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Value-at-risk estimation with the optimal dynamic biofuel portfolio

Chang, Ting-Huan; Su, Hsin-Mei; Chiu, Chien-Liang - In: Energy economics 33 (2011) 2, pp. 264-273

Persistent link: https://www.econbiz.de/10008814634

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/10007877520

Removal of an investment restriction: the 'B' share experience from China's stock markets

Chiu, Chien-Liang; Lee, Mingchih; Chen, Chun-Da - In: Applied financial economics 15 (2005) 4, pp. 273-286

Persistent link: https://www.econbiz.de/10007643987

Restricted VAR hedging with the presence of multiple breaks

Chiu, Chien-Liang; Chiou, Jer-Shiou; Wu, Pei-Shan - In: Zagreb international review of economics & business 10 (2007) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10009948550

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) 17, pp. 2231-2240

Persistent link: https://www.econbiz.de/10007793432

Effects of structural changes on the risk characteristics of REIT returns

Wu, Pei-Shan; Huang, Chien-Ming; Chiu, Chien-Liang - In: International review of economics & finance : IREF 20 (2011) 4, pp. 645-654

Persistent link: https://www.econbiz.de/10009030734

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) 15, pp. 1935-1944

Persistent link: https://www.econbiz.de/10009134015

The Fluctuations in the International Reserve Currency Portfolio of Special Drawing Right

Chang, Ting-Huan; Chiu, Chien-Liang; Wei, Ming-Tsung - 2023

A B S T R A C TThe International Monetary Fund (IMF) created the Special Drawing Rights (SDRs) with 16-currencies in 1969 as a reserve asset and a unit of account. In 1980, the IMF modified the composition of and weights to calculate the exchange rate on 5-currency basket. This paper mainly...

Persistent link: https://www.econbiz.de/10014354891

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

Abnormal Domestic Information Disseminate on Cross-listed Nikkei 225 Index Futures from Abroad?

Lee, Yen-Hsien; Pai, Tung-Yueh; Chiu, Chien-Liang - In: Economics Bulletin 3 (2007) 60, pp. 1-11

This study extends the GARCH with autoregressive conditional jump intensity in Generalized Error Distribution (GARJI-GED) model to identify the fundamental characteristics of Nikkei 225 index and futures. Furthermore, this study applied the Granger causality test to investigate whether an...

Persistent link: https://www.econbiz.de/10005110989