jun pan : Citation Profile

Are you jun pan?

Shanghai Jiao Tong University

13

H index

14

i10 index

4011

Citations

RESEARCH PRODUCTION:

17

Articles

16

Papers

RESEARCH ACTIVITY:

   26 years (1996 - 2022). See details.
   Cites by year: 154
   Journals where jun pan has often published
   Relations with other researchers
   Recent citing documents: 200.    Total self citations: 10 (0.25 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppa1004
   Updated: 2024-04-18    RAS profile: 2024-01-04    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with jun pan.

Is cited by:

Andersen, Torben (39)

Bollerslev, Tim (37)

Chernov, Mikhail (26)

Pelizzon, Loriana (25)

Lafuente, Juan Angel (23)

Wu, Liuren (22)

Monfort, Alain (21)

Forbes, Catherine (21)

Caporin, Massimiliano (20)

Ait-Sahalia, Yacine (18)

Escobar Anel, Marcos (15)

Cites to:

Cao, Charles (13)

Chen, Zhiwu (13)

Calvet, Laurent (10)

Campbell, John (10)

merton, robert (7)

Singleton, Kenneth (7)

Bollerslev, Tim (7)

Sodini, Paolo (6)

Scholes, Myron (5)

Duffie, Darrell (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 (2024 and 2023)

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

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

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

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

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

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

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

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

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2024Quantum-Inspired Tensor Neural Networks for Option Pricing. (2022). Tziritas, Kris ; Dominguez, Tomas ; Sharma, Shivam ; Jahromi, Saeed S ; Orus, Roman ; Palmer, Samuel ; Mugel, Samuel ; Sahin, Serkan ; Castellani, Pierre ; Hsing, Chia-Wei ; Aubert, Stephane ; Patel, Raj G ; Abid, Mustafa ; Porte, Vincent ; Michel, Christophe . In: Papers. RePEc:arx:papers:2212.14076.

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

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2024Price Discovery for Derivatives. (2023). Tseng, Michael ; Keller, Christian. In: Papers. RePEc:arx:papers:2302.13426.

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

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

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

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2024iCOS: Option-Implied COS Method. (2023). Vladimirov, Evgenii. In: Papers. RePEc:arx:papers:2309.00943.

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

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

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

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

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

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

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

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

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

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

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

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

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2023.

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

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

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2023.

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

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

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

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

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

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

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

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

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

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2023On foreign drivers of emerging markets fluctuations. (2023). Lorca, Jorge ; Bajraj, Gent ; Wlasiuk, Juan M. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003450.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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2023An explained extreme gradient boosting approach for identifying the time-varying determinants of sovereign risk. (2023). Uribe, Jorge ; Gomez-Gonzalez, Jose ; Giraldo, Iader. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323006451.

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

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

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

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

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

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2023Options-based systemic risk, financial distress, and macroeconomic downturns. (2023). Vioto, Davide ; Tunaru, Radu ; Bevilacqua, Mattia. In: Journal of Financial Markets. RePEc:eee:finmar:v:65:y:2023:i:c:s1386418123000320.

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2023Information flow and credit rating announcements. (2023). Sanger, Gary C ; Mo, Haitao ; Khorram, Mehdi. In: Journal of Financial Markets. RePEc:eee:finmar:v:65:y:2023:i:c:s1386418123000356.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Works by jun pan:

YearTitleTypeCited
2011How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics.
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2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
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2003Dynamic Asset Allocation with Event Risk In: Journal of Finance.
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2001Dynamic Asset Allocation with Event Risk.(2001) In: University of California at Los Angeles, Anderson Graduate School of Management.
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2002Dynamic Asset Allocation With Event Risk.(2002) In: NBER Working Papers.
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2008Volatility Information Trading in the Option Market In: Journal of Finance.
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2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads In: Journal of Finance.
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2011The Illiquidity of Corporate Bonds In: Journal of Finance.
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2013Noise as Information for Illiquidity In: Journal of Finance.
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2010Noise as Information for Illiquidity.(2010) In: NBER Working Papers.
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2021Tri-Party Repo Pricing In: Journal of Financial and Quantitative Analysis.
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2015Tri-Party Repo Pricing.(2015) In: NBER Working Papers.
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2010Excess Volatility of Corporate Bonds In: Working Paper Series.
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2000Transform Analysis and Asset Pricing for Affine Jump-Diffusions In: Econometrica.
[Citation analysis]		article1065
1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions.(1999) In: NBER Working Papers.
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2017Early peek advantage? Efficient price discovery with tiered information disclosure In: Journal of Financial Economics.
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2022Premium for heightened uncertainty: Explaining pre-announcement market returns In: Journal of Financial Economics.
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2019Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns.(2019) In: NBER Working Papers.
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2002The jump-risk premia implicit in options: evidence from an integrated time-series study In: Journal of Financial Economics.
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2003Dynamic derivative strategies In: Journal of Financial Economics.
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2003Dynamic Derivative Strategies.(2003) In: Working papers.
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2006Interpreting Recent Changes in the Credit Spreads of Japanese Banks In: Monetary and Economic Studies.
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2002An Equilibrium Model of Rare Event Premia In: Working papers.
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2004The Information of Option Volume for Future Stock Prices In: NBER Working Papers.
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2006The Information in Option Volume for Future Stock Prices.(2006) In: The Review of Financial Studies.
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2018Chinese Capital Market: An Empirical Overview In: NBER Working Papers.
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2019The SOE Premium and Government Support in Chinas Credit Market In: NBER Working Papers.
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2019FinTech Platforms and Mutual Fund Distribution In: NBER Working Papers.
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2020FinTech Adoption and Household Risk-Taking: From Digital Payments to Platform Investments In: NBER Working Papers.
[Full Text][Citation analysis]		paper6
2013Bond Illiquidity and Excess Volatility In: The Review of Financial Studies.
[Full Text][Citation analysis]		article34
2001Analytical value-at-risk with jumps and credit risk In: Finance and Stochastics.
[Full Text][Citation analysis]		article51
1996STRUCTURES OF SILICON CLUSTERS In: Surface Review and Letters (SRL).
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In: .
[Full Text][Citation analysis]		paper2

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