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Publications

by members of

National Central University → Department of Finance

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Chapters |

Working papers

2016

  1. Yu-Chin Hsu & Rachel J. Huang & Larry Y. Tzeng & Christine W. Wang, 2016, "Can Investing in Hedge Funds Improve Efficiency for Economically Important Investors?," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 16-A006, Jun.

2013

  1. Denuit, Michel & Huang, Rachel & Tzeng, Larry, 2013, "Bivariate Almost Stochastic Dominance," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2013002, Jan.
  2. Denuit, Michel & Huang, Rachel & Tzeng, Larry, 2013, "Almost Expectation and Excess Dependence Notions," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2013005, Jan.
  3. O.C. Chuang & L. Eeckhoudt & R.J. Huang & L.Y. Tzeng, 2013, "Risky targets and effort," Post-Print, HAL, number hal-00845897.

2012

  1. Denuit, Michel & Huang, Rachel & Tzeng, Larry, 2012, "Almost Marginal Conditional Stochastic Dominance," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2012033, Jan.
  2. L. Eeckhoudt & Rachel J. Huang & Larry Y. Tzeng, 2012, "Precautionary Effort: A New Look," Post-Print, HAL, number hal-00780297.

2008

  1. Huang, Rachel J. & Muermann, Alexander & Tzeng, Larry Y., 2008, "Hidden regret in insurance markets: Adverse and advantageous selection," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/38.

2007

  1. Hong-Ming Huang & Chihwa Kao & Giovanni Urga, 2007, "Copula-Based Tests for Cross-Sectional Independence in Panel Models," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 99, Dec.

2004

  1. Wei-Ting Tang & Yin-Feng Gau, 2004, "Forecasting Value-at-Risk Using the Markov-Switching ARCH Model," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 715, Aug.

Journal articles

2025

  1. Chen, Tzu-Ying & Chen, Yi-Ting & Huang, Rachel J. & Tzeng, Larry Y., 2025, "A performance index consistent with fractional-order stochastic dominance," Pacific-Basin Finance Journal, Elsevier, volume 93, issue C, DOI: 10.1016/j.pacfin.2025.102891.
  2. Cary Deck & Rachel J. Huang & Larry Y. Tzeng & Lin Zhao, 2025, "A Simple Approach for Measuring Higher-Order Arrow-Pratt Coefficients of Risk Aversion," Management Science, INFORMS, volume 71, issue 8, pages 6979-6996, August, DOI: 10.1287/mnsc.2023.02300.

2023

  1. Wu, Zhen-Xing & Gau, Yin-Feng & Chen, Yu-Lun, 2023, "Price discovery and triangular arbitrage in currency markets," Journal of International Money and Finance, Elsevier, volume 137, issue C, DOI: 10.1016/j.jimonfin.2023.102912.

2022

  1. Chang, Ya-Ting & Gau, Yin-Feng & Hsu, Chih-Chiang, 2022, "Liquidity spillover in foreign exchange markets," Finance Research Letters, Elsevier, volume 44, issue C, DOI: 10.1016/j.frl.2021.102105.
  2. Huang, Guan-Ying & Gau, Yin-Feng & Wu, Zhen-Xing, 2022, "Price discovery in fiat currency and cryptocurrency markets," Finance Research Letters, Elsevier, volume 47, issue PA, DOI: 10.1016/j.frl.2021.102615.
  3. Wu, Zhen-Xing & Gau, Yin-Feng, 2022, "Informativeness of trades around macroeconomic announcements in the foreign exchange market," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 78, issue C, DOI: 10.1016/j.intfin.2022.101533.
  4. Jayawardena, Nirodha I. & Todorova, Neda & Li, Bin & Su, Jen-Je & Gau, Yin-Feng, 2022, "Risk-return trade-off in the Australian Securities Exchange: Accounting for overnight effects, realized higher moments, long-run relations, and fractional cointegration," International Review of Economics & Finance, Elsevier, volume 80, issue C, pages 384-401, DOI: 10.1016/j.iref.2022.02.057.

2021

  1. Huang, Rachel J. & Jeng, Vivian & Wang, Cheng-Wei & Yue, Jack C., 2021, "Does size and book-to-market contain intangible information about managerial incentives? Learning from corporate D&O insurance purchase," Pacific-Basin Finance Journal, Elsevier, volume 68, issue C, DOI: 10.1016/j.pacfin.2021.101560.
  2. Tzu-Ying Chen & Yi-Hsin Elsa Hsu & Rachel J. Huang & Larry Y. Tzeng, 2021, "Making socioeconomic health inequality comparisons when health concentration curves intersect," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, volume 57, issue 4, pages 875-899, November, DOI: 10.1007/s00355-021-01323-0.

