| The GARCH option pricing model JC Duan Mathematical finance 5 (1), 13-32, 1995 | 1782 | 1995 |
| Maximum likelihood estimation using price data of the derivative contract JC Duan Mathematical Finance 4 (2), 155-167, 1994 | 563 | 1994 |
| Augmented GARCH (p, q) process and its diffusion limit JC Duan Journal of Econometrics 79 (1), 97-127, 1997 | 519 | 1997 |
| Estimating and testing exponential-affine term structure models by Kalman filter JC Duan, JG Simonato Review of quantitative finance and accounting 13, 111-135, 1999 | 429 | 1999 |
| Multiperiod corporate default prediction—A forward intensity approach JC Duan, J Sun, T Wang Journal of Econometrics, 2012 | 421 | 2012 |
| Empirical martingale simulation for asset prices JC Duan, JG Simonato Management Science 44 (9), 1218-1233, 1998 | 277 | 1998 |
| American option pricing under GARCH by a Markov chain approximation JC Duan, JG Simonato Journal of Economic Dynamics and Control 25 (11), 1689-1718, 2001 | 228 | 2001 |
| Correction: maximum likelihood estimation using price data of the derivative contract (mathematical finance 1994, 4/2, 155–167) JC Duan Mathematical Finance 10 (4), 461-462, 2000 | 210 | 2000 |
| Systematic risk and the price structure of individual equity options JC Duan, J Wei The Review of Financial studies 22 (5), 1981-2006, 2009 | 195 | 2009 |
| Option pricingunder regime switching JC Duan, I Popova, P Ritchken Quantitative Finance 2 (2), 116, 2002 | 182 | 2002 |
| Jump and volatility risk premiums implied by VIX JC Duan, CY Yeh Journal of Economic Dynamics and Control 34 (11), 2232-2244, 2010 | 173 | 2010 |
| Fixed-rate deposit insurance and risk-shifting behavior at commercial banks JC Duan, AF Moreau, CW Sealey Journal of Banking & Finance 16 (4), 715-742, 1992 | 172 | 1992 |
| On the equivalence of the KMV and maximum likelihood methods for structural credit risk models JC Duan, G Gauthier, JG Simonato Groupe d'études et de recherche en analyse des décisions, 2005 | 156 | 2005 |
| An analytical approximation for the GARCH option pricing model JC Duan, G Gauthier, JG Simonato École des hautes études commerciales, Groupe de recherche en finance, 1997 | 156 | 1997 |
| Approximating GARCH‐JUMP Models, Jump‐Diffusion Processes, And Option Pricing JC Duan, P Ritchken, Z Sun Mathematical Finance: An International Journal of Mathematics, Statistics …, 2006 | 152 | 2006 |
| Conditionally fat-tailed distributions and the volatility smile in options JC Duan Rotman School of Management, University of Toronto, Working Paper, 1999 | 147 | 1999 |
| Cracking the smile JC Duan Risk, 55-59, 1996 | 138 | 1996 |
| Deposit insurance and bank interest rate risk: Pricing and regulatory implications JC Duan, AF Moreau, CW Sealey Journal of Banking & Finance 19 (6), 1091-1108, 1995 | 130 | 1995 |
| Pricing Hang Seng Index options around the Asian financial crisis–A GARCH approach JC Duan, H Zhang Journal of Banking & Finance 25 (11), 1989-2014, 2001 | 123 | 2001 |
| Option valuation with co-integrated asset prices JC Duan, SR Pliska Journal of Economic Dynamics and Control 28 (4), 727-754, 2004 | 114 | 2004 |
