son-nan chen : Citation Profile


Are you son-nan chen?

Shanghai Jiao Tong University

5

H index

5

i10 index

119

Citations

RESEARCH PRODUCTION:

27

Articles

RESEARCH ACTIVITY:

   35 years (1979 - 2014). See details.
   Cites by year: 3
   Journals where son-nan chen has often published
   Relations with other researchers
   Recent citing documents: 4.    Total self citations: 0 (0 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch1380
   Updated: 2020-11-21    RAS profile: 2014-11-07    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with son-nan chen.

Is cited by:

Lence, Sergio (3)

Hayes, Dermot (3)

faff, robert (3)

Roca, Eduardo (2)

Kling, Gerhard (2)

Çevik, Emrah (2)

Lunde, Asger (2)

Timmermann, Allan (2)

JAWADI, Fredj (2)

Galagedera, Don (2)

Brooks, Robert (2)

Cites to:

Jarrow, Robert (5)

Fama, Eugene (3)

Cumby, Robert (2)

Sharpe, William (2)

Jamshidian, Farshid (2)

Nelson, Charles (2)

Startz, Richard (2)

Dickey, David (1)

Kaul, Gautam (1)

Phillips, Peter (1)

Siu, Tak Kuen (1)

Main data


Where son-nan chen has published?


Journals with more than one article published# docs
The Financial Review5
Journal of Economics and Business4
Journal of Financial and Quantitative Analysis4
Journal of Finance3
Journal of Financial Research2
Global Finance Journal2
Management Science2

Recent works citing son-nan chen (2020 and 2019)


YearTitle of citing document
2020Risk decomposition, estimation error, and naïve diversification. (2020). Haensly, Paul J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302165.

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2019Foreign investors’ trading behavior and market conditions: Evidence from Taiwan. (2019). Tsai, Li-Ju ; Chiang, Sue-Jane ; Shu, Pei-Gi. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:52-53:y:2019:i::s1042444x19300490.

Full description at Econpapers || Download paper

2019Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model. (2019). ben Ameur, Hachmi ; Cheffou, Abdoulkarim Idi ; Louhichi, Wael ; Jawadi, Fredj. In: Annals of Operations Research. RePEc:spr:annopr:v:281:y:2019:i:1:d:10.1007_s10479-018-2793-3.

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2020Investigating Financial Performance of Low-and High-Rated ETFs During the QE-Tapering. (2020). Chrysoula, Theloura ; Ekaterini, Nitsi ; Nikolaos, Galatis. In: HOLISTICA – Journal of Business and Public Administration. RePEc:vrs:hjobpa:v:11:y:2020:i:1:p:107-123:n:10.

Full description at Econpapers || Download paper

Works by son-nan chen:


YearTitleTypeCited
1984Multi-Period Asset Pricing: The Effects of Uncertain Inflation. In: The Financial Review.
[Citation analysis]
article0
1984Implementing the IRR Criterion When Cash Flow Parameters Are Unknown. In: The Financial Review.
[Citation analysis]
article0
1985Uncertain Inflation and Optimal Portfolio Selection: A Simplified Approach. In: The Financial Review.
[Citation analysis]
article2
1989A Study of Call Price Behavior under a Stationary Return Generating Process. In: The Financial Review.
[Citation analysis]
article1
1991Optimal Asset Abandonment and Replacement: Tax and Inflation Considerations. In: The Financial Review.
[Citation analysis]
article0
1981Risk Decomposition and Portfolio Diversification When Beta Is Nonstationary: A Note. In: Journal of Finance.
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article12
1981An Examination of the Relationship between Pure Residual and Market Risk: A Note. In: Journal of Finance.
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article2
1983 Estimation Risk and Simple Rules for Optimal Portfolio Selection. In: Journal of Finance.
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article13
1979RE-EXAMINING THE MARKET MODEL GIVEN EVIDENCE OF HETEROSKEDASTICITY In: Journal of Financial Research.
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article0
1984AN EMPIRICAL TEST OF THE ARBITRAGE PRICING THEORY In: Journal of Financial Research.
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article25
1980Time Aggregation, Autocorrelation, and Systematic Risk Estimates–Additive versus Multiplicative Assumptions In: Journal of Financial and Quantitative Analysis.
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article0
1981Beta Nonstationarity, Portfolio Residual Risk and Diversification In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article10
1982An Examination of Risk-Return Relationship in Bull and Bear Markets Using Time-Varying Betas In: Journal of Financial and Quantitative Analysis.
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article30
1982Investment Decisions under Uncertainty: Application of Estimation Risk in the Hillier Approach In: Journal of Financial and Quantitative Analysis.
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article2
2008Extend the debt as it is not deeply out-of-the-money In: Economics Bulletin.
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article2
2014Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model In: Finance Research Letters.
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article2
1994On selectivity and market timing ability of U.S.-based international mutual funds: Using refined Jensens measure In: Global Finance Journal.
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article2
1996International real interest rate parity with error correction models In: Global Finance Journal.
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article1
1982Differencing interval and autocorrelation effects on portfolio diversification: Additive versus multiplicative assumptions In: Journal of Economics and Business.
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article0
1982Bayesian and mixed estimators of time varying betas In: Journal of Economics and Business.
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article5
1984Capital budgeting and uncertain inflation In: Journal of Economics and Business.
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article1
1986An intertemporal capital asset pricing model under heterogeneous beliefs In: Journal of Economics and Business.
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article0
1998Mean reversion behavior of the returns on currency assets In: International Review of Economics & Finance.
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article4
1981The Sampling Relationship Between Sharpes Performance Measure and its Risk Proxy: Sample Size, Investment Horizon and Market Conditions In: Management Science.
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article2
1986The Effects of the Sample Size, the Investment Horizon and Market Conditions on the Validity of Composite Performance Measures: A Generalization In: Management Science.
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article3
1997The Effect on a Firms Financing and Investment Decisions of Differential Taxation as Barriers to International Investment. In: Review of Quantitative Finance and Accounting.
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article0
2013Currency‐Protected Swaps and Swaptions with Nonzero Spreads in a Multicurrency LMM In: Journal of Futures Markets.
[Citation analysis]
article0

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