2020

  1. Huang, Rachel J. & Tzeng, Larry & Wang, Jr-Yan & Zhao, Lin, 2020, "Operational asymptotic stochastic dominance," European Journal of Operational Research, Elsevier, volume 280, issue 1, pages 312-322, DOI: 10.1016/j.ejor.2019.06.052.
  2. Rachel J. Huang & Larry Y. Tzeng & Lin Zhao, 2020, "Fractional Degree Stochastic Dominance," Management Science, INFORMS, volume 66, issue 10, pages 4630-4647, October, DOI: 10.1287/mnsc.2019.3406.

2019

  1. Bi, Hongwei & Huang, Rachel J. & Tzeng, Larry Y. & Zhu, Wei, 2019, "Higher-order Omega: A performance index with a decision-theoretic foundation," Journal of Banking & Finance, Elsevier, volume 100, issue C, pages 43-57, DOI: 10.1016/j.jbankfin.2018.12.013.

2017

  1. Chang, Ya-Ting & Gau, Yin-Feng & Hsu, Chih-Chiang, 2017, "Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements," The North American Journal of Economics and Finance, Elsevier, volume 42, issue C, pages 172-192, DOI: 10.1016/j.najef.2017.06.004.
  2. Gau, Yin-Feng & Wu, Zhen-Xing, 2017, "Macroeconomic announcements and price discovery in the foreign exchange market," Journal of International Money and Finance, Elsevier, volume 79, issue C, pages 232-254, DOI: 10.1016/j.jimonfin.2017.08.006.
  3. Wen-Lin Wu & Yin-Feng Gau, 2017, "Home bias in portfolio choices: social learning among partially informed agents," Review of Quantitative Finance and Accounting, Springer, volume 48, issue 2, pages 527-556, February, DOI: 10.1007/s11156-016-0560-6.
  4. Hoy, Michael & Huang, Rachel J., 2017, "Measuring discrimination using principles of stochastic dominance," Journal of Economic Theory, Elsevier, volume 167, issue C, pages 39-52, DOI: 10.1016/j.jet.2016.07.005.
  5. Rachel J. Huang & Arthur Snow & Larry Y. Tzeng, 2017, "Advantageous Selection in Insurance Markets with Compound Risk," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), volume 42, issue 2, pages 171-192, September, DOI: 10.1057/s10713-017-0023-6.

2016

  1. Yu-Lun Chen & Yin-Feng Gau & Wen-Ju Liao, 2016, "Trading activities and price discovery in foreign currency futures markets," Review of Quantitative Finance and Accounting, Springer, volume 46, issue 4, pages 793-818, May, DOI: 10.1007/s11156-014-0486-9.
  2. Rachel J. Huang & Alexander Muermann & Larry Y. Tzeng, 2016, "Hidden Regret In Insurance Markets," Journal of Risk & Insurance, The American Risk and Insurance Association, volume 83, issue 1, pages 181-216, January.
  3. Huang, Henry H. & Wang, Kent & Wang, Zhanglong, 2016, "A test of efficiency for the S&P 500 index option market using the generalized spectrum method," Journal of Banking & Finance, Elsevier, volume 64, issue C, pages 52-70, DOI: 10.1016/j.jbankfin.2015.11.007.

2015

  1. Chen, Yu-Lun & Gau, Yin-Feng, 2015, "Foreign exchange market intervention and price discovery," Journal of the Japanese and International Economies, Elsevier, volume 38, issue C, pages 214-227, DOI: 10.1016/j.jjie.2015.09.001.
  2. Ilia Tsetlin & Robert L. Winkler & Rachel J. Huang & Larry Y. Tzeng, 2015, "Generalized Almost Stochastic Dominance," Operations Research, INFORMS, volume 63, issue 2, pages 363-377, April, DOI: 10.1287/opre.2014.1340.
  3. Yehning Chen & Rachel Huang & John Tsai & Larry Tzeng, 2015, "Soft Information and Small Business Lending," Journal of Financial Services Research, Springer;Western Finance Association, volume 47, issue 1, pages 115-133, February, DOI: 10.1007/s10693-013-0187-x.
  4. Michel Denuit & Rachel Huang & Larry Tzeng, 2015, "Almost expectation and excess dependence notions," Theory and Decision, Springer, volume 79, issue 3, pages 375-401, November, DOI: 10.1007/s11238-014-9476-6.
  5. Henry H. Huang & Hung-Yi Huang & Jeffrey J. Oxman, 2015, "Stock Liquidity And Corporate Bond Yield Spreads: Theory And Evidence," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, volume 38, issue 1, pages 59-91, March.

