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isPartOf:"Applied economics"
~person:"Chuang, Chung-Chu"
~person:"Su, Jung-bin"
~subject:"ARCH-Modell"
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ARCH-Modell
ARCH model
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Portfolio selection
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Erwartungsnutzen
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VEC–ADVECH
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Value-at-risk
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accuracy and efficiency
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expected utility maximization
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futures
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hedging effectiveness
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illiquidity
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multivariate GARCH-t and GJR-GARCH-t models
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Chuang, Chung-Chu
Su, Jung-bin
Wang, Yi-Hsien
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Chang, Matthew C.
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Applied economics
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Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
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The impact of liquidity on portfolio value-at-risk forecasts
Hung, Jui-Cheng
;
Su, Jung-bin
;
Chang, Matthew C.
;
Wang, …
- In:
Applied economics
52
(
2020
)
3
,
pp. 242-259
Persistent link: https://www.econbiz.de/10012197387
Saved in:
2
Hedging effectiveness of the hedged portfolio : the expected utility maximization subject to the value-at-risk approach
Chuang, Chung-Chu
;
Wang, Yi-Hsien
;
Yeh, Tsai-Jung
; …
- In:
Applied economics
47
(
2015
)
19/21
,
pp. 2040-2052
Persistent link: https://www.econbiz.de/10010513350
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