Jun Pan
Jun Pan
Verified email at saif.sjtu.edu.cn - Homepage
Title
Cited by
Cited by
Year
Transform analysis and asset pricing for affine jump‐diffusions
D Duffie, J Pan, K Singleton
Econometrica 68 (6), 1343-1376, 2000
35722000
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
18612002
An overview of value at risk
D Duffie, J Pan
Journal of derivatives 4 (3), 7-49, 1997
18211997
How sovereign is sovereign credit risk?
FA Longstaff, J Pan, LH Pedersen, KJ Singleton
American Economic Journal: Macroeconomics 3 (2), 75-103, 2011
11862011
The illiquidity of corporate bonds
J Bao, J Pan, J Wang
The Journal of Finance 66 (3), 911-946, 2011
9982011
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
9942008
The information in option volume for future stock prices
J Pan, AM Poteshman
Review of Financial Studies 19 (3), 871-908, 2006
8242006
Dynamic asset allocation with event risk
J Liu, FA Longstaff, J Pan
The Journal of Finance 58 (1), 231-259, 2003
4912003
Noise as information for illiquidity
GX Hu, J Pan, J Wang
The Journal of Finance 68 (6), 2341-2382, 2013
4492013
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
4492005
Dynamic derivative strategies
J Liu, J Pan
Journal of Financial Economics 69 (3), 401-430, 2003
3382003
Volatility information trading in the option market
SX Ni, J Pan, AM Poteshman
The Journal of Finance 63 (3), 1059-1091, 2008
2902008
Analytical value-at-risk with jumps and credit risk
D Duffie, J Pan
Finance and Stochastics 5 (2), 155-180, 2001
2092001
Bond illiquidity and excess volatility
J Bao, J Pan
The Review of Financial Studies 26 (12), 3068-3103, 2013
129*2013
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
58*2017
Trading puts and CDS on stocks with short sale ban
SX Ni, J Pan
unpublished HKUST and MIT working paper (July), 2011
552011
Tri-party repo pricing
GX Hu, J Pan, J Wang
National Bureau of Economic Research, 2015
362015
Premium for heightened uncertainty: explaining pre-announcement market returns
GX Hu, J Pan, J Wang, H Zhu
National Bureau of Economic Research, 2019
33*2019
Chinese capital market: An empirical overview
GX Hu, J Pan, J Wang
National Bureau of Economic Research, 2018
222018
Stochastic volatility with reset at jumps
J Pan
Available at SSRN 135048, 1997
161997
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Articles 1–20