Concepedia

Jin‐Chuan Duan

JD

Statistics

Publications

61

Citations

5.6K

H-Index

34

Active since

1992

Affiliations

National University of Singapore(Current)

University of Toronto

Hong Kong University of Science and Technology

HEC Montréal

McGill University

Jin‐Chuan Duan is an author at National University of Singapore specializing in finance, financial economics, and business.

ORCID

Publications per year

1992–2021

61

Publications

61

THE GARCH OPTION PRICING MODEL

Jin‐Chuan Duan · Mathematical Finance · 1995 · 1.2K citations

, , +17

MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT

Jin‐Chuan Duan · Mathematical Finance · 1994 · 410 citations

, , +13

Augmented GARCH (p,q) process and its diffusion limit

Jin‐Chuan Duan · Journal of Econometrics · 1997 · 382 citations

, , +6

Multiperiod corporate default prediction—A forward intensity approach

Jin‐Chuan Duan, Jie Sun, Tao Wang · Journal of Econometrics · 2012 · 353 citations

, , +14

Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter

Jin‐Chuan Duan, Jean‐Guy Simonato · Review of Quantitative Finance and Accounting · 1999 · 285 citations

, , +8

1–5 of 61