing Sanjiv Ranjan Das (2024 and 2023)

YearTitle of citing document
2023What Drives Credit Spreads of Oil Companies? Evidence from the Upstream, Integrated and Downstream Industries. (2023). Ha, Quan Tran ; Yihong, Simon Cottrell. In: The Energy Journal. RePEc:aen:journl:ej44-5-delpachitra.

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2023Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2021). Poon, Ser-Huang ; Zohren, Stefan ; Rahimikia, Eghbal. In: Papers. RePEc:arx:papers:2108.00480.

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2023EmTract: Investor Emotions and Market Behavior. (2021). Skog, Rolf ; Vamossy, Domonkos. In: Papers. RePEc:arx:papers:2112.03868.

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2023Removing Non-Stationary Knowledge From Pre-Trained Language Models for Entity-Level Sentiment Classification in Finance. (2023). Hahm, Moonjeong ; Kang, Nahyeon ; Lee, Hanwool ; Son, Guijin. In: Papers. RePEc:arx:papers:2301.03136.

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2023The financial health of a company and the risk of its default: Back to the future. (2023). Fabrizi, Eugenio ; Dainelli, Francesco ; Bet, Gianmarco. In: Papers. RePEc:arx:papers:2302.10140.

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2023Off-Balance Sheet Activities and Scope Economies in U.S. Banking. (2023). Malikov, Emir ; Zhang, Jingfang. In: Papers. RePEc:arx:papers:2302.14603.

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2023Selecting Sustainable Optimal Stock by Using Multi-Criteria Fuzzy Decision-Making Approaches Based on the Development of the Gordon Model: A case study of the Toronto Stock Exchange. (2023). Mortazavi, Mohsen. In: Papers. RePEc:arx:papers:2304.13818.

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2024Social Media Emotions and IPO Returns. (2023). Vamossy, Domonkos F. In: Papers. RePEc:arx:papers:2306.12602.

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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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2024Social Media Emotions and Market Behavior. (2024). Vamossy, Domonkos F. In: Papers. RePEc:arx:papers:2404.03792.

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2023Social media information dissemination and corporate bad news hoarding. (2023). Feng, Lingbing ; He, Feng. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:1503-1532.

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2023“I just like the stock”: The role of Reddit sentiment in the GameStop share rally. (2023). Yarovaya, Larisa ; Xie, Ying ; Lucey, Brian ; Long, Suwan. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:1:p:19-37.

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2023The informativeness of investor communication with corporate insiders: Evidence from China. (2023). Wang, Song ; Huang, Qinghua ; Ju, Congyi ; Meng, Qingbin. In: International Finance. RePEc:bla:intfin:v:26:y:2023:i:2:p:189-207.

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2023Disruption and Credit Markets. (2023). Becker, Bo ; Ivashina, Victoria. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:105-139.

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2023Wisdom of Crowds: Cross‐Sectional Variation in the Informativeness of Third‐Party‐Generated Product Information on Twitter. (2018). Tang, Vicki Wei . In: Journal of Accounting Research. RePEc:bla:joares:v:56:y:2018:i:3:p:989-1034.

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2023On venture capital exit dynamics. (2023). Schwienbacher, Armin ; Giot, Pierre ; Gejadze, Maia. In: Economics Bulletin. RePEc:ebl:ecbull:eb-23-00050.

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2023Is sentiment the solution to the risk–return puzzle? A (cautionary) note. (2023). Gebka, Bartosz ; Ung, Sze Nie. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635023000011.

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2023Beta, value, and growth: Do dichotomous risk-preferences explain stock returns?. (2023). Montone, Maurizio. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000485.

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2023Is Fintech good for green finance? Empirical evidence from listed banks in China. (2023). Sarma, Vengadeshvaran ; Lee, Hon ; Wan, Siyu. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:80:y:2023:i:c:p:1273-1291.

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2023Macroeconomic conditions, corporate default, and default clustering. (2023). Liu, Lanlan ; Luo, Dan ; Xing, Kai. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003169.

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2023The British Stock Market, currencies, brexit, and media sentiments: A big data analysis. (2023). Das, Pranab ; Mukherjee, Debashis ; Marjit, Sugata ; Basak, Gopal K ; Yang, Lei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001966.

