2024 |
林士貴*, 2024.09, 'What drives jumps in the secured Overnight Financing Rate? Evidence from the arbitrage-free Nelson–Siegel model with jump diffusion, ' acific-Basin Finance Journal, pp.102392.(SSCI)(*為通訊作者), vol. 126104, Sep. 2024 |
2023 |
Jie-Cao He;Chang-Chieh Hsieh;Zi-Wei Huang;Shih-Kuei Lin*, 2023.09, 'Valuation of Callable Range Accrual Linked to CMS Spread under Generalized Swap Market Model, ' International Review of Financial Analysis, pp.Accepted.(國科會財務領域國際期刊A-級)(*為通訊作者)(本論著未刊登但已被接受), vol. 111470, Sep. 2023 |
2023 |
Ming-Chin Hung;Ping-Hung Hsia;Xian-Ji Kuang;Shih-Kuei Lin*, 2023.08, 'Intelligent portfolio construction via news sentiment analysis, ' International Review of Economics & Finance, Vol.89, pp.605-617.(SSCI, 國科會財務領域國際期刊A-級)(*為通訊作者), vol. 109250, Aug. 2023 |
2023 |
Jie-Cao He;Hsing-Hua Chang;Ting-Fu Chen;Shih-Kuei Lin*, 2023.05, 'Upside and downside correlated jump risk premia of currency options and expected returns, ' Financial Innovation, Vol.9, No.1, pp.1-58.(SSCI)(*為通訊作者), vol. 109245, May. 2023 |
2023 |
Xian-Ji Kuang;Yueh-Hua Hsu;Alan Chang;Shih-Kuei Lin*, 2023.02, 'Does variance risk premium predict expected returns?, ' Applied Economics Letters, pp.none.(SSCI)(*為通訊作者), vol. 109135, Feb. 2023 |
2022 |
Pei-Ling Tsai;Yuan-Lin Hsu;Hsiang-Hsuan Chih;Shih-Kuei Lin*, 2022.03, 'Theoretical and empirical analysis of options in open market share repurchases of Taiwan companies, ' International Review of Economics and Finance, Vol.81, pp.205-226.(SSCI, 科技部財務領域國際期刊A-級)(*為通訊作者), vol. 439296, Mar. 2022 |
2021 |
Shin‑Yun Wang;Ming‑Che Chuang;Shih‑Kuei Lin*;So‑De Shyu, 2021.04, 'Option pricing under stock market cycles with jump risks: evidence from the S&P 500 index, ' Review of Quantitative Finance and Accounting, Vol.56, pp.25-51.(科技部財務領域國際期刊A Tier-2級)(*為通訊作者), vol. 430403, Apr. 2021 |
2021 |
Kin-Boon Tang*;Wen-Jie Zheng;Chao-Yang Lin;Shih-Kuei Lin, 2021.04, 'Valuation of callable accreting interest rate swaps: Least squares Monte-Carlo method under Hull-White interest rate model, ' North American Journal of Economics and Finance, Vol.56, pp.101339.(SSCI)(*為通訊作者), vol. 430402, Apr. 2021 |
2021 |
Shih-Kuei Lin;Ming-Che Chuang;Dong-Jie Fang*, 2021.04, 'Valuation and Risk Management of Weather Derivatives: The Application of CME Rainfall Index Binary Contracts, ' NTU Management Review, Vol.31, No.1, pp.117-153.(TSSCI, SCOPUS)(*為通訊作者), vol. 430399, Apr. 2021 |
2020 |
林士貴;阮彥勳;林朝陽*, 2020.12, '分析師樣本公司之因子模型: 台灣市場實證分析, ' 統計與資訊評論, Vol.20, pp.1-37.(*為通訊作者), vol. 434559, Dec. 2020 |
2020 |
林士貴;郭獻聰;林朝陽*, 2020.06, '檢測價格泡沫與建構泡沫投資組合之績效分析: 台灣上市股票之實證研究, ' 中國統計學報, Vol.58, No.2, pp.128-167.(*為通訊作者), vol. 430511, Jun. 2020 |
2020 |
Wu, Yang-Che;Chen, Ting-Fu*;Lin, Shih-Kuei, 2020.04, 'Risk Management of Deposit Insurance Corporations with Risk-Based Premiums and Credit Default Swaps, ' Quantitative Finance, Vol.20, No.7, pp.1085-1100.(SSCI, 科技部財務領域國際期刊A Tier-2級)(*為通訊作者), vol. 426502, Apr. 2020 |
2020 |
