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Forecasting implied volatilities for options on index futures : time-series and cross-sectional analysis versus constant elasticity of variance (CEV) model

Tai, Tzu; Lee, Cheng F. - In: Portfolio construction, measurement, and efficiency : …, (pp. 355-387). 2017

Persistent link: https://www.econbiz.de/10011603288

The dynamic dependence between the Chinese market and other international stock markets : a time-varying copula approach

Wang, Kehluh; Chen, Yi-Hsuan; Huang, Szu-wei - In: International review of economics & finance : IREF 20 (2011) 4, pp. 654-664

Persistent link: https://www.econbiz.de/10009303893

Intraday return volatility process : evidence from NASDAQ stocks

Rahman, Shafiqur; Lee, Cheng F.; Ang, Kian Ping - In: Review of quantitative finance and accounting 19 (2002) 2, pp. 155-180

Persistent link: https://www.econbiz.de/10001719974

Assessing the impact of political unrest on currency returns : a look at Latin America

Chien, Chin-chen; Lee, Cheng F.; Wang, Andrew M. L. - In: The quarterly review of economics and finance : journal … 42 (2002) 1, pp. 155-162

Persistent link: https://www.econbiz.de/10001648626

Variation in Stock Returns Risks : An International Comparison

Chiou, Wan-Jiun Paul - 2010

Using returns of 4,916 stocks from 22 developed countries and 15 developing countries, this study examines the relative magnitude of conditional volatility and the international market systematic risk of stock prices in countries at different developmental stages and in various geographical...

Persistent link: https://www.econbiz.de/10013150617

Time-changed GARCH versus the GARJI model for prediction of extreme news events : an empirical study

Kao, Lie-Jane; Wu, Po-cheng; Lee, Cheng F. - In: International review of economics & finance : IREF 21 (2012) 1, pp. 115-129

Persistent link: https://www.econbiz.de/10009428082

Volatility persistence of high-frequency returns in the Japanese government bond futures market

Shi, Weihua; Lee, Cheng F. - In: Review of Pacific Basin financial markets and policies 11 (2008) 4, pp. 511-530

Persistent link: https://www.econbiz.de/10003816725

Intraday patterns, announcement effects, and volatility persistence in the Japanese government bond futures market

Shi, Weihua; Eisenberg, Laurence K.; Lee, Cheng F. - In: Review of Pacific Basin financial markets and policies 12 (2009) 1, pp. 63-85

Persistent link: https://www.econbiz.de/10003867391

Variation in stock return risks : an international comparison

Chiou, Wan-jiun Paul; Lee, Alice C.; Lee, Cheng F. - In: Review of Pacific Basin financial markets and policies 12 (2009) 2, pp. 245-266

Persistent link: https://www.econbiz.de/10003871586

The jump behavior of foreign exchange market : analysis of Thai Baht

Chang, Jow-Ran; Hung, Mao-Wei; Lee, Cheng F.; Lu, Hsin-Min - In: Review of Pacific Basin financial markets and policies 10 (2007) 2, pp. 265-288

Persistent link: https://www.econbiz.de/10003507283