Research output per year
Research output per year
- 47 results
Search results
-
2020
An examination of ex ante risk and return in the cross-section using option-implied information
Kim, D., Chen, R. R., Roh, T. Y. & Panda, D., 01 11 2020, In: European Journal of Finance. 26, 16, p. 1623-1645 23 p.Research output: Contribution to journal › Journal Article › peer-review
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Futures minimum variance hedge ratio determination: An ex-ante analysis
Chen, R. R., Leistikow, D. & Wang, A., 11 2020, In: North American Journal of Economics and Finance. 54, 100924.Research output: Contribution to journal › Journal Article › peer-review
4 Scopus citations -
2018
A resolution to valuation conflicts of swaptions/caps and OIS/LIBOR
Chen, R. R., Hsieh, P. L., Huang, J. & Huang, J., 2018, In: Journal of Fixed Income. 28, 3, p. 68-87 20 p.Research output: Contribution to journal › Journal Article › peer-review
2 Scopus citations -
Crash risk and risk neutral densities
Chen, R. R., Hsieh, P. L. & Huang, J., 06 2018, In: Journal of Empirical Finance. 47, p. 162-189 28 p.Research output: Contribution to journal › Journal Article › peer-review
Open Access5 Scopus citations -
It is time to shift log-normal
Chen, R. R., Hsieh, P. L. & Huang, J., 01 03 2018, In: Journal of Derivatives. 25, 3, p. 89-103 15 p.Research output: Contribution to journal › Journal Article › peer-review
3 Scopus citations -
2017
It is time to shift log-normal
Chen, R. R., Hsieh, P. L. & Huang, J., 01 09 2017, In: Journal of Fixed Income. 27, 2, p. 37-51 15 p.Research output: Contribution to journal › Journal Article › peer-review
3 Scopus citations -
The liquidity impact on firm values: The evidence of Taiwan's banking industry
Chen, R. R., Yang, T. H. & Yeh, S. K., 09 2017, In: Journal of Banking and Finance. 82, p. 191-202 12 p.Research output: Contribution to journal › Journal Article › peer-review
14 Scopus citations -
What lies beneath the implementation of expensing equity-based compensation?
Lin, H. C., Chen, R. R., Chou, T. K. & Long, M., 12 2017, In: Pacific Basin Finance Journal. 46, p. 78-93 16 p.Research output: Contribution to journal › Journal Article › peer-review
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2016
A liquidity index
Chen, R. R., He, W. & Lin, W., 01 03 2016, In: Journal of Fixed Income. 25, 4, p. 5-19 15 p.Research output: Contribution to journal › Journal Article › peer-review
2 Scopus citations -
Explaining the volatility smile: Non-parametric versus parametric option models
Lin, H. C., Chen, R. R. & Palmon, O., 01 05 2016, In: Review of Quantitative Finance and Accounting. 46, 4, p. 907-935 29 p.Research output: Contribution to journal › Journal Article › peer-review
2 Scopus citations -
2015
A closed-form solution to the liquidity discount problem: With an application to the liquidity crisis
Chen, R. R. & Li, B., 01 09 2015, In: Journal of Fixed Income. 25, 2, p. 7-24 18 p.Research output: Contribution to journal › Journal Article › peer-review
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The valuation of compound options: A correction and an extension
Chen, R. R. & He, W., 01 06 2015, In: Journal of Derivatives. 22, 4, p. 92-104 13 p.Research output: Contribution to journal › Journal Article › peer-review
3 Scopus citations -
2014
Liquidity, leverage, and lehman: A structural analysis of financial institutions in crisis
Chen, R. R., Chidambaran, N. K., Imerman, M. B. & Sopranzetti, B. J., 08 2014, In: Journal of Banking and Finance. 45, 1, p. 117-139 23 p.Research output: Contribution to journal › Journal Article › peer-review
23 Scopus citations -
Liquidity discount in the opaque market: The evidence from Taiwan's Emerging Stock Market
Yeh, C. Y., Yeh, S. K. & Chen, R. R., 09 2014, In: Pacific Basin Finance Journal. 29, p. 297-309 13 p.Research output: Contribution to journal › Journal Article › peer-review
3 Scopus citations -
2013
Dynamic interactions between interest-rate and credit risk: Theory and evidence on the credit default swap term structure
Chen, R. R., Cheng, X. & Wu, L., 01 2013, In: Review of Finance. 17, 1, p. 403-441 39 p.Research output: Contribution to journal › Journal Article › peer-review
Open Access32 Scopus citations -
Evaluation of conducting capital structure arbitrage using the multi-period extended Geske–Johnson model
