jun pan : Citation Profile

Shanghai Jiao Tong University

14

H index

18

i10 index

4455

Citations

RESEARCH PRODUCTION:

17

Articles

16

Papers

RESEARCH ACTIVITY:

   26 years (1996 - 2022). See details.
   Cites by year: 171
   Journals where jun pan has often published
   Relations with other researchers
   Recent citing documents: 349.    Total self citations: 10 (0.22 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppa1004
   Updated: 2026-01-03    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:

Bollerslev, Tim (44)

Andersen, Torben (42)

Pelizzon, Loriana (25)

Chernov, Mikhail (25)

Wu, Liuren (23)

Lafuente, Juan Angel (23)

Monfort, Alain (22)

Forbes, Catherine (21)

Augustin, Patrick (21)

Caporin, Massimiliano (21)

Escobar Anel, Marcos (20)

Cites to:

Chen, Zhiwu (13)

Cao, Charles (13)

Calvet, Laurent (10)

Campbell, John (10)

Bollerslev, Tim (7)

Singleton, Kenneth (7)

merton, robert (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
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.

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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.

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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.

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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.

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

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2025Chaotic Hedging with Iterated Integrals and Neural Networks. (2024). Schmocker, Philipp ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2209.10166.

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

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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.

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

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

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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.

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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.

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

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

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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.

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

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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.

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

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

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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.

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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.

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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.

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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.

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

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2025Arbitrage-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.

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

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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.

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

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

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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.

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

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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.

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

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

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

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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

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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.

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

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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.

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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.

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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.

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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.

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

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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.

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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.

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

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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2024Measuring tail risk. (2024). Prokopczuk, Marcel ; Dierkes, Maik ; Hollstein, Fabian ; Wursig, Christoph Matthias. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624001155.

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2024Estimating option pricing models using a characteristic function-based linear state space representation. (2024). Laeven, Roger ; Vladimirov, Evgenii ; Boswijk, Peter H. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624002094.

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2025Identifying the volatility risk price through the leverage effect. (2025). Renault, Eric ; Sangrey, Paul ; Cheng, XU. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s030440762400294x.

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2025Neural Conformal Inference for jump diffusion processes. (2025). Wang, Xiao ; Hyun, Hyeong Jin. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625001150.

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2024Comovement and Global Imbalances of Current Accounts. (2024). Yang, Zheng ; Kim, Yoonbai ; Lee, Junsoo ; You, YU. In: Economic Systems. RePEc:eee:ecosys:v:48:y:2024:i:4:s0939362524000219.

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2025The impact of global shocks on sovereign risk: Role of domestic factors. (2025). Inoguchi, Masahiro. In: Economic Systems. RePEc:eee:ecosys:v:49:y:2025:i:2:s0939362524000992.

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2024A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options. (2024). Guizzardi, Andrea ; Ballestra, Luca Vincenzo ; Dinnocenzo, Enzo. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1185-1194.

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2024Variance swaps with mean reversion and multi-factor variance. (2024). Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:1:p:191-212.

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2024The real effect of shadow banking regulation: Evidence from China. (2024). Jiang, BO. In: Emerging Markets Review. RePEc:eee:ememar:v:59:y:2024:i:c:s1566014123000924.

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2025Commodity dependence: Providing information on emerging market CDS spreads when economic indicators are absent. (2025). Zyildirim, Sheyla ; Ordu-Akkaya, Beyza Mina. In: Emerging Markets Review. RePEc:eee:ememar:v:67:y:2025:i:c:s1566014125000482.

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2024Option valuation via nonaffine dynamics with realized volatility. (2024). Wang, Zerong ; Zhang, Yuanyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000215.

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2024Options trading imbalance, cash-flow news, and discount-rate news. (2024). Teterin, Pavel ; Huang, Kershen ; Chichernea, Doina ; Petkevich, Alex. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000264.

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2024The role of intermediaries in derivatives markets: Evidence from VIX options. (2024). Jacobs, Kris ; Mai, Anh Thu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000276.

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2024Global and local information efficiency: An examination of samuelsons dictum. (2024). Xiao, Yaqing ; Zhang, Jinfan ; Yan, Hongjun. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000355.

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2024Policy uncertainty, bad news disclosure, and stock price crash risk. (2024). Yi, Yao ; Wang, Jundong ; Tseng, Kevin ; Kim, Jeong-Bon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000471.

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2024Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models. (2024). Wong, Patrick ; Ignatieva, Katja. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000549.

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2024Do mutual funds and ETFs affect the commonality in liquidity of corporate bonds?. (2024). Cotelioglu, Efe. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000550.

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2024Persistent and transient variance components in option pricing models with variance-dependent Kernel. (2024). Ghanbari, Hamed. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000665.

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2024Is firm-level political risk priced in the corporate bond market?. (2024). Piljak, Vanja ; Ceballos, Luis ; Swinkels, Laurens. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000963.

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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.
[Full Text][Citation analysis]		article686
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 686		paper
2003Dynamic Asset Allocation with Event Risk In: Journal of Finance.
[Full Text][Citation analysis]		article192
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: 192		paper
2002Dynamic Asset Allocation With Event Risk.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 192		paper
2008Volatility Information Trading in the Option Market In: Journal of Finance.
[Full Text][Citation analysis]		article92
2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads In: Journal of Finance.
[Full Text][Citation analysis]		article433
2011The Illiquidity of Corporate Bonds In: Journal of Finance.
[Citation analysis]		article365
2013Noise as Information for Illiquidity In: Journal of Finance.
[Full Text][Citation analysis]		article242
2010Noise as Information for Illiquidity.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 242		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]		article1138
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: 1138		paper
2017Early peek advantage? Efficient price discovery with tiered information disclosure In: Journal of Financial Economics.
[Full Text][Citation analysis]		article24
2022Premium for heightened uncertainty: Explaining pre-announcement market returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article15
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: 15		paper
2002The jump-risk premia implicit in options: evidence from an integrated time-series study In: Journal of Financial Economics.
[Full Text][Citation analysis]		article645
2003Dynamic derivative strategies In: Journal of Financial Economics.
[Full Text][Citation analysis]		article139
2003Dynamic Derivative Strategies.(2003) In: Working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 139		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]		paper325
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: 325		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]		paper10
2013Bond Illiquidity and Excess Volatility In: The Review of Financial Studies.
[Full Text][Citation analysis]		article39
2001Analytical value-at-risk with jumps and credit risk In: Finance and Stochastics.
[Full Text][Citation analysis]		article54
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

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