jun pan : Citation Profile

Shanghai Jiao Tong University

14

H index

18

i10 index

4515

Citations

RESEARCH PRODUCTION:

17

Articles

16

Papers

RESEARCH ACTIVITY:

   26 years (1996 - 2022). See details.
   Cites by year: 173
   Journals where jun pan has often published
   Relations with other researchers
   Recent citing documents: 388.    Total self citations: 10 (0.22 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppa1004
   Updated: 2026-04-04    RAS profile: 2024-01-04    
   Missing citations? Add them    Incorrect content? Let us know

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:

Bollerslev, Tim (44)

Andersen, Torben (42)

Pelizzon, Loriana (25)

Chernov, Mikhail (25)

Lafuente, Juan Angel (23)

Wu, Liuren (23)

Monfort, Alain (22)

Augustin, Patrick (21)

Caporin, Massimiliano (21)

Forbes, Catherine (21)

Escobar Anel, Marcos (20)

Cites to:

Cao, Charles (13)

Chen, Zhiwu (13)

Campbell, John (10)

Calvet, Laurent (10)

Singleton, Kenneth (7)

Bollerslev, Tim (7)

merton, robert (7)

Sodini, Paolo (6)

Duffie, Darrell (5)

Scholes, Myron (5)

Lo, Andrew (5)

Main data

Where jun pan has published?

Journals with more than one article published# docs
Journal of Finance5
Journal of Financial Economics4
The 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 (2025 and 2024)

YearTitle of citing document
2025Exploring the relationship between the Put Call Ratio and Market Indices: a comparative analysis of S&P 500 and BET. (2025). Abr, Genia-Iulia. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxii:y:2025:i:1(642):p:187-210.

Full description at Econpapers || Download paper

2024The Informational Role of Trading Volume in Thinly Traded Options Markets. (2024). Choe, Kyoungin ; Goodwin, Barry K. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343732.

Full description at Econpapers || Download paper

2024The Informational Role of Trading Volume in Thinly Traded Options Markets. (2024). Goodwin, Barry K ; Choe, Kyoungin. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:343732.

Full description at Econpapers || Download paper

2024Affine Heston model style with self-exciting jumps and long memory. (2024). Hainaut, Donatien ; Leunga, Charles Guy. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024001.

Full description at Econpapers || Download paper

2025Dynamics of sovereign debt: credit risk and sustainability analysis. (2025). Cont, Rama ; Bassa, Karolina. In: INET Oxford Working Papers. RePEc:amz:wpaper:2025-24.

Full description at Econpapers || Download paper

2026Chaotic Hedging with Iterated Integrals and Neural Networks. (2024). Schmocker, Philipp ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2209.10166.

Full description at Econpapers || Download paper

2024Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities. (2024). Grzelak, Lech A. In: Papers. RePEc:arx:papers:2211.05014.

Full description at Econpapers || Download paper

2024Quantum-Inspired Tensor Neural Networks for Option Pricing. (2024). Jahromi, Saeed S ; Orus, Roman ; Patel, Raj G ; Castellani, Pierre ; Porte, Vincent ; Abid, Mustafa ; Dominguez, Tomas ; Tziritas, Kris ; Aubert, Stephane ; Michel, Christophe ; Sharma, Shivam ; Hsing, Chia-Wei ; Sahin, Serkan ; Palmer, Samuel ; Mugel, Samuel. In: Papers. RePEc:arx:papers:2212.14076.

Full description at Econpapers || Download paper

2026Arrow-Debreu Meets Kyle: Price Discovery Across Derivatives. (2025). Tseng, Michael ; Keller, Christian. In: Papers. RePEc:arx:papers:2302.13426.

Full description at Econpapers || Download paper

2024iCOS: Option-Implied COS Method. (2024). Vladimirov, Evgenii. In: Papers. RePEc:arx:papers:2309.00943.

Full description at Econpapers || Download paper

2025From constant to rough: A survey of continuous volatility modeling. (2023). Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Papers. RePEc:arx:papers:2309.01033.

