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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

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

The determinants of positive feedback trading behaviors in Bitcoin markets

Wang, Jying-Nan; Lee, Yen-Hsien; Liu, Hung-Chun; Lee, … - In: Finance research letters 45 (2022), pp. 1-7

Persistent link: https://www.econbiz.de/10014574911

Value-at-risk in US stock indices with skewed generalized error distribution

Lee, Ming-Chih; Su, Jung-Bin; Liu, Hung-Chun - In: Applied Financial Economics Letters 4 (2008) 6, pp. 425-431

This investigation proposes a composite Simpson's rule, a numerical integral method, for estimating quantiles on the skewed generalized error distribution (SGED). Daily spot prices of S&P500 and Dow-Jones stock indices are used as data to examine the one-day-ahead VaR (Value at Risk) forecasting...

Persistent link: https://www.econbiz.de/10004988371