Sonnan Chen

发表

THE SPEED OF ADJUSTMENT OF STOCK PRICES TO NEW INFORMATION

Reena Aggarwal, Sonnan Chen, 1985 .

Pricing and hedging barrier options under a Markov-modulated double exponential jump diffusion-CIR model

Sonnan Chen, Pao-Peng Hsu, 2017, International Review of Economics & Finance.

Simple optimal asset allocation under uncertainty

Sonnan Chen, 1987 .

Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model: with regime-switching risk premium

Sonnan Chen, Shih-Kuei Lin, Chang-Yi Li, 2016 .

Beta Nonstationarity, Portfolio Residual Risk and Diversification

Sonnan Chen, Son-Nan Chen, 1981, Journal of Financial and Quantitative Analysis.

Risk Decomposition and Portfolio Diversification When Beta is Nonstationary: A Note

Arthur J. Keown, Sonnan Chen, Son-Nan Chen, 1981 .

Pricing Derivatives with modeling CO 2 Emission Allowance Using a Regime Switching Jump Diffusion Model : Evidence from the European Trading Scheme

Sonnan Chen, Shih-Kuei Lin, Chang-Yi Li, 2012 .

AN EMPIRICAL TEST OF THE ARBITRAGE PRICING THEORY

Sonnan Chen, R. Pari, 1982 .

The Value of Perfect Information in Capital Budgeting Decisions with Unknown Cash Flow Parameters

William T. Moore, Sonnan Chen, 1983 .

Optimal portfolio selection and uncertain inflation

Reena Aggarwal, Sonnan Chen, 1986 .

Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy

Sonnan Chen, Chang-Yi Li, Mi-Hsiu Chiang, 2014, Review of Quantitative Finance and Accounting.

Portfolio Selection Based Upon P/E Ratios: Diversification, Risk Decomposition and Implications

Arthur J. Keown, J. Pinkerton, Sonnan Chen, 1987 .

GROUP EFFECTS AND BETA NONSTATIONARITY

Arthur J. Keown, Sonnan Chen, 1985 .

Estimation Risk and Simple Rules for Optimal Portfolio Selection

Stephen J. Brown, Sonnan Chen, 1983 .

The effect of uncertain inflation on firm value in a multiperiod economy

William T. Moore, Sonnan Chen, S. J. Chang, 1994 .

Bayesian and mixed estimators of time varying betas

Sonnan Chen, Cheng-Few Lee, 1982 .

Information effects of earnings and dividend announcements on common stock returns: Are they interactive?

Sonnan Chen, S. J. Chang, S. J. Chang, 1991 .

The Adjustment of Stock Returns to Block Trading Information

Reena Aggarwal, Sonnan Chen, 1990 .

A Study of Call Price Behavior under a Stationary Return Generating Process

Sonnan Chen, S. J. Chang, 1989 .

Sampling properties of composite performance measures and their implications / BEBR No. 541

Sonnan Chen, Cheng-Few Lee, 1979 .

International real interest rate parity with error correction models

Sonnan Chen, Jongcook Byun, 1996 .

Pricing credit-risky bonds using recovery rate uncertainty and macro-regime switching

Sonnan Chen, Pao-Peng Hsu, Kuo-yuan Liang, 2023, The European Journal of Finance.

An intertemporal capital asset pricing model under heterogeneous beliefs

Sonnan Chen, 1986 .

Mean reversion behavior of the returns on currency assets

Sonnan Chen, Kisuk Jeon, 1998 .

The effects of the sample size, the investment horizon and market conditions on the validity of composite performance measures: a generalization

Sonnan Chen, Cheng-Few Lee, 1986 .

The Sampling Relationship Between Sharpe's Performance Measure and its Risk Proxy: Sample Size, Investment Horizon and Market Conditions

Sonnan Chen, Cheng-Few Lee, Cheng F. Lee, 1981 .

