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Empirical performance of component GARCH models in pricing VIX term structure and VIX futures
Cheng, Hung-Wen; Chang, Li-Han; Lo, Chien-Ling; Tsai, … - In: Journal of empirical finance 72 (2023), pp. 122-142
Persistent link: https://www.econbiz.de/10014476812
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Model specification of conditional jump intensity : Evidence from S&P 500 returns and option prices
Cheng, Hung-Wen; Lo, Chien-Ling; Tsai, Jeffrey Tzuhao - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012667167
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Conditional volatility targeting strategy considering jump effects : evidence from sustainable ESG equity index
Huang, Jr-Wei; Yang, Sharon S.; Cheng, Hung-Wen - In: Pacific-Basin finance journal 88 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10015324171
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Actuarial implications of structural changes in El Niño-Southern Oscillation Index dynamics
Chen, Shu-Ling; Huang, Yu-lieh - In: Annals of financial economics 9 (2014) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10010489093
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Ensuring more is better : on the simultaneous application of stock and options data to estimate the GARCH options pricing model
Chang, Charles; Cheng, Hung-Wen; Fuh, Cheng-Der - In: The journal of derivatives : the official publication … 26 (2018) 1, pp. 7-25
Persistent link: https://www.econbiz.de/10011968669
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Option valuation with nonmonotonic pricing kernel and embedded volatility component premiums
Chang, Hsuan-Ling; Cheng, Hung-Wen; Lei, Yi-Ding - In: The journal of derivatives : JOD 30 (2023) 4, pp. 105-127
Persistent link: https://www.econbiz.de/10014306890