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2024Target rate factors in short rate models. (2024). Harju, Antti J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001560.

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2024Analytical valuation of vulnerable chained options. (2024). Zhou, KE ; Zhang, Jiayi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001924.

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2023Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics. (2023). Christopoulos, Apostolos ; Zopounidis, Constantin ; Karanasos, Menelaos ; Yfanti, Stavroula. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:813-831.

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2023Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation. (2023). Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:961-978.

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2023Machine learning for corporate default risk: Multi-period prediction, frailty correlation, loan portfolios, and tail probabilities. (2023). Leuenberger, Nicola ; Sigrist, Fabio. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:3:p:1390-1406.

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2023Does the default pecking order impact systemic risk? Evidence from Brazilian data. (2023). Silva, Thiago ; Rodrigues, Francisco Aparecido ; Michalak, Krzysztof ; Alexandre, Michel. In: European Journal of Operational Research. RePEc:eee:ejores:v:309:y:2023:i:3:p:1379-1391.

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2023An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models. (2023). Nguyen, HA. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:103-121.

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2023Predicting energy futures high-frequency volatility using technical indicators: The role of interaction. (2023). Zhang, Yue ; Ye, Xin ; Gong, Xue. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000312.

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2024Time-varying jump intensity and volatility forecasting of crude oil returns. (2024). Bouri, Elie ; Chen, Yan ; Zhang, Lei. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s014098832300734x.

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2023Does broadband infrastructure affect corporate mergers and acquisitions? Quasi-natural experimental evidence from China. (2023). Tao, Yunqing ; Kong, Dongmin ; Sun, Nan. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004112.

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2023Which is more important in stock market forecasting: Attention or sentiment?. (2023). Wu, Ji George ; Zou, Gaofeng ; Li, Yishuo ; Zhang, Xiaotao. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s105752192300248x.

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2023Effect of cash flow risk on corporate failures, and the moderating role of earnings management and abnormal compensation. (2023). Kannothra, Chacko George ; Bu, Ziwen ; Gupta, Jairaj ; Li, Xia. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002788.

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2024Local FinTech development, industrial structure, and north-south economic disparity in China. (2024). Zhou, BO ; Yang, Tongbin. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000516.

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2024Media opinion divergence and stock returns: Evidence from China. (2024). Shen, Dehua ; Goodell, John W ; Zhang, Zuochao ; Lahmar, Oumaima. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000723.

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2023On pricing double-barrier options with Markov regime switching. (2023). Zhang, Tianqi. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005906.

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2023Efficient portfolios computed with moment-based bounds. (2023). Popova, Ivilina ; Dokov, Steftcho ; Morton, David P. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006018.

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2023Does product market competition affect the adoption of FinTech by non-financial firms?. (2023). Zhou, Tianpeng ; Nikbakht, Ehsan ; Hong, Liu. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s154461232300096x.

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2023A Privacy-preserving mean–variance optimal portfolio. (2023). Lee, Jaewook ; Ko, Hyungjin ; Byun, Junyoung. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001678.

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2024Investor attention and corporate leverage manipulation. (2024). Mao, Ruoyu ; Guan, Xinle ; Lin, Weizhen ; Chen, Yuxuan ; Ye, Binghui ; Guo, Huitao. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012862.

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2024Determinants of credit default swap spread changes: The sell-side perspective. (2024). Joe, Denis Yongmin ; Park, Haerang ; Oh, Byungmin. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323008462.

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2024Exacerbation or suppression? Digital transformation and shadow banking activities of non-financial firms. (2024). Yao, Chen ; Zhao, Xiaoqing. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323013193.

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2024Navigating uncharted skies: The role of pilot CEO in FinTech adoption. (2024). Sun, Liang ; Liu, Shiang. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324002241.

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2024Do auditors care about what retail investors say? Evidence from China. (2024). Yang, Jing ; Xiao, Min ; Lin, Ling ; Zhang, Xiaoying. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004902.

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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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2023Newspapers tone and the overnight-intraday stock return anomaly. (2023). Schreiber, Ben Z ; Saadon, Yossi. In: Journal of Financial Markets. RePEc:eee:finmar:v:65:y:2023:i:c:s1386418123000368.

