Using transactions and quotes data, we find significant magnet effects of price limit rules in Taiwan Stock Exchange (TSEC). Consistent with Subrahmanyam [Subrahmanyam, A., 1994. Circuit breakers and market volatility: a theoretical perspective. Journal of Finance 49, 237-254], we find that when...

The information content of option implied volatility and realized volatility under market imperfections are studied in the context of GARCH modeling and volatility forecasts of Taiwan stock market (TAIEX) returns. Consistent with most studies, we find that the Taiwan implied volatility index...

We examine the dependence structure between the credit default swap (CDS) return and the kurtosis of the corresponding equity return distribution using copula functions to specify its nonnormal and nonlinear relationship. Three candidates, the Gaussian, the Student's t, and the Gumbel copulas,...

This article applies the Granger causality test in quantiles to investigate causal relations between stock returns and exchange rate changes for nine Asian markets over the period 1 January 1997 to 16 August 2010. Our empirical results indicate that the quantile causal relations vary across...

In this paper, we investigate jump spillover effects of five energy (petroleum) futures and their implications for diversification benefits. In order to identify the latent historical jumps for each of these energy futures, we use a Bayesian MCMC approach to estimate a jump-diffusion model for...

The conventional portfolio value-at-risk model with the assumption of normal joint distribution, which is commonly practiced, exhibits considerable biases due to model specification errors. This paper utilizes the estimation of hedged portfolio value-at-risk (HPVaR) to illustrate the potential...