NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Jun Pan

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Working Papers

October 2010Noise as Information for Illiquidity
with Xing Hu, Jiang Wang: w16468

Published: “Noise as Information for Illiquidi ty,” (with Xing Hu and Jiang Wang), Journal of Finance , volume 68, pages 2223-2772, 2013.

December 2007How Sovereign is Sovereign Credit Risk?
with Francis A. Longstaff, Lasse H. Pedersen, Kenneth J. Singleton: w13658

Published: Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2011. "How Sovereign Is Sovereign Credit Risk?," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 75-103, April.

November 2004The Information of Option Volume for Future Stock Prices
with Allen Poteshman: w10925

Published: Pan, Jun and Allen M. Poteshman. "The Information In Option Volume For Future Stock Prices," Review of Financial Studies, 2006, v19(3,Fall), 871-908.

August 2002Dynamic Asset Allocation With Event Risk
with Jun Liu, Francis A. Longstaff: w9103

Published: Liu, Jun, Francis A. Longstaff and Jun Pan. "Dynamic Asset Allocations with Event Risk." The Journal of Finance 58, 1 (February 2003): 231-259.

April 1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions
with Darrell Duffie, Kenneth Singleton: w7105

Published: Duffie, Darrell, Jun Pan and Kenneth Singleton. "Transform Analysis And Asset Pricing For Affine Jump-Diffusions," Econometrica, 2000, v68(6,Nov), 1343-1376.

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

 
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