2014

  1. Gau, Yin-Feng & Wu, Zhen-Xing, 2014, "Order choices under information asymmetry in foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 30, issue C, pages 106-118, DOI: 10.1016/j.intfin.2014.01.008.
  2. Chen, Yu-Lun & Gau, Yin-Feng, 2014, "Asymmetric responses of ask and bid quotes to information in the foreign exchange market," Journal of Banking & Finance, Elsevier, volume 38, issue C, pages 194-204, DOI: 10.1016/j.jbankfin.2013.10.004.
  3. Rachel J. Huang & Larry Y. Tzeng & Kili C. Wang, 2014, "Heterogeneity of the Accident Externality from Driving," Journal of Risk & Insurance, The American Risk and Insurance Association, volume 81, issue 4, pages 735-756, December.
  4. Denuit, Michel M. & Huang, Rachel J. & Tzeng, Larry Y. & Wang, Christine W., 2014, "Almost marginal conditional stochastic dominance," Journal of Banking & Finance, Elsevier, volume 41, issue C, pages 57-66, DOI: 10.1016/j.jbankfin.2013.12.014.
  5. Rachel J Huang & Alexander Muermann & Larry Y Tzeng, 2014, "Regret and Regulation," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), volume 39, issue 1, pages 65-89, March.
  6. Michel Denuit & Rachel Huang & Larry Tzeng, 2014, "Bivariate almost stochastic dominance," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 57, issue 2, pages 377-405, October, DOI: 10.1007/s00199-014-0826-y.
  7. Ho, Hsiao-Wei & Huang, Henry H. & Yildirim, Yildiray, 2014, "Affine model of inflation-indexed derivatives and inflation risk premium," European Journal of Operational Research, Elsevier, volume 235, issue 1, pages 159-169, DOI: 10.1016/j.ejor.2013.12.010.

2013

  1. Chang, Ya-Kai & Chen, Yu-Lun & Chou, Robin K. & Gau, Yin-Feng, 2013, "The effectiveness of position limits: Evidence from the foreign exchange futures markets," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4501-4509, DOI: 10.1016/j.jbankfin.2013.02.033.
  2. Ming-Hsien Chen & Yin-Feng Gau & Vivian W. Tai, 2013, "Issuer Credit Ratings and Warrant-Pricing Errors," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 49, issue S3, pages 35-46, July.
  3. Huang, Rachel J. & Miao, Jerry C.Y. & Tzeng, Larry Y., 2013, "Does mortality improvement increase equity risk premiums? A risk perception perspective," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 67-77, DOI: 10.1016/j.jempfin.2013.03.002.
  4. Chuang, O-Chia & Eeckhoudt, Louis & Huang, Rachel J. & Tzeng, Larry Y., 2013, "Risky targets and effort," Insurance: Mathematics and Economics, Elsevier, volume 52, issue 3, pages 465-468, DOI: 10.1016/j.insmatheco.2013.02.004.
  5. Huang, Rachel J. & Huang, Yi-Chieh & Tzeng, Larry Y., 2013, "Insurance bargaining under ambiguity," Insurance: Mathematics and Economics, Elsevier, volume 53, issue 3, pages 812-820, DOI: 10.1016/j.insmatheco.2013.10.001.
  6. Larry Y. Tzeng & Rachel J. Huang & Pai-Ta Shih, 2013, "Revisiting Almost Second-Degree Stochastic Dominance," Management Science, INFORMS, volume 59, issue 5, pages 1250-1254, May, DOI: 10.1287/mnsc.1120.1616.

2012

  1. Yin-Feng Gau & Wen-Ju Liao, 2012, "The predictability of excess returns in the emerging bond markets," Applied Financial Economics, Taylor & Francis Journals, volume 22, issue 17, pages 1429-1451, September, DOI: 10.1080/09603107.2012.659340.
  2. Shyi-Tarn Bair & Rachel J. Huang & Kili C. Wang, 2012, "Can Vehicle Maintenance Records Predict Automobile Accidents?," Journal of Risk & Insurance, The American Risk and Insurance Association, volume 79, issue 2, pages 567-584, June, DOI: j.1539-6975.2011.01433.x.
  3. Louis Eeckhoudt & Rachel J. Huang & Larry Y. Tzeng, 2012, "Precautionary Effort: A New Look," Journal of Risk & Insurance, The American Risk and Insurance Association, volume 79, issue 2, pages 585-590, June, DOI: j.1539-6975.2011.01441.x.
  4. Huang, Rachel J., 2012, "Ambiguity aversion, higher-order risk attitude and optimal effort," Insurance: Mathematics and Economics, Elsevier, volume 50, issue 3, pages 338-345, DOI: 10.1016/j.insmatheco.2012.01.002.
  5. Rachel J Huang & Pai-Ta Shih & Larry Y Tzeng, 2012, "Disappointment and the Optimal Insurance Contract," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), volume 37, issue 2, pages 258-284, September.
  6. Huang, Hsing-Hua & Huang, Hongming & Shih, Pai-Ta, 2012, "Real options and earnings-based bonus compensation," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2389-2402, DOI: 10.1016/j.jbankfin.2012.05.002.

