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Estimation and testing of portfolio Value-at-Risk based on L-comoment matrices

Liu, Wei-han - In: The journal of futures markets 30 (2010) 9, pp. 897-908

Persistent link: https://www.econbiz.de/10008900925

Detecting structural breaks in tail behaviour : from the perspective of fitting the generalized Pareto distribution

Liu, Wei-han - In: Applied economics 45 (2013) 10/12, pp. 1273-1286

Persistent link: https://www.econbiz.de/10009718411

Do futures prices exhibit maturity effect? : a nonparametric revisit

Liu, Wei-han - In: Applied economics 46 (2014) 7/9, pp. 813-825

Persistent link: https://www.econbiz.de/10010398924

A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility

Liu, Wei-han - In: Energy economics 56 (2016), pp. 351-362

Persistent link: https://www.econbiz.de/10011664251

National culture effects on stock market volatility level

Liu, Wei-han - In: Empirical economics : a journal of the Institute for … 57 (2019) 4, pp. 1229-1253

Persistent link: https://www.econbiz.de/10012115296

An empirical re-examination of extreme tail behavior : testing the assumptions of the power laws and the generalized Pareto distribution on the financial series

Liu, Wei-Han - In: Applied economics 51 (2019) 30, pp. 3310-3324

Persistent link: https://www.econbiz.de/10012196832

Attaining stochastic optimal control over debt ratios in U.S. markets

Liu, Wei-han - In: Review of quantitative finance and accounting 61 (2023) 3, pp. 967-993

Persistent link: https://www.econbiz.de/10014342125

Re-evaluating the major factors in the low origination rate of the reverse mortgage market

Liu, Wei-Han - In: Review of Pacific Basin financial markets and policies … 26 (2023) 2, pp. 1-26

Persistent link: https://www.econbiz.de/10014304921

Modeling heavy-tailed returns in emerging markets: With an application to the Taiwan Stock Index and its futures

Liu, Wei-han - 2002

This thesis focuses on two topics in financial risk management: optimal hedge ratios and portfolio value-at-risk (VaR). The empirical analysis is based on the daily return series for the Taiwan stock market index and two associated futures contracts. The sample period for the daily data covers...

Persistent link: https://www.econbiz.de/10009430494

Improved estimation of portfolio value-at-risk under Copula models with mixed marginals

Miller, Douglas J.; Liu, Wei-han - In: The journal of futures markets 26 (2006) 10, pp. 997-1018

Persistent link: https://www.econbiz.de/10003391974