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An explicit, multi-factor credit default swap pricing model with correlated factors
Chen, Ren-Raw; Cheng, Xiaolin; Fabozzi, Frank J.; Liu, Bo - In: Journal of financial and quantitative analysis : JFQA 43 (2008) 1, pp. 123-160
Persistent link: https://www.econbiz.de/10003692397
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Pricing the term structure of inflation risk premia : theory and evidence from TIPS
Chen, Ren-Raw; Liu, Bo; Cheng, Xiaolin - In: Journal of empirical finance 17 (2010) 4, pp. 702-721
Persistent link: https://www.econbiz.de/10009267256
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Dynamic interactions between interest-rate and credit risk : theory and evidence on the credit default swap term structure
Chen, Ren-Raw; Cheng, Xiaolin; Wu, Liuren - In: Review of finance : journal of the European Finance … 17 (2013) 1, pp. 403-441
Persistent link: https://www.econbiz.de/10009715216
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Optimal capital structure and credit spread under incomplete information
Liu, Bo; Liu, Yang; Peng, Juan; Yang, Jinqiang - In: International review of economics & finance : IREF 49 (2017), pp. 596-611
Persistent link: https://www.econbiz.de/10011748731
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A two-factor, preference-free model for interest rate sensitive claims
Chen, Ren-Raw - In: The journal of futures markets 15 (1995) 3, pp. 345-372
Persistent link: https://www.econbiz.de/10001180184
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Corporate credit default swap liquidity and its implications for corporate bond spreads
Chen, Ren-Raw; Fabozzi, Frank J.; Sverdlove, Ronald - In: The journal of fixed income 20 (2010/11) 2, pp. 31-57
Persistent link: https://www.econbiz.de/10008667946
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Market risk of mortgage-backed securities with consistent measures
Chen, Ren-Raw; Liao, Hsien-hsing; Yang, Tyler T. - In: The journal of real estate finance and economics 36 (2008) 1, pp. 121-140
Persistent link: https://www.econbiz.de/10003622062
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Analytical bounds for Treasury bond futures prices
Chen, Ren-Raw; Yeh, Shih-kuo - In: Review of quantitative finance and accounting 39 (2012) 2, pp. 209-239
Persistent link: https://www.econbiz.de/10009629083
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A simple multi-factor, time-dependent-parameter model for the term structure of interest rates
Chen, Ren-Raw; Yang, Tyler - In: Review of quantitative finance and accounting 19 (2002) 1, pp. 5-20
Persistent link: https://www.econbiz.de/10001698787
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Multi-factor Cox-Ingersoll-Ross models of the term structure : estimates and tests from a Kalman filter model
Chen, Ren-Raw; Scott, Louis O. - In: The journal of real estate finance and economics 27 (2003) 2, pp. 143-172
Persistent link: https://www.econbiz.de/10001788887