Kin-Boon Tang*;Shao-Jye Wong;Shih-Kuei Lin;Szu-Lang Liao, 2020.03, 'Excess volatility and market efficiency in government bond markets: the ASEAN-5 context, ' Journal of Asset Management, Vol.21, pp.154–165.(SSCI, 科技部財務領域國際期刊B級)(*為通訊作者), vol. 430510, Mar. 2020 |
2020 |
Ming-Che Chuang*;Chin-Hsiang Wen;Shih-Kuei Lin, 2020.03, 'Valuation and Empirical Analysis of Currency Options, ' International Review of Economics and Financie, Vol.66, pp.71-91.(SSCI, 科技部財務領域國際期刊A-級)(*為通訊作者), vol. 426612, Mar. 2020 |
2019 |
莊明哲;温晉祥*;林士貴, 2019.12, '跳躍風險相關之匯率選擇權: 傅立葉轉換評價法, ' 中國統計學報, Vol.57, No.4, pp.308-341.(*為通訊作者), vol. 434560, Dec. 2019 |
2019 |
林靜吟;蔡政憲;林士貴;馮冠群*, 2019.06, '隨機利率下可解約利率變動型壽險評價分析, ' 中國統計學報, Vol.57, No.2, pp.87-119.(*為通訊作者), vol. 430664, Jun. 2019 |
2019 |
吳宥璇*;林士貴;張瑞珍, 2019.06, '考慮違約風險與隨機利率模型下的匯率連結外幣資產選擇權定價, ' 中國統計學報, Vol.27, No.2, pp.120-157.(*為通訊作者), vol. 430663, Jun. 2019 |
2019 |
Chao-Yang Lin*;Huimei Liu;Jia-Ching Lee;Shih-Kuei Lin, 2019.02, 'Stock Index Options Pricing under Jump Patterns Driven by Market States, ' Emerging Markets Finance and Trade, Vol.56, pp.840-859.(SSCI)(*為通訊作者), vol. 430662, Feb. 2019 |
2018 |
Chuang, Ming-Che;Lin, Shih-Kuei;Chiang, Mi-Hsiu*, 2018.01, 'Pricing the Deflation Protection Option in TIPS Using an HJM Model with Inflation- and Interest-Rate Jumps, ' Journal of Derivatives, Vol.26, No.2, pp.50-69.(SCOPUS, EconLit,科技部財務領域國際期刊A Tier-2級)(*為通訊作者), vol. 421643, Jan. 2018 |
2017 |
Yang-Che Wu*;Yi-Ting Huang*;Shih-Kuei Lin*;Ming-Che Chuang*, 2017.11, 'Fair valuation of mortgage insurance under stochastic default and interest rates, ' The North American Journal of Economics and Finance, Vol.42, pp.433-447.(SSCI)(*為通訊作者), vol. 430661, Nov. 2017 |
2017 |
Shih-Kuei Lin;Shin-Yun Wang*;Carl R. Chen;Lian-Wen Xu, 2017.11, 'Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks, ' The North American Journal of Economics and Finance, Vol.42, pp.359-373.(SSCI)(*為通訊作者), vol. 430660, Nov. 2017 |
2017 |
Ming-Che Chuang;So-De Shyu;Shih-Kuei Lin;An-Chi Wu, 2017, 'Realized Jump Risks in the U.S. TB and TIPS Markets, ' International Journal of Information and Management Sciences, Vol.28, No.2, pp.133-152.(EI, TSSCI, SCOPUS), vol. 421646, 2017 |
2017 |
Ming-Che Chuang;Wan-Ru Yang;Ming-Chi Chen;Shih-Kuei Lin*, 2017, 'Pricing mortgage insurance contracts under housing price cycles with jump risk: evidence from the U.K. housing market, ' European Journal of Finance, pp.1-38.(SSCI, SCOPUS, EconLit)(*為通訊作者), vol. 417922, 2017 |
2016 |
Chih-Chen Hsu*;An-Sing Chen;Shih-Kuei Lin;Ting-Fu Chen, 2016.04, 'The Affine Styled-Facts Price Dynamics for the Natural Gas: Evidence from Daily Returns and Option Prices, ' Review of Quantitative Finance and Accounting, Vol.48, pp.819-848.(科技部財務領域國際期刊A Tier-2級)(*為通訊作者), vol. 410056, Apr. 2016 |
2016 |
Shih-Kuei Lin*;Jin-Lung Peng;Wei-Hsiung Chao;An-Chi Wu, 2016, 'The Extension from Independence to Dependence between Jump Frequency and Jump Size in Markov-modulated Jump Diffusion Models, ' The North-American Journal of Economics and Finance,.(SSCI)(*為通訊作者)(本論著未刊登但已被接受), vol. 410214, 2016 |
