Publications in collaboration with researchers from National Chung Hsing University (10)

2019

  1. Choosing expected shortfall over VaR in Basel III using stochastic dominance

    International Review of Economics and Finance, Vol. 60, pp. 95-113

2015

  1. A stochastic dominance approach to financial risk management strategies

    Journal of Econometrics, Vol. 187, Núm. 2, pp. 472-485

2013

  1. Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures

    Mathematics and Computers in Simulation, Vol. 94, pp. 183-204

  2. Risk modelling and management: An overview

    Mathematics and Computers in Simulation, Vol. 94, pp. 159-163

  3. The rise and fall of S&P500 variance futures

    North American Journal of Economics and Finance, Vol. 25, pp. 151-167

2011

  1. Risk management of risk under the Basel Accord: forecasting value-at-risk of VIX futures

    Managerial Finance, Vol. 37, Núm. 11, pp. 1088-1106

  2. The Ten Commandments for Managing Value at Risk Under the Basel II Accord

    Issues in Finance: Credit, Crises and Policies (Wiley-Blackwell), pp. 59-64

  3. What Happened to Risk Management During the 2008-2009 Financial Crisis?

    Lessons from the Financial Crisis: Causes, Consequences, and Our Economic Future (John Wiley and Sons), pp. 307-316

2010

  1. A decision rule to minimize daily capital charges in forecasting value-at-risk

    Journal of Forecasting, Vol. 29, Núm. 7

2009

  1. The ten commandments for managing value at risk under the basel II accord

    Journal of Economic Surveys, Vol. 23, Núm. 5, pp. 850-855