This article employs a bivariate poisson jump model to investigate the relationship between the volatility of crude oil and gasoline especially during the period of the Gulf War. We find that greater jumps occurring in crude oil returns will appear in gasoline returns at the same time, but the...

This study uses the multinomial logit model in which comovements are categorized into three outcomes, namely (i) negative comovements, (ii) positive comovements and (iii) no comovements, with the purpose of the empirical analysis being to investigate the economic determinants that affect the...

This study extends the one period zero-VaR (Value-at-Risk) hedge ratio proposed by Hung et al. (2005) to the multi-period case and incorporates the hedging horizon into the objective function under VaR framework. The multi-period zero-VaR hedge ratio has several advantages. First, compared to...

This study utilizes a Smooth Transition Vector Error Correction Model (STVECM) with Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedasticity (GJR-GARCH) and spillover volatility to investigate the changes in short-run return dynamics when a deviation from the...

This article employs jump-diffusion models, including the ARJI model and the GARCH-jump model, to examine jump intensity and volatility of Taiwan stock and foreign exchange markets during a Presidential election period. The empirical results indicate that, firstly, the ARJI model fits data...