Chung-Ming Kuan

Department of Finance, National Taiwan University

Professor

1, Sec. 4, Roosevelt Road

Taipei, 106

Taiwan

http://homepage.ntu.edu.tw/~ckuan

SCHOLARLY PAPERS

16

DOWNLOADS

4,371

CITATIONS

48

Scholarly Papers (16)

1.

Re-Examining the Profitability of Technical Analysis with White's Reality Check and Hansen's Spa Test

Number of pages: 27 Posted: 08 Apr 2005
Po-Hsuan Hsu and Chung-Ming Kuan
National Tsing Hua University - Department of Quantitative Finance and Department of Finance, National Taiwan University
Downloads 2,515 (4,852)
Citation 5

Abstract:

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data snooping, investor's strategies, SPA test, stationary bootstrap, technical analysis, trading rules, White's Reality Check

2.

Testing the Predictive Ability of Technical Analysis Using a New Stepwise Test Without Data Snooping Bias

Number of pages: 35 Posted: 03 Feb 2008 Last Revised: 21 Aug 2009
Po-Hsuan Hsu, Yu-Chin Hsu and Chung-Ming Kuan
National Tsing Hua University - Department of Quantitative Finance, University of Missouri at Columbia - Department of Economics and Department of Finance, National Taiwan University
Downloads 788 (30,194)
Citation 7

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data snooping, exchange traded funds, reality check, SPA test, stepwise test, technical trading rules

3.

Assessing Value at Risk With CARE, the Conditional Autoregressive Expectile Models

Journal of Econometrics, Forthcoming
Number of pages: 24 Posted: 12 Jan 2009
Chung-Ming Kuan, Jin-Huei Yeh and Yu-Chin Hsu
Department of Finance, National Taiwan University, National Central University and University of Missouri at Columbia - Department of Economics
Downloads 219 (138,599)
Citation 1

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asymmetric least squares, CARE model, expectile, quantile, prudentiality, Value at Risk

4.

Quantile Regression on Multiple Quantile Ranges

Number of pages: 55 Posted: 24 Jun 2011 Last Revised: 19 Aug 2014
Chung-Ming Kuan, Christos Michalopoulos and Zhijie Xiao
Department of Finance, National Taiwan University, Soochow University and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 122 (229,032)
Citation 2

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Quantile regression, multiple thresholds, fixed and shrinking shifts asymptotics, likelihood-ratio statistic, Wald statistic

5.

Effects of National Health Insurance on Precautionary Saving: New Evidence from Taiwan

Number of pages: 23 Posted: 21 Feb 2010 Last Revised: 26 Feb 2010
Chung-Ming Kuan and Chien-Liang Chen
Department of Finance, National Taiwan University and National Chi Nan University
Downloads 109 (248,532)
Citation 2

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average treatment effect, difference-in-differences, National Health Insurance, precautionary saving, quantile treatment effect

6.

Structural Threshold Quantile Regression

Number of pages: 59 Posted: 22 Aug 2012 Last Revised: 19 Feb 2013
Chung-Ming Kuan and Christos Michalopoulos
Department of Finance, National Taiwan University and Soochow University
Downloads 106 (253,413)

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simultaneous equation model, quantile regression, threshold, endogeneity

7.

Double Machine Learning with Gradient Boosting and its Application to the Big N Audit Quality Effect

USC-INET Research Paper No. 19-05
Number of pages: 35 Posted: 13 Mar 2019 Last Revised: 30 Jul 2019
Jui-Chung Yang, Hui-Ching Chuang and Chung-Ming Kuan
Department of Economics, National Tsing Hua University, Yuan Ze University - College of Management and Department of Finance, National Taiwan University
Downloads 97 (281,081)
Citation 3

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Audit Quality, Average Treatment Effect, Big N Effect, Double Machine Learning, Gradient Boosting, Performance-Matched Discretionary Accruals

8.