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2023Business resilience: Lessons from government responses to the global COVID-19 crisis. (2023). Pham, Mia Hang ; Nguyen, Harvey. In: International Business Review. RePEc:eee:iburev:v:32:y:2023:i:5:s0969593123000665.

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2024Tail mean-variance portfolio selection with estimation risk. (2024). Weng, Chengguo ; Wei, Pengyu ; Huang, Zhenzhen. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:218-234.

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2024Default dependence in the insurance and banking sectors: A copula approach. (2024). Zhao, Yang ; Yan, Cheng ; Kim, Minjoo ; Zhang, Xuan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001798.

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2024Not all words are equal: Sentiment and jumps in the cryptocurrency market. (2024). Cepni, Oguzhan ; Caporin, Massimiliano ; Aysan, Ahmet Faruk. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001889.

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2024The governance effects of social media engagement on M&A outcomes: Evidence from China. (2024). Zhang, Pengdong ; Chen, Yugang ; Liu, Siyi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s104244312400012x.

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2023The power of narrative sentiment in economic forecasts. (2023). Sharpe, Steven ; Hollrah, Christopher A ; Sinha, Nitish R. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1097-1121.

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2023FinTech in the financial system: Towards a capital-intensive and high competence human capital reality?. (2023). Giakoumelou, Anastasia ; Battisti, Enrico ; Serino, Luana ; Campanella, Francesco ; Karasamani, Isabella. In: Journal of Business Research. RePEc:eee:jbrese:v:155:y:2023:i:pa:s0148296322008414.

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2023Investor trade allocation patterns in stock markets. (2023). Kanniainen, Juho ; Baltakys, Kstutis ; Kivela, Mikko ; Saramaki, Jari. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:210:y:2023:i:c:p:191-209.

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2023The colour of finance words. (2023). Rohrer, Maximilian ; Hu, Xiaowen ; Garcia, Diego. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:3:p:525-549.

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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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2024Fintech in the time of COVID?19: Technological adoption during crises. (2022). Mishra, Mrinal ; Fu, Jonathan. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:50:y:2022:i:c:s1042957321000462.

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2023The role of investor behavior in emerging stock markets: Evidence from Vietnam. (2023). Phan, Truc ; Vo, Xuan Vinh ; Bertrand, Philippe. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:87:y:2023:i:c:p:367-376.

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2023Investor sentiment based on scaled PCA method: A powerful predictor of realized volatility in the Chinese stock market. (2023). Yu, Changrui ; Zhang, Cheng ; Gong, Xiaomin ; Song, Ziyu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:528-545.

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2023Bank default risk propagation along supply chains: Evidence from the U.K.. (2023). Roland, Isabelle ; Kabiri, Ali ; Manole, Vlad ; Spatareanu, Mariana. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:813-831.

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2023Divergent opinions on social media. (2023). Miwa, Kotaro. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:182-196.

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2024Covid-19 and market discipline: Evidence from the banking sector in emerging markets. (2024). Umar, Muhammad ; Mirza, Nawazish ; Xie, Xin ; Ji, Xiaoman. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:612-621.

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2023Did David win a battle or the war against Goliath? Dynamic return and volatility connectedness between the GameStop stock and the high short interest indices. (2023). Zaremba, Adam ; Umar, Zaghum ; Kizys, Renatas ; Aharon, David Y. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922001891.

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2023Machine learning sentiment analysis, COVID-19 news and stock market reactions. (2023). Pelizzon, Loriana ; Nofer, Michael ; Hinz, Oliver ; Costola, Michele. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000077.

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2023Mental Accounting and decision making: a systematic literature review. (2023). Bortolon, Patricia Maria ; de Lacerda, Rafael ; Silva, Emmanuel Marques. In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:107:y:2023:i:c:s2214804323001180.

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2024Self-weighted quantile regression estimation for diffusion parameter in jump–diffusion models. (2024). Mao, Huijue ; Cai, Chunchun ; Song, Yuping ; Zhu, Min. In: Statistics & Probability Letters. RePEc:eee:stapro:v:206:y:2024:i:c:s0167715223002341.

