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Jin-Chuan Duan - Publications

Affiliations: 
Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong 
Area:
Finance, Statistics
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45 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2020 Duan J, Fulop A, Hsieh Y. Data-cloning SMC2: A global optimizer for maximum likelihood estimation of latent variable models Computational Statistics & Data Analysis. 143: 106841. DOI: 10.1016/J.Csda.2019.106841  0.305
2018 Duan J, Kim B, Kim W, Shin D. Default probabilities of privately held firms Journal of Banking & Finance. 94: 235-250. DOI: 10.1016/J.Jbankfin.2018.08.006  0.429
2016 Duan JC, Miao W. Default Correlations and Large-Portfolio Credit Analysis Journal of Business and Economic Statistics. 34: 536-546. DOI: 10.1080/07350015.2015.1087855  0.43
2016 Duan J. Local-momentum autoregression and the modeling of interest rate term structure Journal of Econometrics. 194: 349-359. DOI: 10.1016/J.Jeconom.2016.05.012  0.347
2015 Duan J, Fulop A. Density-Tempered Marginalized Sequential Monte Carlo Samplers Journal of Business & Economic Statistics. 33: 192-202. DOI: 10.2139/Ssrn.1837772  0.309
2014 Duan J, Zhang W. Forward-Looking Market Risk Premium Management Science. 60: 521-538. DOI: 10.1287/Mnsc.2013.1758  0.441
2012 Duan J, Sun J, Wang T. Multiperiod Corporate Default Prediction - A Forward Intensity Approach Journal of Econometrics. 170: 191-209. DOI: 10.1016/J.Jeconom.2012.05.002  0.33
2012 Duan J, Laere EV. A public good approach to credit ratings – From concept to reality Journal of Banking and Finance. 36: 3239-3247. DOI: 10.1016/J.Jbankfin.2012.03.012  0.378
2010 Duan J, Yeh C. Jump and volatility risk premiums implied by VIX Journal of Economic Dynamics and Control. 34: 2232-2244. DOI: 10.1016/J.Jedc.2010.05.006  0.449
2009 Duan J, Wang Y, Zou J. Convergence Speed Of Garch Option Price To Diffusion Option Price International Journal of Theoretical and Applied Finance. 12: 359-391. DOI: 10.1142/S0219024909005269  0.406
2009 Duan J, Wei JZ. Systematic Risk and the Price Structure of Individual Equity Options Review of Financial Studies. 22: 1981-2006. DOI: 10.1093/Rfs/Hhn057  0.398
2009 Duan J, Fulop A. Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises Journal of Econometrics. 150: 288-296. DOI: 10.1016/J.Jeconom.2008.12.003  0.426
2008 Duan J, Jacobs K. Is long memory necessary? An empirical investigation of nonnegative interest rate processes Journal of Empirical Finance. 15: 567-581. DOI: 10.1016/J.Jempfin.2007.06.003  0.308
2006 Duan J, Gauthier G, Simonato J, Sasseville C. Approximating the GJR-GARCH and EGARCH option pricing models analytically Journal of Computational Finance. 9: 41-69. DOI: 10.21314/Jcf.2006.156  0.327
2006 Duan J, Ritchken PH, Sun Z. Approximating Garch-Jump Models, Jump-Diffusion Processes, And Option Pricing Mathematical Finance. 16: 21-52. DOI: 10.1111/J.1467-9965.2006.00259.X  0.426
2005 Duan J, Yu M. Fair insurance guaranty premia in the presence of risk-based capital regulations, stochastic interest rate and catastrophe risk Journal of Banking and Finance. 29: 2435-2454. DOI: 10.1016/J.Jbankfin.2004.08.012  0.421
2005 Duan J, Wei J. Executive stock options and incentive effects due to systematic risk Journal of Banking and Finance. 29: 1185-1211. DOI: 10.1016/J.Jbankfin.2004.05.031  0.355
2004 Duan JC, Pliska SR. Option valuation with co-integrated asset prices Journal of Economic Dynamics and Control. 28: 727-754. DOI: 10.1016/S0165-1889(03)00042-3  0.43
2003 Duan J, Dudley E, Gauthier G, Simonato J. Pricing Discretely Monitored Barrier Options by a Markov Chain Journal of Derivatives. 10: 9-31. DOI: 10.3905/Jod.2003.319203  0.38
2003 Duan J, Gauthier G, Sasseville C, Simonato J. Approximating American option prices in the GARCH framework Journal of Futures Markets. 23: 915-929. DOI: 10.1002/Fut.10096  0.352
2002 Duan J, Popova I, Ritchken P. Option pricing under regime switching Quantitative Finance. 2: 116-132. DOI: 10.1088/1469-7688/2/2/303  0.426
2002 Duan J, Simonato J. Maximum likelihood estimation of deposit insurance value with interest rate risk Journal of Empirical Finance. 9: 109-132. DOI: 10.1016/S0927-5398(01)00047-0  0.373
