Jan Ericsson
Jan Ericsson
Verified email at mcgill.ca - Homepage
Title
Cited by
Cited by
Year
The determinants of credit default swap premia
J Ericsson, K Jacobs, R Oviedo
Journal of financial and quantitative analysis 44 (1), 109-132, 2009
7352009
Liquidity and credit risk
J Ericsson, O Renault
The Journal of Finance 61 (5), 2219-2250, 2006
5772006
Can structural models price default risk? Evidence from bond and credit derivative markets
J Ericsson, J Reneby, H Wang
Quarterly Journal of Finance 5 (03), 1550007, 2015
213*2015
Estimating structural bond pricing models
J Ericsson, J Reneby
The Journal of Business 78 (2), 707-735, 2005
1932005
A framework for valuing corporate securities
J Ericsson, J Reneby
Applied Mathematical Finance 5 (3-4), 143-163, 1998
1181998
Asset substitution, debt pricing, optimal leverage and maturity
J Ericsson
Debt Pricing, Optimal Leverage and Maturity, 2000
1172000
The cost and timing of financial distress
R Elkamhi, J Ericsson, CA Parsons
Journal of Financial Economics 105 (1), 62-81, 2012
82*2012
Pricing credit default swaps with observable covariates
H Doshi, J Ericsson, K Jacobs, SM Turnbull
The Review of Financial Studies 26 (8), 2049-2094, 2013
622013
The valuation of corporate liabilities: Theory and tests
J Ericsson, J Reneby
SSE/EFI Working Paper Series in Economics and Finance, 2001
60*2001
An empirical study of structural credit risk models using stock and bond prices
J Ericsson, J Reneby
The Journal of Fixed Income 13 (4), 38-49, 2004
422004
A note on contingent claims pricing with non-traded assets
J Ericsson, J Reneby
SSE/EFI Working Paper Series in Economics and Finance, 2002
372002
Time‐Varying Asset Volatility and the Credit Spread Puzzle
D Du, R Elkamhi, J Ericsson
The Journal of Finance 74 (4), 1841-1885, 2019
34*2019
Transaction taxes and trading volume on stock exchanges: an international comparison
J Ericsson, R Lindgren
331992
Time varying risk premia in corporate bond markets
R Elkamhi, J Ericsson
Available at SSRN 1108266, 2008
21*2008
Stock options as barrier contingent claims
J Ericsson, J Reneby
Applied Mathematical Finance 10 (2), 121-147, 2003
132003
Leverage and asymmetric volatility: The firm-level evidence
J Ericsson, X Huang, S Mazzotta
Journal of Empirical Finance 38, 1-21, 2016
11*2016
pTime varying default risk premia in corporate bond marketsq
R Elkamhi, J Ericsson
Working Paper, McGill University, 2007
52007
What risks do corporate bond put features insure against?
R Elkamhi, J Ericsson, H Wang
Journal of Futures Markets 32 (11), 1060-1090, 2012
32012
Exploring Dynamic Default Dependence
P Christoffersen, J Ericsson, K Jacobs, X Jin
Available at SSRN 1400427, 2009
32009
Variance Risk Premium and Investment Uncertainty
J Ericsson, B Lotfaliei
Available at SSRN 2808765, 2016
12016
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Articles 1–20