黃 宜侯

研究成果

每年研究成果 2009 2011 2012 2022

• 23 Article

每年研究成果

每年研究成果

搜尋結果

• 2022

  A Behavior Perspective of Distress Anomaly: Evidence From Overnight Returns

  Hu, M. C., Huang, A. Y. H., Yu, D. L. & Zhai, R. X., 2022, (Accepted/In press) 於: Journal of Behavioral Finance.

  研究成果: Article › 同行評審

  • Distress 100%
  • Anomaly 89%
  • Shock 40%
  • evidence 38%
  • investor 35%
• 2020

  Asymmetrical impacts from overnight returns on stock returns

  Huang, A. Y. H., Hu, M. C. & Truong, Q. T., 2020, (Accepted/In press) 於: Review of Quantitative Finance and Accounting.

  研究成果: Article › 同行評審

  • Stock Returns 100%
  • Momentum Effect 97%
  • Extreme Returns 35%
  • Return Reversal 35%
  • Momentum Trading 35%
  3 引文 斯高帕斯（Scopus）
• 2018

  Asymmetric dynamics between informed trading activity and credit default swaps

  Hu, W. C. & Huang, Y-H., 1 12月 2018, 於: Journal of Derivatives. 26, 2, p. 70-85 16 p.

  研究成果: Article › 同行評審
• 2016

  Impacts of implied volatility on stock price realized jumps

  Huang, Y-H., 1 12月 2016, 於: Economic Systems. 40, 4, p. 622-630 9 p.

  研究成果: Article › 同行評審

  • Jump 100%
  • Implied Volatility 96%
  • Stock Prices 69%
  • Information-based Trading 34%
  • Noise Traders 28%
  2 引文 斯高帕斯（Scopus）
• 2015

  Value at risk estimation by threshold stochastic volatility model

  Huang, Y-H., 26 9月 2015, 於: Applied Economics. 47, 45, p. 4884-4900 17 p.

  研究成果: Article › 同行評審

  • Value at Risk 100%
  • Stochastic Volatility Model 50%
  • Backtesting 29%
  • Volatility Forecasts 29%
  • Likelihood Ratio Test 28%
  9 引文 斯高帕斯（Scopus）
• 2014

  Dynamics of sovereign credit contagion

  Huang, Y-H., Chen, C. C. & Shen, C. H., 1 9月 2014, 於: Journal of Derivatives. 22, 1, p. 27-45 19 p.

  研究成果: Article › 同行評審

  • Contagion 100%
  • Credit 90%
  • Credit Default Swap (CDS) Spreads 81%
  • Sovereign Debt 52%
  • Rating Agencies 38%
  3 引文 斯高帕斯（Scopus）
• 2013

  Information risk and credit contagion

  Huang, Y-H. & Cheng, C. M., 1 9月 2013, 於: Finance Research Letters. 10, 3, p. 116-123 8 p.

  研究成果: Article › 同行評審

  • Contagion Effect 100%
  • Information Risk 97%
  • Contagion 85%
  • Credit 77%
  • Stock Market 37%
  6 引文 斯高帕斯（Scopus）

• Value at risk estimation by quantile regression and kernel estimator

  Huang, Y-H., 1 8月 2013, 於: Review of Quantitative Finance and Accounting. 41, 2, p. 225-251 27 p.

  研究成果: Article › 同行評審

  • Value at Risk 100%
  • Quantile Regression 85%
  • Kernel Estimator 67%
  • Downside Risk 13%
  • Regression Method 12%
  9 引文 斯高帕斯（Scopus）
• 2012

  Asymmetric dynamics of stock price continuation

  Huang, Y-H., 1 6月 2012, 於: Journal of Banking and Finance. 36, 6, p. 1839-1855 17 p.

  研究成果: Article › 同行評審

  • Momentum Strategies 100%
  • Credit 72%
  • Stock Returns 63%
  • Stock Prices 61%
  • Information-based Trading 60%
  14 引文 斯高帕斯（Scopus）

• Regime switching dynamics in credit default swaps: Evidence from smooth transition autoregressive model

  Huang, Y-H. & Hu, W. C., 15 2月 2012, 於: Physica A: Statistical Mechanics and its Applications. 391, 4, p. 1497-1508 12 p.

  研究成果: Article › 同行評審

  • Transition Model 100%
  • Swap 93%
  • Regime Switching 92%
  • Autoregressive Model 78%
  • Evidence 59%
  8 引文 斯高帕斯（Scopus）

• The impact of major events from the recent financial crisis on credit default swaps

  Huang, Y-H., Shen, C. H. & Chen, C. C., 1 12月 2012, 於: Journal of Fixed Income. 21, 3, p. 31-43 13 p.

  研究成果: Article › 同行評審
  7 引文 斯高帕斯（Scopus）

• Volatility forecasting by quantile regression

  Huang, Y-H., 1 2月 2012, 於: Applied Economics. 44, 4, p. 423-433 11 p.

