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Regime-switching in volatility and correlation structure using range-based models with Markov-switching
Miao, Daniel Wei-Chung; Wu, Chun-chou; Su, Yi Kai - In: Economic modelling 31 (2013), pp. 87-93
Persistent link: https://www.econbiz.de/10009725779
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A new range-based regime-switching dynamic conditional correlation model for minimum-variance hedging
Su, Yi Kai; Wu, Chun-chou - In: Journal of mathematical finance 4 (2014) 3, pp. 207-219
Persistent link: https://www.econbiz.de/10010400103
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A defaultable callable bond pricing model
Hua, David; Chou, Heng-chih; Wang, David - In: Investment management and financial innovations 6 (2009) 3, pp. 54-62
Persistent link: https://www.econbiz.de/10003919413
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Long memory and the relation between options and stock prices
Huang, Teng-Ching; Tu, Yu-Chen; Chou, Heng-chih - In: Finance research letters 12 (2015), pp. 77-91
Persistent link: https://www.econbiz.de/10011552258
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The use of technical analysis in sale-and-purchase transactions of secondhand ships
Chou, Heng-chih; Chen, Dar-hsin - In: Maritime economics & logistics : a quarterly scientific … 21 (2019) 2, pp. 223-240
Persistent link: https://www.econbiz.de/10012101973
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Range Volatility : A Review of Models and Empirical Studiues
Chou, Ray Y. - 2012
The literature on range volatility modeling has been rapidly expanding due to its importance and applications. This paper provides alternative price range estimators and discusses their empirical properties and limitations. Besides, we review some relevant financial applications for range...
Persistent link: https://www.econbiz.de/10013098721