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Jan Ericsson
Jan Ericsson
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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
9562009
Liquidity and credit risk
J Ericsson, O Renault
The Journal of Finance 61 (5), 2219-2250, 2006
7172006
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
226*2015
Estimating structural bond pricing models
J Ericsson, J Reneby
The Journal of Business 78 (2), 707-735, 2005
2202005
Asset substitution, debt pricing, optimal leverage and maturity
J Ericsson
Debt Pricing, Optimal Leverage and Maturity, 2000
1452000
A framework for valuing corporate securities
J Ericsson, J Reneby
Applied Mathematical Finance 5 (3-4), 143-163, 1998
1321998
The cost and timing of financial distress
R Elkamhi, J Ericsson, CA Parsons
Journal of Financial Economics 105 (1), 62-81, 2012
130*2012
Time‐Varying Asset Volatility and the Credit Spread Puzzle
D Du, R Elkamhi, J Ericsson
The Journal of Finance 74 (4), 1841-1885, 2019
95*2019
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
862013
The valuation of corporate liabilities: Theory and tests
J Ericsson, J Reneby
SSE/EFI Working Paper Series in Economics and Finance, 2001
64*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, 2004
462004
A note on contingent claims pricing with non-traded assets
J Ericsson, J Reneby
SSE/EFI Working Paper Series in Economics and Finance, 2002
432002
Transaction taxes and trading volume on stock exchanges: an international comparison
J Ericsson, R Lindgren
361992
Leverage and asymmetric volatility: The firm-level evidence
J Ericsson, X Huang, S Mazzotta
Journal of Empirical Finance 38, 1-21, 2016
30*2016
Time varying risk premia in corporate bond markets
R Elkamhi, J Ericsson
Available at SSRN 1108266, 2008
26*2008
Stock options as barrier contingent claims
J Ericsson, J Reneby
Applied Mathematical Finance 10 (2), 121-147, 2003
142003
What risks do corporate bond put features insure against?
R Elkamhi, J Ericsson, H Wang
Journal of Futures Markets 32 (11), 1060-1090, 2012
92012
Liquidity and credit risk
O Renault, J Ericsson
FMG Discussion Papers, 2000
82000
R. Oviedo (2007), The Determinants of Credit Default Swap Premia
J Ericsson, K Jacobs
Journal of Financial and Quantitative Analysis, forthcoming, 0
7
Exploring Dynamic Default Dependence
P Christoffersen, J Ericsson, K Jacobs, X Jin
Available at SSRN 1400427, 2009
62009
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Articles 1–20