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Investors' heterogeneity in beliefs, the VIX futures basis, and S&P 500 index futures returns

Lee, Hsiu-Chuan; Liao, Tzu-Hsiang; Tung, Pao-Ying - In: The journal of futures markets 37 (2017) 9, pp. 939-960

Persistent link: https://www.econbiz.de/10011950912

Fitting and testing for the implied volatility curve using parametric models

Chang, Chuang-chang; Chou, Pin-huang; Liao, Tzu-hsiang - In: The journal of futures markets 32 (2012) 12, pp. 1171-1191

Persistent link: https://www.econbiz.de/10009697755

Debt overhang, financial sector development and economic growth

Hwang, Jen-te; Chung, Chien-ping; Wang, Chieh-hsuan - In: Hitotsubashi journal of economics 51 (2010) 1, pp. 13-30

Persistent link: https://www.econbiz.de/10003993407

The Asymmetric Granger Causality between Banking-Sector and Stock-Market Development and Economic Growth in Quantile Considering Fourier

Fang, Hao; Chung, Chien-Ping; Lee, Yen-Hsien - 2023

Using the asymmetric causality test and bootstrap procedure in combination with quantile VAR and Fourier function, in this study, we examine the simultaneous causation between both measures of financial development and economic growth. Expectedly, our findings of asymmetric Quantile VAR Granger...

Persistent link: https://www.econbiz.de/10014352624

Tail comovements of implied volatility indices and global index futures returns predictability

Lee, Hsiu-chuan; Lee, Yun-Huan; Nguyen, Cuong - In: Pacific-Basin finance journal 80 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014463335

The global latent factor and international index futures returns predictability

Chang, Shu-Lien; Lee, Hsiu-chuan; Lien, Da-hsiang Donald - In: Journal of forecasting 41 (2022) 3, pp. 514-538

Persistent link: https://www.econbiz.de/10013166158