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Publications

by members of

National Taiwan University → College of Management → 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 |

Working papers

2025

  1. Chao Fu & Hsuan-Chih (Luke) Lin & Atsuko Tanaka, 2025, "College Loans and Human Capital Investment," NBER Working Papers, National Bureau of Economic Research, Inc, number 34221, Sep.

2020

  1. Ljungqvist, Alexander & Chang, Yen-Cheng & Hsiao, Pei-Jie & Tseng, Kevin, 2020, "Testing Disagreement Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 14677, Apr.
    • Yen‐Cheng Chang & Pei‐Jie Hsiao & Alexander Ljungqvist & Kevin Tseng, 2022, "Testing Disagreement Models," Journal of Finance, American Finance Association, volume 77, issue 4, pages 2239-2285, August, DOI: 10.1111/jofi.13137.
  2. Ljungqvist, Alexander & Chang, Yen-Cheng & Tseng, Kevin, 2020, "Do corporate disclosures constrain strategic analyst behavior?," CEPR Discussion Papers, Centre for Economic Policy Research, number 14678, Apr.
  3. Wen-Tai Hsu & Hsuan-Chih (Luke) Lin & Han Yang, 2020, "Between Lives and Economy: Optimal COVID-19 Containment Policy in Open Economies," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 20-2020, Oct.

2017

  1. Yu-Hsiang Cheng & Hsuan-Chih (Luke) Lin & Atsuko Tanaka, 2017, "Pension Reform in Taiwan: the Path to Long-Run Sustainability," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 17-A008, Jun.

2016

  1. Hsuan-Chih (Luke) Lin, 2016, "Optimal Disability Insurance and Unemployment Insurance With Cyclical Fluctuations," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 16-A003, Mar, revised Oct 2016.
  2. Seung-Gyu Sim & Hsuan-Chih Lin, 2016, "Competitive Dominance of Emission Trading Over Pigouvian Taxation in a Globalized Economy," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 16-A004, Apr.

2013

  1. Yen-cheng Chang & Harrison Hong & Inessa Liskovich, 2013, "Regression Discontinuity and the Price Effects of Stock Market Indexing," NBER Working Papers, National Bureau of Economic Research, Inc, number 19290, Aug.
  2. WANG, Kent & WANG, Shin-Huei & PAN, Zheyao, 2013, "Can federal reserve policy deviation explain response patterns of financial markets over time?," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2013029, Jul.

2012

  1. WAN, Shui-Ki & WANG, Shin-Huei & WOO, Chi-Keung, 2012, "Total tourist arrival forecast: aggregation vs. disaggregation," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2012039, Oct.
  2. WANG, Shin-Huei & BAUWENS, Luc & HSIAO, Cheng, 2012, "Forecasting long memory processes subject to structural breaks," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2012048, Dec.

2008

  1. Wang, Shin-Huei & Hafner, Christian, 2008, "Estimating autocorrelations in the presence of deterministic trends," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2008073, Dec.
  2. WANG , Shin-Huei & HSIAO, Cheng, 2008, "An easy test for two stationary long processes being uncorrelated via AR approximations," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2008047, Aug.

2007

  1. Chia-Chang Chuang & Chung-Ming Kuan & Hsin-yi Lin, 2007, "Causality in Quantiles and Dynamic Stock Return-Volume Relations," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 07-A006, Jun.

2006

  1. Yu-Chin Hsu & Chung-Ming Kuan, 2006, "Change-Point Estimation of Nonstationary I(d) Processes," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 06-A007, Sep.
  2. Chung-Ming Kuan & Yu-Wei Hsieh, 2006, "Improved HAC Covariance Matrix Estimation Based on Forecast Errors," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 06-A008, Sep.
  3. Wei-Ming Lee & Chung-Ming Kuan, 2006, "Testing Over-Identifying Restrictions without Consistent Estimation of the Asymptotic Covariance Matrix," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 06-A009, Sep.
  4. Chung-Ming Kuan, 2006, "Artificial Neural Networks," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 06-A010, Sep.

