Scopus
Article
1
Unconditional density vs conditional density functions in estimating value-at-risk
Chiu Y.C., Chuang I.Y.
Applied Economics
2021, 53 (4) , 482-494
Article
2
The performance of the switching forecast model of value-at-risk in the Asian stock markets
Chiu Y.C., Chuang I.Y.
Finance Research Letters
2016, 18 , 43-51
Article
3
Information content of nonsynchronous trading for taiwan stock index options
Chuang I.Y., Lai J.Y., Wang Y.C., Xue A.J.
NTU Management Review
2014, 24 , 1-28
Article
4
Estimation of oil firm's systematic risk via composite time-varying models
Lu J.R., Lee P.H., Chuang I.Y.
Mathematics and Computers in Simulation
2011, 81 (11) , 2389-2399
Article
5
Futures hedging effectiveness under the segmentation of bear/bull energy markets
Chang C.Y., Lai J.Y., Chuang I.Y.
Energy Economics
2010, 32 (2) , 442-449
Article
6
The performance of composite forecast models of value-at-risk in the energy market
Chiu Y.C., Chuang I.Y., Lai J.Y.
Energy Economics
2010, 32 (2) , 423-431
Article
7
The performance of Asian airlines in the recent financial turmoil based on VaR and modified Sharpe ratio
Chuang I.Y., Chiu Y.C., Edward Wang C.
Journal of Air Transport Management
2008, 14 (5) , 257-262
Article
8
Interdependence of international equity variances: Evidence from East Asian markets
Chuang I.Y., Lu J.R., Tswei K.
Emerging Markets Review
2007, 8 (4) , 311-327
Article
9
Forecasting volatility in the financial markets: A comparison of alternative distributional assumptions
Chuang I.Y., Lu J.R., Lee P.H.
Applied Financial Economics
2007, 17 (13) , 1051-1060
Article
10
Estimating the systematic risk of airlines: A methodological comparison
Chuang I.Y., Lu J.R., Chen C.F.
Journal of Air Transport Management
2006, 12 (2) , 103-105
學術著作
1
臺指選擇權非同步交易時段之資訊內涵
莊益源、賴靖宜、王雅晴、薛愛潔
臺大管理評論
2014 年
月
臺大管理評論,第24卷, 第S1期,第1-28頁
期刊論文
2
期貨最適組合避險模型：新興市場為例
張巧宜、賴靖宜、莊益源
管理與系統
2013 年
月
管理與系統,第20卷, 第2期,第355-383頁
期刊論文
3
Composite Implied Volatility and Dynamic Selection Models in Pricing and Hedging Options
I-Yuan Chuang, Lee, P. H. and Tsai, T. M.
International Research Journal of Finance and Economics
2012 年
月
International Research Journal of Finance and Economics,Vol.99, No.,pp.131-144
期刊論文
4
Estimation of Oil Firm’s Systematic Risk via Composite Time-varying Models
Lu, J. R., Lee, P. H. and I-Yuan Chuang
Mathematics and Computers in Simulation
2011 年
月
Mathematics and Computers in Simulation,Vol.81, No.,pp.2389-2399
期刊論文
5
組合波動率模型之選擇權評價與避險
莊益源、李佩璇、蔡宗閔
2010臺灣財務金融學會暨中區聯盟學術研討會
2010 年
月
2010臺灣財務金融學會暨中區聯盟學術研討會,第-頁
研討會論文
6
波動率模型之預測、評價與避險以臺指選擇權為例
莊益源、蔡宗閔、賴振耀
證券市場發展季刊
2009 年
月
證券市場發展季刊,第21卷, 第2期,第69-118頁
期刊論文
7
納入開收盤價、最高低價的風險值模型
莊益源、邱臙珍、李登賀
2008 年
月
,第44卷, 第2期,第139-176頁
期刊論文
8
Estimating Systematic Risk of Airlines: A Comparison of Modelling Techniques
Chuang I. Y., Lu, J. R and Lee, P. H.
Journal of Air Transport Management
2006 年
月
Journal of Air Transport Management,Vol., No.,pp.103-105
期刊論文
9
Does VaR Estimate Have a Unit Root? Application of Phillip-Perrin Test
Chuang I. Y., Chui Y. C. and Wang C. E.
Journal of FInancial Management and Analysis
2005 年
月
Journal of FInancial Management and Analysis,Vol., No.,pp.12-17
期刊論文
10
機率密度函數風險值模型在臺灣店頭市場之實證研究
莊益源、邱臙珍、王祝三
管理評論
2005 年
月
管理評論,第24卷, 第2期,pp.77-109
期刊論文