An Examination of Risk-Return Relationship in Bull and Bear Markets Using Time-Varying Betas

Sonnan Chen, Son-Nan Chen, 1982, Journal of Financial and Quantitative Analysis.

Risk and return in copper, platinum, and silver futures

Sonnan Chen, Chao Chen, E. C. Chang, 1990 .

Currency‐Protected Swaps and Swaptions with Nonzero Spreads in a Multicurrency LMM

Sonnan Chen, Jui-Jane Chang, Ting-Pin Wu, 2013 .

Equity swaps in a LIBOR market model

Sonnan Chen, Ting-Pin Wu, 2007 .

Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee

Sonnan Chen, Ting-Pin Wu, Gene C. Lai, 2018 .

QUANTO INTEREST-RATE EXCHANGE OPTIONS IN A CROSS-CURRENCY LIBOR MARKET MODEL

Sonnan Chen, Tsung-Yu Hsieh, Chi-Hsun Chou, 2015 .

Valuation of Guaranteed Contracts Set Relative to Cross-currency Stochastic Rates of Return†

Sonnan Chen, Tsung-Yu Hsieh, Chi-Hsun Chou, 2014 .

Valuation of Guarantees Set Relative to Cross-Currency Stochastic Rates of Return

Sonnan Chen, Tsung-Yu Hsieh, Chi-Hsun Chou, 2012 .

Valuation of CMS Spread Options with Nonzero StrikeRates in the LIBOR Market Model

Sonnan Chen, Ting-Pin Wu, 2011, The Journal of Derivatives.

Investment Decisions under Uncertainty: Application of Estimation Risk in the Hillier Approach

William T. Moore, Sonnan Chen, 1982, Journal of Financial and Quantitative Analysis.

An Examination of the Relationship between Pure Residual and Market Risk: A Note

Arthur J. Keown, Sonnan Chen, 1981 .

On Selectivity and Market Timing Ability of U.S.-Based International Mutual Funds: Using Refined Jensen's Measure

Sonnan Chen, H. Jang, 1994 .

Jump, Diffusion, and Long-Term Volatility Risks with Incremental Information in VIX Assets

Sonnan Chen, Yuchi Gu, 2020, The Journal of Derivatives.

Modifying the LMM to Price Constant Maturity Swaps

Sonnan Chen, Ting-Pin Wu, 2010, The Journal of Derivatives.

Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy

Sonnan Chen, Chang-Yi Li, Mi-Hsiu Chiang, 2016 .

Capital budgeting and uncertain inflation

Sonnan Chen, 1984 .

Extend the debt as it is not deeply out-of-the-money

Sonnan Chen, Wei-Hsiung Wu, Shyan-Yuan Lee, 2008 .

UNCERTAIN INFLATION AND OPTIMAL PORTFOLIO SELECTION: A SIMPLIFIED APPROACH

William T. Moore, Sonnan Chen, 1985 .

Time Aggregation, Autocorrelation, and Systematic Risk Estimates–Additive versus Multiplicative Assumptions

Sonnan Chen, 1980, Journal of Financial and Quantitative Analysis.

Differencing interval and autocorrelation effects on portfolio diversification: Additive versus multiplicative assumptions

Arthur J. Keown, Sonnan Chen, 1982 .

The Effect on a Firm's Financing and Investment Decisions of Differential Taxation as Barriers to International Investment

Sonnan Chen, Jongcook Byun, 1997 .

The Decision to Lease or Purchase Under Uncertainty: A Bayesian Approach

William T. Moore, Sonnan Chen, 1984 .

Re-Examining The Market Model Given Evidence Of Heteroskedasticity

Sonnan Chen, 1979 .

Joint estimation of volatility risk and tail risk premia with time-varying macro-state-dependent property

Sonnan Chen, Yuchi Gu, 2020, Review of Quantitative Finance and Accounting.

Barrier Caps and Floors under the LIBOR Market Model with Double Exponential Jumps

Sonnan Chen, Jui-Jane Chang, Ting-Pin Wu, 2014, The Journal of Derivatives.