2015 |
Chang-Yi Li;Son-Nan Chen*;Shih-Kuei Lin, 2015, 'Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model: with regime-switching risk premium, ' The European Journal of Finance,.(*為通訊作者)(本論著未刊登但已被接受), vol. 408300, 2015 |
2015 |
Shih-Kuei Lin*;Ting-Fu Chen;Chien-Tsang Lin, 2015, 'Analysis of the Risk Management Strategies for Contingent Convertible Bonds, ' Journal of Financial Studies,.(TSSCI, EconLit)(*為通訊作者)(本論著未刊登但已被接受), vol. 408166, 2015 |
2014 |
Chien-Hsiu Lin*;Shih-Kuei Lin;An-Chi Wu, 2014.01, 'Foreign Exchange Option Pricing in the Currency Cycle with Jump Risks, ' Review of Quantitative Finance and Accounting, Vol.44, No.4, pp.755-789.(科技部財務領域國際期刊A Tier-2級)(*為通訊作者), vol. 402670, Jan. 2014 |
2014 |
Shih-Kuei Lin;Yu-Min Lian*;Szu-Lang Liao, 2014, 'Pricing Gold Options under Markov-Modulated Jump-Diffusion Processes, ' Applied Financial Economics, Vol.24, No.12, pp.825–836.(EconLit and FLI)(*為通訊作者), vol. 405560, 2014 |
2014 |
Chih-Chen Hsu*;Shih-Kuei Lin;Ting-Fu Chen, 2014, 'Pricing and Hedging European Energy Derivatives:A Case Study of WTI Crude Oil Options, ' Asia-Pacific Journal of Financial Studies, Vol.43, No.3, pp.317–355.(SSCI)(*為通訊作者), vol. 402854, 2014 |
2014 |
Shih-Kuei Lin;Chien-Hsiu Lin*;Ming-Che Chuang;Chia-Yu Chou, 2014, 'A Recursive Formula for a Participating Contract Embedding a Surrender Option under a Regime-switching Model with Jump Risk: Evidence From The S&P 500 Stock Index, ' Economic Modeling, Vol.38, pp.341-350.(SSCI)(*為通訊作者), vol. 402687, 2014 |
2013 |
Chang, Charles;Fuh, Cheng-Der;Lin, Shih-Kuei*, 2013.08, 'A Tale of Two Regimes: Theory and Empirical Evidence for a Markov-Modulated Jump Diffusion Model of Equity Returns and Derivative Pricing Implications, ' Journal of Banking and Finance, Vol.37, No.8, pp.3204-3217.(SSCI, 科技部財務領域國際期刊A Tier-1級)(*為通訊作者), vol. 387228, Aug. 2013 |
2012 |
Shih-Kuei Lin;Hui-Mei Liu;Tingfu Chen*;Tsung-Wei Lin, 2012, 'Empirical Analysis and Option Pricing under Regime Switching Model with Dependent Jump Size Risks, ' Journal of Risk Management, Vol.14, No.2, pp.161-187.(*為通訊作者), vol. 408167, 2012 |
2012 |
Shih-Kuei Lin;I-Chun Tsai*;Ming-Chi Chen;Ming-Che Chuang, 2012, 'The Valuation of Mortgage Insurance Contracts under Housing Price Cycles: Evidence from Housing Price Index, ' Journal of Financial Studies, Vol.20, No.3, pp.83-104.(TSSCI)(*為通訊作者), vol. 374651, 2012 |
2012 |
Tsai, P. L.;Lin, S. K.;Chih, H. H.*, 2012, 'Valuation of Open Market Repurchases with Interval Prices: An Application of the Exchange Option, ' Journal of Management & System, Vol.19, No.2, pp.255-276.(TSSCI)(*為通訊作者), vol. 316008, 2012 |
2011 |
Chang, Chia-Chien*;Lin,Shih-Kuei*;Yu, Min-Teh*, 2011, 'Valuation of Catastrophe Equity Puts with Markov-Modulated Poisson Processes, ' Journal of Risk and Insurance, Vol.78, No.2, pp.447-473.(SSCI)(*為通訊作者), vol. 315975, 2011 |
2010 |
