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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

Jump Variance Risk : Evidence from Option Valuation and Stock Returns

Chang, Hsuan-Ling - 2019

We study jump variance risk by jointly examining both stock and option markets. We develop a GARCH option pricing model with jump variance dynamics and a non-monotonic pricing kernel featuring jump variance risk premium. The model yields a closed-form option pricing formula and improves in...

Persistent link: https://www.econbiz.de/10012902142

Cryptocurrency Momentum and VIX premium

Chang, Hsuan-ling; Nie, Wei-ying; Chang, Li-han; Cheng, … - In: Finance research letters 57 (2023), pp. 1-6

Persistent link: https://www.econbiz.de/10014507872

Asset liability management of longevity and interest rate risks : using survival-mortality bonds

Lin, Tzuling; Tsai, Cary Chi-Liang; Cheng, Hung-Wen - In: North American actuarial journal : NAAJ ; leading the … 27 (2023) 1, pp. 74-95

Persistent link: https://www.econbiz.de/10014286516

The impact of longevity risk on the optimal contribution rate and asset allocation for defined contribution pension plans

Yang, Sharon S.; Huang, Hong-chih - In: The Geneva papers on risk and insurance - issues and … 34 (2009) 4, pp. 660-681

Persistent link: https://www.econbiz.de/10003904768

Do investors exaggerate corporate ESG information? : evidence of the ESG momentum effect in the Taiwanese market

Chen, Hong-Yi; Yang, Sharon S. - In: Pacific-Basin finance journal 63 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012493775

Model risk in risk analysis for no-negative-equity-guarantees

Huang, Jr-Wei; Yang, Sharon S.; Chang, Chuang-chang - In: The journal of derivatives : JOD 28 (2021) 4, pp. 87-110

Persistent link: https://www.econbiz.de/10012612923