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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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Estimation of value-at-risk under jump dynamics and asymmetric information
Chiu, Chien-liang; Lee, Ming-chih; Hung, Jui-cheng - In: Applied financial economics 15 (2005) 15, pp. 1095-1106
Persistent link: https://www.econbiz.de/10003213436
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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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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