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Analytical value-at-risk with jumps and credit risk
Duffie, Darrell; Pan, Jun - In: Finance and stochastics 5 (2001) 2, pp. 155-180
Persistent link: https://www.econbiz.de/10001571486
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Transform analysis and asset pricing for affine jump-diffusions
Duffie, Darrell; Pan, Jun; Singleton, Kenneth J. - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 6, pp. 1343-1376
Persistent link: https://www.econbiz.de/10001527496
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The jump-risk premia implicit in options : evidence from an integrated time-series study
Pan, Jun - In: Journal of financial economics 63 (2002) 1, pp. 3-50
Persistent link: https://www.econbiz.de/10001634368
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Disclosure of government financial information and the cost of local government's debt financing : empirical evidence from provincial investment bonds for urban construction
Chen, Zhibin; Pan, Jun; Wang, Liangliang; Shen, Xiaofeng - In: China journal of accounting research : CJAR 9 (2016) 3, pp. 191-206
China's slowing economic growth and rapid urbanization have made local government debt financing a significant issue. This study uses a sample of China’s provincial government data for the 2006–2012 period to examine the effect of the disclosure of financial information by local governments...
Persistent link: https://www.econbiz.de/10011844654
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The information in option volume for future stock prices
Pan, Jun; Poteshman, Allen M. - In: The review of financial studies 19 (2006) 3, pp. 871-908
Persistent link: https://www.econbiz.de/10003358394
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Volatility information trading in the option market
Ni, Sophie X.; Pan, Jun; Poteshman, Allen M. - In: The journal of finance : the journal of the American … 63 (2008) 3, pp. 1059-1091
Persistent link: https://www.econbiz.de/10003822210
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Default and recoverty implicit in the term structure of sovereign CDS spreads
Pan, Jun; Singleton, Kenneth J. - In: The journal of finance : the journal of the American … 63 (2008) 5, pp. 2345-2384
Persistent link: https://www.econbiz.de/10003822487
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The illiquidity of corporate bonds
Bao, Jack; Pan, Jun; Wang, Jiang - In: The journal of finance : the journal of the American … 66 (2011) 3, pp. 911-946
Persistent link: https://www.econbiz.de/10009160330
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Bond illiquidity and excess volatility
Bao, Jack; Pan, Jun - In: The review of financial studies 26 (2013) 12, pp. 3068-3103
Persistent link: https://www.econbiz.de/10010237371
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Noise as information for illiquidity
Hu, Xing; Pan, Jun; Wang, Jiang - In: The journal of finance : the journal of the American … 68 (2013) 6, pp. 2341-2382
Persistent link: https://www.econbiz.de/10010237384