Anthony Tu

National Chengchi University

No. 64, Chih-Nan Road

Section 2

Wenshan, Taipei 11623

Taiwan

SCHOLARLY PAPERS

4

DOWNLOADS

499

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (4)

1.

Mean Reversion Tests of Put-Call Parity for Equity Index Options with Randomization and Bayesian Gibbs Sampling Viewpoint: S&P500 Versus DAX

Number of pages: 39 Posted: 06 Feb 2004
Anthony Tu and Doris Chin
National Chengchi University and National Chengchi University
Downloads 161 (188,518)

Abstract:

Loading...

Variance Ratio Test, Bayesian Gibbs Sampling, Put-Call Parity, Markov-Switching Process, Mean Reversion

2.

Are Magnet Effects Caused by Uninformed Traders? Evidence from Taiwan Stock Exchange

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 27 Posted: 24 Dec 2007 Last Revised: 09 Jul 2008
Woon K. Wong, Matthew C. Chang and Anthony Tu
IMRU, Cardiff Business School, Chinese Culture University and National Chengchi University
Downloads 141 (210,542)

Abstract:

Loading...

limit, magnet effect, transactions data, information asymmetry, Taiwan Stock Exchange

3.

Market Imperfections and the Information Content of Implied and Realized Volatility

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 40 Posted: 13 Feb 2008
Woon K. Wong and Anthony Tu
IMRU, Cardiff Business School and National Chengchi University
Downloads 111 (252,487)

Abstract:

Loading...

Market imperfections, implied volatility, realized volatility, volatility forecasts, reality check test

4.

Jump Spillover in Energy Futures Markets: The Bayesian Viewpoint

Number of pages: 41 Posted: 24 Aug 2009
Qingfu Liu and Anthony Tu
Independent and National Chengchi University
Downloads 86 (298,952)

Abstract:

Loading...

Bayesian factor, energy futures, jump-diffusion model, MCMC, spillover, stochastic volatility