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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

Do foreign trading patterns cause abnormal information from Taiwanese stock markets?

Lee, Ming-chih; Lee, Yen-Hsien - In: Applied economics letters 15 (2008) 13/15, pp. 1219-1224

Persistent link: https://www.econbiz.de/10003801378

CEO characteristics enhancing the impact of CEO overconfidence on firm value after mergers and acquisitions : a case study in China

Tang, Chia-Hsien; Lee, Yen-Hsien; Lee, Ming-chih; … - In: Review of Pacific Basin financial markets and policies 23 (2020) 1, pp. 2050003-1-2050003-19

Persistent link: https://www.econbiz.de/10012299659

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

Lee, Ming-Chih; Cheng, Wan-Hsiu - In: Applied economics 39 (2007) 7-9, pp. 903-914

Persistent link: https://www.econbiz.de/10007742435

Lee, Ming-Chih; Cheng, Wan-Hsiu - In: Applied economics 39 (2007) 7, pp. 903-914

Persistent link: https://www.econbiz.de/10007732236

Lee, Ming-Chih; Cheng, Wan-Hsiu - In: Applied Economics 39 (2007) 7, pp. 903-913

This article employs a bivariate poisson jump model to investigate the relationship between the volatility of crude oil and gasoline especially during the period of the Gulf War. We find that greater jumps occurring in crude oil returns will appear in gasoline returns at the same time, but the...

Persistent link: https://www.econbiz.de/10005643863

Hedging with floor-traded and E-mini stock index futures

Chiu, Chien-liang; Wu, Pei-shan; Chen, Chun-Da; Cheng, … - In: Quarterly journal of business and economics : QJBE 44 (2005) 3/4, pp. 49-68

Persistent link: https://www.econbiz.de/10003059289

Hedging with Floor-Traded and E-mini Stock Index Futures

Chiu, Chien-Liang; Wu, Pei-Shan; Chen, Chun-Da; Cheng, … - In: Quarterly journal of business and economics : QJBE 44 (2005) 3-4, pp. 49-68

Persistent link: https://www.econbiz.de/10006235271

Is twin behavior of Nikkei 225 index futures the same?

Lee, Ming-Chih; Chiu, Chien-Liang; Lee, Yen-Hsien - In: Physica A: Statistical Mechanics and its Applications 377 (2007) 1, pp. 199-210

This study adopts the autoregressive conditional jump intensity (ARJI) model proposed by Chan and Maheu [J. Business Econ. Stat. 20 (2002) 377–389] to investigate the impact of news on SIMEX-Nikkei 225 and CME-Nikkei 225 (regards it as the twins). Empirical results demonstrate that the twins...

Persistent link: https://www.econbiz.de/10010873472