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The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights

Siu, Tak Kuen - In: Applied economics 53 (2021) 17, pp. 1991-2014

Persistent link: https://www.econbiz.de/10012500918

A mixture price trend model for long-term risk management

Fung, Eric S.; Ching, Wai Ki; Siu, Tak Kuen - In: Business intelligence in economic forecasting : …, (pp. 157-173). 2010

Persistent link: https://www.econbiz.de/10003994046

A decomposition method for optimal portfolios with regime-switching and risk constraint

Liu, Jingzhen; Yiu, Ka-fai Cedric; Siu, Tak Kuen - In: Risk and decision analysis 3 (2012) 4, pp. 269-276

Persistent link: https://www.econbiz.de/10009704597

A functional Itô's calculus approach to convex risk measures with jump diffusion

Siu, Tak Kuen - In: European journal of operational research : EJOR 250 (2016) 3, pp. 874-883

Persistent link: https://www.econbiz.de/10011445346

A risk-based approach for asset allocation with a defaultable share

Shen, Yang; Siu, Tak Kuen - In: Risks : open access journal 6 (2018) 1, pp. 1-27

This paper presents a novel risk-based approach for an optimal asset allocation problem with default risk, where a money market account, an ordinary share and a defaultable security are investment opportunities in a general non-Markovian economy incorporating random market parameters. The...

Persistent link: https://www.econbiz.de/10011811551

Robust reinsurance contracts with risk constraint

Wang, Ning; Siu, Tak Kuen - In: Scandinavian actuarial journal 2020 (2020) 5, pp. 419-453

Persistent link: https://www.econbiz.de/10012262748

Two price economic equilibria and financial market bid/ask prices

Elliott, Robert J.; Madan, Dilip B.; Siu, Tak Kuen - In: Annals of finance 17 (2021) 1, pp. 27-43

Persistent link: https://www.econbiz.de/10012489935

A dynamic binormal expansion technique for credit risk measurement : a Bayesian filtering approach

Woo, Wing Hoe; Siu, Tak Kuen - In: Applied mathematical finance 11 (2004) 2, pp. 165-186

Persistent link: https://www.econbiz.de/10002085494

On Bayesian value at risk : from linear to non-linear portfolios

Siu, Tak Kuen; Tong, Howell; Yang, Hailiang - In: Asia-Pacific financial markets 11 (2004) 2, pp. 161-184

Persistent link: https://www.econbiz.de/10003357652