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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
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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
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Hedging for multi-period downside risk in the presence of jump dynamics and conditional heteroskedasticity
Lee, Ming-chih; Hung, Jui-cheng - In: Applied economics 39 (2007) 16/18, pp. 2403-2412
Persistent link: https://www.econbiz.de/10003590359
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Nonlinear adjustment of short-term deviations impacts on the US real estate market
Lee, Yen-Hsien; Chiu, Chien-Liang - In: Applied economics letters 17 (2010) 4/6, pp. 597-603
Persistent link: https://www.econbiz.de/10003980268
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Arbitrage behaviour in the exchange rates of Taiwan and Japan : applying the smooth transition vector error correction model with GJR-GARCH and spillover volatility
Lee, Yen-Hsien; Chiu, Chien-liang - In: Applied economics 43 (2011) 13/15, pp. 1935-1943
Persistent link: https://www.econbiz.de/10009240247
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Financial criteria approach to evaluation of casino industry performance
Huang, Ya-Ling; Lee, Yen-Hsien; Lee, In-fun - In: The empirical economics letters : a monthly … 10 (2011) 10, pp. 1001-1008
Persistent link: https://www.econbiz.de/10009571836
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Dynamic correlations and volatility spillovers between crude oil and stock index returns : the implications for optimal portfolio construction
Lee, Yen-Hsien; Huang, Ya-Ling; Wu, Chun-Yu - In: International Journal of Energy Economics and Policy : IJEEP 4 (2014) 3, pp. 327-336
Persistent link: https://www.econbiz.de/10011286211
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The dynamic and asymmetric herding behavior of US equity fund managers in the stock market
Fang, Hao; Shen, Chung-hua; Lee, Yen-Hsien - In: International review of economics & finance : IREF 49 (2017), pp. 353-369
Persistent link: https://www.econbiz.de/10011748490