John Crosby

University of Maryland - Robert H. Smith School of Business

College Park, MD 20742-1815

United States

http://www.john-crosby.co.uk/

  • University of Maryland - Robert H. Smith School of Business

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SCHOLARLY PAPERS

24

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31

CROSSREF CITATIONS

14

Scholarly Papers (24)

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1.

No Good Deals — No Bad Models

FRB of New York Staff Report No. 589, 26th Australasian Finance and Banking Conference 2013
Number of pages: 62 Posted: 22 Dec 2012 Last Revised: 17 Jul 2014
Nina Boyarchenko, Mario Cerrato, John Crosby and Stewart D. Hodges
Federal Reserve Banks - Federal Reserve Bank of New York, London Metropolitan University - Department of Economics, Finance and International Business (EFIB), University of Maryland - Robert H. Smith School of Business and University of Warwick - Financial Options Research Centre (FORC)
Downloads 2,030 (15,626)
Citation 2

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good deal bounds, model-uncertainty-induced preference functional, asset pricing theory, Knightian uncertainty, model uncertainty, contingent claim pricing

2.

Why Do UK Banks Securitize?

Number of pages: 36 Posted: 06 May 2012
Mario Cerrato, Moorad Choudhry, Moorad Choudhry, John Crosby and John L. Olukuru
London Metropolitan University - Department of Economics, Finance and International Business (EFIB), London Metropolitan UniversityUniversity of Kent Business School, University of Maryland - Robert H. Smith School of Business and affiliation not provided to SSRN
Downloads 623 (84,318)
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3.

Volatility Uncertainty and VIX Futures Contango

Fox School of Business Research Paper Forthcoming, SMU Cox School of Business Research Paper No. 21-19
Number of pages: 46 Posted: 16 Dec 2021
Gurdip Bakshi, John Crosby, Xiaohui Gao and Jinming Xue
Temple University-Fox School of Business, University of Maryland - Robert H. Smith School of Business, Temple University-Fox School of Business and Southern Methodist University (SMU) - Finance Department
Downloads 622 (84,492)
Citation 2

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VIX futures curve, stochastic orders, hedging instruments, contango

4.

A New Formula for the Expected Excess Return of the Market

Fox School of Business Research Paper
Number of pages: 54 Posted: 15 Oct 2019 Last Revised: 20 Dec 2020
Gurdip Bakshi, John Crosby, Xiaohui Gao and Wei Zhou
Temple University-Fox School of Business, University of Maryland - Robert H. Smith School of Business, Temple University-Fox School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 387 (149,691)
Citation 5

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expected excess return of the market, negative correlation condition, lower bound, market risk premium

5.

Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula

Number of pages: 51 Posted: 30 Jun 2014 Last Revised: 20 Jun 2015
Mario Cerrato, John Crosby, Minjoo Kim and Yang Zhao
London Metropolitan University - Department of Economics, Finance and International Business (EFIB), University of Maryland - Robert H. Smith School of Business, University of Liverpool - Accounting and Finance Division and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Downloads 299 (197,742)
Citation 1

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Asymmetry; Tail dependence; Dependence dynamics; Dynamic skewed t copulas; VaR and ES forecasting

6.

Treasury Option Returns and Models with Unspanned Risks

Accepted at Journal of Financial Economics (JFE), 2023
Number of pages: 78 Posted: 28 Jun 2019 Last Revised: 28 Sep 2023
Gurdip Bakshi, John Crosby, Xiaohui Gao and Jorge Wolfgang Hansen
Temple University-Fox School of Business, University of Maryland - Robert H. Smith School of Business, Temple University-Fox School of Business and Aarhus University - Department of Economics and Business Economics
Downloads 274 (216,546)

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Options on futures on Treasury bonds, interest-rate models, option risk premiums, unspanned risks in the pricing kernel

7.

Jumps in Commodity Prices: New Approaches for Pricing Plain Vanilla Options

Energy Economics, Vol. 114, 2022
Number of pages: 41 Posted: 27 Feb 2021 Last Revised: 20 Jan 2023
Carme Frau and John Crosby
Universitat de les Illes Balears and University of Maryland - Robert H. Smith School of Business
Downloads 233 (253,955)
Citation 1

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Commodities, crude oil, futures prices, option pricing, Fourier transform, fast Fourier transform, term-structure model, analytical solution, stochastic volatility, jump-diffusion.

8.