2004

  1. Chung-Ming Kuan & Yu-Lieh Huang, 2004, "A component-driven model for regime switching and its empirical evidence," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 718, Aug.
  2. Po-Hsuan Hsu & Chung-Ming Kuan, 2004, "Re-Examining the Profitability of Technical Analysis with White’s Reality Check," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 04-A003, Feb.

2003

  1. Chung-Ming Kuan & Wei-Ming Lee, 2003, "A New Test of the Martingale Difference Hypothesis," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 03-A001, Nov.
  2. Yi-Ting Chen & Chung-Ming Kuan, 2003, "A Generalized Jarque-Bera Test of Conditional Normality," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 03-A003, Nov.

2000

  1. Yi-Ting Chen & Chung-Ming Kuan, 2000, "The Pseudo-True Score Encompassing Test for Non-Nested Hypothesis," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 1723, Aug.

1999

  1. Tung Liu & Chung-Ming Kuan, 1999, "The Nonlinear Intraday Pattern of Futures Market Exchange Rates: An Application of Neural Network Models," Computing in Economics and Finance 1999, Society for Computational Economics, number 1042, Mar.

1993

  1. Chu, C.S.J. & Hornik, K. & Kuan, C.M., 1993, "Mosum Tests for Parameter Constancy," Papers, Southern California - Department of Economics, number 9319.

1991

  1. Kuan, C.M. & White, H., 1991, "Strong Convergence of Recursive M-Estimators for Models with Dynamic Latent Variables," Papers, Stanford - Institute for Thoretical Economics, number 25.

Journal articles

2024

  1. Wen-Tai Hsu & Hsuan-Chih (Luke) Lin & Han Yang, 2024, "Long-run belief-scarring effects of COVID-19 in a global economy," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 78, issue 3, pages 709-752, November, DOI: 10.1007/s00199-023-01545-6.

2023

  1. Yen-Cheng Chang & Alexander Ljungqvist & Kevin Tseng, 2023, "Do Corporate Disclosures Constrain Strategic Analyst Behavior?," The Review of Financial Studies, Society for Financial Studies, volume 36, issue 8, pages 3163-3212.
  2. Hsu, Wen-Tai & Lin, Hsuan-Chih (Luke) & Yang, Han, 2023, "Between lives and economy: COVID-19 containment policy in open economies," European Economic Review, Elsevier, volume 157, issue C, DOI: 10.1016/j.euroecorev.2023.104512.

2022

  1. Yen‐Cheng Chang & Pei‐Jie Hsiao & Alexander Ljungqvist & Kevin Tseng, 2022, "Testing Disagreement Models," Journal of Finance, American Finance Association, volume 77, issue 4, pages 2239-2285, August, DOI: 10.1111/jofi.13137.
  2. Chang, Yen-Cheng & Shao, Ran & Wang, Na, 2022, "Can stock message board sentiment predict future returns? Local versus nonlocal posts," Journal of Behavioral and Experimental Finance, Elsevier, volume 34, issue C, DOI: 10.1016/j.jbef.2022.100625.
  3. Choi, Kyoung Jin & Jeon, Junkee & Lee, Ho-Seok & Lin, Hsuan-Chih, 2022, "Optimal long-term contracts with disability insurance under limited commitment," Insurance: Mathematics and Economics, Elsevier, volume 104, issue C, pages 99-132, DOI: 10.1016/j.insmatheco.2022.02.007.

2021

  1. Lin, Hsuan-Chih & Tanaka, Atsuko & Wu, Po-Shyan, 2021, "Shifting from pay-as-you-go to individual retirement accounts: A path to a sustainable pension system," Journal of Macroeconomics, Elsevier, volume 69, issue C, DOI: 10.1016/j.jmacro.2021.103329.

2020

  1. Atsuko Tanaka & Hsuan-chih Lin, 2020, "Employee Investment and Screening based on Labor Force Attachment," Economics Bulletin, AccessEcon, volume 40, issue 2, pages 1349-1356.

2019

  1. Hsuan‐Ling Chang & Yen‐Cheng Chang & Hung‐Wen Cheng & Po‐Hsiang Peng & Kevin Tseng, 2019, "Jump variance risk: Evidence from option valuation and stock returns," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 39, issue 7, pages 890-915, July, DOI: 10.1002/fut.22009.

