Narrow search
Showing 1 - 5 of 5
Cover Image
The role of SGT distribution in Value-at-Risk estimation : evidence from the WTI crude oil market
Liu, Hung-Chun; Lee, Ming-chih; Chang, Ching-Mo - In: Investment management and financial innovations 6 (2009) 1, pp. 86-95
Persistent link: https://www.econbiz.de/10003917409
Cover Image
Why does skewness and the fat-tail effect influence value-at-risk estimates? : evidence from alternative capital markets
Su, Jung-Bin; Lee, Ming-chih; Chiu, Chien-Liang - In: International review of economics & finance : IREF 31 (2014), pp. 59-85
Persistent link: https://www.econbiz.de/10010490442
Cover Image
Value-at-risk in US stock indices with skewed generalized error distribution
Lee, Ming-chih; Su, Jung-Bin; Liu, Hung-Chun - In: Applied financial economics letters 4 (2008) 4/6, pp. 425-431
Persistent link: https://www.econbiz.de/10003808278
Cover Image
Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns
Cheng, Wan-hsiu; Hung, Jui-cheng - In: Journal of empirical finance 18 (2011) 1, pp. 160-173
Persistent link: https://www.econbiz.de/10009301140
Cover Image
Does the tail risk index matter in forecasting downside risk?
Hung, Jui-Cheng; Liu, Hung-Chun; Yang, J. Jimmy - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 3451-3466
Persistent link: https://www.econbiz.de/10014327761