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Empirical analysis of stock indices under a regime-switching model with dependent jump size risks

Hsu, Yuan-Lin; Lin, Shih-kuei; Hung, Ming-Chin; Huang, … - In: Economic modelling 54 (2016), pp. 260-275

Persistent link: https://www.econbiz.de/10011642172

A tale of two regimes : theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications

Chang, Charles; Fuh, Cheng-der; Lin, Shih-kuei - In: Journal of banking & finance 37 (2013) 8, pp. 3204-3217

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Pricing mortgage insurance contracts under housing price cycles with jump risk : evidence from the U.K. housing market

Chuang, Ming-Che; Yang, Wan-Ru; Chen, Ming-Chi; Lin, … - In: The European journal of finance 24 (2018) 10/12, pp. 909-943

Persistent link: https://www.econbiz.de/10012244422

Excess volatility and market efficiency in government bond markets : the ASEAN-5 context

Tang, Kin Boon; Shao Jye Wong; Lin, Shih-kuei; Liao, … - In: The journal of asset management 21 (2020) 2, pp. 154-165

Persistent link: https://www.econbiz.de/10012292759

Option pricing under stock market cycles with jump risks : evidence from the S&P 500 index

Wang, Shin-yun; Chuang, Ming-Che; Lin, Shih-kuei; Shyu, … - In: Review of quantitative finance and accounting 56 (2021) 1, pp. 25-51

Persistent link: https://www.econbiz.de/10012432624

Valuation and empirical analysis of currency options

Chuang, Ming-Che; Wen, Chin-Hsiang; Lin, Shih-kuei - In: International review of economics & finance : IREF 66 (2020), pp. 71-91

Persistent link: https://www.econbiz.de/10012390660

Does variance risk premium predict expected returns?

Kuang, Xian-Ji; Hsu, Yueh-Hua; Chang, Alan; Lin, Shih-kuei - In: Applied economics letters 31 (2024) 13, pp. 1227-1233

Persistent link: https://www.econbiz.de/10014558807

The impact of settlement time on the volatility of stock markets

Li, Dong - In: Applied financial economics 7 (1997) 6, pp. 689-694

Persistent link: https://www.econbiz.de/10001240752

Variance Risk Premium and Expected Returns in Bull and Bear Markets

Chang, Hsing-Hua; Hsu, Yueh-Hua; Kuang, Xian-Ji; Lin, … - 2022

The variance risk premium is a critical risk factor to predict expected returns. However, many studies indicate that expected returns depend strongly on the state of the economy. In this paper, we wish to determine whether the predictive power of the variance risk premium differs across market...

Persistent link: https://www.econbiz.de/10013404688