2018

  1. Sim, Seung-Gyu & Lin, Hsuan-Chih, 2018, "Competitive dominance of emission trading over Pigouvian taxation in a globalized economy," Economics Letters, Elsevier, volume 163, issue C, pages 158-161, DOI: 10.1016/j.econlet.2017.12.015.

2017

  1. Chuang, O-Chia & Kuan, Chung-Ming & Tzeng, Larry Y., 2017, "Testing for central dominance: Method and application," Journal of Econometrics, Elsevier, volume 196, issue 2, pages 368-378, DOI: 10.1016/j.jeconom.2016.07.008.

2015

  1. Chang, Yen-Cheng & Cheng, Hung-Wen, 2015, "Information environment and investor behavior," Journal of Banking & Finance, Elsevier, volume 59, issue C, pages 250-264, DOI: 10.1016/j.jbankfin.2015.06.013.
  2. Yen-Cheng Chang & Harrison Hong & Inessa Liskovich, 2015, "Regression Discontinuity and the Price Effects of Stock Market Indexing," The Review of Financial Studies, Society for Financial Studies, volume 28, issue 1, pages 212-246.
  3. Wei‐Ming Lee & Yu‐Chin Hsu & Chung‐Ming Kuan, 2015, "Robust hypothesis tests for M‐estimators with possibly non‐differentiable estimating functions," Econometrics Journal, Royal Economic Society, volume 18, issue 1, pages 95-116, February.

2014

  1. Hsu, Shih-Hsun & Kuan, Chung-Ming, 2014, "Constructing smooth tests without estimating the eigenpairs of the limiting process," Journal of Econometrics, Elsevier, volume 178, issue P1, pages 71-79, DOI: 10.1016/j.jeconom.2013.08.007.
  2. Lee, Wei-Ming & Kuan, Chung-Ming & Hsu, Yu-Chin, 2014, "Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix," Journal of Econometrics, Elsevier, volume 181, issue 2, pages 181-193, DOI: 10.1016/j.jeconom.2014.04.002.
  3. Jin-Huei Yeh & Jying-Nan Wang & Chung-Ming Kuan, 2014, "A noise-robust estimator of volatility based on interquantile ranges," Review of Quantitative Finance and Accounting, Springer, volume 43, issue 4, pages 751-779, November, DOI: 10.1007/s11156-013-0391-7.
  4. Yu-Chin Hsu & Chung-Ming Kuan & Meng-Feng Yen, 2014, "A Generalized Stepwise Procedure with Improved Power for Multiple Inequalities Testing," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 4, pages 730-755.

2013

  1. Ying, Yung-Hsiang & Kuan, Chung-Ming & Tung, Chris Y. & Chang, Koyin, 2013, "“Capital mobility in East Asian Countries is not so high”: Examining the impact of sterilization on capital flows," China Economic Review, Elsevier, volume 24, issue C, pages 55-64, DOI: 10.1016/j.chieco.2012.11.001.
  2. Chung-Ming Kuan & Chien-Liang Chen, 2013, "Effects of National Health Insurance on precautionary saving: new evidence from Taiwan," Empirical Economics, Springer, volume 44, issue 2, pages 921-943, April, DOI: 10.1007/s00181-011-0533-5.
  3. Chung-Ming Kuan, 2013, "Markov switching model (in Russian)," Quantile, Quantile, issue 11, pages 13-40, December.
  4. Kao, Yi-Cheng & Kuan, Chung-Ming & Chen, Shikuan, 2013, "Testing the predictive power of the term structure without data snooping bias," Economics Letters, Elsevier, volume 121, issue 3, pages 546-549, DOI: 10.1016/j.econlet.2013.10.020.
  5. Shin-Huei Wang Cindy & Hsiao Cheng, 2013, "Real-Time Monitoring Test for Realized Volatility," Journal of Time Series Econometrics, De Gruyter, volume 5, issue 1, pages 1-24, January, DOI: 10.1515/jtse-2012-0014.
  6. Wang, Shin-Huei & Vasilakis, Chrysovalantis, 2013, "Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points," Economics Letters, Elsevier, volume 118, issue 2, pages 389-392, DOI: 10.1016/j.econlet.2012.11.011.
  7. Wang, Cindy Shin-Huei & Bauwens, Luc & Hsiao, Cheng, 2013, "Forecasting a long memory process subject to structural breaks," Journal of Econometrics, Elsevier, volume 177, issue 2, pages 171-184, DOI: 10.1016/j.jeconom.2013.04.006.

