Similar Search Results

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

Return autocorrelations in the stock markets

Chen, Chun-Da - In: Applied economics letters 16 (2009) 7/9, pp. 907-911

Persistent link: https://www.econbiz.de/10003855485

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

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

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

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

Revisiting the term of interest rates: evidence from USA

Kuo, Pao-Lan; Chiu, Chien-Liang; Chang, Tsangyao; Wang, … - In: The empirical economics letters : a monthly … 18 (2019) 11, pp. 1141-1150

Persistent link: https://www.econbiz.de/10012372785

Do bitcoin news information flow and return volatility fit the sequential information arrival hypothesis and the mixture of distribution hypothesis?

Chou, Ke-Hsin; Day, Min-Yuh; Chiu, Chien-Liang - In: International review of economics & finance : IREF 88 (2023), pp. 365-385

Persistent link: https://www.econbiz.de/10014474538

Oil Beta Uncertainty and Global Stock Returns

Chen, Chun-Da; Demirer, Rıza - 2022

This paper documents an economically and statistically significant positive premium for oil beta uncertainty in the cross-section of global equity returns. Using a battery of market and portfolio level tests, we show that oil beta uncertainty, measured by the total range spanned by the 95%...

Persistent link: https://www.econbiz.de/10014351672