Ai-ru Meg Cheng

University of California, Santa Cruz - Department of Economics

Assistant Professor

1156 High street

University of California

Santa Cruz, CA 95064

United States

http://people.ucsc.edu/~archeng

SCHOLARLY PAPERS

3

DOWNLOADS

357

CITATIONS

2

Scholarly Papers (3)

1.

Return, Trading Volume, and Market Depth in Currency Futures Markets

HKIMR Working Paper No.20/2008
Number of pages: 24 Posted: 08 Jan 2009
Ai-ru Meg Cheng and Yin-Wong Cheung
University of California, Santa Cruz - Department of Economics and City University of Hong Kong - Department of Economics & Finance
Downloads 164 (177,323)
Citation 2

Abstract:

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Stochastic Volatility Model, Multiple Latent Factors, Model Comparison, Volatility Spillovers

2.

Macroeconomic Variables, Euler Equation and Future Returns on Treasury Bonds: (Semi)Nonparametric Investigation

Number of pages: 46 Posted: 10 Apr 2008 Last Revised: 20 Sep 2010
Ai-ru Meg Cheng and Yuriy Kitsul
University of California, Santa Cruz - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 118 (230,842)

Abstract:

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no-arbitrage, pricing kernel, semi-nonparametric. non-parametric, GMM

3.

Risk-Return Trade-Off in the Pacific Basin Equity Markets

Emerging Markets Review, Forthcoming
Number of pages: 17 Posted: 28 Dec 2011 Last Revised: 25 Jan 2014
Ai-ru Meg Cheng and Mohammad R. Jahan-Parvar
University of California, Santa Cruz - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 75 (309,919)

Abstract:

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Binormal distribution, Conditional variance, Conditional skewness, GARCH, Intertemporal CAPM, Mixed data sampling, Pacific basin equity markets, Risk-return trade-off