Jing Chen

Swansea University, School of Management

Haldane Building

Singleton Park

Swansea, SA2 8PP

United Kingdom

SCHOLARLY PAPERS

9

DOWNLOADS
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1,467

CITATIONS
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Top 28,832

in Total Papers Citations

8

Scholarly Papers (9)

Liquidity Spillovers in Sovereign Bond and CDS Markets: An Analysis of The Eurozone Sovereign Debt Crisis

Paolo Baffi Centre Research Paper No. 2011-105
Number of pages: 48 Posted: 29 Jul 2011 Last Revised: 17 Sep 2011
Loughborough University, Swansea University, School of Management and Durham Business School
Downloads 360 (64,090)
Citation 4

Abstract:

credit derivatives, liquidity, sovereign bonds, credit spreads

Liquidity Spillovers in Sovereign Bond and CDs Markets: An Analysis of the Eurozone Sovereign Debt Crisis

Number of pages: 69 Posted: 20 Dec 2011 Last Revised: 21 Jan 2012
Loughborough University, Swansea University, School of Management and Durham Business School
Downloads 67 (276,951)
Citation 3

Abstract:

Credit Default Swaps, Liquidity, Sovereign Bonds, Credit Spreads

2.

Are There Benefits to Being Naked?

Number of pages: 54 Posted: 16 Jan 2011 Last Revised: 08 Feb 2011
Loughborough University, Swansea University, School of Management and Durham Business School
Downloads 190 (120,396)
Citation 1

Abstract:

Capital Structure Arbitrage, Credit Default Swaps, Portfolio Management

Regulatory Changes, Market Integration and Spill-Over Effects in the Chinese A, B and Hong Kong Equity Markets

Number of pages: 54 Posted: 08 Dec 2009
Swansea University, School of Management, University of Aberdeen - Business School and Durham Business School
Downloads 111 (199,992)
Citation 2

Abstract:

Chinese Equity Markets, Segmentation, Co-integration, Spill-over

Regulatory Changes, Market Integration and Spill-Over Effects in the Chinese A, B and Hong Kong Equity Markets

Finance and Corporate Governance Conference 2010 Paper
Number of pages: 54 Posted: 07 Dec 2009
University of Aberdeen - Business School, Durham Business School and Swansea University, School of Management
Downloads 62 (288,917)
Citation 2

Abstract:

Chinese Equity Markets, Segmentation, Co-integration, Spill-over

4.

How Predictable are Equity Covariance Matrices? Evidence from High Frequency Data for Four Markets

Number of pages: 48 Posted: 31 Jul 2012
Swansea University, School of Management, Durham Business School and University of Wales, Swansea - School of Business and Economics
Downloads 152 (139,653)
Citation 1

Abstract:

Realized Covariance, Microstructure, Wishart Distribution

5.

The Importance of Jumps in Modelling Volatility During the 2008 Financial Crisis

Number of pages: 33 Posted: 30 Jul 2012
Swansea University, School of Management, Durham Business School, University of Aberdeen - Business School and Nutmeg Saving and Investment Limited
Downloads 119 (166,544)

Abstract:

Autoregressive Jump Models, GARCH, Volatility, Option Pricing

6.

Realised Higher Moments: Theory and Practice

Number of pages: 33 Posted: 31 Jul 2012
Swansea University, School of Management, University of Wales, Swansea - School of Business and Economics and Durham Business School
Downloads 96 (190,270)

Abstract:

Higher Moments, Asset Allocation, Portfolio Management, Co-movement

7.

A Tale of Two Market Microstructures: Spillovers of Informed Trading and Liquidity for Cross Listed Chinese A and B Shares

Number of pages: 65 Posted: 17 Jan 2011 Last Revised: 15 Feb 2011
Swansea University, School of Management, Durham Business School and University of Aberdeen - Business School
Downloads 79 (236,524)

Abstract:

Microstructure, Time Varying Vector Autoregression, Informed Trading

8.

A Network Visualization Approach and Global Stock Market Integration

Number of pages: 2 Posted: 07 Feb 2015
Mike Buckle, Jing Chen and Chen Tong
University of Wales, Swansea - School of Business and Economics, Swansea University, School of Management and Swansea University, School of Management
Downloads 48 (251,138)

Abstract:

Network, Stock Market, Integration

9.

Negative Real Interest Rates

Number of pages: 26 Posted: 07 Dec 2014 Last Revised: 10 Jul 2015
Swansea University, School of Management, Lecturer in Accounting, Lecturer of Accounting & Finance and Loughborough University - Business School
Downloads 39 (265,151)

Abstract:

Fokker-Planck equation, General equilibrium, Mean reversion, Real interest rate