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A simple long-memory equilibrium interest rate model
Duan, J.-C.; Jacobs, K. - In: Economics letters 53 (1996) 3, pp. 317-322
Persistent link: https://www.econbiz.de/10006794999
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Capital standard, forbearance and deposit insurance pricing under GARCH
Duan, J.-C.; Yu, M.-T. - In: Journal of banking & finance 23 (1999) 11, pp. 1691-1706
Persistent link: https://www.econbiz.de/10005898060
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Deposit insurance and bank interest rate risk: Pricing and regulatory implications
Duan, J.-C.; Moreau, A.F.; Sealey, C.W. - In: Journal of banking & finance 19 (1995) 6, pp. 1091-1108
Persistent link: https://www.econbiz.de/10005910511
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Loan commitments, investment decisions and the signalling equilibrium
Duan, J.-C.; Yoon, S.H. - In: Journal of banking & finance 17 (1993) 4, pp. 645-662
Persistent link: https://www.econbiz.de/10005916953
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Approximating American option prices in the GARCH framework
Duan, Jin-Chuan; Gauthier, Geneviève; Sasseville, Caroline - In: The journal of futures markets 23 (2003) 10, pp. 915-930
Persistent link: https://www.econbiz.de/10006821173
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Volatility and Maturity Effects in the Nikkei Index Futures
Chen, Yen-Ju; Duan, Jin-Chuan; Hung, Mao-Wei - In: The journal of futures markets 19 (1999) 8, pp. 895-910
Persistent link: https://www.econbiz.de/10006840702
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Augmented GARCH(p, q) process and its diffusion limit
Duan, Jin-Chuan - In: Journal of econometrics 79 (1997) 1, pp. 97-128
Persistent link: https://www.econbiz.de/10006792629
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Forbearance and Pricing Deposit Insurance in a Multiperiod Framework
Duan, Jin-Chuan; Yu, Min-Teh - In: The journal of risk and insurance : the journal of the … 61 (1994) 4, pp. 575-591
Persistent link: https://www.econbiz.de/10006221804
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Pricing Hang Seng Index options around the Asian financial crisis - A GARCH approach
Duan, Jin-Chuan; Zhang, Hua - In: Journal of banking & finance 25 (2001) 11, pp. 1989-2014
Persistent link: https://www.econbiz.de/10005891872
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Pricing Foreign Currency and Cross-Currency Options Under GARCH
Duan, Jin-Chuan; Wei, Jason Z. - In: The journal of derivatives : the official publication … 7 (1999) 1, pp. 51-63
Persistent link: https://www.econbiz.de/10005965388