2011

  1. Hsu, Shih-Hsun & Kuan, Chung-Ming, 2011, "Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments," Journal of Econometrics, Elsevier, volume 165, issue 1, pages 87-99, DOI: 10.1016/j.jeconom.2011.05.008.
  2. Wang Shin-Huei & Hafner Christian, 2011, "Estimating Autocorrelations in the Presence of Deterministic Trends," Journal of Time Series Econometrics, De Gruyter, volume 3, issue 2, pages 1-25, April, DOI: 10.2202/1941-1928.1022.

2010

  1. Kuan, Chung-Ming & Lin, Hsin-Yi, 2010, "An encompassing test for non-nested quantile regression models," Economics Letters, Elsevier, volume 107, issue 2, pages 257-260, May.
  2. Hsu, Po-Hsuan & Hsu, Yu-Chin & Kuan, Chung-Ming, 2010, "Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias," Journal of Empirical Finance, Elsevier, volume 17, issue 3, pages 471-484, June.
  3. Shin-Huei Wang & Cheng Hsiao, 2010, "The Role of China in Asian Monetary Integration," Chinese Economy, Taylor & Francis Journals, volume 43, issue 6, pages 22-33, November.

2009

  1. Chuang, Chia-Chang & Kuan, Chung-Ming & Lin, Hsin-Yi, 2009, "Causality in quantiles and dynamic stock return-volume relations," Journal of Banking & Finance, Elsevier, volume 33, issue 7, pages 1351-1360, July.
  2. Kuan, Chung-Ming & Hong, Yongmiao, 2009, "Guest editors' introduction," Journal of Econometrics, Elsevier, volume 150, issue 2, pages 117-118, June.
  3. Kuan, Chung-Ming & Yeh, Jin-Huei & Hsu, Yu-Chin, 2009, "Assessing value at risk with CARE, the Conditional Autoregressive Expectile models," Journal of Econometrics, Elsevier, volume 150, issue 2, pages 261-270, June.

2008

  1. Hsu, Yu-Chin & Kuan, Chung-Ming, 2008, "Change-point estimation of nonstationary I(d) processes," Economics Letters, Elsevier, volume 98, issue 2, pages 115-121, February.
  2. Kuan, Chung-Ming & Hsieh, Yu-Wei, 2008, "Improved HAC covariance matrix estimation based on forecast errors," Economics Letters, Elsevier, volume 99, issue 1, pages 89-92, April.
  3. Huang, Yu-Lieh & Huang, Chao-Hsi & Kuan, Chung-Ming, 2008, "Reexamining the permanent income hypothesis with uncertainty in permanent and transitory innovation states," Journal of Macroeconomics, Elsevier, volume 30, issue 4, pages 1816-1836, December.

2007

  1. Chen, Chien-Liang & Kuan, Chung-Ming & Lin, Chu-Chia, 2007, "Saving and housing of Taiwanese households: New evidence from quantile regression analyses," Journal of Housing Economics, Elsevier, volume 16, issue 2, pages 102-126, June.

2006

  1. Kuan, Chung-Ming & Lee, Wei-Ming, 2006, "Robust M Tests Without Consistent Estimation of the Asymptotic Covariance Matrix," Journal of the American Statistical Association, American Statistical Association, volume 101, pages 1264-1275, September.

2005

  1. Po-Hsuan Hsu & Chung-Ming Kuan, 2005, "Reexamining the Profitability of Technical Analysis with Data Snooping Checks," Journal of Financial Econometrics, Oxford University Press, volume 3, issue 4, pages 606-628.
  2. Kuan, Chung-Ming & Huang, Yu-Lieh & Tsay, Ruey S., 2005, "An Unobserved-Component Model With Switching Permanent and Transitory Innovations," Journal of Business & Economic Statistics, American Statistical Association, volume 23, pages 443-454, October.

2004

  1. Kuan Chung-Ming & Lee Wei-Ming, 2004, "A New Test of the Martingale Difference Hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 4, pages 1-26, December, DOI: 10.2202/1558-3708.1191.

