Similar Search Results

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

A mixture price trend model for long-term risk management

Fung, Eric S.; Ching, Wai Ki; Siu, Tak Kuen - In: Business intelligence in economic forecasting : …, (pp. 157-173). 2010

Persistent link: https://www.econbiz.de/10003994046

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

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

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

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

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

An IID test for functional time series with applications to high-frequency VIX index data

Huang, Xin; Shang, Han Lin; Siu, Tak Kuen - In: Risks : open access journal 13 (2025) 2, pp. 1-25

To address a key issue in functional time series analysis on testing the randomness of an observed series, we propose an IID test for functional time series by generalizing the Brock-Dechert-Scheinkman (BDS) test, which is commonly used for testing nonlinear independence. Similarly to the BDS...

Persistent link: https://www.econbiz.de/10015333723