(Joseph) Chi-Feng Tzeng
National Tsing Hua University, Associate Professor
University of Southern California, Research Scholar Dornsife Economics 2019/2020.
Contact Information
No. 101, Section 2, Kuang Fu Rd., HsingChu, Taiwan 30013
TSMC Room 754
Tel : +886 (0)3 516-2133
Fax: +886 (0)3 562-1823
Email: cftzeng@mx.nthu.edu.tw
Current Teaching
Postgraduate: Seminar in empirical financial econometrics.
Undergraduate: Financial management, International Financial Management.
Research Interests
Foreward-looking information revealed by option prices, volatility forecasting, credit management.
Publications
Taylor, Stephen, Tzeng, Chi-Feng* and Widdicks, Martin. (2018). Information about price and volatility jumps inferred from options prices. Journal of Futures Markets, 1-21. ABS 3, NSC A-tier 2.
Tzeng, Chi-Feng and Tsai, Tzuhao. (2018). Information content of continuous and jump decomposition of variances. Journal of Financial Studies, 26(3). TSSCI, Econlit.
Tzeng, Chi-Feng*, Stephen, Taylor, and Widdicks, Martin (2016). The predictive power of option-implied densities from high-frequency data. Journal of Financial Studies, 24(1), 1-24. Best Paper Award (2014財務金融學刊最佳論文獎). TSSCI, Econlit.
Taylor, Stephen, Tzeng, Chi-Feng and Widdicks, Martin* (December 2014). Bankruptcy probability inferred from options data. Journal of Derivatives, 22(2), Winter,8-31. ABS 2, NSC A-tier 2.
Tzeng, Chi-Feng* (September 2014). Credit spreads and bankruptcy information from options data. Annals of Financial Economics, 9(2),1440008-1-22. Econlit.
Cheng Hung-Wen, Tzeng, Chi-Feng*, Hsieh, Min-Hua and Tsai, Tzuhao (June 2014). Pricing mortality-linked securities with transformed Gamma distribution. Academia Economic Papers (經濟論文),42(2),271-303. TSSCI, Econlit.
Working papers
Risk premia and return predictability related to the S&P 500 index and individual firms.
The density and state price density forecasts of WTI crude-oil futures prices
How one country's policy rate changes are induced by another: a linear Hawkes process approach.
The comparison of methods for extacting bankruptcy chance.
Conference papers
"The comparison of methods for extracting risk-neutral bankruptcy chance". (2025) 台灣財務工程學會會暨國際學術研討會,中正大學; (2025) the 33rd Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management, Taiwan.
"The density and state price density forecasts of WTI crude-oil futures prices" - (2024) the 18th NYCU International Finance Conference, HsinChu, Taiwan.
"How One Country’s Policy Rate Changes Are Induced by Another: A Linear Hawkes Process Approach " - (2024) the 18th NYCU International Finance Conference, HsinChu, Taiwan.
"Forecasting crude oil densities" - (2024 July) the 2024 Tri-University annual conference, Cardiff, UK.
"Risk premia and return predictability related to the S&P 500 index and individual firms" - (2022) the 16th NYCU International Finance Conference, HsinChu, Taiwan.
"Risk premia and return predictability in market indexes and individual firms" -(2021) International conference of Taiwan Finance Association, National Central University; (2019) 32th Australasian Finance and Banking Conference, Sydney, Australia.
"Information content of continuous and jump decomposition of variances" - (2017) TRIA conference, Hsinchu, Taiwan.
"The predictive power of option-implied densities from high-frequency data" - (2014) International Conference of Taiwan Finance Association, HsinChu, Taiwan.
"Bankruptcy probability inferred from option prices" - (2014) the 7th NCTU International Finance Conference, HsinChu, Taiwan; (2013) 中部財金學術聯盟暨第十屆兩岸金融市場發展研討會, Taiwan; (2013) the European Financial Management Association annual conference, Reading, UK; (2012) 25th Australasian Finance and Banking Conference, Sydney, Australia.
“Information about price and volatility jumps inferred from option prices” - (2017)The sixth international conference on futures and other derivatives, Ningbo, China; (2016) EFMA, Basel, Switzerland; (2014) High Frequency Data and Derivatives Market, Auckland, New Zealand; (2013) the FMA, Chicago, U.S.A.; (2010) the 16th International Conference on Computing in Economics and Finance, London, UK, 2010; (2010) the European Financial Management Association annual conference, Arhus, Denmark.
National Science Council project
2015.8-2016.7 The information content of continuous/jump decomposition of implied volatility. (104-2410-H-007-017-)
2012.8-2013.7 Credit spreads and bankruptcy information from options data.( 101-2410-H-007-066-)
Others
A. Receiving comments via talk(s) at
Auckland University of Technology, Auckland (Aug. 2014)
Arhus University, Arhus ( Jul. 2010)
Cass Business School, London (Jul. 2010)
National Cheng Chi University, Taipei (Nov. 2012)
National Chiao Tung University, HsinChu (Jun. 2014)
National Chung Cheng University, ChiaYi (2016)
National Chung Hsing University, Taichung (Mar. 2011)
National Taiwan University, Taipei (Dec. 2013, 2016)
National Taiwan University of Sciencce and Technology, Taipei (Dec. 2012)
National Tsing Hua University, HsinChu (Mar. 2011)
SooChow University, Taipei (Jan. 2014)
TamKang University, New Taipei (Apr. 2013)
B. Academic service:
Referee service for : 中山管理評論, Review of Pacific Basin Financial Markets and Policies, Journal of Futures Markets.
Discussant for : AFA(2012), EFMA(2010, 2016), FMA(2013), ICCEF(2010), The NCTU International Finance Conference(2014,2015), The NYCU International Finance Conference(2022,2024), TRIA(2017), The 6-th international conference on international conference on futures and other derivatives(2017), High Frequency Data and Derivatives Market(2013), 中部財金學術聯盟暨第十屆兩岸金 融市場發展研討會(2013), 台灣財務金融學會年會暨國際研討會(2014), 台灣財務工程學會年會暨國際研討會(2018).
B. Available data at NTHU:
Optionmetrics: 伺服器.
Euronext: 總圖.
Compustat: 圖書館下戴軟體.