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Jin-Chuan Duan

Jin-Chuan Duan

National University of Singapore - Queenstown / Singapore
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AD Scientific Index ID: 335471
Universiti Nasional Singapura
person_outline Jin-Chuan Duan's MOST POPULAR ARTICLES
1-) The GARCH option pricing model Mathematical finance 5 (1), 13-32, 1995
2-) Maximum likelihood estimation using price data of the derivative contract Mathematical Finance 4 (2), 155-167, 1994
3-) Augmented GARCH (p, q) process and its diffusion limit Journal of Econometrics 79 (1), 97-127, 1997
4-) Multiperiod corporate default prediction—A forward intensity approach Journal of Econometrics, 2012
5-) Estimating and testing exponential-affine term structure models by Kalman filter Review of quantitative finance and accounting 13 (2), 111-135, 1999