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Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns

Cheng, Wan-hsiu; Hung, Jui-cheng - In: Journal of empirical finance 18 (2011) 1, pp. 160-173

Persistent link: https://www.econbiz.de/10009301140

A study of dynamics in market volatility indices between the US and Taiwan

Lee, Yen-Hsien; Hung, Jui-Cheng; Wang, Yi-Hsien; Huang, … - In: Investment management and financial innovations 9 (2012) 4, pp. 89-95

Persistent link: https://www.econbiz.de/10009745489

Evaluating and improving GARCH-based volatility forecasts with range-based estimators

Hung, Jui-cheng; Lou, Tien-wei; Wang, Yi-hsien; Lee, Jun-de - In: Applied economics 45 (2013) 28/30, pp. 4041-4049

Persistent link: https://www.econbiz.de/10010345765

Volatility forecasts : do volatility estimators and evaluation methods matter?

Jiang, I-Ming; Hung, Jui-Cheng; Wang, Chuan-San - In: The journal of futures markets 34 (2014) 11, pp. 1077-1094

Persistent link: https://www.econbiz.de/10010508678

Empirical analysis of jump dynamics, heavy-tails and skewness on value-at-risk estimation

Su, Jung-bin; Hung, Jui-cheng - In: Economic modelling 28 (2011) 3, pp. 1117-1130

Persistent link: https://www.econbiz.de/10009271254

Examining market efficiency for large and small-capitalization of TOPIX and FTSE stock indices

Hung, Jui-cheng; Lee, Yen-Hsien; Pai, Tung-Yueh - In: Applied financial economics 19 (2009) 7/9, pp. 735-744

This article uses parametric and nonparametric Variance Ratio (VR) tests of Lo and Mackinlay (1988) and Wright (2000) to re-examine the weak-form Efficient Market Hypothesis (EMH) for the large- and small-capitalization stock indices of TOPIX (Tokyo Stock Price Index) and FTSE (Financial Times...

Persistent link: https://www.econbiz.de/10003842695

Hedging with zero-value at risk hedge ratio

Hung, Jui-cheng; Chiu, Chien-liang; Lee, Mingchih - In: Applied financial economics 16 (2006) 3, pp. 259-269

Persistent link: https://www.econbiz.de/10003291892

Estimation of value-at-risk under jump dynamics and asymmetric information

Chiu, Chien-liang; Lee, Ming-chih; Hung, Jui-cheng - In: Applied financial economics 15 (2005) 15, pp. 1095-1106

Persistent link: https://www.econbiz.de/10003213436

Trading activity and price discovery in Bitcoin futures markets

Hung, Jui-Cheng; Liu, Hung-Chun; Yang, J. Jimmy - In: Journal of empirical finance 62 (2021), pp. 107-120

Persistent link: https://www.econbiz.de/10012693330

Improving the realized GARCH's volatility forecast for Bitcoin with jump-robust estimators

Hung, Jui-Cheng; Liu, Hung-Chun; Yang, Jimmy J. - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012654833