Hung‐Wen Cheng

Economics, Econometrics and Finance · Social Sciences

5h-index75citations13works1.02yr avg
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Research Topics

Financial Markets and Investment Strategies(8), Stochastic processes and financial applications(6), Financial Risk and Volatility Modeling(6), Market Dynamics and Volatility(3), Insurance, Mortality, Demography, Risk Management(3)

Publications13 total

Stock Return Extrapolation, Momentum, and Option Prices
SSRN Electronic Journal·2025Open Access
Conditional volatility targeting strategy considering jump effects: Evidence from sustainable ESG equity index
Pacific-Basin Finance Journal·2024· 2 cited
Cryptocurrency Momentum and VIX premium
Finance research letters·2023· 9 cited
Empirical performance of component GARCH models in pricing VIX term structure and VIX futures
Journal of Empirical Finance·2023· 8 cited
Asset Liability Management of Longevity and Interest Rate Risks: Using Survival–Mortality Bonds
North American Actuarial Journal·2022· 2 cited
Jump variance risk: Evidence from option valuation and stock returns
Journal of Futures Markets·2019· 9 cited
Model specification of conditional jump intensity: Evidence from S&P 500 returns and option prices
The North American Journal of Economics and Finance·2018· 4 cited
Ensuring More Is Better: <i>On the Simultaneous Application of Stock and Options Data to Estimate the GARCH Options Pricing Model</i>
The Journal of Derivatives·2018· 3 cited
Jump Variance Risk: Evidence from Option Valuation and Stock Returns
SSRN Electronic Journal·2017· 1 citedOpen Access
Information environment and investor behavior
Journal of Banking & Finance·2015· 25 cited
Pricing Mortality-Linked Securities with Transformed Gamma Distribution
經濟論文·2014· 1 cited
Price bounds of mortality-linked security in incomplete insurance market
Insurance Mathematics and Economics·2013· 3 cited
A note on mean squared prediction error under the unit root model with deterministic trend
Journal of Time Series Analysis·2011· 8 cited

Frequent Co-authors

Jeffrey Tzuhao Tsai(4), Yen‐Cheng Chang(3), Hsuan‐Ling Chang(3), Chien-Ling Lo(2), Sharon S. Yang(2), Po‐Hsiang Peng(1), Kevin Tseng(1), Wei-Ying Nie(1), Li-Han Chang(1), Kuang‐Chieh Yen(1), Shu‐Hui Yu(1), Chien‐Chih Lin(1), Li-Han Chang(1), Charles Chang(1), Cheng–Der Fuh(1), Yu-Lieh Huang(1), Tzuling Lin(1), Cary Chi‐Liang Tsai(1), Jr‐Wei Huang(1), Chi-Feng Tzeng(1)