Shih-Kuei Lin

National Chengchi University (NCCU)

SCHOLARLY PAPERS

6

DOWNLOADS

459

TOTAL CITATIONS

0

Scholarly Papers (6)

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1.

Valuation of Callable Range Accrual Linked to CMS Spread Under Generalized Swap Market Model

Number of pages: 36 Posted: 28 Jul 2023
Jiecao He, Chang-Chieh Hsieh, Zi-Wei Huang and Shih-Kuei Lin
National Chengchi University (NCCU), E.SUN Financial Holding Co., Ltd., Cathay Life Insurance and National Chengchi University (NCCU)
Downloads 147 (393,932)

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Interest Rate Derivatives, Constant Maturity Swap, Range Accrual, Generalized Swap Market Model, Least Square Monte Carlo

2.

Variance Risk Premium and Expected Returns in Bull and Bear Markets

Number of pages: 14 Posted: 15 Jul 2022
Hsing-Hua Chang, Yueh-Hua Hsu, Xian-Ji Kuang and Shih-Kuei Lin
National Chengchi University (NCCU), affiliation not provided to SSRN, National Chengchi University (NCCU) - Department of Money and Banking and National Chengchi University (NCCU)
Downloads 134 (423,778)

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Variance risk premium, Return predictability, State dependence, High-frequency data

3.

Non-Pecuniary Preferences, Adverse Selection, and Moral Hazard in P2p Lending: Evidence from Lending Club

Number of pages: 46 Posted: 28 Oct 2023
Dong-Jie Fang, Zong-Wei Yeh, CHIEN-HSIU LIN and Shih-Kuei Lin
National Chengchi University (NCCU) - Department of Money and Banking, National Chengchi University (NCCU) - Department of Money and Banking, affiliation not provided to SSRN and National Chengchi University (NCCU)
Downloads 72 (641,158)

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P2P lending, Non-pecuniary preferences, Adverse selection, Moral hazard, Information asymmetry

4.

A Closed-Form Solution for Cdd/Hdd Futures Under the Generalized Model: An Empirical Application

Number of pages: 38 Posted: 25 Feb 2022
Ming-Che Chuang, Pai-Ta Shih, Shih-Wei Li and Shih-Kuei Lin
Feng Chia University, National Taiwan University, National Taiwan University and National Chengchi University (NCCU)
Downloads 46 (788,460)

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daily average temperature, CDD/HDD futures, Asymmetry, Seasonality, risk premium

5.

What Drives Jumps in the Secured Overnight Financing Rate? Evidence From the Arbitrage-Free Nelson–Siegel Model With Jump Diffusion

Pacific-Basin Finance Journal, Vol. 86
Number of pages: 47 Posted: 15 Apr 2024
Dong-Jie Fang, Zong-Wei Yeh, Jiecao He and Shih-Kuei Lin
National Chengchi University (NCCU) - Department of Money and Banking, National Chengchi University (NCCU) - Department of Money and Banking, Zhejiang Wanli University and National Chengchi University (NCCU)
Downloads 35 (872,313)

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Secured Overnight Financing Rate (SOFR), SOFR futures, Arbitrage-free Nelson–Siegel model with jump diffusion (AFNSJ), Federal Open Market Committee (FOMC) meeting, Particle filter

6.

Economic Recessions, Financial Disclosure, and Market Response: Evidence from Form 10-K, 10-Q, and Earnings Call Transcripts 

Number of pages: 50 Posted: 20 Sep 2024
Dong-Jie Fang, Hsing-Hua Chang, Shih-Kuei Lin and Carl R. Chen
National Chengchi University (NCCU) - Department of Money and Banking, National Chengchi University (NCCU), National Chengchi University (NCCU) and University of Dayton
Downloads 25 (985,038)

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Financial information disclosure, Economic recession, Market response, Financial reports, Earnings call