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VaR/CVaR Estimation Under Stochastic Volatility Models

Han, Chuan-Hsiang - 2013

This paper proposes an improved procedure for stochastic volatility model estimation with an application to Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) estimation. This improved procedure is composed of the following instrumental components: Fourier transform method for volatility...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013088465

Robust hedging performance and volatility risk in option markets : application to Standard and Poor's 500 and Taiwan index options

Han, Chuan-Hsiang; Chang, Chien-Hung; Kuo, Chii-Shyan; … - In: International review of economics & finance : IREF 40 (2015), pp. 160-173

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011573571

The VolCo index : a measure of the transition from pandemic to equity market

Wang, Kun; Han, Chuan-Hsiang - In: Applied economics letters 30 (2023) 15, pp. 2004-2008

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014324852

A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility

Liu, Wei-han - In: Energy economics 56 (2016), pp. 351-362

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011664251

National culture effects on stock market volatility level

Liu, Wei-han - In: Empirical economics : a journal of the Institute for … 57 (2019) 4, pp. 1229-1253

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012115296

What can inverse VIX contribute to an investment portfolio?

Liu, Wei-Han; Chang, Jow-Ran - In: International journal of finance & economics : IJFE 27 (2022) 3, pp. 3791-3798

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013330774