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Excess volatility and market efficiency in government bond markets : the ASEAN-5 context
Tang, Kin Boon; Shao Jye Wong; Lin, Shih-kuei; Liao, … - In: The journal of asset management 21 (2020) 2, pp. 154-165
Persistent link: https://www.econbiz.de/10012292759
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The extension from independence to dependence between jump frequency and jump size in Markov-modulated jump diffusion models
Lin, Shih-kuei; Peng, Jin Lung; Chao, Wei-Hsiung; Wu, An-Chi - In: The North American journal of economics and finance : a … 37 (2016), pp. 217-235
Persistent link: https://www.econbiz.de/10011672951
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Pricing the deflation protection option in TIPS using and HJM model with inflation- and interest-rate jumps
Chuang, Ming-Che; Lin, Shih-kuei; Chiang, Mi-Hsiu - In: The journal of derivatives : the official publication … 26 (2018) 2, pp. 50-69
Persistent link: https://www.econbiz.de/10011968699
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Pricing range accrual interest rate swap employing LIBOR market models with jump risks
Lin, Shih-kuei; Wang, Shin-yun; Chen, Carl R.; Xu, Lian-Wen - In: The North American journal of economics and finance : a … 42 (2017), pp. 359-373
Persistent link: https://www.econbiz.de/10011938138
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Fair valuation of mortgage insurance under stochastic default and interest rates
Wu, Yang-Che; Huang, Yi-Ting; Lin, Shih-kuei; Chuang, … - In: The North American journal of economics and finance : a … 42 (2017), pp. 433-447
Persistent link: https://www.econbiz.de/10011938144
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Stock index options pricing under jump patterns driven by market states
Lin, Chao-Yang; Liu, Huimei; Lee, Jia-Ching; Lin, Shih-kuei - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 4, pp. 840-859
Persistent link: https://www.econbiz.de/10012211508
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The affine styled-facts price dynamics for the natural gas : evidence from daily returns and option prices
Hsu, Chih-Chen; Chen, An-sing; Lin, Shih-kuei - In: Review of quantitative finance and accounting 48 (2017) 3, pp. 819-848
Persistent link: https://www.econbiz.de/10011796892
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Option pricing under stock market cycles with jump risks : evidence from the S&P 500 index
Wang, Shin-yun; Chuang, Ming-Che; Lin, Shih-kuei; Shyu, … - In: Review of quantitative finance and accounting 56 (2021) 1, pp. 25-51
Persistent link: https://www.econbiz.de/10012432624
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Valuation and empirical analysis of currency options
Chuang, Ming-Che; Wen, Chin-Hsiang; Lin, Shih-kuei - In: International review of economics & finance : IREF 66 (2020), pp. 71-91
Persistent link: https://www.econbiz.de/10012390660
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Does variance risk premium predict expected returns?
Kuang, Xian-Ji; Hsu, Yueh-Hua; Chang, Alan; Lin, Shih-kuei - In: Applied economics letters 31 (2024) 13, pp. 1227-1233
Persistent link: https://www.econbiz.de/10014558807