Xiaolin Cheng

Rutgers Business School - New Brunswick

94 Rockafeller Road

New Brunswick, NJ 08901

United States

SCHOLARLY PAPERS

2

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Top 16,778

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2,831

CITATIONS
Rank 22,067

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Top 22,067

in Total Papers Citations

29

Scholarly Papers (2)

1.

Dynamic Interactions between Interest Rate, Credit, and Liquidity Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreads

Number of pages: 50 Posted: 16 Aug 2005
Ren-Raw Chen, Xiaolin Cheng and Liuren Wu
Fordham University - Gabelli School of Business, Rutgers Business School - New Brunswick and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,731 (9,115)
Citation 19

Abstract:

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Credit default swap, credit risk, credit premium, term structure, interest rate risk, liquidity risk, liquidity premium, maximum likelihood estimation.

2.

Inflation, Fisher Equation, and the Term Structure of Inflation Risk Premia: Theory and Evidence from Tips

Number of pages: 50 Posted: 29 Sep 2005
Ren-Raw Chen, Bo Liu and Xiaolin Cheng
Fordham University - Gabelli School of Business, Rutgers Business School - New Brunswick and Rutgers Business School - New Brunswick
Downloads 1,100 (18,638)
Citation 14

Abstract:

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CIR term structure model of interest rates, TIPS, Unscented Kalman Filter, Inflation Risk Premium