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Application of hidden Markov switching moving average model in the stock markets : theory and empirical evidence

Lin, Shih-kuei; Wang, Shin-yun; Tsai, Pei-ling - In: International review of economics & finance : IREF 18 (2009) 2, pp. 306-317

Persistent link: https://www.econbiz.de/10003832730

Option pricing under stock market cycles with jump risks : evidence from the S&P 500 index

Wang, Shin-yun; Chuang, Ming-Che; Lin, Shih-kuei; Shyu, … - In: Review of quantitative finance and accounting 56 (2021) 1, pp. 25-51

Persistent link: https://www.econbiz.de/10012432624

A tale of two regimes : theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications

Chang, Charles; Fuh, Cheng-der; Lin, Shih-kuei - In: Journal of banking & finance 37 (2013) 8, pp. 3204-3217

Persistent link: https://www.econbiz.de/10009778451

Pricing gold options under Markov-modulated jump-diffusion processes

Lin, Shih-kuei; Lian, Yu-Min; Liao, Szu-Lang - In: Applied financial economics 24 (2014) 10/12, pp. 825-836

Persistent link: https://www.econbiz.de/10010402550

Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model : with regime-switching risk premium

Li, Chang-Yi; Chen, Son-nan; Lin, Shih-kuei - In: The European journal of finance 22 (2016) 10/12, pp. 887-908

Persistent link: https://www.econbiz.de/10011715220

The extension from independence to dependence between jump frequency and jump size in Markov-modulated jump diffusion models

Lin, Shih-kuei; Peng, Jin Lung; Chao, Wei-Hsiung; Wu, An-Chi - In: The North American journal of economics and finance : a … 37 (2016), pp. 217-235

Persistent link: https://www.econbiz.de/10011672951

Stock index options pricing under jump patterns driven by market states

Lin, Chao-Yang; Liu, Huimei; Lee, Jia-Ching; Lin, Shih-kuei - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 4, pp. 840-859

Persistent link: https://www.econbiz.de/10012211508

Fair valuation of mortgage insurance under stochastic default and interest rates

Wu, Yang-Che; Huang, Yi-Ting; Lin, Shih-kuei; Chuang, … - In: The North American journal of economics and finance : a … 42 (2017), pp. 433-447

Persistent link: https://www.econbiz.de/10011938144

Upside and downside correlated jump risk premia of currency options and expected returns

He, Jie-Cao; Chang, Hsing-Hua; Chen, Ting-Fu; Lin, Shih-kuei - In: Financial innovation : FIN 9 (2023) 1, pp. 1-58

This research explores upside and downside jumps in the dynamic processes of three rates: domestic interest rates, foreign interest rates, and exchange rates. To fill the gap between the asymmetric jump in the currency market and the current models, a correlated asymmetric jump model is proposed...

Persistent link: https://www.econbiz.de/10014289112