Full description at Econpapers || Download paper

2024Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility. (2024). Xu, Wei ; Horst, Ulrich ; Zhang, Rouyi. In: Papers. RePEc:arx:papers:2312.08784.

Full description at Econpapers || Download paper

2024Roughness Signature Functions. (2024). Christensen, Peter. In: Papers. RePEc:arx:papers:2401.02819.

Full description at Econpapers || Download paper

2025Short-Term Asymptotics of Volatility Skew and Curvature Based on Cumulants. (2025). Cheng, Xue. In: Papers. RePEc:arx:papers:2401.03776.

Full description at Econpapers || Download paper

2025A deep implicit-explicit minimizing movement method for option pricing in jump-diffusion models. (2025). Georgoulis, Emmanuil H ; Smaragdakis, Costas ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:2401.06740.

Full description at Econpapers || Download paper

2024Hydrodynamics of Markets:Hidden Links Between Physics and Finance. (2024). Lipton, Alexander. In: Papers. RePEc:arx:papers:2403.09761.

Full description at Econpapers || Download paper

2024On the Hull-White model with volatility smile for Valuation Adjustments. (2024). van der Zwaard, T ; Grzelak, L A ; Oosterlee, C W. In: Papers. RePEc:arx:papers:2403.14841.

Full description at Econpapers || Download paper

2025Crypto Inverse-Power Options and Fractional Stochastic Volatility. (2024). Xia, Weixuan ; Li, Boyi. In: Papers. RePEc:arx:papers:2403.16006.

Full description at Econpapers || Download paper

2024Degree of Irrationality: Sentiment and Implied Volatility Surface. (2024). Xie, Yan ; Weng, Jiahao. In: Papers. RePEc:arx:papers:2405.11730.

Full description at Econpapers || Download paper

2024Method of Moments Estimation for Affine Stochastic Volatility Models. (2024). Wu, Yan-Feng ; Yang, Xiangyu ; Hu, Jian-Qiang. In: Papers. RePEc:arx:papers:2408.09185.

Full description at Econpapers || Download paper

2024Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets. (2024). Jha, Ayush ; Shirvani, Abootaleb ; Fabozzi, Frank J ; Rachev, Svetlozar T. In: Papers. RePEc:arx:papers:2411.02804.

Full description at Econpapers || Download paper

2024Probabilistic Predictions of Option Prices Using Multiple Sources of Data. (2024). Martin, Gael M ; Frazier, David T ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2412.00658.

Full description at Econpapers || Download paper

2024Path-dependent Fractional Volterra Equations and the Microstructure of Rough Volatility Models driven by Poisson Random Measures. (2024). Zhang, Rouyi ; Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2412.16436.

Full description at Econpapers || Download paper

2025Pricing Carbon Allowance Options on Futures: Insights from High-Frequency Data. (2025). Bormetti, Giacomo ; Serafini, Simone. In: Papers. RePEc:arx:papers:2501.17490.

Full description at Econpapers || Download paper

2026Arbitrage-free catastrophe reinsurance valuation for compound dynamic contagion claims. (2025). Jang, Jiwook ; Laub, Patrick J ; Zhao, Hongbiao ; Siu, Tak Kuen. In: Papers. RePEc:arx:papers:2502.13325.

Full description at Econpapers || Download paper

2025Long-range dependent mortality modeling with cointegration. (2025). Wong, Hoi Ying ; Wang, Ling ; Chiu, Mei Choi. In: Papers. RePEc:arx:papers:2503.09377.

Full description at Econpapers || Download paper

2025Density Approximation of Affine Jump Diffusions via Closed-Form Moment Matching. (2025). Hu, Jian-Qiang ; Wu, Yan-Feng. In: Papers. RePEc:arx:papers:2504.06942.

Full description at Econpapers || Download paper

2025Neural Jumps for Option Pricing. (2025). Liu, Yanchu ; Guo, Hanzhong ; Zheng, Duosi ; Huang, Wei. In: Papers. RePEc:arx:papers:2506.05137.

Full description at Econpapers || Download paper

2025Joint calibration of the volatility surface and variance term structure. (2025). Yoo, Jiwook. In: Papers. RePEc:arx:papers:2509.08096.

