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Details about Jun Pan

Workplace:Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University, (more information at EDIRC)

Access statistics for papers by Jun Pan.

Last updated 2014-12-05. Update your information in the RePEc Author Service.

Short-id: ppa1004


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Working Papers

2019

  1. FinTech Platforms and Mutual Fund Distribution
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  2. Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  3. Price Discovery and Market Segmentation in China's Credit Market
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2018

  1. Chinese Capital Market: An Empirical Overview
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)

2015

  1. Tri-Party Repo Pricing
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)

2010

  1. Excess Volatility of Corporate Bonds
    Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics Downloads View citations (2)
  2. Noise as Information for Illiquidity
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
    See also Journal Article in Journal of Finance (2013)

2007

  1. How Sovereign is Sovereign Credit Risk?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (31)
    See also Journal Article in American Economic Journal: Macroeconomics (2011)

2004

  1. The Information of Option Volume for Future Stock Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Journal Article in Review of Financial Studies (2006)

2003

  1. Dynamic Derivative Strategies
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management Downloads View citations (93)
    See also Journal Article in Journal of Financial Economics (2003)

2002

  1. An Equilibrium Model of Rare Event Premia
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management Downloads View citations (1)
  2. Dynamic Asset Allocation With Event Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2001) Downloads View citations (1)

1999

  1. Transform Analysis and Asset Pricing for Affine Jump-Diffusions
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Journal Article in Econometrica (2000)

Journal Articles

2013

  1. Bond Illiquidity and Excess Volatility
    Review of Financial Studies, 2013, 26, (12), 3068-3103 Downloads View citations (22)
  2. Noise as Information for Illiquidity
    Journal of Finance, 2013, 68, (6), 2341-2382 Downloads View citations (97)
    See also Working Paper (2010)

2011

  1. How Sovereign Is Sovereign Credit Risk?
    American Economic Journal: Macroeconomics, 2011, 3, (2), 75-103 Downloads View citations (382)
    See also Working Paper (2007)
  2. The Illiquidity of Corporate Bonds
    Journal of Finance, 2011, 66, (3), 911-946 View citations (193)

2008

  1. Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads
    Journal of Finance, 2008, 63, (5), 2345-2384 Downloads View citations (303)
  2. Volatility Information Trading in the Option Market
    Journal of Finance, 2008, 63, (3), 1059-1091 Downloads View citations (49)

2006

  1. Interpreting Recent Changes in the Credit Spreads of Japanese Banks
    Monetary and Economic Studies, 2006, 24, (S1), 129-141 Downloads View citations (3)
  2. The Information in Option Volume for Future Stock Prices
    Review of Financial Studies, 2006, 19, (3), 871-908 Downloads View citations (159)
    See also Working Paper (2004)

2003

  1. Dynamic derivative strategies
    Journal of Financial Economics, 2003, 69, (3), 401-430 Downloads View citations (58)
    See also Working Paper (2003)

2002

  1. The jump-risk premia implicit in options: evidence from an integrated time-series study
    Journal of Financial Economics, 2002, 63, (1), 3-50 Downloads View citations (313)

2001

  1. Analytical value-at-risk with jumps and credit risk
    Finance and Stochastics, 2001, 5, (2), 155-180 Downloads View citations (39)

2000

  1. Transform Analysis and Asset Pricing for Affine Jump-Diffusions
    Econometrica, 2000, 68, (6), 1343-1376 View citations (816)
    See also Working Paper (1999)
 
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