Search Results - person:"Yeh, Tsai-Jung"

Comparing hedging effectiveness of portfolios in the greater Chinese stock exchanges : evidence from a modified value-at-risk model

Chuang, Chung-Chu; Wang, Yi-Hsien; Yeh, Tsai-Jung - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 3, pp. 508-526

Persistent link: https://www.econbiz.de/10012211476

Hedging effectiveness of the hedged portfolio : the expected utility maximization subject to the value-at-risk approach

Chuang, Chung-Chu; Wang, Yi-Hsien; Yeh, Tsai-Jung; … - In: Applied economics 47 (2015) 19/21, pp. 2040-2052

Persistent link: https://www.econbiz.de/10010513350

Backtesting VaR in consideration of the higher moments of the distribution for minimum-variance hedging portfolios

Chuang, Chung-Chu; Wang, Yi-Hsien; Yeh, Tsai-Jung; … - In: Economic modelling 42 (2014), pp. 15-19

Persistent link: https://www.econbiz.de/10010478302

Backtesting VaR in consideration of the higher moments of the distribution for minimum-variance hedging portfolios

Chuang, Chung-Chu; Wang, Yi-Hsien; Yeh, Tsai-Jung; … - In: Economic Modelling 42 (2014) C, pp. 15-19

The higher moments of a distribution often lead to estimated value-at-risk (VaR) biases. This study's objective is to examine the backtesting of VaR models that consider the higher moments of the distribution for minimum-variance hedging portfolios (MVHPs) of the stock indices and futures in the...

Persistent link: https://www.econbiz.de/10010931025