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28
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August 1999 - July 2008
Publications
Publications (28)
Five index derivatives with the same expiration days, settlement days, and settlement systems have been consecutively traded on the Taiwan Futures Exchange (TAIFEX) since 1998. This paper examines the expiration effects of TAIFEX index derivatives on the underlying stock market between 1998 and 2002. Our empirical findings show no significant expir...
The literature on range volatility modeling has been rapidly expanding due to its importance and applications. This chapter provides alternative price range estimators and discusses their empirical properties and limitations. Besides, we review some relevant financial applications for range volatility, such as value-at-risk estimation, hedge, spill...
This study proposes a new approach for estimating value-at-risk (VaR). This approach combines quasi-maximum-likelihood fitting of asymmetric conditional autoregressive range (ACARR) models to estimate the current volatility and classical extreme value theory (EVT) to estimate the tail of the innovation distribution of the ACARR model. The proposed...
This study aims to apply value-at-risk (VaR) models to evaluate the risk of dry bulk freight rates when there is an asymmetric long-memory volatility process. The VaR estimations as well as expected shortfalls for both short and long trading positions are conducted. We use the Fractionally Integrated GARCH, Hyperbolic GARCH and Fractionally Integra...
This study investigates the long-memory property and the fractionally cointegration between absolute changes in observed stock prices and implied stock prices from option pricing model. We find a stylized fact that absolute price movements in stock and option markets are characterized by long memory and they present a fractionally cointegrated rela...
This study constructs a fear index for the dry-bulk shipping market. Principal component analysis and min-max scaling are employed to extract the fear sentiment of the four dry-bulk vessel sectors. The main findings are as follows: (1) the fear index could play as a contrarian predictor of the freight rate; (2) the fear index spiked sharply respond...
Sale and purchase (S&P) of secondhand vessels is a key source of profit for dry bulk shipowners, and profitability of such transaction depends on timing decisions. Using a sample of ship prices from June 1986 to 2014, this study applies four technical indicators to identify optimal trading timing for dry bulk ships. Some simulated results are found...
This study investigates the risk-return relations in dry-bulk shipping freight, and to analyse how it was influenced by the 2008 financial tsunami. Empirical results show that the shipping freight's risk-return relation, measured by risk premium parameter β, varies by different types of ship. The risk-return relations of capesize freight have chang...
Trust is important for assuring the success of organizational change. This paper investigates the influence of social information sources and communication on trust in organizational change, and also tests the moderating effect of the credibility of social information. Taking port reform as an example, this research discovers the following results:...
This study investigates the return lead–lag and volatility transmission between dry bulk shipping and container shipping freight markets over the period before, during and after the 2008 financial tsunami. Both cointegration analysis and the Granger causality test are applied to explore the lead–lag relationship between the Baltic dry index (BDI) a...
This paper examines the deposit insurance program of Taiwan. We adopt Duan et al. [4]'s deposit insurance pricing model, and estimate the deposit insurance premium by the Duan and Simonato two-step maximum likelihood method [5]. Our results show that the maximum likelihood estimates for the deposit insurance premium are considerably higher than the...
Credit events are not independent, and the contagion effect is very common. The seriousness of the contagion effect depends on the change in the default contagion duration before and after credit events. This study uses the Autoregressive Conditional Duration (ACD) model to capture the durations of a series of credit events and to study the charact...
This article investigates the long-term impact of the 11 September 2001 terrorist attacks on the maturity, volume and open interest effects for the S&P 500 index futures contracts. Adopting Chou (2005a, b)’s range-based volatility models, this article provides a number of interesting results. For the maturity effect, we find evidence for a very wea...
Most empirical research of the path-dependent, exotic-option credit risk model focuses on developed markets. Taking Taiwan as an example, this study investigates the bankruptcy prediction performance of the path-dependent, barrier option model in the emerging market. We adopt Duan’s (1994) [11], (2000) [12] transformed-data maximum likelihood estim...
Most empirical research of the barrier option credit risk model focus on developed markets. Taking Taiwan market as an example, this study investigates the bankruptcy forecasting performance of the barrier option credit risk model in emerging markets. We adopt Duan (1994, 2000) transformed-data maximum likelihood estimation method to directly estim...
There has been a rapid growth of range volatility due to the demand of empirical finance. This paper contains a review of
the important development of range volatility, including various range estimators and range-based volatility models. In addition,
other alternative models developed recently, such as range-based multivariate volatility models an...
This paper investigates the impact of the 11 September 2001 terrorist attacks on the maturity, volume and open interest effects for the S&P 500 index futures contracts. Adopting Chou (2005a,b)'s range-based volatility models, this paper provides a number of interesting results. For the maturity effect, we find evidence for a very weak presence in t...
The purpose of this paper is to examine how board structure relates to corporate value and financial policy of firms in Taiwan. Using quarterly data from ten stock-listed department stores in Taiwan during the period 2000-2005, this study builds a structural model with three equation sets, and then applies three-stage least squares (3SLS) to estima...
We investigate the performance of a default risk model based on the barrier option framework with maximum likelihood estimation. We provide empirical validation of the model by showing that implied default barriers are statistically significant for a sample of construction firms in Taiwan over the period 1994–2004. We find that our model dominates...
This paper examines the empirical performance of the conditional autoregressive range (CARR) model proposed by Chou (2004). Analyzing daily data on the U.K. stock market over the period 1990 to 2000, we find that the CARR model produces sharper volatility forecasts than the commonly adopted model, the generalized autoregressive conditional heterosc...
This article compares the forecasting performance of
the conditional autoregressive range (CARR) model
with the commonly adopted GARCH model. Two
major stock indices, FTSE 100 and Nikkei 225, are
studies using the daily range data and daily close
price data over the period 1990 to 2000. Our results
suggest that improvements of the overall estimatio...
This paper presents a 3D model for pricing defaultable bonds with embedded put/call options. The pricing model incorporates three essential ingredients in the pricing of defaultable bonds: stochastic interest rate, stochastic default risk, and put/call provision. Both the stochastic interest rate and the stochastic default risk are modeled as a squ...
This paper compares the forecasting performance of the conditional autoregressive range (CARR) model with the commonly adopted GARCH model. We examine two major stock indices, FTSE 100 and Nikkei 225, by using the daily range data and the daily close price data over the period 1990 to 2000. Our results suggest that improvements of the overall estim...
This paper presents a D model for pricing defaultable bonds with embedded call options. The pricing model incorporates three essential ingredients in the pricing of defaultable bonds: stochastic interest rate, stochastic default risk, and call provision. Both the stochastic interest rate and the stochastic default risk are modeled as a square-root...
Extreme value theory has recently been applied to margin setting in futures markets. Price limits, however, may undermine the benefits associated with the extreme-value method. This has not to be accomplished in the literature. This article proposes an empirical method to examine the impacts of price limits on the results of extreme value parameter...
This article analyzes the information content of the distance-from-default regarding a firm's default risk. Under the Merton's (1974) option pricing model, both the relation between the expected default probability of a firm and its distance-from-default, and the relation between the credit spreads and distance-from-default are examined. We demonst...