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2023Stay or switch? The impact of venture capitalists movement across network communities on enterprises’ innovation performance. (2023). Xue, Chaokai ; Zhang, Fujuan ; Gu, Jing. In: Technovation. RePEc:eee:techno:v:125:y:2023:i:c:s0166497223000810.

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2024Zooming in and out the landscape: Artificial intelligence and system dynamics in business and management. (2024). Iandolo, Francesca ; Franco, Eduardo ; Armenia, Stefano ; Vito, Pietro ; Maielli, Giuliano. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:200:y:2024:i:c:s0040162523008168.

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2023Customer Due Diligence in the FinTech Era: A Bibliometric Analysis. (2023). Sibindi, Athenia Bongani ; Gaviyau, William. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:1:p:11-:d:1024019.

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2023Factors Influencing Behavior Intention in Digital Investment Services of Mutual Fund Distributors Adoption in Thailand. (2023). Samanchuen, Taweesak ; Kasemharuethaisuk, Haruthai. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:3:p:2279-:d:1047340.

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2024Put Your Mouth Where Your Money Is: A Field Experiment Encouraging Donors to Share About Charity. (2024). Small, Deborah A ; Silver, Ike. In: Marketing Science. RePEc:inm:ormksc:v:43:y:2024:i:2:p:392-406.

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2023Nexus Between Indian Financial Markets and Macro-economic Shocks: A VAR Approach. (2023). Rath, Prabhas Kumar. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:1:d:10.1007_s10690-022-09372-w.

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2023Valuation of Standard Call Options Using the Euler–Maruyama Method with Strong Approximation. (2023). Giron, Luis Eduardo ; Suescun-Diaz, Daniel. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:4:d:10.1007_s10614-022-10258-2.

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2023Will the reddit rebellion take you to the moon? Evidence from WallStreetBets. (2023). Wang, Ruixiang ; Morillon, Thibaut G ; Chacon, Ryan G. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:1:d:10.1007_s11408-022-00415-w.

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2023A Sentiment Index of the Housing Market in China: Text Mining of Narratives on Social Media. (2023). Li, Keyang ; Liu, Hongyu ; Wu, Jing ; Zhu, Enwei. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:66:y:2023:i:1:d:10.1007_s11146-022-09900-5.

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2023Does CDS market price intangible asset value? Evidence from SG&A expenditure. (2023). Xie, Yuan ; Lin, Xintian ; Huang, Rong. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:2:d:10.1007_s11156-023-01165-0.

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2023The identity of social impact venture capitalists: exploring social linguistic positioning and linguistic distinctiveness through text mining. (2023). Colladon, Andrea Fronzetti ; Ughetto, Elisa ; Toschi, Laura. In: Small Business Economics. RePEc:kap:sbusec:v:60:y:2023:i:3:d:10.1007_s11187-022-00655-0.

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2023Assessing the impact of economic and financial shocks on SME credit quality: a scenario analysis. (2023). Thlon, Micha ; Sieradzki, Rafa ; Altman, Edward I. In: Bank i Kredyt. RePEc:nbp:nbpbik:v:54:y:2023:i:2:p:89-128.

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2023Decomposing Long Bond Returns: A Decentralized Theory*. (2023). Wu, Liuren ; Carr, Peter. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:3:p:997-1026..

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

Works by Sanjiv Ranjan Das:

