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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

VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS

HAN, CHUAN-HSIANG; LIU, WEI-HAN; CHEN, TZU-YING - In: International Journal of Theoretical and Applied … 17 (2014) 02, pp. 1450009-1

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010883198

Generalized control variate methods for pricing Asian options

Han, Chuan-Hsiang; Lai, Yongzeng - In: The journal of computational finance 14 (2010/11) 2, pp. 87-118

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008810127

Variance reduction for MC/QMC methods to evaluate option prices

Fouque, Jean-Pierre; Han, Chuan-Hsiang; Lai, Yongzeng - In: Recent advances in financial engineering : proceedings …, (pp. 27-48). 2009

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003871156

Inferring the economic preference of a rental vehicle company by modeling its de-fleeting process

Han, Chuan-Hsiang; Shi, Jingren; Huang, Suzhou - In: Annals of financial economics 11 (2016) 2, pp. 1-12

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011685673

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 novel semi-static method for the index tracking problem

Fu, Chun-Chong; Han, Chuan-Hsiang; Wang, Kun - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015047448

Stressed portfolio optimization with semiparametric method

Han, Chuan-Hsiang; Wang, Kun - In: Financial innovation : FIN 8 (2022), pp. 1-34

Tail risk is a classic topic in stressed portfolio optimization to treat unprecedented risks, while the traditional mean-variance approach may fail to perform well. This study proposes an innovative semiparametric method consisting of two modeling components: the nonparametric estimation and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013170237

An econometric approach to performance determinants of Asian container terminals

Song, D.-W.; Han, C.-H. - In: International journal of transport economics : IJTE 31 (2004) 1, pp. 39-54

Persistent link: https://ebvufind01.dmz1.zbw.eu/10006417758