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A noise-robust estimator of volatility based on interquantile ranges

Yeh, Jin-huei; Wang, Jying-Nan; Kuan, Chung-ming - In: Review of quantitative finance and accounting 43 (2014) 4, pp. 751-779

Persistent link: https://www.econbiz.de/10010490993

Stabilizing the market with short sale constraint? : new evidence from price jump activities

Yeh, Jin-huei; Chen, Lien-chuan - In: Finance research letters 11 (2014) 3, pp. 238-246

Persistent link: https://www.econbiz.de/10010441861

The stabilizing effects of price limits : new evidence from jump contributed price variations

Chu, Shan-Ying; Chan, Lin Kun; Yeh, Jin-huei - In: The North American journal of economics and finance : a … 48 (2019), pp. 529-539

Persistent link: https://www.econbiz.de/10012120294

Assessing jump and cojumps in financial asset returns with applications in futures markets

Yeh, Jin-huei; Yun, Mu-Shu - In: Pacific-Basin finance journal 82 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014463584

Further Evidence on Calendar Anomalies

Hsu, Yuan-Teng; Koedijk, Kees; Liu, Hung-Chun; Wang, … - 2021

This study aims to investigate the day-of-the-week (DoW) effect of cross-market leveraged exchange-traded funds (LETFs) in the Taiwanese stock market. We find that Wednesday’s overnight returns are significantly positive for bull 2X LETFs tracking major stock indices of the Chinese market,...

Persistent link: https://www.econbiz.de/10013240030

Time-of-day periodicities of trading volume and volatility in Bitcoin exchange : does the stock market matter?

Wang, Jying-Nan; Liu, Hung-Chun; Hsu, Yuan-Teng - In: Finance research letters 34 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012436606

How does the informed trading impact Bitcoin returns and volatility?

Wang, Jying-Nan; Liu, Hung-Chun; Zhang, Shuang; Hsu, … - In: Applied economics 53 (2021) 28, pp. 3223-3233

Persistent link: https://www.econbiz.de/10012517084

The determinants of positive feedback trading behaviors in Bitcoin markets

Wang, Jying-Nan; Lee, Yen-Hsien; Liu, Hung-Chun; Lee, … - In: Finance research letters 45 (2022), pp. 1-7

Persistent link: https://www.econbiz.de/10014574911

Further evidence on calendar anomalies

Hsu, Yuan-Teng; Koedijk, Kees; Liu, Hung-Chun; Wang, … - In: European financial management : the journal of the … 28 (2022) 2, pp. 545-566

Persistent link: https://www.econbiz.de/10013163577

How useful are the various volatility estimators for improving GARCH-based volatility forecasts? : evidence from the Nasdaq-100 stock index

Wang, Jying-Nan; Hsu, Yuan-Teng; Liu, Hung-Chun - In: International journal of economics and financial issues … 4 (2014) 3, pp. 651-656

Persistent link: https://www.econbiz.de/10010526918