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A value-at-risk analysis of carry trades using skew-GARCH models

Wang, Yu-jen; Chung, Huimin; Guo, Jia-hau - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 4, pp. 439-459

Persistent link: https://www.econbiz.de/10009787972

Investor sentiment and evaporating liquidity during the financial crisis

Chiu, Junmao; Chung, Huimin; Ho, Keng-Yu; Wu, Chih-Chiang - In: International review of economics & finance : IREF 55 (2018), pp. 21-36

Persistent link: https://www.econbiz.de/10012033445

Givers or receivers? : return and volatility spillovers between Fintech and the traditional financial industry

Chen, Yuxuan; Chiu, Junmao; Chung, Huimin - In: Finance research letters 46 (2022) 2, pp. 1-11

Persistent link: https://www.econbiz.de/10013342023

Givers or Receivers? Return and volatility spillovers between Fintech and the Traditional Financial Industry

Chen, Yuxuan; Chiu, Junmao; Chung, Huimin - 2021

We investigate the return and volatility spillovers between a Fintech ETF and the ETFs of the traditional financial industry with an empirical network model. We find that the traditional financial ETFs are still the main givers, and the Fintech ETF is the net receiver. The Fintech ETF does not...

Persistent link: https://www.econbiz.de/10013210993

The impact of overnight returns on realized volatility

Tseng, Tseng-chan; Lai, Hung-Cheng; Lin, Cha-fei - In: Applied financial economics 22 (2012) 4/6, pp. 357-364

Persistent link: https://www.econbiz.de/10009581349

Co-movements of returns in the health care sectors from the US, UK, and Germany stock markets : evidence from the continuous wavelet analyses

Chen, Mei-Ping; Chen, Wen-Yi; Tseng, Tseng-Chan - In: International review of economics & finance : IREF 49 (2017), pp. 484-498

Persistent link: https://www.econbiz.de/10011748685

Impacts of relatively rational and irrational investor sentiment on realized volatility

Tseng, Tseng-Chan; Lai, Hung-Cheng; Chen, Jih-Kuang - In: Asian economic journal : journal of the East Asian … 36 (2022) 4, pp. 458-478

Persistent link: https://www.econbiz.de/10014280248