Full description at Econpapers || Download paper

2025Tail-Safe Stochastic-Control SPX-VIX Hedging: A White-Box Bridge Between AI Sensitivities and Arbitrage-Free Market Dynamics. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.15937.

Full description at Econpapers || Download paper

2025Beta-Dependent Gamma Feedback and Endogenous Volatility Amplification in Option Markets. (2025). Dai, Haoying. In: Papers. RePEc:arx:papers:2511.22766.

Full description at Econpapers || Download paper

2025Integrating LSTM Networks with Neural Levy Processes for Financial Forecasting. (2025). Alruqimi, Mohammed ; di Persio, Luca. In: Papers. RePEc:arx:papers:2512.07860.

Full description at Econpapers || Download paper

2026Realised quantile-based estimation of the integrated variance. (2026). Oomen, Roel ; Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.13006.

Full description at Econpapers || Download paper

2026VIX and European options with jumps in the short-maturity regime. (2026). Zhu, Lingjiong ; Wang, Xiaoyu ; Pirjol, Dan ; Guo, Desen. In: Papers. RePEc:arx:papers:2601.17248.

Full description at Econpapers || Download paper

2026Pricing Catastrophe: How Extreme Political Shocks Reprice Sovereign Risk, Beliefs, and Growth Expectations. (2026). Spruk, Rok ; Ichev, Riste. In: Papers. RePEc:arx:papers:2601.20724.

Full description at Econpapers || Download paper

2026Fact or friction: Jumps at ultra high frequency. (2026). Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2602.10925.

Full description at Econpapers || Download paper

2026An Infinite-Dimensional Insider Trading Game. (2026). Tseng, Michael C ; Keller, Christian. In: Papers. RePEc:arx:papers:2602.21125.

Full description at Econpapers || Download paper

2026Range-Based Volatility Estimators for Monitoring Market Stress: Evidence from Local Food Price Data. (2026). Johannes, Bo Pieter. In: Papers. RePEc:arx:papers:2603.02898.

Full description at Econpapers || Download paper

2026Asymptotic Separability of Diffusion and Jump Components in High-Frequency CIR and CKLS Models. (2026). Barick, Sourojyoti. In: Papers. RePEc:arx:papers:2603.05119.

Full description at Econpapers || Download paper

2026Differential Machine Learning for 0DTE Options with Stochastic Volatility and Jumps. (2026). Sakuma, Takayuki. In: Papers. RePEc:arx:papers:2603.07600.

Full description at Econpapers || Download paper

2024Who should buy structured investment products and why?. (2024). Guidolin, Massimo ; Pedio, Manuela ; Leonetti, Giacomo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp24222.

Full description at Econpapers || Download paper

2025Global risk aversion and the term premium gap in emerging market economies. (2025). Villa, Stefania ; Flaccadoro, Marco. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1493_25.

Full description at Econpapers || Download paper

2025Pricing of Green Bonds: Greenium Dynamics and the Role of Retail Investors. (2025). Pietsch, Allegra ; Salakhova, Dilyara. In: Working papers. RePEc:bfr:banfra:1010.

Full description at Econpapers || Download paper

2025German Inflation-Linked Bonds: Overpriced, yet Undervalued. (2025). Mouabbi, Sarah ; Paulson, Caroline ; Christensen, Jens. In: Working papers. RePEc:bfr:banfra:1012.

Full description at Econpapers || Download paper

2025The rise of non-bank financial institutions: implications for monetary policy. (2025). Pinter, Gabor ; Hofmann, Boris ; Banerjee, Ryan Niladri ; Ng, Ding Xuan. In: BIS Bulletins. RePEc:bis:bisblt:116.

Full description at Econpapers || Download paper

2024Fire sales of safe assets. (2024). Pinter, Gabor ; Siriwardane, Emil ; Walker, Danny. In: BIS Working Papers. RePEc:bis:biswps:1233.

