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A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility

Liu, Wei-han - In: Energy economics 56 (2016), pp. 351-362

Persistent link: https://www.econbiz.de/10011664251

Attaining stochastic optimal control over debt ratios in U.S. markets

Liu, Wei-han - In: Review of quantitative finance and accounting 61 (2023) 3, pp. 967-993

Persistent link: https://www.econbiz.de/10014342125

VaR/CVaR estimation under stochastic volatility models

Han, Chuan-Hsiang; Liu, Wei-han; Chen, Tzu-ying - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10010363922

VaR/CVaR Estimation Under Stochastic Volatility Models

Han, Chuan-Hsiang - 2013

This paper proposes an improved procedure for stochastic volatility model estimation with an application to Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) estimation. This improved procedure is composed of the following instrumental components: Fourier transform method for volatility...

Persistent link: https://www.econbiz.de/10013088465

Revisiting generalized almost stochastic dominance

Chang, Jow-Ran; Liu, Wei-Han; Hung, Mao-Wei - In: Decision making and risk/return optimization in …, (pp. 175-192). 2019

Persistent link: https://www.econbiz.de/10012134793

An improved criterion for almost marginal conditional stochastic dominance

Liu, Wei-Han; Chang, Jow-Ran; Yang, Guo-Jun - In: Review of quantitative finance and accounting 62 (2024) 3, pp. 1251-1290

Persistent link: https://www.econbiz.de/10014504640

What can inverse VIX contribute to an investment portfolio?

Liu, Wei-Han; Chang, Jow-Ran - In: International journal of finance & economics : IJFE 27 (2022) 3, pp. 3791-3798

Persistent link: https://www.econbiz.de/10013330774