Narrow search
Showing 1 - 10 of 12
Cover Image
Estimation of value-at-risk for energy commodities via fat-tailed GARCH models
Hung, Jui-cheng; Lee, Ming-chih; Liu, Hung-Chun - In: Energy economics 30 (2008) 3, pp. 1173-1191
Persistent link: https://www.econbiz.de/10003744851
Cover Image
Value-at-risk in US stock indices with skewed generalized error distribution
Lee, Ming-chih; Su, Jung-bin; Liu, Hung-Chun - In: Applied financial economics letters 4 (2008) 4/6, pp. 425-431
Persistent link: https://www.econbiz.de/10003808278
Cover Image
Why does skewness and the fat-tail effect influence value-at-risk estimates? : evidence from alternative capital markets
Su, Jung-bin; Lee, Ming-chih; Chiu, Chien-Liang - In: International review of economics & finance : IREF 31 (2014), pp. 59-85
Persistent link: https://www.econbiz.de/10010490442
Cover Image
Studies on the effect of trading volume and return volatility on call warrants and underlying stocks in Taiwan
Chiu, Chien-liang; Lee, Ming-chih; Lin, Cho-min; Chen, … - In: Quarterly journal of business and economics : QJBE 44 (2005) 1/2, pp. 29-43
Persistent link: https://www.econbiz.de/10002893906
Cover Image
Forecasting volatility and capturing downside risk of the Taiwanese futures markets under the financial tsunami
Liu, Hung-Chun; Hung, Jui-cheng - In: Managerial finance 36 (2010) 10, pp. 860-875
Persistent link: https://www.econbiz.de/10008662545
Cover Image
Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns
Cheng, Wan-hsiu; Hung, Jui-cheng - In: Journal of empirical finance 18 (2011) 1, pp. 160-173
Persistent link: https://www.econbiz.de/10009301140
Cover Image
Evaluating and improving GARCH-based volatility forecasts with range-based estimators
Hung, Jui-cheng; Lou, Tien-wei; Wang, Yi-hsien; Lee, Jun-de - In: Applied economics 45 (2013) 28/30, pp. 4041-4049
Persistent link: https://www.econbiz.de/10010345765
Cover Image
Empirical analysis of jump dynamics, heavy-tails and skewness on value-at-risk estimation
Su, Jung-bin; Hung, Jui-cheng - In: Economic modelling 28 (2011) 3, pp. 1117-1130
Persistent link: https://www.econbiz.de/10009271254
Cover Image
Hedging with zero-value at risk hedge ratio
Hung, Jui-cheng; Chiu, Chien-liang; Lee, Mingchih - In: Applied financial economics 16 (2006) 3, pp. 259-269
Persistent link: https://www.econbiz.de/10003291892
Cover Image
Improving the realized GARCH's volatility forecast for Bitcoin with jump-robust estimators
Hung, Jui-Cheng; Liu, Hung-Chun; Yang, Jimmy J. - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012654833