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Wavelet-based option pricing : an empirical study

Liu, Xiaoquan; Cao, Yi; Ma, Chenghu; Shen, Liya - In: European journal of operational research : EJOR 272 (2019) 3, pp. 1132-1142

Persistent link: https://www.econbiz.de/10011942861

w-MPS risk aversion and the shadow CAPM : theory and empirical evidence

Huang, Lin; Ma, Chenghu; Nakata, Hiroyuki - In: The European journal of finance 23 (2017) 10/12, pp. 947-973

Persistent link: https://www.econbiz.de/10011740277

W-MPS Risk Aversion and the Shadow CAPM : Theory and Empirical Evidence

Huang, Lin - 2016

This paper presents the shadow Capital Asset Pricing Model (CAPM) of Ma (2011a) as an intertemporal equilibrium asset pricing model, and tests it empirically. In contrast to the classical CAPM - a single factor model based on a strong behavioral or distributional assumption, the shadow CAPM can...

Persistent link: https://www.econbiz.de/10012982842

Revisit of the volume versus GARCH effects by univariate and bivariate GARCH models : evidence from US stock markets

Wong, Wing Keung; Penm, Jack H. W.; Qiao, Zhuo - In: International economics & finance journal : (IEFJ) 1 (2006) 1, pp. 47-66

Persistent link: https://www.econbiz.de/10003791143

Revisiting calendar anomalies in asian stock markets using a stochastic dominance approach

Hooi Hooi Lean; Smyth, Russell; Wong, Wing Keung - In: Journal of multinational financial management 17 (2007) 2, pp. 125-141

Persistent link: https://www.econbiz.de/10003441967

An improved estimation to make Markowitz’s portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment

Leung, Pui-lam; Ng, Hon-yip; Wong, Wing Keung - In: European journal of operational research : EJOR 222 (2012) 1, pp. 85-95

Persistent link: https://www.econbiz.de/10009569579

Evolution of the Trans-Atlantic exchange rate before and after the birth of the euro and policy implications

Chen, Heng; Fausten, Dietrich K.; Wong, Wing Keung - In: Applied economics 43 (2011) 16/18, pp. 1965-1977

Persistent link: https://www.econbiz.de/10009380151

Theories of risk : testing investor behavior on the Taiwan stock and stock index futures markets

Clark, Ephraim; Qiao, Zhuo; Wong, Wing Keung - In: Economic inquiry : journal of the Western Economic … 54 (2016) 2, pp. 907-924

Persistent link: https://www.econbiz.de/10011551910

Empirical test of the efficiency of the UK covered warrants market : stochastic dominance and likelihood ratio test approach

Chan, Chia-ying; Peretti, Christian de; Qiao, Zhuo; … - In: Journal of empirical finance 19 (2012) 1, pp. 162-174

Persistent link: https://www.econbiz.de/10009615744

Regime-dependent relationships among the stock markets of the US, Australia and New Zealand : a Markov-switching VAR approach

Qiao, Zhuo; Li, Yuming; Wong, Wing Keung - In: Applied financial economics 21 (2011) 22/24, pp. 1831-1841

Persistent link: https://www.econbiz.de/10009384755