Shih-Feng Huang

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
ECOPICA: empirical copula-based independent component analysis Statistics and Computing	2024-02-06	Paper
Prediction intervals for time series and their applications to portfolio selection	2020-09-01	Paper
Stock market trend prediction using a functional time series approach Quantitative Finance	2020-02-10	Paper
Asymptotic distribution of the EPMS estimator for financial derivatives pricing Computational Statistics and Data Analysis	2018-11-23	Paper
Multi-asset empirical martingale price estimators derivatives STATISTICA SINICA	2018-05-09	Paper
A modified empirical martingale simulation for financial derivative pricing Communications in Statistics. Theory and Methods	2016-06-28	Paper
Hedging barrier options in GARCH models with transaction costs Australian & New Zealand Journal of Statistics	2016-04-27	Paper
COPICA -- independent component analysis via copula techniques Statistics and Computing	2016-02-23	Paper
Model risk of the implied GARCH-normal model Quantitative Finance	2015-04-27	Paper
High dimensional mean-variance optimization through factor analysis Journal of Multivariate Analysis	2014-11-28	Paper
An optimal multi-step quadratic risk-adjusted hedging strategy Journal of the Korean Statistical Society	2014-08-06	Paper
Path integral method for limiting distribution of an estimator arising from an AR(1)-process with a unit root Infinite Dimensional Analysis, Quantum Probability and Related Topics	2014-03-10	Paper
Moment bounds and mean squared prediction errors of long-memory time series The Annals of Statistics	2013-09-25	Paper
Moment bounds and mean squared prediction errors of long-memory time series The Annals of Statistics	2013-09-25	Paper
Dynamic programming and hedging strategies in discrete time Handbook of Computational Finance	2012-01-10	Paper
Financial derivative valuation -- A dynamic semiparametric approach	2009-07-24	Paper
Flow and heat transfer of plane surfaces moving in parallel and reversely to the free stream International Journal of Heat and Mass Transfer	1994-08-02	Paper

Research outcomes over time

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