Heng-Chih Chou

National Taiwan Ocean University

Professor of Finance

2 Bei-Ning Road

Keelung, Taiwan 20224

Taiwan

SCHOLARLY PAPERS

8

DOWNLOADS
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Top 18,329

in Total Papers Downloads

1,992

CITATIONS
Rank 36,182

SSRN RANKINGS

Top 36,182

in Total Papers Citations

5

Scholarly Papers (8)

1.

Expected Default Probability, Credit Spreads and Distance-from-Default

Journal of American Academy of Business, Vol. 7, No. 1, pp. 144-152, 2005
Number of pages: 9 Posted: 16 Dec 2005
Heng-Chih Chou
National Taiwan Ocean University
Downloads 757 (23,442)

Abstract:

distance-from-default, expected default probability, credit spreads, default risk modeling

2.

Range Volatility Models and Their Applications in Finance

HANDBOOK OF QUANTITATIVE FINANCE AND RISK MANAGEMENT, Cheng-Few Lee and Alice C. Lee, eds., 2009
Number of pages: 25 Posted: 10 Jun 2008 Last Revised: 02 Feb 2009
Ray Y. Chou, Heng-Chih Chou and Nathan Liu
Academia Sinica, National Taiwan Ocean University and Institute of Finance, National Chiao Tung University
Downloads 717 (24,653)
Citation 2

Abstract:

CARR, DCC, GARCH, High/low range, realized volatility, multivariate volatility, volatility

3.

The Expiration Effects of Stock Index Derivatives: Empirical Evidence from the Taiwan Futures Exchange

Emerging Markets Finance and Trade, Forthcoming
Number of pages: 20 Posted: 08 Dec 2005
Heng-Chih Chou, Wei-Ning Chen and Dar-Hsin Chen
National Taiwan Ocean University, Kainan University - Department of International Business and National Chiao Tung University - Department of Information and Financial Management
Downloads 331 (68,065)
Citation 2

Abstract:

Expiration effect, Price Effect, Volatility Effect, Price Reversal, Abnormal Volume Effect

4.

Analysis of Board Structure,Corporate Value and Financial Policy

Journal of Marine Science and Technology, Vol. 15, No. 4, pp. 295-306, 2007
Number of pages: 12 Posted: 03 Jun 2008
Yu-chen Tu, Wei-Hung Lai and Heng-Chih Chou
Ming Chuan University - Graduate Institute of Finance, Ming Chuan University - Graduate Institute of Management and National Taiwan Ocean University
Downloads 102 (200,512)

Abstract:

board structure, corporate value, financial policy, three-stage least squares (3SLS)

5.

A Defaultable Callable Bond Pricing Model

Investment Management and Financial Innovations, Volume 6, Issue 3, Pages 54-62, 2009.
Number of pages: 9 Posted: 21 Mar 2014 Last Revised: 13 Nov 2016
David Hua, Heng-Chih Chou and David K. Wang
Notre Dame de Namur University (NDNU), National Taiwan Ocean University and National University of Kaohsiung
Downloads 9 (480,537)
Citation 1

Abstract:

defaultable bond, embedded option, square-root diffusion process, partial differential equation, finite difference method

6.

The Use of Technical Indicators in the Trading of Second-Hand Dry Bulk Ships

Number of pages: 22 Posted: 19 Jan 2017
Heng-Chih Chou and Dar-Hsin Chen
National Taiwan Ocean University and National Chiao Tung University - Department of Information and Financial Management
Downloads 0 (521,734)

Abstract:

Technical indicators, Second-hand vessels, Moving averages, Filter rules, Bollinger bands, Bias

7.

Estimation of Tail-Related Value at Risk Measures: Range-Based Extreme Value Approach

Quantitative Finance (Special Issue: Themed Issue on Pensions and Insurance), Volume 14, Issue 2, Pages 293-304, 2014. (DOI:10.1080/14697688.2013.819113)
Number of pages: 20 Posted: 14 Jun 2013 Last Revised: 17 Nov 2016
Heng-Chih Chou and David K. Wang
National Taiwan Ocean University and National University of Kaohsiung
Downloads 0 (513,654)

Abstract:

risk management, value at risk (VaR), asymmetric conditional autoregressive range (ACARR) model, extreme value theory (EVT)

8.

Range Volatility: A Review of Models and Empirical Studiues

Handbook of Financial Econometrics and Statistics, Forthcoming
Posted: 30 Oct 2012
Ray Y. Chou, Heng-Chih Chou and Nathan Liu
Academia Sinica, National Taiwan Ocean University and Institute of Finance, National Chiao Tung University

Abstract:

Range, Volatility forecasting, Dynamic conditional correlation, Smooth transition, Copula, Realized volatility, Risk management.