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Ren‐Raw Chen · Study
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Author
Ren‐Raw Chen
19 works
· latest 2013
· 3 institutions
cluster: provisional
ORCID 0000-0002-5613-4097
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19
Citations
1,733
Works here
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Most cited in this library
Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates
1993 · 552 citations
Pricing Interest Rate Options in a Two-Factor Cox–Ingersoll–Ross model of the Term Structure: Table 1
1992 · 182 citations
Multi-Factor Cox-Ingersoll-Ross Models of the Term Structure: Estimates and Tests from a Kalman Filter Model
2003 · 165 citations
The impact of credit rating announcements on credit default swap spreads
2013 · 130 citations
Pricing the term structure of inflation risk premia: Theory and evidence from TIPS
2010 · 84 citations
Works
19 shown
The impact of credit rating announcements on credit default swap spreads
Journal of Banking & Finance
·
2013
·
3 authors
130
citations
Liquidity, Leverage, and Lehman: A Structural Analysis of Financial Institutions in Crisis
Journal of Banking & Finance
·
2013
·
4 authors
·
Open access
39
citations
Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure*
European Finance Review
·
2011
·
3 authors
57
citations
Corporate Credit Default Swap Liquidity and Its Implicationsfor Corporate Bond Spreads
The Journal of Fixed Income
·
2010
·
3 authors
58
citations
Pricing the term structure of inflation risk premia: Theory and evidence from TIPS
Journal of Empirical Finance
·
2010
·
3 authors
84
citations
Empirical Performance of the Constant Elasticity Variance Option Pricing Model
Review of Pacific Basin Financial Markets and Policies
·
2009
·
3 authors
26
citations
An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors
Journal of Financial and Quantitative Analysis
·
2008
·
4 authors
66
citations
Optimal strike prices of stock options for effort-averse executives
Journal of Banking & Finance
·
2007
·
4 authors
·
Open access
46
citations
Exploring the components of credit risk in credit default swaps
Finance research letters
·
2006
·
3 authors
71
citations
Dynamic Interactions between Interest Rate, Credit, and Liquidity Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreads
SSRN Electronic Journal
·
2005
·
3 authors
·
preprint
·
Open access
47
citations
Inflation, Fisher Equation, and the Term Structure of Inflation Risk Premia: Theory and Evidence from Tips
SSRN Electronic Journal
·
2005
·
3 authors
·
preprint
·
Open access
25
citations
Multi-Factor Cox-Ingersoll-Ross Models of the Term Structure: Estimates and Tests from a Kalman Filter Model
The Journal of Real Estate Finance and Economics
·
2003
·
2 authors
·
Open access
165
citations
The Valuation of Default-Triggered Credit Derivatives
Journal of Financial and Quantitative Analysis
·
2003
·
2 authors
24
citations
Option Pricing in a Multi-Asset, Complete Market Economy
Journal of Financial and Quantitative Analysis
·
2002
·
3 authors
30
citations
Interest Rate Options in Multifactor Cox-Ingersoll-Ross Models of the Term Structure
The Journal of Derivatives
·
1995
·
2 authors
·
Open access
55
citations
Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates
The Journal of Fixed Income
·
1993
·
2 authors
552
citations
Pricing interest rate futures options with futures‐style margining
Journal of Futures Markets
·
1993
·
2 authors
49
citations
Pricing Interest Rate Options in a Two-Factor Cox–Ingersoll–Ross model of the Term Structure: Table 1
Review of Financial Studies
·
1992
·
2 authors
182
citations
Exact Solutions for Futures and European Futures Options on Pure Discount Bonds
Journal of Financial and Quantitative Analysis
·
1992
·
1 author
27
citations