Ju, H. S., Chen, R. R., Yeh, S. K. & Yang, T. H., 01 2013, In: Review of Quantitative Finance and Accounting. 44, 1, p. 89-111 23 p.Research output: Contribution to journal › Journal Article › peer-review
5 Scopus citations -
The impact of credit rating announcements on credit default swap spreads
Finnerty, J. D., Miller, C. D. & Chen, R. R., 06 2013, In: Journal of Banking and Finance. 37, 6, p. 2011-2030 20 p.Research output: Contribution to journal › Journal Article › peer-review
75 Scopus citations -
2012
Analytical bounds for Treasury bond futures prices
Chen, R. R. & Yeh, S. K., 08 2012, In: Review of Quantitative Finance and Accounting. 39, 2, p. 209-239 31 p.Research output: Contribution to journal › Journal Article › peer-review
3 Scopus citations -
Non-parametric method for European option bounds
Lin, H. C., Chen, R. R. & Palmon, O., 01 2012, In: Review of Quantitative Finance and Accounting. 38, 1, p. 109-129 21 p.Research output: Contribution to journal › Journal Article › peer-review
5 Scopus citations -
Valuing a liquidity discount
Chen, R. R., 12 2012, In: Journal of Fixed Income. 21, 3, p. 59-73 15 p.Research output: Contribution to journal › Journal Article › peer-review
14 Scopus citations -
Valuing financial assets with liquidity discount: An implication for Basel III
Chen, R. R., Filonuk, W., Patro, D. K. & Yan, A., 12 2012, In: Journal of Fixed Income. 22, 3, p. 45-63 19 p.Research output: Contribution to journal › Journal Article › peer-review
6 Scopus citations -
2010
A risk-based evaluation of the free-trader option
Chen, R. R. & Fabozzi, F. J., 03 2010, In: Quantitative Finance. 10, 3, p. 235-240 6 p.Research output: Contribution to journal › Journal Article › peer-review
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Corporate credit default swap liquidity and its implications for corporate bond spreads
Chen, R. R., Fabozzi, F. J. & Sverdlove, R., 09 2010, In: Journal of Fixed Income. 20, 2, p. 31-57 27 p.Research output: Contribution to journal › Journal Article › peer-review
36 Scopus citations -
Pricing the term structure of inflation risk premia: Theory and evidence from TIPS
Chen, R. R., Liu, B. & Cheng, X., 09 2010, In: Journal of Empirical Finance. 17, 4, p. 702-721 20 p.Research output: Contribution to journal › Journal Article › peer-review
43 Scopus citations -
2009
An empirical analysis of the CDX index and its tranches
Fabozzi, F. J., Wang, Y. C., Yeh, S. K. & Chen, R. R., 09 2009, In: Applied Economics Letters. 16, 14, p. 1425-1431 7 p.Research output: Contribution to journal › Journal Article › peer-review
3 Scopus citations -
Embedded options in treasury bond futures prices: New evidence
Chen, R. R., Ju, H. S. & Yeh, S. K., 06 2009, In: Journal of Fixed Income. 19, 1, p. 82-95 14 p.Research output: Contribution to journal › Journal Article › peer-review
5 Scopus citations -
Empirical performance of the constant elasticity variance option pricing model
Chen, R. R., Lee, C. F. & Lee, H. H., 2009, In: Review of Pacific Basin Financial Markets and Policies. 12, 2, p. 177-217 41 p.Research output: Contribution to journal › Journal Article › peer-review
27 Scopus citations -
Empirical studies of structural credit risk models and the application in default prediction: Review and new evidence
Lee, H. H., Chen, R. R. & Lee, C. F., 12 2009, In: International Journal of Information Technology and Decision Making. 8, 4, p. 629-675 47 p.Research output: Contribution to journal › Journal Article › peer-review
7 Scopus citations -
2008
An explicit, multi-factor credit default swap pricing model with correlated factors
Chen, R. R., Cheng, X., Fabozzi, F. J. & Liu, B., 03 2008, In: Journal of Financial and Quantitative Analysis. 43, 1, p. 123-160 38 p.Research output: Contribution to journal › Journal Article › peer-review
34 Scopus citations -
Estimation and evaluation of the term structure of credit default swaps: An empirical study
Chen, R. R., Cheng, X. & Liu, B., 12 2008, In: Insurance: Mathematics and Economics. 43, 3, p. 339-349 11 p.Research output: Contribution to journal › Journal Article › peer-review
5 Scopus citations -
Market risk of mortgage-backed securities with consistent measures
Chen, R. R., Liao, H. H. & Yang, T. T., 01 2008, In: Journal of Real Estate Finance and Economics. 36, 1, p. 121-140 20 p.Research output: Contribution to journal › Journal Article › peer-review
