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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

Normal and abnormal information transmissions : evidence from China's stock markets

Chiu, Chien-liang; Hung, Jui-cheng - In: Applied economics letters 14 (2007) 10/12, pp. 863-870

Persistent link: https://www.econbiz.de/10003589467

Jump risk of presidential election : evidence from Taiwan stock and foreign exchange markets

Hung, Jui-cheng; Jiang, Shi-jie; Chiu, Chien-liang - In: Applied economics 39 (2007) 16/18, pp. 2231-2240

Persistent link: https://www.econbiz.de/10003589802

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

Do price jumps matter in volatility forecasts of US treasury futures?

Zhang, Xueer; Hung, Jui-Cheng; Chiu, Chien-Liang - 2025

Persistent link: https://www.econbiz.de/10015376629

Evaluation of realized multi-power variations in minimum variance hedging

Hung, Jui-Cheng - In: Economic modelling 51 (2015), pp. 672-679

Persistent link: https://www.econbiz.de/10011476357

Deregulation and liberalization of the Chinese stock market and the improvement of market efficiency

Hung, Jui-cheng - In: The quarterly review of economics and finance : journal … 49 (2009) 3, pp. 843-857

Persistent link: https://www.econbiz.de/10003873638

The Information Contents of VIX Index and Range-based Volatility on Volatility Forecasting Performance of S&P 500

Hung, Jui-Cheng; Ni, Ren-Xi; Chang, Matthew C. - In: Economics Bulletin 29 (2009) 4, pp. 2592-2604

In this paper, we investigate the information contents of S&P 500 VIX index and range-based volatilities by comparing their benefits on the GJR-based volatility forecasting performance. To reveal the statistical significance and ensure obtaining robust results, we employ Hansen's SPA test (2005)...

Persistent link: https://www.econbiz.de/10008562794

The information contents of vix index and range-based volatility on volatility forecasting performance of s&p 500

Hung, Jui-Cheng - In: Economics Bulletin 29 (2009) 3, pp. 24-24

Persistent link: https://www.econbiz.de/10008563093

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/10010147427