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Pricing catastrophe equity puts with counterparty risks under Markov-modulated, default-intensity processes

Chen, Jun-Home; Lian, Yu-Min; Liao, Szu-Lang - In: The North American journal of economics and finance : a … 61 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013449359

Portfolio allocation with dynamic risk preferences via reinforcement learning

Chen, Ting-Fu; Kuang, Xian-Ji; Liao, Szu-Lang; Lin, … - In: Computational economics 64 (2024) 4, pp. 2033-2052

Persistent link: https://www.econbiz.de/10015143990

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

Empirical analysis of stock indices under a regime-switching model with dependent jump size risks

Hsu, Yuan-Lin; Lin, Shih-kuei; Hung, Ming-Chin; Huang, … - In: Economic modelling 54 (2016), pp. 260-275

Persistent link: https://www.econbiz.de/10011642172

Pricing mortgage insurance contracts under housing price cycles with jump risk : evidence from the U.K. housing market

Chuang, Ming-Che; Yang, Wan-Ru; Chen, Ming-Chi; Lin, … - In: The European journal of finance 24 (2018) 10/12, pp. 909-943

Persistent link: https://www.econbiz.de/10012244422

Intelligent portfolio construction via news sentiment analysis

Hung, Ming-Chin; Hsia, Ping-Hung; Kuang, Xian-Ji; Lin, … - In: International review of economics & finance : IREF 89 (2024) 1, pp. 605-617

Persistent link: https://www.econbiz.de/10014446506

The pricing model of pension benefit guaranty corporation insurance with regime-switching processes

Chen, Ting-Fu; Lin, Shih-kuei; Chang, An-Sing; Wang, Wei-Hao - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-23

This paper aims to evaluate Pension Benefit Guaranty Corporation (PBGC) insurance values through regime-switching models. We separate periods of the economy with faster growth from those with slower growth to observe long-term trends in the economy. We derive a fair PBGC insurance pricing...

Persistent link: https://www.econbiz.de/10013273626

Machine learning and artificial neural networks to construct P2P lending credit-scoring model : a case using Lending Club data

Chang, An-Hsing; Yang, Li-Kai; Tsaih, Rua-Huan; Lin, … - In: Quantitative finance and economics 6 (2022) 2, pp. 303-325

Persistent link: https://www.econbiz.de/10013498955

Pricing models of equity swaps

Wang, Ming-Chieh; Liao, Szu-Lang - In: The journal of futures markets 23 (2002) 8, pp. 751-772

Persistent link: https://www.econbiz.de/10001780620

Pricing and hedging of quanto range accrual notes under Gaussian HJM with cross-currency Levy processes

Liao, Szu-Lang; Hsu, Pao-Peng - In: The journal of futures markets 29 (2009) 10, pp. 973-998

Persistent link: https://www.econbiz.de/10003900954