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Valuing a liquidity discount
Chen, Ren-Raw - In: The journal of fixed income 21 (2012) 3, pp. 59-73
Persistent link: https://www.econbiz.de/10009532098
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Maximum likelihood estimation for a multifactor equilibrium model of the term structure of interest rates
Chen, Ren-Raw - In: The journal of fixed income 3 (1993) 3, pp. 14-31
Persistent link: https://www.econbiz.de/10001157476
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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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Valuing financial assets with liquidity discount : an implication for Basel III
Chen, Ren-Raw; Filonuk, William; Patro, Dilip Kumar; Yan, An - In: The journal of fixed income 22 (2013) 3, pp. 45-63
Persistent link: https://www.econbiz.de/10009711231
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Sources of credit risk : evidence from credit default swaps
Chen, Ren-Raw; Fabozzi, Frank J.; Pan, Ging-Ging; … - In: The journal of fixed income 16 (2006) 3, pp. 7-21
Persistent link: https://www.econbiz.de/10003422016
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Embedded options in treasury bond futures prices : new evidence
Chen, Ren-Raw; Ju, Hann-shing; Yeh, Shih-kuo - In: The journal of fixed income 19 (2009/10) 1, pp. 82-95
Persistent link: https://www.econbiz.de/10003875982
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A closed-form solution to the liquidity discount problem : with an application to the liquidity crisis
Chen, Ren-Raw; Li, Bo - In: The journal of fixed income 25 (2015) 2, pp. 7-24
Persistent link: https://www.econbiz.de/10011399841
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A liquidity index
Chen, Ren-Raw; He, Wei; Lin, Wenling - In: The journal of fixed income 25 (2016) 4, pp. 5-19
Persistent link: https://www.econbiz.de/10011660731
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It is time to shift log-normal
Chen, Ren-Raw; Hsieh, Pei-Lin; Huang, Jeffrey - In: The journal of fixed income 27 (2017) 2, pp. 37-51
Persistent link: https://www.econbiz.de/10011803736
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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) 2, pp. 31-58
Persistent link: https://www.econbiz.de/10008711134