2002

  1. Yi-Ting Chen & Chung-Ming Kuan, 2002, "Time irreversibility and EGARCH effects in US stock index returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 17, issue 5, pages 565-578, DOI: 10.1002/jae.692.
  2. Chen, Yi-Ting & Kuan, Chung-Ming, 2002, "The pseudo-true score encompassing test for non-nested hypotheses," Journal of Econometrics, Elsevier, volume 106, issue 2, pages 271-295, February.
  3. Chung-Ming Kuan & Mai-Yuan Chen, 2002, "Response surfaces of MOSUM critical values," Applied Economics Letters, Taylor & Francis Journals, volume 9, issue 2, pages 133-136, DOI: 10.1080/13504850110050728.

2001

  1. Chih-Chiang Hsu & Chung-Ming Kuan, 2001, "Distinguishing between trend-break models: method and empirical evidence," Econometrics Journal, Royal Economic Society, volume 4, issue 2, pages 1-1.
  2. Chen, Mei-Yuan & Kuan, Chung-Ming, 2001, "Testing parameter constancy in models with infinite variance errors," Economics Letters, Elsevier, volume 72, issue 1, pages 11-18, July.

2000

  1. Chen, Yi-Ting & Chou, Ray Y. & Kuan, Chung-Ming, 2000, "Testing time reversibility without moment restrictions," Journal of Econometrics, Elsevier, volume 95, issue 1, pages 199-218, March.
  2. Leisch, Friedrich & Hornik, Kurt & Kuan, Chung-Ming, 2000, "Monitoring Structural Changes With The Generalized Fluctuation Test," Econometric Theory, Cambridge University Press, volume 16, issue 6, pages 835-854, December.

1999

  1. Kuan, Chung-Ming, 1999, "A note on tests for partial parameter instability in the trend stationary model," Economics Letters, Elsevier, volume 65, issue 3, pages 285-291, December.

1998

  1. Kuan, Chung-Ming, 1998, "Tests for changes in models with a polynomial trend," Journal of Econometrics, Elsevier, volume 84, issue 1, pages 75-91, May.

1997

  1. Nunes, Luis C & Newbold, Paul & Kuan, Chung-Ming, 1997, "Testing for Unit Roots with Breaks: Evidence on the Great Crash and the Unit Root Hypothesis Reconsidered," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 59, issue 4, pages 435-448, November.

1996

  1. Nunes, Luis C. & Newbold, Paul & Chung-Ming Kuan, 1996, "Spurious number of breaks," Economics Letters, Elsevier, volume 50, issue 2, pages 175-178, February.

1995

  1. Kuan, Chung-Ming & Liu, Tung, 1995, "Forecasting Exchange Rates Using Feedforward and Recurrent Neural Networks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 10, issue 4, pages 347-364, Oct.-Dec..
  2. Chu, Chia-Shang James & Hornik, Kurt & Kuan, Chung-Ming, 1995, "The Moving-Estimates Test for Parameter Stability," Econometric Theory, Cambridge University Press, volume 11, issue 4, pages 699-720, August.
  3. Nunes, Luis C. & Kuan, Chung-Ming & Newbold, Paul, 1995, "Spurious Break," Econometric Theory, Cambridge University Press, volume 11, issue 4, pages 736-749, August.

1994

  1. Kuan, Chung-Ming, 1994, "A range-CUSUM test with recursive residuals," Economics Letters, Elsevier, volume 45, issue 3, pages 309-313.
  2. Kuan, Chung-Ming & White, Halbert, 1994, "Adaptive Learning with Nonlinear Dynamics Driven by Dependent Processes," Econometrica, Econometric Society, volume 62, issue 5, pages 1087-1114, September.
  3. Kuan, Chung-Ming & Chen, Mei-Yuan, 1994, "Implementing the fluctuation and moving-estimates tests in dynamic econometric models," Economics Letters, Elsevier, volume 44, issue 3, pages 235-239.

1989

  1. Granger, Clive W.J. & Chung-Ming, Kuan & Matthew, Mattson & White, Halbert, 1989, "Trends in unit energy consumption: The performance of end-use models," Energy, Elsevier, volume 14, issue 12, pages 943-960, DOI: 10.1016/0360-5442(89)90049-2.

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