Zobrazeno 1 - 10
of 15
pro vyhledávání: '"EnDer Su"'
Autor:
EnDer Su
Publikováno v:
Review of Quantitative Finance and Accounting. 57:147-202
The heterogeneity of large and small stock market structures results in different degrees of cross-market contagion. The causality test reveals that large stock markets have less inner-market contagion and more cross-market contagion while smaller ma
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d88da3d74836206a3111798826eb8dd9
https://doi.org/10.1007/s11156-020-00942-5
https://doi.org/10.1007/s11156-020-00942-5
Autor:
Kai Wen Wong, Ender Su
Publikováno v:
The Quarterly Review of Economics and Finance. 72:101-116
Considering the volatility in two states, the option pricing models involved constant volatility can be extended to two-state lognormal model (TLN), two-state constant-elasticity-variance model (TCEV) and two-state jump-diffusion model (TJD). Using T
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::12b73d601ad59d160850932321faa599
https://doi.org/10.1016/j.qref.2018.11.006
https://doi.org/10.1016/j.qref.2018.11.006
Autor:
Kai Wen Wong, Ender Su
Publikováno v:
The Quarterly Review of Economics and Finance. 70:172-193
In this study, both systemic and individual bank risks across domestic and international banks in Taiwan are analyzed given a risk event breakout, using the conditional value-at-risk (CoVaR) and the conditional expected shortfall (CoES) by estimating
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::119a1276750d2281253a6c0323347d8a
https://doi.org/10.1016/j.qref.2018.04.008
https://doi.org/10.1016/j.qref.2018.04.008
Autor:
EnDer Su
Publikováno v:
Risk Management. 20:185-241
This paper studies the structural tail dependence and contagion risk especially in high volatility state between domestic (Taiwanese) and foreign banks. Aptly the two-state threshold copula GARCH provides the threshold regression and copulas to class
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7c0d3bfe64097127dfc0b6ec743a177a
https://doi.org/10.1057/s41283-018-0035-2
https://doi.org/10.1057/s41283-018-0035-2
Autor:
EnDer Su
Publikováno v:
International Review of Economics & Finance. 47:233-254
In this study, the risk hedge between the Morgan Stanley Taiwan stock index (MSTI) and its underlying futures is analyzed regarding hedging cost under various hedge states using the trend and volatility involved regime-switching models compared with
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ca30d1f34cce4190a4f6f038d121f0f1
https://doi.org/10.1016/j.iref.2016.10.016
https://doi.org/10.1016/j.iref.2016.10.016
Publikováno v:
International Journal of Strategic Decision Sciences. 7:69-88
The present study uses the structural equation model (SEM) to analyze the correlations between various economic indices pertaining to latent variables, such as the New Taiwan Dollar (NTD) value, the United States Dollar (USD) value, and USD index. In
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::32d1c6dd36de7f3ac7446bb070d7881c
https://doi.org/10.4018/ijsds.2016040105
https://doi.org/10.4018/ijsds.2016040105
The present study uses the structural equation model (SEM) to analyze the correlations between various economic indices pertaining to latent variables, such as the New Taiwan Dollar (NTD) value, the United States Dollar (USD) value, and USD index. In
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b6b9a72f12c0e234ed6828ebc4916eaa
https://doi.org/10.4018/978-1-5225-1908-9.ch005
https://doi.org/10.4018/978-1-5225-1908-9.ch005
Autor:
John F. O. Bilson, Ender Su
Publikováno v:
Applied Economics. 43:3891-3905
This article develops a leverage trend Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model by incorporating asymmetric trend of returns of the exponential autoregressive and asymmetric volatility of GARCH models to study the asymm
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0ca29071b2b335567b0faceb84eb3756
https://doi.org/10.1080/00036841003742561
https://doi.org/10.1080/00036841003742561
Autor:
Feng-Jeng Lin, EnDer Su
Publikováno v:
Computational Economics. 39:259-287
The spot markets often exhibit high and low volatilities that persist for a while. We classify the spot market volatility into two states: high and low and use the Markov chain theory to construct a Two-State volatility model for pricing and hedging
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d31b130170ea4088cc14a13711984426
https://doi.org/10.1007/s10614-010-9247-6
https://doi.org/10.1007/s10614-010-9247-6
Publikováno v:
Journal of Statistics and Management Systems. 12:813-827
The purpose of this paper is to construct a financial distress pre-warning model by financial ratios and corporate governance variables for investors and risk supervisors. Through the Securities and Futures Institute network, we collect the financial
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::da91fe4ccc8272a587c43b11128703b9
https://doi.org/10.1080/09720510.2009.10701424
https://doi.org/10.1080/09720510.2009.10701424