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A study of value-at-risk on portfolio in stock return using DCC multivariate GARCH

Lee, Mingchih; Chiou, Jer-shiou; Lin, Cho-min - In: Applied financial economics letters 2 (2006) 3, pp. 183-188

Persistent link: https://www.econbiz.de/10003326276

The Fluctuations in the International Reserve Currency Portfolio of Special Drawing Right

Chang, Ting-Huan; Chiu, Chien-Liang; Wei, Ming-Tsung - 2023

A B S T R A C TThe International Monetary Fund (IMF) created the Special Drawing Rights (SDRs) with 16-currencies in 1969 as a reserve asset and a unit of account. In 1980, the IMF modified the composition of and weights to calculate the exchange rate on 5-currency basket. This paper mainly...

Persistent link: https://www.econbiz.de/10014354891

Value-at-risk estimation with the optimal dynamic biofuel portfolio

Chang, Ting-huan; Su, Hsin-mei; Chiu, Chien-liang - In: Energy economics 33 (2011) 2, pp. 264-272

Persistent link: https://www.econbiz.de/10009261932

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

Downside risk measures and equity returns in the NYSE

Chen, Dar-hsin; Chen, Chun-Da; Chen, Jianguo - In: Applied economics 41 (2009) 7/9, pp. 1055-1070

Persistent link: https://www.econbiz.de/10003842299

Decomposing risks in bond portfolios : international evidence

Sun, David; Tsai, Shih-Chuan; Chen, Chun-Da - In: The journal of fixed income 26 (2016) 1, pp. 75-93

Persistent link: https://www.econbiz.de/10011660773

Oil beta uncertainty and global stock returns

Chen, Chun-Da; Demirer, Rıza - In: Energy economics 112 (2022), pp. 1-12

Persistent link: https://www.econbiz.de/10013350430

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