2001 Duan J, Gauthier G, Simonato J. Asymptotic Distribution of the EMS Option Price Estimator Management Science. 47: 1122-1132. DOI: 10.1287/Mnsc.47.8.1122.10234  0.356
2001 Duan J, Zhang H. Pricing Hang Seng Index options around the Asian financial crisis – A GARCH approach Journal of Banking and Finance. 25: 1989-2014. DOI: 10.1016/S0378-4266(00)00166-7  0.444
2001 Duan J, Simonato J. American option pricing under GARCH by a Markov chain approximation Journal of Economic Dynamics and Control. 25: 1689-1718. DOI: 10.1016/S0165-1889(00)00003-8  0.4
2000 Duan J. Correction: Maximum Likelihood Estimation Using Price Data of the Derivative Contract (Mathematical Finance 1994, 4/2, 155–167) Mathematical Finance. 10: 461-462. DOI: 10.1111/1467-9965.00105  0.379
1999 Duan J, Wei JZ. Pricing Foreign Currency and Cross-Currency Options Under GARCH Journal of Derivatives. 7: 51-63. DOI: 10.3905/Jod.1999.319110  0.469
1999 Duan J, Gauthier G, Simonato J. An analytical approximation for the GARCH option pricing model Journal of Computational Finance. 2: 75-116. DOI: 10.21314/Jcf.1999.033  0.433
1999 Duan J, Simonato J. Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter Review of Quantitative Finance and Accounting. 13: 111-135. DOI: 10.1023/A:1008304625054  0.339
1999 Duan J, Sealey CW, Yan Y. Managing banks' duration gaps when interest rates are stochastic and equity has limited liability International Review of Economics & Finance. 8: 253-265. DOI: 10.1016/S1059-0560(99)00022-2  0.39
1999 Duan J, Yu M. Capital standard, forbearance and deposit insurance pricing under GARCH Journal of Banking and Finance. 23: 1691-1706. DOI: 10.1016/S0378-4266(99)00022-9  0.446
1999 Chen Y, Duan J, Hung M. Volatility and maturity effects in the Nikkei index futures Journal of Futures Markets. 19: 895-909. DOI: 10.1002/(Sici)1096-9934(199912)19:8<895::Aid-Fut3>3.0.Co;2-C  0.394
1998 Duan J, Simonato J. Empirical Martingale Simulation for Asset Prices Management Science. 44: 1218-1233. DOI: 10.1287/Mnsc.44.9.1218  0.414
1997 Duan JC. Augmented GARCH(p,q) process and its diffusion limit Journal of Econometrics. 79: 97-127. DOI: 10.1016/S0304-4076(97)00009-2  0.323
1996 Duan J, Jacobs K. A simple long-memory equilibrium interest rate model Economics Letters. 53: 317-321. DOI: 10.1016/S0165-1765(96)00918-4  0.327
1995 Duan J. The Garch Option Pricing Model Mathematical Finance. 5: 13-32. DOI: 10.1111/J.1467-9965.1995.Tb00099.X  0.458
1995 Duan J, Moreau AF, Sealey CW. Deposit insurance and bank interest rate risk: Pricing and regulatory implications Journal of Banking and Finance. 19: 1091-1108. DOI: 10.1016/0378-4266(95)00073-P  0.369
1994 Duan J, Yu M. Forbearance and Pricing Deposit Insurance in a Multiperiod Framework Journal of Risk and Insurance. 61: 575. DOI: 10.2307/253639  0.396
1994 Duan J. Maximum Likelihood Estimation Using Price Data Of The Derivative Contract Mathematical Finance. 4: 155-167. DOI: 10.1111/J.1467-9965.1994.Tb00055.X  0.427
1994 Duan J, Moreau AF, Sealey CW. A reply to “a note on the implications of traded options on the pricing of the underlying stock” International Review of Economics & Finance. 3: 125-128. DOI: 10.1016/1059-0560(94)90047-7  0.339
1994 Duan J, Yu M. Assessing the cost of Taiwan's deposit insurance Pacific-Basin Finance Journal. 2: 73-90. DOI: 10.1016/0927-538X(94)90030-2  0.409
1993 Duan J, Yoon SH. Loan commitments, investment decisions and the signalling equilibrium Journal of Banking and Finance. 17: 645-661. DOI: 10.1016/0378-4266(93)90005-X  0.329
1992 Duan J, Moreau AF, Sealey CW. Spanning with Index Options Journal of Financial and Quantitative Analysis. 27: 303-309. DOI: 10.2307/2331373  0.337
1992 Duan J, Moreau AF, Sealey CW. Some implications of traded options on the pricing of the underlying stock International Review of Economics & Finance. 1: 1-14. DOI: 10.1016/1059-0560(92)90002-T  0.46
1992 Duan J, Moreau AF, Sealey CW. Fixed-rate deposit insurance and risk-shifting behavior at commercial banks Journal of Banking and Finance. 16: 715-742. DOI: 10.1016/0378-4266(92)90004-J  0.369
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