Shyh-Weir Tzang, Sr.
Personal Details
First Name: | Shyh-Weir |
Middle Name: | |
Last Name: | Tzang |
Suffix: | Sr. |
RePEc Short-ID: | ptz24 |
| |
Affiliation
College of Management
Asia University
Wufeng, Taiwanhttp://www.cm.asia.edu.tw/
RePEc:edi:cmasitw (more details at EDIRC)
Research output
Jump to: ArticlesArticles
- Tzang, Shyh-Weir & Wang, Chou-Wen & Yu, Min-Teh, 2016. "Systematic risk and volatility skew," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 72-87.
- Yih Jeng & Chen-Ju Lee & Shyh-Weir Tzang, 2013. "Application of a Multifactor Model in Enhanced Index Fund: Performance Analysis in China," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(S4), pages 163-183, September.
- Wang, Chou-Wen & Wu, Chin-Wen & Tzang, Shyh-Weir, 2012. "Implementing option pricing models when asset returns follow an autoregressive moving average process," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 8-25.
- Chih-Hsing Hung & Ming-Chi Chen & Shyh-Weir Tzang, 2012. "Modeling Mortgages with Prepayment Penalties," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(S3), pages 157-174, September.
- Tzang, Shyh-Weir & Hung, Chih-Hsing & Wang, Chou-Wen & Shyu, David So-De, 2011. "Do liquidity and sampling methods matter in constructing volatility indices? Empirical evidence from Taiwan," International Review of Economics & Finance, Elsevier, vol. 20(2), pages 312-324, April.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Articles
- Tzang, Shyh-Weir & Wang, Chou-Wen & Yu, Min-Teh, 2016.
"Systematic risk and volatility skew,"
International Review of Economics & Finance, Elsevier, vol. 43(C), pages 72-87.
Cited by:
- Buckle, Mike & Chen, Jing & Guo, Qian & Li, Xiaoxi, 2023. "Does smile help detect the UK's price leadership change after MiFID?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 756-769.
- Cheng, Hung-Wen & Lo, Chien-Ling & Tsai, Jeffrey Tzuhao, 2020. "Model specification of conditional jump intensity: Evidence from S&P 500 returns and option prices," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Chang, Carolyn W. & Li, Xiaodan & Lin, Edward M.H. & Yu, Min-Teh, 2018. "Systemic risk, interconnectedness, and non-core activities in Taiwan insurance industry," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 273-284.
- Lin, Chung-Gee & Chang, Chia-Chang, 2020. "Approximate analytic solution for Asian options with stochastic volatility," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Hong, Hui & Bian, Zhicun & Chen, Naiwei, 2020. "Leverage effect on stochastic volatility for option pricing in Hong Kong: A simulation and empirical study," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Danilo Leal & Rodrigo Jiménez & Marco Riquelme & Víctor Leiva, 2023. "Elliptical Capital Asset Pricing Models: Formulation, Diagnostics, Case Study with Chilean Data, and Economic Rationale," Mathematics, MDPI, vol. 11(6), pages 1-27, March.
- Xianzi Yang & Chen Zhang & Yu Yang & Yaqi Wu & Po Yun & Zulfiqar Ali Wagan, 2020. "China’s Carbon Pricing Based on Heterogeneous Tail Distribution," Sustainability, MDPI, vol. 12(7), pages 1-16, April.
- Hong, Hui & Sung, Hao-Chang & Yang, Jingjing, 2018. "On profitability of volatility trading on S&P 500 equity index options: The role of trading frictions," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 295-307.
- Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Pricing individual stock options using both stock and market index information," Journal of Banking & Finance, Elsevier, vol. 111(C).
- Wang, Xingchun, 2021. "Valuation of options on the maximum of two prices with default risk under GARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
- Lee, Jin-Ping & Lin, Edward M.H. & Lin, James Juichia & Zhao, Yang, 2020. "Bank systemic risk and CEO overconfidence," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Zhiwei Su & Xingchun Wang, 2019. "Pricing executive stock options with averaging features under the Heston–Nandi GARCH model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1056-1084, September.
- Kao, Yu-Sheng & Chuang, Hwei-Lin & Ku, Yu-Cheng, 2020. "The empirical linkages among market returns, return volatility, and trading volume: Evidence from the S&P 500 VIX Futures," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Wang, Chou-Wen & Wu, Chin-Wen & Tzang, Shyh-Weir, 2012.
"Implementing option pricing models when asset returns follow an autoregressive moving average process,"
International Review of Economics & Finance, Elsevier, vol. 24(C), pages 8-25.
Cited by:
- Yang, Chih-Yuan & Chang, Chia-Chien, 2024. "Do economic uncertainty and persistence in housing prices matter on mortgage insurance?," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 33-44.
- Contreras, Javier & Rodríguez, Yeny E., 2014. "GARCH-based put option valuation to maximize benefit of wind investors," Applied Energy, Elsevier, vol. 136(C), pages 259-268.
- Chih-Hsing Hung & Ming-Chi Chen & Shyh-Weir Tzang, 2012.
"Modeling Mortgages with Prepayment Penalties,"
Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(S3), pages 157-174, September.
Cited by:
- Almas Naseem & R. Reesor, 2015. "Risk and reward of home equity borrowing for investment in Canada, a stochastic analysis," Computational Management Science, Springer, vol. 12(1), pages 45-79, January.
- Tzang, Shyh-Weir & Hung, Chih-Hsing & Wang, Chou-Wen & Shyu, David So-De, 2011.
"Do liquidity and sampling methods matter in constructing volatility indices? Empirical evidence from Taiwan,"
International Review of Economics & Finance, Elsevier, vol. 20(2), pages 312-324, April.
Cited by:
- Kao, Erin H. & Fung, Hung-Gay, 2012. "Intraday trading activities and volatility in round-the-clock futures markets," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 195-209.
- Fassas, Athanasios P. & Siriopoulos, Costas, 2021. "Implied volatility indices – A review," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 303-329.
- Lin, Bing-Huei & Lin, Yueh-Neng & Chen, Yin-Jung, 2012. "Volatility risk premium decomposition of LIFFE equity options," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 315-326.
- Michael C. Nwogugu, 2020. "Decision-Making, Sub-Additive Recursive "Matching" Noise And Biases In Risk-Weighted Stock/Bond Index Calculation Methods In Incomplete Markets With Partially Observable Multi-Attribute Pref," Papers 2005.01708, arXiv.org.
- Gonzalez-Perez, Maria T., 2015. "Model-free volatility indexes in the financial literature: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 141-159.
- Sensoy, Ahmet & Omole, John, 2018. "Implied volatility indices: A review and extension in the Turkish case," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 151-161.
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