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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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Measuring business cycles : a temporal disaggregation model with regime switching
Huang, Yu-lieh - In: Economic modelling 29 (2012) 2, pp. 283-290
Persistent link: https://www.econbiz.de/10009536015
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An alternative estimation algorithm for innovation regime-switching models
Huang, Yu-lieh - In: Applied economics letters 15 (2008) 1/3, pp. 225-229
Persistent link: https://www.econbiz.de/10003725411
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Reexamining the permanent income hypothesis with uncertainty in permanent and transitory innovation states
Huang, Yu-lieh; Huang, Chao-hsi; Kuan, Chung-ming - In: Journal of macroeconomics 30 (2008) 4, pp. 1816-1836
Persistent link: https://www.econbiz.de/10003805749
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Quantile regression analysis of corporate liquidity : evidence from the US property-liability insurance industry
Chang, Vincent Y.; Tsai, Jeffrey Tzuhao - In: The Geneva papers on risk and insurance - issues and … 39 (2014) 1, pp. 77-89
Persistent link: https://www.econbiz.de/10010337107
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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