Factor Glut in Asset Pricing through a Modern Optimization Lens

Number of pages: 48 Posted: 06 Jun 2023
Gurdip Bakshi, Timothy Christensen, John Crosby and Xiaohui Gao
Temple University-Fox School of Business, New York University (NYU) - Department of Economics, University of Maryland - Robert H. Smith School of Business and Temple University-Fox School of Business
Downloads 232 (255,013)

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Asset Pricing, Factor Models, Stochastic Discount Factor, Model Selection, Manhattan Distance, Mixed-Integer Optimization

9.

Dark Matter in (Volatility and) Equity Option Risk Premiums

Operations Research
Number of pages: 55 Posted: 23 Nov 2019 Last Revised: 09 Apr 2023
Gurdip Bakshi, John Crosby and Xiaohui Gao
Temple University-Fox School of Business, University of Maryland - Robert H. Smith School of Business and Temple University-Fox School of Business
Downloads 207 (283,850)
Citation 2

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Unspanned equity volatility and jump risks, unspanned risks in the pricing kernel, dark matter, option risk premiums

10.

Cross-Currency Consistency, Three-Part SDF Factorizations, and an Impossibility Theorem for the Stationarity of Exchange Rates in International Economies

Downloads 127 (428,970)

Cross-Currency Consistency, Three-Part SDF Factorizations, and an Impossibility Theorem for the Stationarity of Exchange Rates in International Economies

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 78 Posted: 23 Oct 2018 Last Revised: 01 Oct 2019
Gurdip Bakshi and John Crosby
Temple University-Fox School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 92 (545,235)

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Three-Part Decomposition, Stationarity of Exchange Rates, Incomplete Markets, SDFs

Cross-Currency Consistency, Three-Part SDF Factorizations, and an Impossibility Theorem for the Stationarity of Exchange Rates in International Economies

Number of pages: 35 Posted: 31 Jan 2020 Last Revised: 09 Jan 2021
Gurdip Bakshi and John Crosby
Temple University-Fox School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 35 (872,441)

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11.

Implications of Incomplete Markets for International Economies

Review of Financial Studies (Forthcoming)
Number of pages: 71 Posted: 21 Sep 2017
Gurdip Bakshi, Mario Cerrato and John Crosby
Temple University-Fox School of Business, Glasgow University and University of Maryland - Robert H. Smith School of Business
Downloads 121 (445,100)
Citation 5

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Incomplete Markets, Exchange Rates

12.

The Joint Credit Risk of UK Global-Systemically Important Banks

Journal of Futures Markets, 37(10), 964-988. doi:10.1002/fut.21855
Number of pages: 51 Posted: 28 Oct 2015 Last Revised: 05 Mar 2019
Mario Cerrato, John Crosby, Minjoo Kim and Yang Zhao
London Metropolitan University - Department of Economics, Finance and International Business (EFIB), University of Maryland - Robert H. Smith School of Business, University of Liverpool - Accounting and Finance Division and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Downloads 117 (456,450)
Citation 1

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Joint credit risk; time-varying and asymmetric dependence structure; market factors; GAS based GHST copula

13.

Do Investors Gain by Selling the Tails of Return Distributions?

Number of pages: 56 Posted: 08 Jul 2021 Last Revised: 25 Sep 2024
Gurdip Bakshi, John Crosby and Xiaohui Gao
Temple University-Fox School of Business, University of Maryland - Robert H. Smith School of Business and Temple University-Fox School of Business
Downloads 102 (504,408)

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Blowups, ambiguity aversion, performance measure, selling return tails

14.

Crossing a Rubicon into Active Money Management Realities: Performance Measurement When Funds Follow Opaque Strategies

Number of pages: 78 Posted: 03 Nov 2017 Last Revised: 22 Feb 2018
Gurdip Bakshi, John Crosby and Xiaohui Gao
Temple University-Fox School of Business, University of Maryland - Robert H. Smith School of Business and Temple University-Fox School of Business
Downloads 92 (539,929)

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15.

Higher Order Comoments and Dependence Structure of Equity Portfolio

Number of pages: 43 Posted: 30 Jun 2014
Mario Cerrato, John Crosby, Minjoo Kim and Yang Zhao
London Metropolitan University - Department of Economics, Finance and International Business (EFIB), University of Maryland - Robert H. Smith School of Business, University of Liverpool - Accounting and Finance Division and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Downloads 84 (570,841)
Citation 3

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Higher Order Comoments, Dependence Structure, Hyperbolic Generalized Skewed t Copula, Generalized Autoregressive Score, Risk Management

16.

