Bjørn Eraker

4.5k total citations · 2 hit papers
29 papers, 3.1k citations indexed

About

Bjørn Eraker is a scholar working on Finance, Economics and Econometrics and General Economics, Econometrics and Finance. According to data from OpenAlex, Bjørn Eraker has authored 29 papers receiving a total of 3.1k indexed citations (citations by other indexed papers that have themselves been cited), including 25 papers in Finance, 17 papers in Economics and Econometrics and 5 papers in General Economics, Econometrics and Finance. Recurrent topics in Bjørn Eraker's work include Financial Markets and Investment Strategies (21 papers), Stochastic processes and financial applications (16 papers) and Financial Risk and Volatility Modeling (11 papers). Bjørn Eraker is often cited by papers focused on Financial Markets and Investment Strategies (21 papers), Stochastic processes and financial applications (16 papers) and Financial Risk and Volatility Modeling (11 papers). Bjørn Eraker collaborates with scholars based in United States, Australia and Spain. Bjørn Eraker's co-authors include Michael Johannes, Nicholas Polson, Nick Polson, Ivan Shaliastovich, Mark J. Ready, Yue Wu, Wenyu Wang, Andrew T. Foerster, Erwan Quintin and António S. Mello and has published in prestigious journals such as The Journal of Finance, Journal of Financial Economics and Management Science.

In The Last Decade

Bjørn Eraker

28 papers receiving 2.9k citations

Hit Papers

align trajectories

What are hit papers?

Hit papers significantly outperform the citation benchmark for their cohort. A paper qualifies if it has ≥500 total citations, achieves ≥1.5× the top-1% citation threshold for papers in the same subfield and year (this is the minimum needed to enter the top 1%, not the average within it), or reaches the top citation threshold in at least one of its specific research topics.

The Impact of Jumps in Volatility and Returns

2003 1.1k citations Bjørn Eraker, Michael Johannes et al. The Journal of Finance profile →
Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices

2004 826 citations Bjørn Eraker The Journal of Finance profile →

Peers

Bjørn Eraker

FINAN

EE

GEEF

DEMOG

SP

Michael Johannes United States

Viktor Todorov United States

Éric Jacquier Canada

David S. Bates United States

Rüdiger Frey Switzerland

Kris Jacobs United States

Jin‐Chuan Duan Singapore

Giovanni Barone‐Adesi Switzerland

Bas J. M. Werker Netherlands

Fabio Trojani Switzerland

Michael Johannes United States

Bjørn Eraker

3.2k ×1.1

FINAN

1.6k ×1.2

EE

583 ×1.5

GEEF

273 ×1.0

DEMOG

166 ×1.0

SP

Citations per year, relative to Bjørn Eraker Bjørn Eraker (= 1×) peers Michael Johannes

Countries citing papers authored by Bjørn Eraker

Since Specialization

Citations

This map shows the geographic impact of Bjørn Eraker's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Bjørn Eraker with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Bjørn Eraker more than expected).

Fields of papers citing papers by Bjørn Eraker

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Bjørn Eraker. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Bjørn Eraker. The network helps show where Bjørn Eraker may publish in the future.

Co-authorship network of co-authors of Bjørn Eraker

This figure shows the co-authorship network connecting the top 25 collaborators of Bjørn Eraker. A scholar is included among the top collaborators of Bjørn Eraker based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Bjørn Eraker. Bjørn Eraker is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

Sort: Min cites: Since: Top N: Style:

20 of 20 papers shown

1.

Eraker, Bjørn. (2024). Predictability Puzzles. Journal of Financial and Quantitative Analysis. 60(1). 482–523.

2.

Eraker, Bjørn, et al.. (2024). 0DTEs: Trading, Gamma Risk and Volatility Propagation. SSRN Electronic Journal. 1 indexed citations

3.

Eraker, Bjørn, et al.. (2022). Market Maker Inventory, Bid–Ask Spreads, and the Computation of Option Implied Risk Measures. Journal of Financial Econometrics. 21(5). 1820–1851. 4 indexed citations

4.

Eraker, Bjørn. (2021). The Volatility Premium. Quarterly Journal of Finance. 11(3). 2150014–2150014. 4 indexed citations

5.

Eraker, Bjørn. (2020). Predictability Puzzles. SSRN Electronic Journal. 2 indexed citations

6.

Eraker, Bjørn, et al.. (2015). A non-linear dynamic model of the variance risk premium. Journal of Econometrics. 187(2). 547–556. 18 indexed citations

7.

Eraker, Bjørn & Mark J. Ready. (2014). Do investors overpay for stocks with lottery-like payoffs? An examination of the returns of OTC stocks. Journal of Financial Economics. 115(3). 486–504. 96 indexed citations

8.

Eraker, Bjørn, et al.. (2014). Bayesian Mixed Frequency VARs. Journal of Financial Econometrics. 13(3). 698–721. 38 indexed citations

9.

Eraker, Bjørn, et al.. (2012). A Non-Linear Dynamic Model of the Variance Risk Premium. SSRN Electronic Journal. 1 indexed citations

10.

Eraker, Bjørn & Wenyu Wang. (2011). Dynamic Present Values and the Intertemporal CAPM. SSRN Electronic Journal. 3 indexed citations

11.

Eraker, Bjørn & Mark J. Ready. (2011). Do Investors Overpay for Stocks with Lottery-Like Payoffs? An Examination of the Returns on OTC Stocks. SSRN Electronic Journal. 37 indexed citations

12.

Eraker, Bjørn, Ivan Shaliastovich, & Wenyu Wang. (2011). Durable Goods, Inflation Risk and the Equilibrium Term Structure. SSRN Electronic Journal. 2 indexed citations

13.

Dangl, Thomas, Bjørn Eraker, Christopher A. Hennessy, et al.. (2010). Corporate Investment Under Uncertain Business Cycles. 1 indexed citations

14.

Eraker, Bjørn & Ivan Shaliastovich. (2008). AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS. Mathematical Finance. 18(4). 519–543. 123 indexed citations

15.

Eraker, Bjørn. (2007). A Bayesian view of temporary components in asset prices. Journal of Empirical Finance. 15(3). 503–517. 7 indexed citations

16.

Eraker, Bjørn. (2006). Affine General Equilibrium Models. SSRN Electronic Journal. 13 indexed citations

17.

Eraker, Bjørn. (2004). Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices. The Journal of Finance. 59(3). 1367–1403. 826 indexed citations breakdown →

18.

Eraker, Bjørn. (2002). Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment. Journal of Business and Economic Statistics. 20(3). 327–329. 1 indexed citations

19.

Johannes, Michael, Bjørn Eraker, & Nick Polson. (2001). The Impact of Jumps in Volatility and Returns. SSRN Electronic Journal. 314 indexed citations

20.

Eraker, Bjørn. (2001). MCMC Analysis of Diffusion Models With Application to Finance. Journal of Business and Economic Statistics. 19(2). 177–191. 271 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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