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Pricing Taiwan option market with GARCH and stochastic volatility

Huang, Hung-Hsi; Wang, Ching-Ping; Chen, Shiau-Hung - In: Applied Financial Economics 21 (2011) 10, pp. 747-754

This study compares the out-of-sample performances among Black-Scholes (B-S), Stochastic Volatility (SV) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models in the Taiwan option market. Using Absolute Relative Pricing Error (ARPE) as the performance criterion, the...

Persistent link: https://www.econbiz.de/10009206896

Pricing Taiwan option market with GARCH and stochastic volatility

Huang, Hung-Hsi; Wang, Ching-Ping; Chen, Shiau-Hung - In: Applied financial economics 21 (2011) 10, pp. 747-755

Persistent link: https://www.econbiz.de/10009016409

Does corporate governance affect institutional ownership and share repurchase decisions?

Huang, Hung-hsi; Wang, Ching-ping; Lin, Kun-hui; Jhao, … - In: Global journal of business research : GJBR 4 (2010) 4, pp. 35-40

Persistent link: https://www.econbiz.de/10008807873

Implied index and option pricing errors : evidence from the Taiwan option market

Wang, Ching-ping; Huang, Hung-hsi; hung, Chien-chia - In: The international journal of business and finance … 5 (2011) 2, pp. 115-125

Persistent link: https://www.econbiz.de/10008809183

Momentum strategy and institutional investing in Taiwan stock market

Wang, Ching-ping; Huang, Hung-hsi; Lin, Wei-li - In: Applied financial economics 20 (2010) 19/21, pp. 1651-1658

Persistent link: https://www.econbiz.de/10009011550

Unsystematic risk explanation to momentum profits in Taiwan

Wang, Ching-ping; Huang, Hung-hsi; Tu, Kai-jei - In: Review of Pacific Basin financial markets and policies 15 (2012) 1, pp. 115-143

Persistent link: https://www.econbiz.de/10009551686

Does past performance affect mutual fund tracking error in Taiwan?

Wang, Ching-Ping; Huang, Hung-Hsi; Chen, Cheng-Yu - In: Applied economics 47 (2015) 49/51, pp. 5476-5490

Persistent link: https://www.econbiz.de/10011341768

Portfolio selection and portfolio frontier with background risk

Huang, Hung-hsi; Wang, Ching-ping - In: The North American journal of economics and finance : a … 26 (2013), pp. 177-196

Persistent link: https://www.econbiz.de/10010364815

Does fund manager herding vary over the business cycle?

Huang, Hung-hsi; Hung, Rern-jay; Wang, Ching-ping; … - In: Applied economics letters 17 (2010) 13/15, pp. 1531-1535

Persistent link: https://www.econbiz.de/10008938890

Investor SAD sentiment and stock returns in Taiwan

Wang, Ching-ping; Huang, Hung-hsi; Chen, Yong-wei - In: Emerging markets finance & trade : a journal of the … 48 (2012), pp. 40-57

Persistent link: https://www.econbiz.de/10009682527