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Siu, Tak Kuen
7
Elliott, Robert J.
4
Lau, John W.
2
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Chan, Leunglung
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Fung, Eric S.
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Kulperger, Reg
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ECONIS (ZBW)
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1
The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights
Siu, Tak Kuen
- In:
Applied economics
53
(
2021
)
17
,
pp. 1991-2014
Persistent link: https://www.econbiz.de/10012500918
Saved in:
2
Bitcoin option pricing with a SETAR-GARCH model
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The European journal of finance
27
(
2021
)
6
,
pp. 564-595
Persistent link: https://www.econbiz.de/10012484403
Saved in:
3
Viterbi-based estimation for Markov switching GARCH model
Elliott, Robert J.
;
Lau, John W.
;
Miao, Hong
;
Siu, Tak Kuen
- In:
Applied mathematical finance
19
(
2012
)
3/4
,
pp. 219-231
Persistent link: https://www.econbiz.de/10009710984
Saved in:
4
Option valuation with a discrete-time double Markovian regime-switching model
Siu, Tak Kuen
;
Fung, Eric S.
;
Ng, Michael K.
- In:
Applied mathematical finance
18
(
2011
)
5/6
,
pp. 473-490
Persistent link: https://www.econbiz.de/10009422572
Saved in:
5
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
Badescu, Alexandru
;
Elliott, Robert J.
;
Kulperger, Reg
; …
- In:
International journal of theoretical and applied finance
14
(
2011
)
5
,
pp. 669-708
Persistent link: https://www.econbiz.de/10009298478
Saved in:
6
On valuing perticipating life insurance contracts with conditional heteroscedasticity
Siu, Tak Kuen
;
Lau, John W.
;
Yang, Hailiang
- In:
Asia-Pacific financial markets
14
(
2007
)
3
,
pp. 255-275
Persistent link: https://www.econbiz.de/10003705911
Saved in:
7
Option pricing for GARCH models with Markov switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
International journal of theoretical and applied finance
9
(
2006
)
6
,
pp. 825-841
Persistent link: https://www.econbiz.de/10003380278
Saved in:
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