Fund Performance Measurement Respecting an Industry Benchmark

Fox School of Business Research Paper Forthcoming
Number of pages: 70 Posted: 23 Nov 2019 Last Revised: 29 May 2020
Gurdip Bakshi, John Crosby and Xiaohui Gao
Temple University-Fox School of Business, University of Maryland - Robert H. Smith School of Business and Temple University-Fox School of Business
Downloads 80 (587,427)

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mutual fund, benchmark, ambiguity aversion

17.

The Geography of Exchange Rate Disconnect

Number of pages: 48 Posted: 18 Feb 2021 Last Revised: 07 Aug 2023
Gurdip Bakshi, John Crosby and Xiaohui Gao
Temple University-Fox School of Business, University of Maryland - Robert H. Smith School of Business and Temple University-Fox School of Business
Downloads 74 (613,721)

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Exchange rate disconnect, geography, international bond, equity, and currency markets

18.

Technical Note on Local Time Risk Premiums in Parameterized Models of Interest-Rate Claims

Fox School of Business Research Paper Forthcoming
Number of pages: 34 Posted: 27 Dec 2019 Last Revised: 17 Dec 2020
Gurdip Bakshi, John Crosby and Xiaohui Gao
Temple University-Fox School of Business, University of Maryland - Robert H. Smith School of Business and Temple University-Fox School of Business
Downloads 56 (705,143)

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Expected return of options on Treasury bond futures, unspanned components of pricing kernel, interest-rate models, Tanaka’s formula, local time risk premiums

19.

Studying the Implications of Consumption and Asset Return Data for Stochastic Discount Factors in Incomplete International Economies

Robert H. Smith School Research Paper No. RHS 2858834
Number of pages: 50 Posted: 27 Oct 2016
Gurdip Bakshi, Mario Cerrato and John Crosby
Temple University-Fox School of Business, London Metropolitan University - Department of Economics, Finance and International Business (EFIB) and University of Maryland - Robert H. Smith School of Business
Downloads 49 (747,669)
Citation 2

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Incomplete Markets, Limited Risk Sharing, Currency Puzzles

20.

An Impossibility Theorem for the Stationarity of Exchange Rates

Number of pages: 36 Posted: 09 Aug 2023
Gurdip Bakshi and John Crosby
Temple University and University of Maryland - Robert H. Smith School of Business
Downloads 26 (928,643)

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Exchange rates, impossibility theorem, stationarity

21.

Technical Note on 'Fund Performance Measurement Respecting an Industry Benchmark'

Number of pages: 16 Posted: 08 Mar 2021
Gurdip Bakshi, John Crosby and Xiaohui Gao
Temple University-Fox School of Business, University of Maryland - Robert H. Smith School of Business and Temple University-Fox School of Business
Downloads 25 (938,312)

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Fund management, Fund performance

22.

A Theory of Small Maturity Effects and Data Realities of 7DTE Treasury Options across Tenors

Number of pages: 59
Gurdip Bakshi, John Crosby, Xiaohui Gao and Jorge Wolfgang Hansen
Temple University-Fox School of Business, University of Maryland - Robert H. Smith School of Business, Temple University-Fox School of Business and Aarhus University - Department of Economics and Business Economics
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23.

Risk Sharing in International Economies and Market Incompleteness

American Finance Association Meeting 2016 , 27th Australasian Finance and Banking Conference 2014 Paper
Posted: 16 Aug 2014 Last Revised: 30 Sep 2018
Gurdip Bakshi, Mario Cerrato and John Crosby
Temple University-Fox School of Business, London Metropolitan University - Department of Economics, Finance and International Business (EFIB) and University of Maryland - Robert H. Smith School of Business

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International risk sharing, incomplete markets, exchange rates, high (low) interest rates, carry trade

24.

Be on Your Guard: 7DTE Options Markets and Safety Related Small Maturity Phenomena in Bond and Stock Markets

Number of pages: 63
Gurdip Bakshi, John Crosby, Xiaohui Gao and Jorge Wolfgang Hansen
Temple University-Fox School of Business, University of Maryland - Robert H. Smith School of Business, Temple University-Fox School of Business and Aarhus University - Department of Economics and Business Economics
Downloads 0

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Matched weekly (7DTE) options on S&P 500 index and 7DTE options on Treasury bond futures, bivariate jump distributions, stochastic jump intensity rates, estimated models