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~language:"eng"
~person:"Chen, Ren-Raw"
~subject:"Yield curve"
~type_genre:"Article in journal"
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Yield curve
Theorie
34
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16
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16
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14
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9
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9
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Article in journal
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14
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Chen, Ren-Raw
Rudebusch, Glenn D.
31
Jarrow, Robert A.
23
Batten, Jonathan A.
19
Christensen, Jens H. E.
18
Akram, Tanweer
17
Monfort, Alain
16
Wu, Liuren
16
Gupta, Rangan
15
Singleton, Kenneth J.
15
Umar, Zaghum
15
Wohar, Mark E.
15
Wright, Jonathan H.
15
Chiarella, Carl
14
Gouriéroux, Christian
14
Thornton, Daniel L.
14
Almeida, Caio
13
Fabozzi, Frank J.
13
Goldstein, Robert S.
13
Nowman, Kalid Ben
13
Rebonato, Riccardo
13
Schwartz, Eduardo S.
13
Bauer, Michael D.
12
Cebula, Richard J.
12
Chen, Son-nan
12
Collin-Dufresne, Pierre
12
Filipović, Damir
12
Sarno, Lucio
12
Spencer, Peter D.
12
Wu, Chunchi
12
Caporale, Guglielmo Maria
11
Favero, Carlo A.
11
Guidolin, Massimo
11
Li, Haitao
11
Longstaff, Francis A.
11
Realdon, Marco
11
Subrahmanyam, Marti G.
11
Tzavalis, Elias
11
Wu, Jing Cynthia
11
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10
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Review of quantitative finance and accounting
2
The journal of fixed income
2
The journal of futures markets
2
The journal of real estate finance and economics
2
Journal of empirical finance
1
Journal of financial and quantitative analysis : JFQA
1
Review of derivatives research
1
Review of finance : journal of the European Finance Association
1
The journal of derivatives : the official publication of the International Association of Financial Engineers
1
The review of financial studies
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ECONIS (ZBW)
14
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1
Predictive power of the implied volatility term structure in the fixed-income market
Chen, Ren-Raw
;
Hsieh, Pei-Lin
;
Huang, Jeffrey
;
Li, Xiaowei
- In:
The journal of futures markets
43
(
2023
)
3
,
pp. 349-383
Persistent link: https://www.econbiz.de/10014293073
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
A universal lattice
Chen, Ren-Raw
;
Yang, Tyler T.
- In:
Review of derivatives research
3
(
1999
)
2
,
pp. 115-133
Persistent link: https://www.econbiz.de/10001484568
Saved in:
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