Full description at Econpapers || Download paper

2024The impact of air pollution on cost of debt: Evidence from corporate bond markets. (2024). Cao, Youdan ; Hu, Xiaolu ; Zhong, Angel ; Wang, Wenlan. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:4:p:3495-3533.

Full description at Econpapers || Download paper

2024Unraveling the impact of female CEOs on corporate bond markets. (2024). Zhao, Ran ; Zhu, LU ; Yuraustin, Jasmine. In: Financial Management. RePEc:bla:finmgt:v:53:y:2024:i:2:p:391-423.

Full description at Econpapers || Download paper

2024Determinants of market‐assessed sovereign default risk: Macroeconomic fundamentals or global shocks?. (2024). Cho, Dooyeon ; Rhee, Dongeun. In: International Finance. RePEc:bla:intfin:v:27:y:2024:i:1:p:35-60.

Full description at Econpapers || Download paper

2024The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under. (2024). Wright, Jonathan ; Lucca, David O. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:2:p:1055-1085.

Full description at Econpapers || Download paper

2024How Integrated are Credit and Equity Markets? Evidence from Index Options. (2024). Trolle, Anders B ; Junge, Benjamin ; Collindufresne, Pierre. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:2:p:949-992.

Full description at Econpapers || Download paper

2024Treasury Richness. (2024). Longstaff, Francis A ; Fleckenstein, Matthias. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:4:p:2797-2844.

Full description at Econpapers || Download paper

2024Excess cash and equity option liquidity. (2024). Deng, Min ; Nguyen, Minh. In: Journal of Financial Research. RePEc:bla:jfnres:v:47:y:2024:i:2:p:401-433.

Full description at Econpapers || Download paper

2024Algorithmic Trading and Forward‐Looking MD&A Disclosures. (2024). Wang, Yiding ; Thomas, Wayne B ; Zhang, Ling. In: Journal of Accounting Research. RePEc:bla:joares:v:62:y:2024:i:4:p:1533-1569.

Full description at Econpapers || Download paper

2024Asymptotic Normality of Bias Reduction Estimation for Jump Intensity Function in Financial Markets. (2024). Qiu, Jiawei ; Zhu, Min ; Song, Yuping. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:558-583.

Full description at Econpapers || Download paper

2024Risky business: How standardization as coordination tool in ecosystems impacts firm‐level uncertainty. (2024). Pyun, Eugene ; Toh, Puay Khoon. In: Strategic Management Journal. RePEc:bla:stratm:v:45:y:2024:i:4:p:649-679.

Full description at Econpapers || Download paper

2024Collateral demand in wholesale funding markets. (2024). Coen, Patrick ; Huser, Anne-Caroline. In: Bank of England working papers. RePEc:boe:boeewp:1082.

Full description at Econpapers || Download paper

2024THE FACTORS AFFECTING CORPORATE BOND SPREADS. (2024). Michelson, Noam ; Vieder, Haim ; Graham-Rozen, Meital. In: Israel Economic Review. RePEc:boi:isrerv:v:22:y:2024:i:1:p:1-46.

Full description at Econpapers || Download paper

2024Dynamic Equity Slope. (2024). Colonnello, Stefano ; Marfe, Roberto ; Breugem, Matthijs ; Zucchi, Francesca. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:713.

Full description at Econpapers || Download paper

2024A Redistributive GSA Scheme to Cope With Socio-Economic Mortality Differentials. (2024). Aragona, Maria ; Vigna, Elena ; Regis, Luca. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:732.

Full description at Econpapers || Download paper

2024Exchange Rates and Sovereign Risk: A Nonlinear Approach Based on Local Gaussian Correlations. (2024). Mahadeo, Scott ; Heinlein, Reinhold ; Legrenzi, Gabriella D. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11019.

Full description at Econpapers || Download paper

2024The Transmission of Monetary Policy to the Cost of Hedging. (2024). Koeniger, Winfried ; Fengler, Matthias ; Minger, Stephan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11556.

Full description at Econpapers || Download paper

2025Sovereign vs. Corporate Debt and Default: More Similar than You Think. (2025). Trebesch, Christoph ; Gopinath, Gita ; Meyer, Josefin ; Reinhart, Carmen. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11799.

