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Jun Pan
Jun Pan
Adresse e-mail validée de saif.sjtu.edu.cn - Page d'accueil
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Transform analysis and asset pricing for affine jump‐diffusions
D Duffie, J Pan, K Singleton
Econometrica 68 (6), 1343-1376, 2000
40462000
The jump-risk premia implicit in options: Evidence from an integrated time-series study
J Pan
Journal of financial economics 63 (1), 3-50, 2002
20892002
An overview of value at risk
D Duffie, J Pan
Journal of derivatives 4 (3), 7-49, 1997
20711997
How sovereign is sovereign credit risk?
FA Longstaff, J Pan, LH Pedersen, KJ Singleton
American Economic Journal: Macroeconomics 3 (2), 75-103, 2011
15072011
The illiquidity of corporate bonds
J Bao, J Pan, J Wang
The Journal of Finance 66 (3), 911-946, 2011
13432011
Default and recovery implicit in the term structure of sovereign CDS spreads
J Pan, KJ Singleton
The Journal of Finance 63 (5), 2345-2384, 2008
11832008
The information in option volume for future stock prices
J Pan, AM Poteshman
Review of Financial Studies 19 (3), 871-908, 2006
10632006
Noise as information for illiquidity
GX Hu, J Pan, J Wang
The Journal of Finance 68 (6), 2341-2382, 2013
6142013
Dynamic asset allocation with event risk
J Liu, FA Longstaff, J Pan
The Journal of Finance 58 (1), 231-259, 2003
5602003
An equilibrium model of rare-event premia and its implication for option smirks
J Liu, J Pan, T Wang
The Review of Financial Studies 18 (1), 131-164, 2005
4972005
Dynamic derivative strategies
J Liu, J Pan
Journal of Financial Economics 69 (3), 401-430, 2003
4012003
Volatility information trading in the option market
SX Ni, J Pan, AM Poteshman
The Journal of Finance 63 (3), 1059-1091, 2008
3492008
Analytical value-at-risk with jumps and credit risk
D Duffie, J Pan
Finance and Stochastics 5, 155-180, 2001
2402001
Bond illiquidity and excess volatility
J Bao, J Pan
The Review of Financial Studies 26 (12), 3068-3103, 2013
163*2013
Premium for heightened uncertainty: Explaining pre-announcement market returns
GX Hu, J Pan, J Wang, H Zhu
Journal of Financial Economics 145 (3), 909-936, 2022
109*2022
FinTech adoption and household risk-taking: From Digital Payments to Platform Investments
CY Hong, X Lu, J Pan
National Bureau of Economic Research, 2020
88*2020
Early peek advantage? Efficient price discovery with tiered information disclosure
G Hu, J Pan, J Wang
Journal of Financial Economics 126 (2), 399-421, 2017
87*2017
Chinese capital market: An empirical overview
GX Hu, J Pan, J Wang
National Bureau of Economic Research, 2018
662018
The SOE Premium and Government Support in China's Credit Market
Z Geng, J Pan
65*2019
Tri-party repo pricing
GX Hu, J Pan, J Wang
Journal of Financial and Quantitative Analysis 56 (1), 337-371, 2021
602021
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