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

15

DOWNLOADS
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Top 18,714

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5,541

TOTAL CITATIONS
Rank 23,217

SSRN RANKINGS

Top 23,217

in Total Papers Citations

67

Scholarly Papers (15)

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 2,854 (9,552)
Citation 7

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 1,013 (46,667)
Citation 20

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

3.

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: 12 Mar 2019 Last Revised: 16 Mar 2020
Jui-Chung Yang, Hui-Ching Chuang and Chung-Ming Kuan
Department of Economics, National Tsing Hua University, National Taipei University - Department of Statistics and Department of Finance, National Taiwan University
Downloads 395 (154,792)
Citation 10

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

4.

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 300 (208,859)
Citation 15

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

5.

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 175 (351,581)
Citation 2

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

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 151 (398,846)

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simultaneous equation model, quantile regression, threshold, endogeneity

7.

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 143 (416,713)
Citation 2

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

8.

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 132 (443,821)
Citation 3

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

9.

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 111 (506,759)
Citation 5

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

10.

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 101 (542,210)
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

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 95 (564,623)

Abstract:

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

12.

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 71 (667,601)

Abstract:

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

13.

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

14.

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

15.

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