Full description at Econpapers || Download paper

2024Persistence-based capital allocation along the FOMC cycle. (2024). Severino, Federico ; Reggiani, Pietro ; Ortu, Fulvio. In: CIRANO Working Papers. RePEc:cir:cirwor:2024s-02.

Full description at Econpapers || Download paper

2024Sovereign vs. Corporate Debt and Default: More Similar than You Think. (2024). Reinhart, Carmen ; Meyer, Josefin ; Gopinath, Gita ; Trebesch, Christoph. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2097.

Full description at Econpapers || Download paper

2024Physical and transition risk premiums in euro area corporate bond markets. (2024). Bats, Joost Victor ; Bua, Giovanna ; Kapp, Daniel. In: Working Paper Series. RePEc:ecb:ecbwps:20242899.

Full description at Econpapers || Download paper

2024Outages in sovereign bond markets. (2024). Kerssenfischer, Mark ; Helmus, Caspar. In: Working Paper Series. RePEc:ecb:ecbwps:20242944.

Full description at Econpapers || Download paper

2025Firms’ risk and monetary transmission: revisiting the excess bond premium. (2025). Palacios, Mar Domenech. In: Working Paper Series. RePEc:ecb:ecbwps:20253118.

Full description at Econpapers || Download paper

2026On randomization of affine diffusion processes with application to pricing of options on VIX and S&P 500. (2026). Grzelak, Lech A. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:508:y:2026:i:c:s0096300325003248.

Full description at Econpapers || Download paper

2025The impact of the COVID-19 pandemic on sovereign debt default risk. (2025). Meng, Hui ; Zhang, Ziyi ; Guo, Yanhong. In: Journal of Asian Economics. RePEc:eee:asieco:v:99:y:2025:i:c:s1049007825000569.

Full description at Econpapers || Download paper

2024Judging a book by its cover: Fund investors’ physical attractiveness stereotypes and investor behavior. (2024). Yan, Shuo ; Zhuo, Jiayi ; Feng, Guo ; Hou, Fangzhuo. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:42:y:2024:i:c:s2214635024000236.

Full description at Econpapers || Download paper

2025Tossed by the tides of emotion: The impact of online media sentiment on stock returns. (2025). Liang, Xiaojun ; Tan, NA ; Chang, Liang. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:46:y:2025:i:c:s2214635025000267.

Full description at Econpapers || Download paper

2024CEO equity incentive duration and expected crash risk. (2024). Yu, Yangxin ; Yi, Louise ; Gu, Zhenjiang. In: The British Accounting Review. RePEc:eee:bracre:v:56:y:2024:i:6:s0890838923001221.

Full description at Econpapers || Download paper

2025Did FinTech steal the cheese of banks? Evidence from Chinese firm exports. (2025). Zhou, Yahong ; Li, Zhiyuan ; Feng, Ling ; Liu, Yixuan. In: China Economic Review. RePEc:eee:chieco:v:91:y:2025:i:c:s1043951x25000501.

Full description at Econpapers || Download paper

2025FinTech and consumption resilience to uncertainty shocks: Evidence from digital wealth management in China. (2025). He, Mei ; Li, Lin ; Liu, Jialin ; Lu, Dong. In: China Economic Review. RePEc:eee:chieco:v:94:y:2025:i:pc:s1043951x2500238x.

Full description at Econpapers || Download paper

2024Informed options trading before FDA drug advisory meetings. (2024). Wu, Zekun ; Borochin, Paul ; Golec, Joseph. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s092911992300144x.

Full description at Econpapers || Download paper

2024Partisan conflict and corporate credit spreads: The role of political connection. (2024). Wang, Liyao. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s092911992300175x.

Full description at Econpapers || Download paper

2024Indirect effects of trading restrictions. (2024). Tang, Yizhou ; Wang, Shujing ; Zhong, Ninghua ; Yan, Hongjun. In: Journal of Corporate Finance. RePEc:eee:corfin:v:86:y:2024:i:c:s0929119924000427.