A Noise-Robust Estimator of Volatility Based on Interquantile Ranges

Number of pages: 38 Posted: 25 Aug 2010
Jin-Huei Yeh, Jying-Nan Wang and Chung-Ming Kuan
National Central University, Minghsin University of Science and Technology and Department of Finance, National Taiwan University
Downloads 91 (280,302)
Citation 2

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Inter quantile range, price jump, realized volatility, range-based volatility, bipower variation, market microstructure noise

9.

Systematic and Discretionary Hedge Funds: Classification and Performance Comparison

Number of pages: 26 Posted: 29 Dec 2018
Hui-Ching Chuang and Chung-Ming Kuan
Yuan Ze University - College of Management and Department of Finance, National Taiwan University
Downloads 79 (305,836)

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Bootstrap Analysis, Random Forest, Statistical Learning, Textual Analysis

10.

Testing Over-Identifying Restrictions Without Consistent Estimation of the Asymptotic Covariance Matrix

Number of pages: 34 Posted: 21 Feb 2010
Wei-Ming Lee and Chung-Ming Kuan
Department of Economics, National Chung Cheng University and Department of Finance, National Taiwan University
Downloads 77 (310,463)
Citation 2

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GMM, kernel function, KVB approach, over-identifying restrictions, robust test

11.

Testing the Predictive Power of the Term Structure Without Data Snooping Bias

Number of pages: 19 Posted: 21 Feb 2010
Yi-Cheng Kao, Chung-Ming Kuan and Shikuan Chen
Dept of International Business, National Taiwan University, Department of Finance, National Taiwan University and National Taiwan University - Department of International Business
Downloads 68 (332,836)

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data snooping, GDP growth, stepwise SPA test, term spread

12.

Quantile Regression on Quantile Ranges

Number of pages: 52 Posted: 24 Jun 2011 Last Revised: 30 Apr 2012
Chung-Ming Kuan, Christos Michalopoulos and Zhijie Xiao
Department of Finance, National Taiwan University, Soochow University and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 67 (335,489)
Citation 3

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Quantile regression, threshold effects, fixed and shrinking shifts asymptotics, likelihood-ratio statistic, sup-Wald statistic, two-parameter Gaussian process

13.

Estimation of Conditional Moment Restrictions Without Assuming Parameter Identifiability in the Implied Unconditional Moments

Number of pages: 37 Posted: 19 Feb 2010
Shih-Hsun Hsu and Chung-Ming Kuan
Department of Economics, National Chengchi University and Department of Finance, National Taiwan University
Downloads 33 (451,141)

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Conditional Moment Restrictions, Fourier Coefficients, Generically Comprehensive Revealing Function, Global Identifiability, GMM

14.

An Encompassing Test for Non-Nested Quantile Regression Models

Economics Letters, Vol. 107, No. 2, pp.257-260, 2010
Posted: 21 Feb 2010 Last Revised: 23 Apr 2011
Chung-Ming Kuan and Hsin-Yi Lin
Department of Finance, National Taiwan University and National Chengchi University (NCCU)

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encompassing test, non-nested model, quantile regression, rank score test

15.

Causality in Quantiles and Dynamic Stock Return-Volume Relations

Journal of Banking and Finance, Vol. 33, pp.1351-1360, 2009
Posted: 12 Jan 2009 Last Revised: 23 Apr 2011
Chung-Ming Kuan, Hsin-Yi Lin and Chia Chang Chuang
Department of Finance, National Taiwan University, National Chengchi University (NCCU) and affiliation not provided to SSRN

Abstract:

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Granger non-causality, quantile causal effect, quantile regression, return-volume relation, sup-Wald test

16.

Reexamining the Profitability of Technical Analysis with Data Snooping Checks

Journal of Financial Econometrics, Vol. 3, No. 4, pp. 606-628, 2005
Posted: 29 Feb 2008
Po-Hsuan Hsu and Chung-Ming Kuan
National Chiao-Tung University - Institute of Management and Technology and Department of Finance, National Taiwan University

Abstract:

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complex trading strategies, data snooping, reality check, SPA test, technical analysis, trading rules