Wu, Y. C.*;Liao, S. L.;Lin, S. K., 2010, 'Option Pricing under Levy Processes and GARCH-Levy Processes: An Empirical Analysis on TAIEX Index Options, ' Journal of Management & System, Vol.17, No.1, pp.49-74.(TSSCI)(*為通訊作者), vol. 316009, 2010 |
2010 |
Wang, S. Y.*;Lin, S. K., 2010, 'The Pricing and Hedging of Structured notes with Systematic Jump Risk: An Analysis of the USD Knock-Out Reversed Swap, ' International Review of Economics and Finance, Vol.19, No.1, pp.106-118.(SSCI)(*為通訊作者), vol. 315997, 2010 |
2010 |
Chen, Ming-Chi*;Chang, Chia-Chien;Lin, Shih-Kuei;Shyu, D., 2010, 'Estimation of Housing Price Jump Risks and Impact on the Valuation of Mortgage Insurance Contacts, ' Journal of Risk and Insurance, Vol.77, No.2, pp.399-422.(SSCI)(*為通訊作者), vol. 315996, 2010 |
2009 |
Hung, Y. C.;Lin, S. K.;Wu, C. W., 2009, 'Pricing Risky Securities in Hidden Markov-Modulated Poisson Processes, ' Advances in Quantitative Analysis of Finance and Accounting, Vol.7, No.7, pp.95-210.(FLI), vol. 316012, 2009 |
2009 |
Lin, S. K.;Liao, S. L.*;Lin, T., C., 2009, 'Credit Risks with Levy Processes under a Stochastic Interest Rate: A Structural Form Model, ' Reviews of Securities and Futures Markets, Vol.21, No.4, pp.139-176.(TSSCI)(*為通訊作者), vol. 316011, 2009 |
2009 |
Wang, R. H.*;Lin, S. K.;Fuh, C. D., 2009, 'An Importance Sampling Method to Evaluate Value-at-Risk for Assets with Jump Risks, ' Asia-Pacific Journal of Financial Studies, Vol.38, No.5, pp.745-772.(SSCI)(*為通訊作者), vol. 316010, 2009 |
2009 |
Lin, S. K.*;Wang, S. Y.;Tsai, P. L., 2009, 'Application of Hidden Markov Switching Moving Average Model in Stock Markets: Theory and Empirical Evidence, ' International Review of Economics and Finance, Vol.18, No.2, pp.306-317.(SSCI)(*為通訊作者), vol. 316005, 2009 |
2009 |
Lin, S. K.*;Chang, C. C.;Powers, M. R., 2009, 'The Valuation of Contingent Capital with Catastrophe Risks, ' Insurance: Mathematics and Economics, Vol.45, No.1, pp.65-73.(SSCI)(*為通訊作者), vol. 315987, 2009 |
2008 |
Lin, S. K.*;D. Shyu;Chang, C. C., 2008, 'Pricing Catastrophe Insurance Products in Markov Jump Diffusion Models, ' Journal of Financial Studie, Vol.16, No.2, pp.1-33.(TSSCI)(*為通訊作者), vol. 316014, 2008 |
2008 |
Lin, S. K.;Chang, C. K.;Liao, S. L., 2008, 'A Recursive Formula of A Participating Contract Embedding A Surrender Option, ' Journal of Financial Studies, Vol.16, No.3, pp.107-147.(TSSCI), vol. 316013, 2008 |
2006 |
Lin, S. K.;Wang, R. H.;Fuh, C. D., 2006, 'Risk Management for Linear and Non-Linear Assets: A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk, ' Asia-Pacific Financial Markets, Vol.13, No.3, pp.261-295.(EconLit), vol. 316015, 2006 |
2004 |
Shih-Kuei Lin*;Cheng-Der Fuh;Tze-Jieh Ko, 2004, 'A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk, ' Journal of Financial Studie, Vol.12, No.1, pp.81-116.(TSSCI)(*為通訊作者), vol. 402688, 2004 |
2003 |
Cheng-Der Fuh*;Inchi Hu;Shih-Kuei Lin, 2003, 'Empirical Performance and Asset Pricing in Hidden Markov Model, ' Communications in Statistics: Theory and Methods, Vol.32, No.12, pp.2477-2512.(SCIE)(*為通訊作者), vol. 402689, 2003 |