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The rise and fall of S&P500 variance futures

Chang, Chia-Lin; Jimenez-Martin, Juan-Angel; McAleer, … - In: The North American journal of economics and finance : a … 25 (2013), pp. 151-167

Persistent link: https://www.econbiz.de/10009779314

Choosing Expected Shortfall Over VaR in Basel III Using Stochastic Dominance

Chang, Chia-Lin - 2016

We compare Value at Risk (VaR) and Expected Shortfall (ES) following a Stochastic Dominance (SD) approach frequently used to order distributions in terms of welfare and in portfolio selection. Basel Committee on Banking Supervision (BCBS) recommends bank risk managers to shift the current...

Persistent link: https://www.econbiz.de/10012996938

Econometric analysis of financial derivatives : an overview

Chang, Chia-Lin; McAleer, Michael - 2015

Persistent link: https://www.econbiz.de/10011346289

Econometric analysis of financial derivatives: an overview

Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 403-407

Persistent link: https://www.econbiz.de/10011499624

Econometric analysis of financial derivatives : an overview

Chang, Chia-Lin; McAleer, Michael - 2014

, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage … and feedback effects in multifactor Wishart stochastic volatility for option pricing, option pricing with non …-Gaussian scaling and infinite-state switching volatility, stock return and cash flow predictability: the role of volatility risk, the …

Persistent link: https://www.econbiz.de/10010465152

Econometric analysis of financial derivatives : an overview

Chang, Chia-Lin; McAleer, Michael - 2014

Persistent link: https://www.econbiz.de/10011296515

Long run returns predictability and volatility with moving averages

Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...

Persistent link: https://www.econbiz.de/10011906234