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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
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Hedging with floor-traded and E-mini stock index futures
Chiu, Chien-liang; Wu, Pei-shan; Chen, Chun-Da; Cheng, … - In: Quarterly journal of business and economics : QJBE 44 (2005) 3/4, pp. 49-68
Persistent link: https://www.econbiz.de/10003059289
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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
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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
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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
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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
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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
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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
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The impact of liquidity on portfolio value-at-risk forecasts
Hung, Jui-Cheng; Su, Jung-bin; Chang, Matthew C.; Wang, … - In: Applied economics 52 (2020) 3, pp. 242-259
Persistent link: https://www.econbiz.de/10012197387
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Does the tail risk index matter in forecasting downside risk?
Hung, Jui-Cheng; Liu, Hung-Chun; Yang, J. Jimmy - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 3451-3466
Persistent link: https://www.econbiz.de/10014327761