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Uncertain effects of shocks vs. uncertain unit root : an alternative view of US real GDP

Huang, Yu-lieh; Huang, Chao-hsi - In: Hitotsubashi journal of economics 56 (2015) 1, pp. 117-134

Persistent link: https://www.econbiz.de/10011327390

Semantics matter : an empirical study on economic policy uncertainty index

Chen, Chung-Chi; Huang, Yu-lieh; Yang, Fang - In: International review of economics & finance : IREF 89 (2024) 1, pp. 1286-1302

Persistent link: https://www.econbiz.de/10014446624

Modeling underwriting risk : a copula regression analysis on U.S. property-casualty insurance byline loss ratios

Tsai, Jeffrey Tzuhao; Lo, Chien-Ling - In: Pacific-Basin finance journal 83 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10014491177

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

Pricing and securitization of multi-country longevity risk with mortality dependence

Yang, Sharon S.; Wang, Chou-wen - In: Insurance / Mathematics & economics 52 (2013) 2, pp. 157-169

Persistent link: https://www.econbiz.de/10009736119

Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks

Dai, Tian-Shyr; Yang, Sharon S.; Liu, Liang-Chih - In: Insurance / Mathematics & economics 64 (2015), pp. 364-379

Persistent link: https://www.econbiz.de/10011398106

Valuation of non-negative equity guarantees, considering contagion risk for house prices under the HJM interest rate model

Chen, Fen-Ying; Yang, Sharon S.; Huang, Hong Chih - In: Quantitative finance 21 (2021) 9, pp. 1551-1565

Persistent link: https://www.econbiz.de/10012624157

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

Modeling pandemic mortality risk and its application to mortality-linked security pricing

Chen, Fen-Ying; Yang, Sharon S.; Huang, Hong Chih - In: Insurance / Mathematics & economics 106 (2022), pp. 341-363

Persistent link: https://www.econbiz.de/10013380614