YearTitleTypeCited
2010Credit default swaps – Financial innovation or financial dysfunction? In: Financial Stability Review.
[Full Text][Citation analysis]		article4
2019Machine Learning: Classification and Clustering In: IFC Bulletins chapters.
[Full Text][Citation analysis]		chapter0
2019Annex – presentations In: IFC Bulletins chapters.
[Full Text][Citation analysis]		chapter0
2019The future of fintech In: Financial Management.
[Full Text][Citation analysis]		article22
2007Common Failings: How Corporate Defaults Are Correlated In: Journal of Finance.
[Full Text][Citation analysis]		article261
2006Common Failings: How Corporate Defaults are Correlated.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 261		paper
2018Bank Regulation, Network Topology, and Systemic Risk: Evidence from the Great Depression In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper5
2018Bank Regulation, Network Topology, and Systemic Risk: Evidence from the Great Depression.(2018) In: NBER Working Papers.
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2002Systemic Risk and International Portfolio Choice In: CEPR Discussion Papers.
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2002Pricing Credit Derivatives with Rating Transitions In: CEPR Discussion Papers.
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1999Of Smiles and Smirks: A Term Structure Perspective In: Journal of Financial and Quantitative Analysis.
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1998Of Smiles and Smirks: A Term-Structure Perspective.(1998) In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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2010Portfolio Optimization with Mental Accounts In: Journal of Financial and Quantitative Analysis.
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2012The Principal Principle In: Journal of Financial and Quantitative Analysis.
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2020Venture Capital Communities In: Journal of Financial and Quantitative Analysis.
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1998A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model In: Journal of Economic Dynamics and Control.
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1999A theory of optimal timing and selectivity In: Journal of Economic Dynamics and Control.
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2009Implied recovery In: Journal of Economic Dynamics and Control.
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2013Options and structured products in behavioral portfolios In: Journal of Economic Dynamics and Control.
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2002The surprise element: jumps in interest rates In: Journal of Econometrics.
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2023Digitization and data frames for card index records In: Explorations in Economic History.
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2009Options on portfolios with higher-order moments In: Finance Research Letters.
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2022Banking networks, systemic risk, and the credit cycle in emerging markets In: Journal of International Financial Markets, Institutions and Money.
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2022Dynamic optimization for multi-goals wealth management In: Journal of Banking & Finance.
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1999A theory of banking structure In: Journal of Banking & Finance.
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2009Accounting-based versus market-based cross-sectional models of CDS spreads In: Journal of Banking & Finance.
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2013Strategic loan modification: An options-based response to strategic default In: Journal of Banking & Finance.
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2015Credit spreads with dynamic debt In: Journal of Banking & Finance.
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2009Hedging credit: Equity liquidity matters In: Journal of Financial Intermediation.
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2011Polishing diamonds in the rough: The sources of syndicated venture performance In: Journal of Financial Intermediation.
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2005eInformation: A Clinical Study of Investor Discussion and Sentiment In: Financial Management.
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1996The Central Tendency: A Second Factor in Bond Yields In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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1997The Central Tendency: A Second Factor in Bond Yields.(1997) In: NBER Working Papers.
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1998The Central Tendency: A Second Factor In Bond Yields.(1998) In: The Review of Economics and Statistics.
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1998The Regulation of Fee Structures in Mutual Funds: A Theoretical Analysis In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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1998A Direct Approach to Arbitrage-Free Pricing of Derivatives In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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1999Fee Speech: Signalling and the Regulation of Mutual Fund Fees In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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2021Combining Investment and Tax Strategies for Optimizing Lifetime Solvency under Uncertain Returns and Mortality In: JRFM.
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2000A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives In: Management Science.
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2007Yahoo! for Amazon: Sentiment Extraction from Small Talk on the Web In: Management Science.
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2007An Integrated Model for Hybrid Securities In: Management Science.
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2007Basel II: Correlation Related Issues In: Journal of Financial Services Research.
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2020The Fast and the Curious: VC Drift In: Journal of Financial Services Research.
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2005The Firms Management of Social Interactions In: Marketing Letters.
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1997An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model In: NBER Technical Working Papers.
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1997Auction Theory: A Summary with Applications to Treasury Markets In: NBER Working Papers.
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1997Taming the Skew: Higher-Order Moments in Modeling Asset Price Processes in Finance In: NBER Working Papers.
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1997Average Interest In: NBER Working Papers.
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1998Poisson-Guassian Processes and the Bond Markets In: NBER Working Papers.
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1998A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives In: NBER Working Papers.
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1998On the Regulation of Fee Structures in Mutual Funds In: NBER Working Papers.
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1998Fee Speech: Adverse Selection and the Regulation of Mutual Funds In: NBER Working Papers.
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2010The Long and Short of It: Why Are Stocks with Shorter Runs Preferred? In: Journal of Consumer Research.
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2002Fee Speech: Signaling, Risk-Sharing, and the Impact of Fee Structures on Investor Welfare In: The Review of Financial Studies.
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1997Macroeconomic implications of search theory for the labour market In: Applied Economics Letters.
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2006A simple approach for pricing equity options with Markov switching state variables In: Quantitative Finance.
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