  研究成果: Article › 同行評審

  • Quantile Regression 100%
  • Volatility Forecasting 69%
  • Volatility Forecasts 34%
  • Distribution Function 29%
  • Complete Information 29%
  2 引文 斯高帕斯（Scopus）
• 2011

  Analysis of decision making factors for equity investment by DEMATEL and Analytic Network Process

  Lee, W. S., Huang, Y-H., Chang, Y. Y. & Cheng, C. M., 1 7月 2011, 於: Expert Systems with Applications. 38, 7, p. 8375-8383 9 p.

  研究成果: Article › 同行評審

  • Decision making 100%
  • Profitability 61%
  • Feedback 43%
  118 引文 斯高帕斯（Scopus）

• Price Discovery between Sovereign Credit Default Swaps and Bond Yield Spreads of Emerging Markets

  Li, N. & Huang, Y-H., 1 8月 2011, 於: Journal of Emerging Market Finance. 10, 2, p. 197-225 29 p.

  研究成果: Article › 同行評審

  • Yield Spread 100%
  • Credit Default Swaps 96%
  • Bond Yields 94%
  • Price Discovery 92%
  • Emerging Markets 64%
  7 引文 斯高帕斯（Scopus）

• Relationship between crude oil prices and stock prices of alternative energy companies with recent evidence

  Huang, Y-H., Cheng, C. M., Hu, W. C. & Chen, C. C., 1 9月 2011, 於: Economics Bulletin. 31, 3, p. 2434-2443 10 p.

  研究成果: Article › 同行評審

  • Alternative Energy 100%
  • Crude Oil Price 88%
  • Stock Prices 64%
  • Oil Prices 42%
  • Stock Performance 39%
  5 引文 斯高帕斯（Scopus）

• The effects of abolishing a foreign institutional investment quota in Taiwan

  Chen, C. D., Huang, Y-H. & Chen, C. C., 1 3月 2011, 於: Emerging Markets Finance and Trade. 47, 2, p. 74-98 25 p.

  研究成果: Article › 同行評審

  • Institutional Investment 100%
  • Taiwan 56%
  • Stock Returns 40%
  • Stock Market 33%
  • Foreign Ownership 27%
  7 引文 斯高帕斯（Scopus）

• Volatility forecasting in emerging markets with application of stochastic volatility model

  Huang, Y-H., 1 5月 2011, 於: Applied Financial Economics. 21, 10, p. 665-681 17 p.

  研究成果: Article › 同行評審

  • Volatility Forecasting 100%
  • Stochastic Volatility Model 85%
  • Equity Markets 73%
  • Emerging Markets 61%
  • Derivative Pricing 51%

• Volatility forecasting of exchange rate by quantile regression

  Huang, Y-H., Peng, S. P., Li, F. & Ke, C. J., 1 10月 2011, 於: International Review of Economics and Finance. 20, 4, p. 591-606 16 p.

  研究成果: Article › 同行評審

  • Quantile Regression 100%
  • Exchange Rates 76%
  • Volatility Forecasting 69%
  • Volatility Forecasts 34%
  • Exchange Rate Volatility 30%
  12 引文 斯高帕斯（Scopus）

• Volatility Modeling by Asymmetrical Quadratic Effect with Diminishing Marginal Impact

  Huang, Y-H., 1 3月 2011, 於: Computational Economics. 37, 3, p. 301-330 30 p.

  研究成果: Article › 同行評審

  • Volatility Modelling 100%
  • Specifications 23%
  • Out-of-sample Forecasting 15%
  • Asset Returns 15%
  • Financial Assets 14%
  5 引文 斯高帕斯（Scopus）
• 2010

  An optimization process in Value-at-Risk estimation

  Huang, Y-H., 1 8月 2010, 於: Review of Financial Economics. 19, 3, p. 109-116 8 p.

  研究成果: Article › 同行評審

  • Value at Risk 100%
  • Monte Carlo Simulation 72%
  • Process Optimization 57%
  • Backtesting 19%
  • Market Conditions 13%
  6 引文 斯高帕斯（Scopus）

• Is crude oil price affected by the US dollar exchange rate?

  Huang, Y-H. & Tseng, Y. H., 12月 2010, 於: International Research Journal of Finance and Economics. 58, p. 109-120 12 p.

  研究成果: Article › 同行評審

  • Exchange Rates 100%
  • Crude Oil Price 77%
  • Oil Prices 62%
  • Exchange Rate Dynamics 23%
  • Exchange Rate Fluctuations 21%
  17 引文 斯高帕斯（Scopus）
• 2009

  A value-at-risk approach with kernel estimator

  Huang, Y-H., 19 3月 2009, 於: Applied Financial Economics. 19, 5, p. 379-395 17 p.

  研究成果: Article › 同行評審

  • Value at Risk 100%
  • Kernel Estimator 67%
  • Financial Assets 23%
  • Distribution Function 12%
  • Time Series Models 12%
  9 引文 斯高帕斯（Scopus）

• Forecast of value at risk for equity indices: an analysis from developed and emerging markets

  Huang, Y-H. & Tseng, T. W., 14 8月 2009, 於: Journal of Risk Finance. 10, 4, p. 393-409 17 p.

  研究成果: Article › 同行評審

  • Value at Risk 100%
  • Equity 52%
  • Emerging Markets 36%
  • Kernel Estimator 33%
  • Estimation Method 17%
  15 引文 斯高帕斯（Scopus）