Chung-Ying Yeh

National Chung Hsing University

Assistant Professor

402, No. 250 Kuo Kuang Road, Taiwan

Taichung, Taiwan

China

SCHOLARLY PAPERS

3

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CITATIONS
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15

Scholarly Papers (3)

1.

Jump and Volatility Risk Premiums Implied by VIX

Number of pages: 24 Posted: 01 Mar 2007 Last Revised: 22 Mar 2011
Jin-Chuan Duan and Chung-Ying Yeh
National University of Singapore (NUS) - Business School and Risk Management Institute and National Chung Hsing University
Downloads 596 (32,852)
Citation 13

Abstract:

Model-free volatility, stochastic volatility, jump, options, VIX, Constant elasticity of variance

2.

Price and Volatility Dynamics Implied by the VIX Term Structure

Number of pages: 40 Posted: 20 Mar 2011 Last Revised: 16 Mar 2012
Jin-Chuan Duan and Chung-Ying Yeh
National University of Singapore (NUS) - Business School and Risk Management Institute and National Chung Hsing University
Downloads 379 (44,193)
Citation 2

Abstract:

Model-free volatility, stochastic volatility, jumps, options, VIX term structure, Constant elasticity of variance

3.

Investor Sentiment, Regimes and Stock Returns

Number of pages: 40 Posted: 16 Feb 2009
San-Lin Chung and Chung-Ying Yeh
National Taiwan University - Department of Finance and National Chung Hsing University
Downloads 276 (85,969)

Abstract:

Sentiment, Return Predictability,Mispricing, Markov-Switching Vector Autoregressive Model, Bootstrap