Publications

1. Jiang, I. M., Hung, J. C. & Wang, C. S. (2014). Volatility forecasts: Do volatility estimators and evaluation methods matter? Journal of Futures Markets, 34(11), 1077-1094. [SSCI, Econlit, NSC rank ATier-2]
2. Hung, J. C., Chang, M. C., Huang, C. M. & Chiu, C. L. (2013). Financial performance and business risk of futures commission merchants: A panel threshold regression. Journal of Futures and Options, 6(2), 51-72. [TSSCI]
3. Chang, M. C., Hung, J. C. & Chiu, C. L. (2013). One gold, two currencies: price discovery between spot exchange rate and implied exchange arte derived from futures. International Journal of Information and Management Sciences, 24, 23-38. [EI, TSSCI]
4. Hung, J. C., Lou, T. W., Wang, Y. H. & Lee, J. D. (2013). Evaluating and improving GARCH-based volatility forecasts with range-based estimators. Applied Economics, 45(28), 4041-4049. [SSCI, Econlit]
5. Chang, M. C. & Hung, J. C. (2012). Can VaR be predictive for regulation? Evidence from the futures industry in Taiwan. Romanian Journal of Economic Forecasting, 4, 147-162. [SSCI, Econlit]
6. Lee, Y. H., Hung, J. C., Wang, Y. H. & Huang, C. Y. (2012). A study of dynamics in market volatility indices between US and Taiwan. Investment Management and Financial Innovations, 9(4), 95-101. [Econlit, ABI]
7. Wang, C. S., Hung, J. C. & Feng, S. W. (2012). Currency Hedging Strategies of a Pension Fund. International Research Journal of Applied Finance, 3(4), 503-517. [Econlit]
8. Wang, Y. H., Hung, J. C. & Lee, Y. H. (2012). Computing Regression Quantiles to Analysis the Relationship between Market Behavior and Political Risk. Quality & Quantity: International Journal of Methodology, 46(4), 1047-1055. [SSCI, SCI]
9. Hung, J. C. (2011), “Efficiency Analysis of Using Range-based GARCH Models in Calculating Market Risk Capital Requirements,” Journal of Accounting, Finance & Management Strategy, 6(2), 23-44. [ABI]
10. Haque, A., Hung, J. C. & Liu, H. C. (2011). Pakistani stock market and rational speculative bubbles. Actual Problems of Economics, 9(123), 371-382. [SSCI]
11. Wang, Y. H., Hung, J. C., Kao, H. H. & Shih, K. H. (2010). Long-term Relationship between Political Behavior and Stock Market Return: New Evidence from Quantile Regression. Quality & Quantity: International Journal of Methodology, 45, 1361-1367. [SSCI, SCI]
12. Hung, J. C., Wang, Y. H., Chang, M. C., Shih, K. H. & Kao, H. H. (2011). Minimum Variance Hedging with Bivariate Regime-Switching and TVC-GARCH Models the case of WTI Crude Oil. Energy, 36, 3050-3057. [SCI]
13. Su, J. B. & Hung, J. C. (2011). Empirical Analysis of Jump Dynamics, Heavy-tails and Skewness in Value-at-Risk Estimation. Economics Modelling, 28, 1117-1130. [SSCI]
14. Cheng, W. H. & Hung, J. C. (2011). Skewness and Leptokurtosis in GARCH-typed VaR Estimation of Petroleum and Metal Asset Returns. Journal of Empirical Finance, 18(1), 160-173. [SSCI, FLI, NSC rank ATier-1]
15. Huang, T. C., Hung, J. C. & Chang, M. C. (2010). The role of distribution assumption and asymmetric specification of GARCH model on calculating VaR and option pricing in Taiwan stock market. Journal of Money, Investment and Banking, 17, 37-46. [Econlit]
16. Liu, H. C. & Hung, J. C. (2010). Forecasting Volatility and Capturing Downside Risk of Taiwanese Futures Markets under the Financial Tsunami. Managerial Finance. 36(10), 860-875. [FLI, ABI, NSC rank B+]