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1

On-line VWAP Trading Strategies

Fuh, Cheng-Der, Teng, Huei-Wen, Wang, Ren-Her

Journal:

Sequential Analysis

Year:

2010

Language:

english

File:

PDF, 210 KB

english, 2010

2

A tale of two regimes: Theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications

Chang, Charles, Fuh, Cheng-Der, Lin, Shih-Kuei

Journal:

Journal of Banking & Finance

Year:

2013

Language:

english

File:

PDF, 910 KB

english, 2013

3

Efficient Simulation of Value at Risk with Heavy-Tailed Risk Factors

Fuh, Cheng-Der, Hu, Inchi, Hsu, Ya-Hui, Wang, Ren-Her

Journal:

Operations Research

Year:

2011

Language:

english

File:

PDF, 301 KB

english, 2011

4

Why Wild Values Occur in Pyrotechnic Sensitivity Analysis

Min-Te Chao, Cheng-Der Fuh

Journal:

Propellants, Explosives, Pyrotechnics

Year:

2003

Language:

english

File:

PDF, 51 KB

english, 2003

5

Pricing discrete path-dependent options under a double exponential jump–diffusion model

Fuh, Cheng-Der, Luo, Sheng-Feng, Yen, Ju-Fang

Journal:

Journal of Banking & Finance

Year:

2013

Language:

english

File:

PDF, 545 KB

english, 2013

6

Risk Management for Linear and Non-Linear Assets: A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk

Shih-Kuei Lin, Ren-Her Wang, Cheng-Der Fuh

Journal:

Asia-Pacific Financial Markets

Year:

2006

Language:

english

File:

PDF, 395 KB

english, 2006

7

Random Perturbation in Games of Chance

Cheng-Der Fuh, Yeong-Nan Yeh

Journal:

Studies in Applied Mathematics

Year:

2001

Language:

english

File:

PDF, 138 KB

english, 2001

8

Bootstrap and Bayesian bootstrap clones for censored Markov chains

Cheng-Der Fuh, Edward H. Ip

Journal:

Journal of Statistical Planning and Inference

Year:

2005

Language:

english

File:

PDF, 288 KB

english, 2005

9

Corrigendum to “Limit theorems for iterated random functions by regenerative methods” [Stochastic Process. Appl. 96 (2001) 123–142]

Gerold Alsmeyer, Cheng-der Fuh

Journal:

Stochastic Processes and their Applications

Year:

2002

Language:

english

File:

PDF, 81 KB

english, 2002

10

The Role of Additional Information in Option Pricing: Estimation Issues for the State Space Model

Ren-Her Wang, John A. D. Aston, Cheng-Der Fuh

Journal:

Computational Economics

Year:

2010

Language:

english

File:

PDF, 317 KB

english, 2010

11

Limit theorems for iterated random functions by regenerative methods

Gerold Alsmeyer, Cheng-Der Fuh

Journal:

Stochastic Processes and their Applications

Year:

2001

Language:

english

File:

PDF, 178 KB

english, 2001

12

Poisson equation, moment inequalities and quick convergence for Markov random walks

Cheng-Der Fuh, Cun-Hui Zhang

Journal:

Stochastic Processes and their Applications

Year:

2000

Language:

english

File:

PDF, 150 KB

english, 2000

13

Estimation of Time to Hard Failure Distributions Using a Three-Stage Method

I-Tang Yu, Cheng-Der Fuh

Journal:

IEEE Transactions on Reliability

Year:

2010

Language:

english

File:

PDF, 250 KB

english, 2010

14

ESO compensation: The roles of default risk, employee sentiment, and insider information

Charles Chang, Cheng-Der Fuh, Ya-Hui Hsu

Journal:

Journal of Corporate Finance

Year:

2008

Language:

english

File:

PDF, 705 KB

english, 2008

15

1/f noise and specific detectivity of HgCdTe photodiodes passivated with ZnS-CdS films

Su, Y.K., Fuh-Shyang Juang, Shing-Ming Chang, Cheng-Der Chiang, Ya-Tung Cherng

Journal:

IEEE Journal of Quantum Electronics

Year:

1999

Language:

english

File:

PDF, 149 KB

english, 1999

16

The Pricing of Risk and Sentiment: A Study of Executive Stock Options

Charles Chang, Li-jiun Chen, Cheng-der Fuh

Journal:

Financial Management

Year:

2012

Language:

english

File:

PDF, 691 KB

english, 2012

17

FUZZY CLUSTERING BASED ON INTUITIONISTIC FUZZY RELATIONS

HUNG, WEN-LIANG, LEE, JINN-SHING, FUH, CHENG-DER

Journal:

International Journal of Uncertainty Fuzziness and Knowledge-Based Systems

Year:

2004

Language:

english

File:

PDF, 1.47 MB

english, 2004

18

Efficient Importance Sampling for Events of Moderate Deviations with Applications

Cheng-Der Fuh and Inchi Hu

Journal:

Year:

2004

Language:

english

File:

PDF, 1.92 MB

english, 2004

19

Time Series and Related Topics: In Memory of Ching-Zong Wei || Multi-Armed Bandit Problem with Precedence Relations

Hock Peng Chan, Cheng-Der Fuh and Inchi Hu

Journal:

IMS Lecture Notes--Monograph Series

Year:

2006

Language:

english

File:

PDF, 1.30 MB

english, 2006

20

Asymptotic Expansions on Moments of the First Ladder Height in Markov Random Walks with Small Drift

Journal:

Advances in Applied Probability

Year:

2007

File:

PDF, 2.69 MB

2007

21

Estimation in Hidden Markov Models via Efficient Importance Sampling

Cheng-Der Fuh and Inchi Hu

Journal:

Year:

2007

Language:

english

File:

PDF, 1.35 MB

english, 2007

22

A self-normalized central limit theorem for Markov random walks

Fuh, Cheng-Der, Pang, Tian-Xiao

Journal:

Advances in Applied Probability

Year:

2012

Language:

english

File:

PDF, 255 KB

english, 2012

23

An Importance Sampling Method to Evaluate Value-at-Risk for Assets with Jump Risk

Wang, Ren-Her, Lin, Shih-Kuei, Fuh, Cheng-Der

Journal:

Asia-Pacific Journal of Financial Studies

Year:

2009

Language:

english

File:

PDF, 391 KB

english, 2009

24

Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun Mei

Aston, John A. D., Fuh, Cheng-Der, Luo, Sheng-Feng

Journal:

Sequential Analysis

Year:

2008

Language:

english

File:

PDF, 64 KB

english, 2008

25

Empirical Performance and Asset Pricing in Hidden Markov Models

Fuh, Cheng-Der, Hu, Inchi, Lin, Shih-Kuei

Journal:

Communication in Statistics- Theory and Methods

Year:

2003

Language:

english

File:

PDF, 615 KB

english, 2003

26

Asymptotic Operating Characteristics of an Optimal Change Point Detection in Hidden Markov Models

Journal:

The Annals of Statistics

Year:

2004

Language:

english

File:

PDF, 3.32 MB

english, 2004

27

Uniform Markov Renewal Theory and Ruin Probabilities in Markov Random Walks

Journal:

The Annals of Applied Probability

Year:

2004

Language:

english

File:

PDF, 859 KB

english, 2004

28

Optimal Strategies for a Class of Sequential Control Problems with Precedence Relations

Hock Peng Chan, Cheng-Der Fuh and Inchi Hu

Journal:

The Annals of Statistics

Year:

2007

Language:

english

File:

PDF, 1.82 MB

english, 2007

29

SPRT and CUSUM in Hidden Markov Models

Journal:

The Annals of Statistics

Year:

2003

Language:

english

File:

PDF, 4.52 MB

english, 2003

30

REPLY TO "ON SOME PROBLEMS IN THE ARTICLE EFFICIENT LIKELIHOOD ESTIMATION IN STATE SPACE MODELS1”BY CHENG-DER FUH [ Ann. Statist. 34 (2006) 2026–2068]

Jens Ledet Jensen and Cheng-Der Fuh

Journal:

The Annals of Statistics

Year:

2010

Language:

english

File:

PDF, 326 KB

english, 2010

31

Asymptotically Efficient Strategies for a Stochastic Scheduling Problem with Order Constraints

Cheng-Der Fuh and Inchi Hu

Journal:

The Annals of Statistics

Year:

2000

Language:

english

File:

PDF, 1.92 MB

english, 2000

32

Efficient Likelihood Estimation in State Space Models

Journal:

The Annals of Statistics

Year:

2006

Language:

english

File:

PDF, 3.56 MB

english, 2006

33

A SELF-NORMALIZED CENTRAL LIMIT THEOREM FOR MARKOV RANDOM WALKS

CHENG-DER FUH and TIAN-XIAO PANG

Journal:

Advances in Applied Probability

Year:

2012

Language:

english

File:

PDF, 1.54 MB

english, 2012

34

Asymptotic Expansions in Multidimensional Markov Renewal Theory and First Passage Times for Markov Random Walks

Cheng-Der Fuh and Tze Leung Lai

Journal:

Advances in Applied Probability

Year:

2001

Language:

english

File:

PDF, 2.07 MB

english, 2001

35

Quickest Change Detection and Kullback-Leibler Divergence for Two-State Hidden Markov Models

Fuh, Cheng-Der, Mei, Yajun

Journal:

IEEE Transactions on Signal Processing

Year:

2015

Language:

english

File:

PDF, 2.90 MB

english, 2015

36

On an automatic and optimal importance sampling approach with applications in finance

Teng, Huei-Wen, Fuh, Cheng-Der, Chen, Chun-Chieh

Journal:

Quantitative Finance

Year:

2016

Language:

english

File:

PDF, 890 KB

english, 2016

37

[IEEE 2015 IEEE International Symposium on Information Theory (ISIT) - Hong Kong, Hong Kong (2015.6.14-2015.6.19)] 2015 IEEE International Symposium on Information Theory (ISIT) - Quickest change detection and Kullback-Leibler divergence for two-state hidden Markov models

Fuh, Cheng-Der, Mei, Yajun

Year:

2015

Language:

english

File:

PDF, 116 KB

english, 2015

38

A Self-Normalized Central Limit Theorem for Markov Random Walks

Fuh, Cheng-Der, Pang, Tian-Xiao

Journal:

Advances in Applied Probability

Year:

2012

Language:

english

File:

PDF, 202 KB

english, 2012

39

On spherical Monte Carlo simulations for multivariate normal probabilities

Teng, Huei-Wen, Kang, Ming-Hsuan, Fuh, Cheng-Der

Journal:

Advances in Applied Probability

Year:

2015

Language:

english

File:

PDF, 257 KB

english, 2015

40

Uniform Markov renewal theory and ruin probabilities in Markov random walks

Journal:

The Annals of Applied Probability

Year:

2004

Language:

english

File:

PDF, 321 KB

english, 2004

41

Efficient Simulation of Value-at-Risk Under a Jump Diffusion Model: A New Method for Moderate Deviation Events

Fuh, Cheng-Der, Teng, Huei-Wen, Wang, Ren-Her

Journal:

Computational Economics

Year:

2017

Language:

english

File:

PDF, 503 KB

english, 2017

42

Reading between the Ratings: Modeling Residual Credit Risk and Yield Overlap

Chang, Charles, Fuh, Cheng-Der, Kao, Chu-Lan Michael

Journal:

Journal of Banking & Finance

Year:

2017

Language:

english

File:

PDF, 1.24 MB

english, 2017

43

SPRT and CUSUM in hidden Markov models

Journal:

The Annals of Statistics

Year:

2003

Language:

english

File:

PDF, 319 KB

english, 2003

44

Asymptotic expansions in multidimensional Markov renewal theory and first passage times for Markov random walks

Fuh, Cheng-Der, Lai, Tze Leung

Journal:

Advances in Applied Probability

Year:

2001

Language:

english

File:

PDF, 252 KB

english, 2001

45

Asymptotic Bayesian Theory of Quickest Change Detection for Hidden Markov Models

Fuh, Cheng-Der, Tartakovsky, Alexander G.

Journal:

IEEE Transactions on Information Theory

Year:

2018

Language:

english

File:

PDF, 5.93 MB

english, 2018

46

Optimal strategies for a class of sequential control problems with precedence relations

Chan, Hock Peng, Fuh, Cheng-Der, Hu, Inchi

Journal:

The Annals of Statistics

Year:

2007

Language:

english

File:

PDF, 302 KB

english, 2007

47

ESO Compensation: The Roles of Default Risk and Over-Confidence

Chang, Charles, Fuh, Cheng-der, Hsu, Kate

Journal:

SSRN Electronic Journal

Year:

2006

Language:

english

File:

PDF, 477 KB

english, 2006

48

Asymptotic expansions on moments of the first ladder height in Markov random walks with small drift

Journal:

Advances in Applied Probability

Year:

2007

Language:

english

File:

PDF, 270 KB

english, 2007

49

Efficient likelihood estimation in state space models

Journal:

The Annals of Statistics

Year:

2006

Language:

english

File:

PDF, 453 KB

english, 2006

50

Efficient Computation of Value at Risk with Heavy-Tailed Risk Factors

Fuh, Cheng-der, Hu, Inchi, Hsu, Kate, Wang, Ren-Her

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 220 KB

english, 2009