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Density-tempered marginalized sequential Monte Carlo samplers

Duan, Jin-Chuan; Fulop, Andras - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 2, pp. 192-202

Persistent link: https://www.econbiz.de/10011390012

A public good approach to credit ratings : from concept to reality

Duan, Jin-Chuan; Van Laere, Elisabeth - In: Journal of banking & finance 36 (2012) 12, pp. 3239-3247

Persistent link: https://www.econbiz.de/10009660503

Forward-looking market risk premium

Duan, Jin-Chuan; Zhang, Weiqi - In: Management science : journal of the Institute for … 60 (2014) 2, pp. 521-538

Persistent link: https://www.econbiz.de/10010258775

Estimating the structural credit risk model when equity prices are contaminated by trading noises

Duan, Jin-Chuan; Fulop, Andras - 2005

The transformed-data maximum likelihood estimation (MLE) method for struc- tural credit risk models developed by Duan (1994) is extended to account for the fact that observed equity prices may have been contaminated by trading noises. With the presence of trading noises, the likelihood function...

Persistent link: https://www.econbiz.de/10011560691

Multiperiod corporate default prediction : a forward intensity approach

Duan, Jin-Chuan; Sun, Jie; Wang, Tao - In: Journal of econometrics 170 (2012) 1, pp. 191-209

Persistent link: https://www.econbiz.de/10009673113

Statistical credit rating methods

Duan, Jin-Chuan; Shrestha, Keshab - In: Global credit review 1 (2011) 1, pp. 43-64

Persistent link: https://www.econbiz.de/10009673424

Fair insurance guaranty premia in the presence of risk-based capital regulations, stochastic interest rate and catastrophe risk

Duan, Jin-Chuan; Yu, Min-Teh - In: Journal of banking & finance 29 (2005) 10, pp. 2435-2454

Persistent link: https://www.econbiz.de/10003071010

Option valuation with co.integrated asset prices

Duan, Jin-Chuan; Pliska, Stanley R. - In: Journal of economic dynamics & control 28 (2004) 4, pp. 727-754

Persistent link: https://www.econbiz.de/10001854468

American option pricing under GARCH by a Markov chain approximation

Duan, Jin-Chuan; Simonato, Jean-Guy - In: Journal of economic dynamics & control 25 (2001) 11, pp. 1689-1718

Persistent link: https://www.econbiz.de/10001599252

Maximum likelihood estimation of deposit insurance value with interest rate risk

Duan, Jin-Chuan; Simonato, Jean-Guy - In: Journal of empirical finance 9 (2002) 1, pp. 109-132

Persistent link: https://www.econbiz.de/10001655796