2 Scopus citations -
Optimal strike prices of stock options for effort-averse executives
Palmon, O., Bar-Yosef, S., Chen, R. R. & Venezia, I., 02 2008, In: Journal of Banking and Finance. 32, 2, p. 229-239 11 p.Research output: Contribution to journal › Journal Article › peer-review
21 Scopus citations -
2007
Exploring the components of credit risk in credit default swaps
Fabozzi, F. J., Cheng, X. & Chen, R. R., 03 2007, In: Finance Research Letters. 4, 1, p. 10-18 9 p.Research output: Contribution to journal › Journal Article › peer-review
40 Scopus citations -
2005
A non-parametric option pricing model: Theory and empirical evidence
Chen, R. R. & Palmon, O., 03 2005, In: Review of Quantitative Finance and Accounting. 24, 2, p. 115-134 20 p.Research output: Contribution to journal › Journal Article › peer-review
7 Scopus citations -
2004
The constant elasticity of variance models: New evidence from S&P 500 index options
Lee, C. F., Wu, T. P. & Chen, R. R., 06 2004, In: Review of Pacific Basin Financial Markets and Policies. 7, 2, p. 173-190 18 p.Research output: Contribution to journal › Journal Article › peer-review
20 Scopus citations -
2003
Multi-Factor Cox-Ingersoll-Ross Models of the Term Structure: Estimates and Tests from a Kalman Filter Model
Chen, R. R. & Scott, L., 09 2003, In: Journal of Real Estate Finance and Economics. 27, 2, p. 143-172 30 p.Research output: Contribution to journal › Journal Article › peer-review
83 Scopus citations -
The valuation of default-triggered credit derivatives
Chen, R. R. & Sopranzetti, B. J., 06 2003, In: Journal of Financial and Quantitative Analysis. 38, 2, p. 359-382 24 p.Research output: Contribution to journal › Journal Article › peer-review
15 Scopus citations -
2002
A note on forward price and forward measure
Chen, R. R. & Huang, J. Z., 2002, In: Review of Quantitative Finance and Accounting. 19, 3, p. 261-272 12 p.Research output: Contribution to journal › Journal Article › peer-review
2 Scopus citations -
A simple multi-factor, time-dependent-parameter model for the term structure of interest rates
Chen, R. R. & Yang, T. L. T., 2002, In: Review of Quantitative Finance and Accounting. 19, 1, p. 5-20 16 p.Research output: Contribution to journal › Journal Article › peer-review
3 Scopus citations -
1999
A universal lattice
Chen, R. R. & Yang, T. T., 1999, In: Review of Derivatives Research. 3, 2, p. 115-133 19 p.Research output: Contribution to journal › Journal Article › peer-review
11 Scopus citations -
Pricing and quality option in Japanese government bond futures
Lin, B. H., Chen, R. R. & Chou, J. H., 1999, In: Applied Financial Economics. 9, 1, p. 51-65 15 p.Research output: Contribution to journal › Journal Article › peer-review
4 Scopus citations -
Valuing fixed-income options and mortgage-backed securities with alternative term structure models
Chen, R. R., Maris, B. A. & Yang, T. T., 01 1999, In: Journal of Business Finance and Accounting. 26, 1-2, p. 33-55 23 p.Research output: Contribution to journal › Journal Article › peer-review
1 Scopus citations -
1995
A two‐factor, preference‐free model for interest rate sensitive claims
Chen, R. ‐., 05 1995, In: Journal of Futures Markets. 15, 3, p. 345-372 28 p.Research output: Contribution to journal › Journal Article › peer-review
5 Scopus citations -
1993
Pricing interest rate futures options with futures‐style margining
Chen, R. ‐. & Scott, L., 02 1993, In: Journal of Futures Markets. 13, 1, p. 15-22 8 p.Research output: Contribution to journal › Journal Article › peer-review
28 Scopus citations -
1992
A new look at interest rate futures contracts
Chen, R. ‐., 10 1992, In: Journal of Futures Markets. 12, 5, p. 539-548 10 p.Research output: Contribution to journal › Journal Article › peer-review
3 Scopus citations -
Exact Solutions for Futures and European Futures Options on Pure Discount Bonds
Chen, R. R., 03 1992, In: Journal of Financial and Quantitative Analysis. 27, 1, p. 97-107 11 p.Research output: Contribution to journal › Journal Article › peer-review
12 Scopus citations -
1991
Pricing Stock and Bond Options when the Default-Free Rate Is Stochastic: A Comment
Chen, R. R., 09 1991, In: Journal of Financial and Quantitative Analysis. 26, 3, p. 433-434 2 p.Research output: Contribution to journal › Journal Article › peer-review
2 Scopus citations