A5084358762- Financial Risk and Volatility Modeling
- Corruption and Economic Development
- Intellectual Property and Patents
- Financial Markets and Investment Strategies
- Corporate Finance and Governance
- Fuzzy Systems and Optimization
- Auditing, Earnings Management, Governance
- Economic Growth and Development
- Advanced Algorithms and Applications
- Market Dynamics and Volatility
- Statistical Methods and Inference
- Innovation Policy and R&D
- Risk and Portfolio Optimization
- Metaheuristic Optimization Algorithms Research
National Tsing Hua University
2022-2024
Xi'an Jiaotong University
2022-2023
Tail risk is a classic topic in stressed portfolio optimization to treat unprecedented risks, while the traditional mean-variance approach may fail perform well. This study proposes an innovative semiparametric method consisting of two modeling components: nonparametric estimation and copula for each marginal distribution their joint distribution, respectively. We then focus on optimal weights its scale beyond Gaussian restriction. Empirical studies include statistical method, measure...
This paper examines how the deterrence of fraud affects firms’ innovation outputs, based on a quasi-experiment Whistleblower Program. We find that is positively related to both quantitatively and qualitatively. Moreover, its impact more pronounced when firm has information asymmetry or higher employee turnover.
The COVID-19 has serious impacts on the economy and contaminates equity market because its spread leads to enormous uncertainty, which can be measured by various volatilities from backward forward information contents. We find that pandemic-related data are significant for regressing volatilities. Hence, we construct index termed Volatility of pandemic (VolCo) as a proxy volatility, including GJR-GARCH instantaneous VIX their combination. This VolCo provides an explanation volatility in...