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  • Search: person:"Chang‐Cheng Changchien"
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Year of publication
Subject
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Risikomaß 3 Risk measure 3 Skewed generalized t distribution 3 ARCH model 2 ARCH-Modell 2 Extreme value theory 2 Statistical distribution 2 Statistische Verteilung 2 Tail-index 2 Theorie 2 Theory 2 VaR-x method 2 Value-at-Risk 2 1996-2006 1 Ansteckungseffekt 1 Ausreißer 1 Capital income 1 Contagion effect 1 Corporate Financial Performance 1 Corporate Social Responsibility 1 Corporate social responsibility 1 Credit Ratings 1 Credit rating 1 Derivat 1 Derivative 1 Financial crisis 1 Finanzkrise 1 Firm Capability 1 Firm performance 1 Forecasting model 1 Hedging 1 Hypothek 1 International financial market 1 Internationaler Finanzmarkt 1 Kapitaleinkommen 1 Kreditwürdigkeit 1 Mortgage 1 Optimal hedge ratio 1 Outliers 1 Portfolio selection 1
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Online availability
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Undetermined 4 Free 1
Type of publication
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Article 10 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 6 Aufsatz in Zeitschrift 6
Language
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English 7 Undetermined 4
Author
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Changchien, Chang-Cheng 6 Lin, Chu-Hsiung 6 Kao, Tzu-Chuan 4 Kao, Wei-Shun 4 Changchien, Chang-cheng 3 Kao, Wei-shun 2 Lin, Chu-hsiung 2 Wu, Chien-Hui 2 Changchien, Chang‐Cheng 1 Chang‐Cheng Changchien 1 Chu‐Hsiung Lin 1 Hsien‐Chueh Peter Yang 1 Lin, Chu‐Hsiung 1 Wang, Li-Hsun 1 Yang, Hsien-chueh Peter 1 Yang, Hsien‐Chueh Peter 1 Yeh, Kuei-Tzu 1
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Published in...
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Journal of forecasting 2 The journal of risk model validation 2 Bulletin of applied economics 1 Finance research letters 1 Journal of Empirical Finance 1 Journal of Forecasting 1 Journal of empirical finance 1 The Chinese economy 1
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Source
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ECONIS (ZBW) 7 OLC EcoSci 2 RePEc 2
Showing 1 - 10 of 11
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Corporate social responsibility and credit ratings : on the moderating role of firm capability
Lin, Chu-Hsiung; Kao, Tzu-Chuan; Changchien, Chang-Cheng; … - In: Bulletin of applied economics 8 (2022) 2, pp. 17-24
Persistent link: https://www.econbiz.de/10013271119
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Contagion in international stock markets after the subprime mortgage crisis
Kao, Wei-Shun; Kao, Tzu-Chuan; Changchien, Chang-Cheng; … - In: The Chinese economy 51 (2018) 2, pp. 130-153
Persistent link: https://www.econbiz.de/10012026364
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Return distribution, leverage effect and spot-futures spread on the hedging effectiveness
Kao, Wei-Shun; Lin, Chu-Hsiung; Changchien, Chang-Cheng; … - In: Finance research letters 22 (2017), pp. 158-162
Persistent link: https://www.econbiz.de/10011808125
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High-order moments and extreme value approach for value-at-risk
Lin, Chu-Hsiung; Changchien, Chang-Cheng; Kao, Tzu-Chuan; … - In: Journal of empirical finance 29 (2014), pp. 421-434
Persistent link: https://www.econbiz.de/10011300450
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Improving Hull and White's method of estimating portfolio value-at-risk
Changchien, Chang-cheng; Lin, Chu-Hsiung; Yang, … - In: Journal of forecasting 31 (2012) 8, pp. 706-720
Persistent link: https://www.econbiz.de/10009722640
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Capturing value-at-risk in futures markets : a revised filtered historical simulation approach
Changchien, Chang-cheng; Lin, Chu-Hsiung; Kao, Wei-shun - In: The journal of risk model validation 6 (2012) 4, pp. 67-93
Persistent link: https://www.econbiz.de/10009692956
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Capturing value-at-risk in futures markets : a revised filtered historical simulation approach
Changchien, Chang-cheng; Lin, Chu-hsiung; Kao, Wei-shun - In: The journal of risk model validation 6 (2012) 4, pp. 67-93
Persistent link: https://www.econbiz.de/10010077134
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High-order moments and extreme value approach for value-at-risk
Lin, Chu-Hsiung; Changchien, Chang-Cheng; Kao, Tzu-Chuan; … - In: Journal of Empirical Finance 29 (2014) C, pp. 421-434
We modify a two-step approach by McNeil and Frey (2000) for forecasting Value-at-Risk (VaR). Our approach combines the asymmetric GARCH (GJR) model that allows the high-order moments (i.e., skewness and kurtosis) of the skewed generalized t (SGT) distribution to rely on the past information set...
Persistent link: https://www.econbiz.de/10011116264
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Cover Image
Improving Hull and White's Method of Estimating Portfolio Value‐at‐Risk
Chang‐Cheng Changchien; Chu‐Hsiung Lin; … - In: Journal of Forecasting 31 (2012) 8, pp. 706-720
Persistent link: https://www.econbiz.de/10011006256
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Cover Image
Improving Hull and White's Method of Estimating Portfolio Value‐at‐Risk
Changchien, Chang‐Cheng; Lin, Chu‐Hsiung; Yang, … - In: Journal of forecasting 31 (2012) 8, pp. 706-721
Persistent link: https://www.econbiz.de/10010033561
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