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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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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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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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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
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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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Pricing interest rate options in a two-factor Cox-Ingersoll-Ross model of the term structure
Chen, Ren-Raw - In: The review of financial studies 5 (1992) 4, pp. 613-636
Persistent link: https://www.econbiz.de/10001137840
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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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Interest rate options in multifactor Cox-Ingersoll-Ross models of the term structure
Chen, Ren-Raw - In: The journal of derivatives : the official publication … 3 (1995) 2, pp. 53-72
Persistent link: https://www.econbiz.de/10001223183
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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
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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