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Why does skewness and the fat-tail effect influence value-at-risk estimates? : evidence from alternative capital markets
Su, Jung-bin
;
Lee, Ming-chih
;
Chiu, Chien-Liang
- In:
International review of economics & finance : IREF
31
(
2014
),
pp. 59-85
Persistent link: https://www.econbiz.de/10010490442
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2
Studies on the effect of trading volume and return volatility on call warrants and underlying stocks in Taiwan
Chiu, Chien-liang
;
Lee, Ming-chih
;
Lin, Cho-min
;
Chen, …
- In:
Quarterly journal of business and economics : QJBE
44
(
2005
)
1/2
,
pp. 29-43
Persistent link: https://www.econbiz.de/10002893906
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3
Correlated jumps in crude oil and gasoline during the Gulf War
Lee, Mingchih
;
Cheng, Wan-hsiu
- In:
Applied economics
39
(
2007
)
7/9
,
pp. 903-913
Persistent link: https://www.econbiz.de/10003484155
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4
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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5
Jump risk of presidential election : evidence from Taiwan stock and foreign exchange markets
Hung, Jui-cheng
;
Jiang, Shi-jie
;
Chiu, Chien-liang
- In:
Applied economics
39
(
2007
)
16/18
,
pp. 2231-2240
Persistent link: https://www.econbiz.de/10003589802
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6
Arbitrage behaviour in the exchange rates of Taiwan and Japan : applying the smooth transition vector error correction model with GJR-GARCH and spillover volatility
Lee, Yen-Hsien
;
Chiu, Chien-liang
- In:
Applied economics
43
(
2011
)
13/15
,
pp. 1935-1943
Persistent link: https://www.econbiz.de/10009240247
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7
Do bitcoin news information flow and return volatility fit the sequential information arrival hypothesis and the mixture of distribution hypothesis?
Chou, Ke-Hsin
;
Day, Min-Yuh
;
Chiu, Chien-Liang
- In:
International review of economics & finance : IREF
88
(
2023
),
pp. 365-385
Persistent link: https://www.econbiz.de/10014474538
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