Full description at Econpapers || Download paper

2024Option trading and equity price efficiency. (2024). Li, Keming. In: Journal of Corporate Finance. RePEc:eee:corfin:v:88:y:2024:i:c:s0929119924000920.

Full description at Econpapers || Download paper

2025A simple nonparametric approach to pricing credit default swaps. (2025). Forte, Santiago. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:180:y:2025:i:c:s0165188925001642.

Full description at Econpapers || Download paper

2025Merton (1976) implied jump. (2025). Fan, Zheqi ; Ruan, Xinfeng ; Yu, Junhong. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:180:y:2025:i:c:s0165188925001654.

Full description at Econpapers || Download paper

2025Corporate bond defaults and cross-regional investment: Evidence from China. (2025). Hu, Xun ; Xue, Cheng ; Zhao, Xiangfang. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:85:y:2025:i:c:p:1514-1533.

Full description at Econpapers || Download paper

2025Assessing geopolitical risk: Sovereign CDS insights from the Russo-Ukrainian War. (2025). Neszveda, Gabor ; Nagy, Olivr. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:85:y:2025:i:c:p:1995-2006.

Full description at Econpapers || Download paper

2025Oil price shocks and green bond spreads: Evidence from China. (2025). Wang, Xiangjin ; Lan, Qiujun ; Ge, Linnan ; Li, Jingxin. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:87:y:2025:i:c:p:178-190.

Full description at Econpapers || Download paper

2024Option listing and underlying commodity futures volatility in China. (2024). Guo, Jin ; Wen, Xiaoqian. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002839.

Full description at Econpapers || Download paper

2025What do sentiments of budget speeches mean for stock returns?. (2025). Shah, Raashid ; Manjhi, Ganesh. In: Economic Modelling. RePEc:eee:ecmode:v:151:y:2025:i:c:s0264999325001518.

Full description at Econpapers || Download paper

2026Public data availability and bond credit spreads: Evidence from China. (2026). Niu, Yuhao ; Wen, Wen ; Dong, Jinghan. In: Economic Modelling. RePEc:eee:ecmode:v:154:y:2026:i:c:s0264999325003372.

Full description at Econpapers || Download paper

2024Determinants of CDS in core and peripheral European countries: A comparative study during crisis and calm periods. (2024). Haddou, Samira. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000111.

Full description at Econpapers || Download paper

2024Market risk modeling with option-implied covariances and score-driven dynamics. (2024). Herrera, Rodrigo ; Pia, Marco. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000615.

Full description at Econpapers || Download paper

2024Pricing VIX options based on mean-reverting models driven by information. (2024). Zheng, Zun-Xin ; Yin, Ya-Hua ; Zhu, Fu-Min. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001281.

Full description at Econpapers || Download paper

2024Examining the nexus between oil shocks and sovereign credit risk: Multidimensional insights from major oil exporters. (2024). Naifar, Nader. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s106294082400130x.

Full description at Econpapers || Download paper

2024Volatility risk premium, good volatility and bad volatility: Evidence from SSE 50 ETF options. (2024). Li, Zhe ; Xiao, Weilin ; Shen, Jiashuang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001311.

Full description at Econpapers || Download paper

2024Option trading volume and the cross-section of option returns. (2024). Hu, Sen ; Yuan, Jianglei ; Liu, Dehong ; Chen, Carl R. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001542.

Full description at Econpapers || Download paper

2025Stock and corporate bond liquidity: When having the same issuer induces commonality. (2025). Mrquez-De, Elena ; Martnez-Caete, Ana R ; Nieto, Beln. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000245.

Full description at Econpapers || Download paper

2025Can volatility spread fully capture the put–call parity violation?. (2025). Zhu, Songping ; Liu, Shican. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:80:y:2025:i:c:s1062940825001330.

Full description at Econpapers || Download paper

2024Economic uncertainty and credit risk: Evidence from international corporate bonds. (2024). Valenzuela, Patricio ; Mella, Javier ; Claveria, Juan. In: Economics Letters. RePEc:eee:ecolet:v:237:y:2024:i:c:s0165176524001496.