2011

  1. Agarwal, Sumit & Ambrose, Brent W. & Huang, Hongming & Yildirim, Yildiray, 2011, "The Term Structure of Lease Rates with Endogenous Default Triggers and Tenant Capital Structure: Theory and Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 46, issue 2, pages 553-584, April.

2010

  1. Gau, Yin-Feng & Hua, Mingshu & Wu, Wen-Lin, 2010, "International asset allocation for incompletely-informed investors," Journal of Financial Markets, Elsevier, volume 13, issue 4, pages 422-447, November.
  2. Chen, Yu-Lun & Gau, Yin-Feng, 2010, "News announcements and price discovery in foreign exchange spot and futures markets," Journal of Banking & Finance, Elsevier, volume 34, issue 7, pages 1628-1636, July.
  3. Rachel J Huang & Yu-Jane Liu & Larry Y Tzeng, 2010, "Hidden Overconfidence and Advantageous Selection," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), volume 35, issue 2, pages 93-107, December.

2009

  1. Yu‐Lun Chen & Yin‐Feng Gau, 2009, "Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan stock exchange," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 29, issue 1, pages 74-93, January.
  2. Kili C Wang & Rachel J Huang & Larry Y Tzeng, 2009, "Empirical Evidence for Advantageous Selection in the Commercial Fire Insurance Market*," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), volume 34, issue 1, pages 1-19, June.

2008

  1. Rachel J. Huang & Larry Y. Tzeng, 2008, "Consumption Externality and Equilibrium Underinsurance," Journal of Risk & Insurance, The American Risk and Insurance Association, volume 75, issue 4, pages 1039-1054, December, DOI: 10.1111/j.1539-6975.2008.00296.x.
  2. Huang, Rachel J. & Tsai, Jeffrey T. & Tzeng, Larry Y., 2008, "Government-provided annuities under insolvency risk," Insurance: Mathematics and Economics, Elsevier, volume 43, issue 3, pages 377-385, December.
  3. Hongming Huang & Yildiray Yildirim, 2008, "Leverage, options liabilities, and corporate bond pricing," Review of Derivatives Research, Springer, volume 11, issue 3, pages 245-276, October, DOI: 10.1007/s11147-008-9028-8.

2007

  1. Gau, Yin-Feng & Hua, Mingshu, 2007, "Intraday exchange rate volatility: ARCH, news and seasonality effects," The Quarterly Review of Economics and Finance, Elsevier, volume 47, issue 1, pages 135-158, March.
  2. Chih-Ling Lin & Ming-Chieh Wang & Yin-Feng Gau, 2007, "Expected risk and excess returns predictability in emerging bond markets," Applied Economics, Taylor & Francis Journals, volume 39, issue 12, pages 1511-1529, DOI: 10.1080/00036840600606336.
  3. Rachel J. Huang & Larry Y. Tzeng, 2007, "Optimal Tax Deductions for Net Losses Under Private Insurance With an Upper Limit," Journal of Risk & Insurance, The American Risk and Insurance Association, volume 74, issue 4, pages 883-893, December, DOI: 10.1111/j.1539-6975.2007.00239.x.
  4. Rachel Huang & Larry Tzeng, 2007, "Insurer’s insolvency risk and tax deductions for the individual’s net losses," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), volume 32, issue 2, pages 129-145, December, DOI: 10.1007/s10713-007-0006-0.

2006

  1. Hua, Mingshu & Gau, Yin-Feng, 2006, "Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market," Pacific-Basin Finance Journal, Elsevier, volume 14, issue 2, pages 193-208, April.
  2. Rachel Huang & Larry Tzeng, 2006, "The design of an optimal insurance contract for irreplaceable commodities," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), volume 31, issue 1, pages 11-21, July, DOI: 10.1007/s10713-006-9464-z.

2005

  1. Gau, Yin-Feng, 2005, "Intraday volatility in the Taipei FX market," Pacific-Basin Finance Journal, Elsevier, volume 13, issue 4, pages 471-487, September.

2004

  1. Y. -F. Gau & M. Hau, 2004, "Public information, private information, inventory control, and volatility of intraday NTD/USD exchange rates," Applied Economics Letters, Taylor & Francis Journals, volume 11, issue 4, pages 263-266, DOI: 10.1080/13504850410001674939.

Chapters

2025

  1. Rachel J. Huang & Larry Y. Tzeng, 2025, "Stochastic Dominance and the Demand for Insurance," Springer Books, Springer, in: Georges Dionne, "Handbook of Insurance", DOI: 10.1007/978-3-031-69674-9_4.

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