Ciencias Económicas y Empresariales
Facultad
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National Chung Hsing University
Taichung, TaiwánPublicaciones en colaboración con investigadores/as de National Chung Hsing University (12)
2019
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Choosing expected shortfall over VaR in Basel III using stochastic dominance
International Review of Economics and Finance, Vol. 60, pp. 95-113
2017
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Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance
PROCEEDINGS OF THE 2017 INTERNATIONAL CONFERENCE ON ECONOMICS, FINANCE AND STATISTICS (ICEFS 2017)
2015
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A stochastic dominance approach to financial risk management strategies
Journal of Econometrics, Vol. 187, Núm. 2, pp. 472-485
2013
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Currency hedging strategies using dynamic multivariate GARCH
Mathematics and Computers in Simulation, Vol. 94, pp. 164-182
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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
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Risk modelling and management: An overview
Mathematics and Computers in Simulation, Vol. 94, pp. 159-163
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The rise and fall of S&P500 variance futures
North American Journal of Economics and Finance, Vol. 25, pp. 151-167
2011
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Risk management of risk under the Basel Accord: forecasting value-at-risk of VIX futures
Managerial Finance, Vol. 37, Núm. 11, pp. 1088-1106
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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
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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
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A decision rule to minimize daily capital charges in forecasting value-at-risk
Journal of Forecasting, Vol. 29, Núm. 7
2009
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The ten commandments for managing value at risk under the basel II accord
Journal of Economic Surveys, Vol. 23, Núm. 5, pp. 850-855