Full description at Econpapers || Download paper

2024Dealer inventory and the cross-section of corporate bond returns. (2024). Friewald, Nils ; Nagler, Florian. In: Economics Letters. RePEc:eee:ecolet:v:239:y:2024:i:c:s0165176524001939.

Full description at Econpapers || Download paper

2025Sovereign risk in emerging and advanced economies: The divergent roles of policy credibility and growth. (2025). Ozkan, Gulcin ; Erdem, Fatma Pinar. In: Economics Letters. RePEc:eee:ecolet:v:255:y:2025:i:c:s0165176525003453.

Full description at Econpapers || Download paper

2024Systematic staleness. (2024). Reno, Roberto ; Bandi, Federico M ; Pirino, Davide. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002385.

Full description at Econpapers || Download paper

2024Volatility of volatility and leverage effect from options. (2024). Todorov, Viktor ; Chong, Carsten H. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000150.

Full description at Econpapers || Download paper

2024Maximum likelihood estimation of latent Markov models using closed-form approximations. (2024). Ait-Sahalia, Yacine ; Xu, Chen. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s0304407620303389.

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]		article694
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 694		paper
2003Dynamic Asset Allocation with Event Risk In: Journal of Finance.
[Full Text][Citation analysis]		article194
2001Dynamic Asset Allocation with Event Risk.(2001) In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 194		paper
2002Dynamic Asset Allocation With Event Risk.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 194		paper
2008Volatility Information Trading in the Option Market In: Journal of Finance.
[Full Text][Citation analysis]		article94
2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads In: Journal of Finance.
[Full Text][Citation analysis]		article435
2011The Illiquidity of Corporate Bonds In: Journal of Finance.
[Citation analysis]		article374
2013Noise as Information for Illiquidity In: Journal of Finance.
[Full Text][Citation analysis]		article245
2010Noise as Information for Illiquidity.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 245		paper
2021Tri-Party Repo Pricing In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article14
2015Tri-Party Repo Pricing.(2015) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2010Excess Volatility of Corporate Bonds In: Working Paper Series.
[Full Text][Citation analysis]		paper2
2000Transform Analysis and Asset Pricing for Affine Jump-Diffusions In: Econometrica.
[Citation analysis]		article1150
1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions.(1999) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1150		paper
2017Early peek advantage? Efficient price discovery with tiered information disclosure In: Journal of Financial Economics.
[Full Text][Citation analysis]		article25
2022Premium for heightened uncertainty: Explaining pre-announcement market returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article17
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: 17		paper
2002The jump-risk premia implicit in options: evidence from an integrated time-series study In: Journal of Financial Economics.
[Full Text][Citation analysis]		article652
2003Dynamic derivative strategies In: Journal of Financial Economics.
[Full Text][Citation analysis]		article140
2003Dynamic Derivative Strategies.(2003) In: Working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 140		paper
2006Interpreting Recent Changes in the Credit Spreads of Japanese Banks In: Monetary and Economic Studies.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper328
2006The Information in Option Volume for Future Stock Prices.(2006) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 328		article
2018Chinese Capital Market: An Empirical Overview In: NBER Working Papers.
[Full Text][Citation analysis]		paper12
2019The SOE Premium and Government Support in Chinas Credit Market In: NBER Working Papers.
[Full Text][Citation analysis]		paper10
2019FinTech Platforms and Mutual Fund Distribution In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
2020FinTech Adoption and Household Risk-Taking: From Digital Payments to Platform Investments In: NBER Working Papers.
[Full Text][Citation analysis]		paper13
2013Bond Illiquidity and Excess Volatility In: The Review of Financial Studies.
[Full Text][Citation analysis]		article41
2001Analytical value-at-risk with jumps and credit risk In: Finance and Stochastics.
[Full Text][Citation analysis]		article57
1996STRUCTURES OF SILICON CLUSTERS In: Surface Review and Letters (SRL).
[Full Text][Citation analysis]		article0
2021FinTech adoption and household risk-taking In: BOFIT Discussion Papers.
[Full Text][Citation analysis]		paper7

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated March, 14 2025. Contact: CitEc Team