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Price bounds of mortality-linked security in incomplete insurance market
Huang, Yu-Lieh; Tsai, Jeffrey Tzuhao; Yang, Sharon S.; … - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 30-39
This study investigates reasonable price bounds for mortality-linked securities when the issuer has only a partial hedging ability. The price bounds are established by minimizing the difference between the benchmark price and the replicating portfolio cost subject to the gain–loss ratio of...
Persistent link: https://www.econbiz.de/10010753206
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Empirical performance of component GARCH models in pricing VIX term structure and VIX futures
Cheng, Hung-Wen; Chang, Li-Han; Lo, Chien-Ling; Tsai, … - In: Journal of empirical finance 72 (2023), pp. 122-142
Persistent link: https://www.econbiz.de/10014476812
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Model specification of conditional jump intensity : Evidence from S&P 500 returns and option prices
Cheng, Hung-Wen; Lo, Chien-Ling; Tsai, Jeffrey Tzuhao - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012667167
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Identifiying turbulent and calm regimes in stock prices : evidence from the Taiwan stock market
Huang, Yu-lieh - In: Applied economics letters 16 (2009) 13/15, pp. 1477-1481
Persistent link: https://www.econbiz.de/10003894880
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Testing Markov switching models
Huang, Yu-lieh - In: Applied economics 46 (2014) 16/18, pp. 2047-2051
Persistent link: https://www.econbiz.de/10010413344
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Measuring business cycles : a temporal disaggregation model with regime switching
Huang, Yu-lieh - In: Economic modelling 29 (2012) 2, pp. 283-290
Persistent link: https://www.econbiz.de/10009536015
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An alternative estimation algorithm for innovation regime-switching models
Huang, Yu-lieh - In: Applied economics letters 15 (2008) 1/3, pp. 225-229
Persistent link: https://www.econbiz.de/10003725411
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Conditional volatility targeting strategy considering jump effects : evidence from sustainable ESG equity index
Huang, Jr-Wei; Yang, Sharon S.; Cheng, Hung-Wen - In: Pacific-Basin finance journal 88 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10015324171
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A component-driven model for regime switching and its empirical evidence
Kuan, Chung-ming (contributor); Huang, Yu-lieh (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001931272
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Actuarial implications of structural changes in El Niño-Southern Oscillation Index dynamics
Chen, Shu-Ling; Huang, Yu-lieh - In: Annals of financial economics 9 (2014) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10010489093