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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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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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Hedging for multi-period downside risk in the presence of jump dynamics and conditional heteroskedasticity
Lee, Ming-chih; Hung, Jui-cheng - In: Applied economics 39 (2007) 16/18, pp. 2403-2412
Persistent link: https://www.econbiz.de/10003590359
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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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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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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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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