Publications
Journal Paper
Journal Paper
Nguyen, H. N., C. H. Chang and P. C. Tsai (2021). Probability-based Capacity Factor in Uncertainty Analysis of Electricity Cost for Individual Wind Projects: a Novel Approach. International Journal of Energy Research, accepted (SCIE)
Nguyen, H. N., C. H. Chang and P. C. Tsai (2021). Probability-based Capacity Factor in Uncertainty Analysis of Electricity Cost for Individual Wind Projects: a Novel Approach. International Journal of Energy Research, accepted (SCIE)
P. C. Tsai (2021) Modelling Over-Dispersion in Price Jumps Arrivals: A Comparison between Poisson Mixtures and Linear Hawkes Model, Journal of the Chinese Statistical Association 中國統計學報, 59(2), 98-128. (CIS, JEL, Econlit)
P. C. Tsai (2021) Modelling Over-Dispersion in Price Jumps Arrivals: A Comparison between Poisson Mixtures and Linear Hawkes Model, Journal of the Chinese Statistical Association 中國統計學報, 59(2), 98-128. (CIS, JEL, Econlit)
P. C. Tsai and C. M. Tsai (2021) Estimating the Proportion of Informed and Speculative Traders in Financial Markets: Evidence from Exchange Rate, Journal of Economic Interaction and Coordination, 16 (3), 443-470. (SSCI)
P. C. Tsai and C. M. Tsai (2021) Estimating the Proportion of Informed and Speculative Traders in Financial Markets: Evidence from Exchange Rate, Journal of Economic Interaction and Coordination, 16 (3), 443-470. (SSCI)
This is a post-peer-review, pre-copyedit version of an article published in Journal of Economic Interaction and Coordination. The final authenticated version is available online at: http://dx.doi.org/10.1007/s11403-020-00308-z
P. C. Tsai (2020) Testing for Jumps in Prices under Jump-driven Leverage Effect in Stochastic Volatility: An Empirical and Simulation Study, Journal of Futures and Options 期貨與選擇權學刊 (TSSCI)
P. C. Tsai (2020) Testing for Jumps in Prices under Jump-driven Leverage Effect in Stochastic Volatility: An Empirical and Simulation Study, Journal of Futures and Options 期貨與選擇權學刊 (TSSCI)
Hai, H.V., J.W. Park, P.C. Tsai and C. Eom (2020) Lottery Mindset, Mispricing and Idiosyncratic Volatility Puzzle: Evidence from the Chinese Stock Market, North American Journal of Economics and Finance (SSCI)
Hai, H.V., J.W. Park, P.C. Tsai and C. Eom (2020) Lottery Mindset, Mispricing and Idiosyncratic Volatility Puzzle: Evidence from the Chinese Stock Market, North American Journal of Economics and Finance (SSCI)
Book Chapter
Book Chapter
Detecting Jumps in High-Frequency Prices under Stochastic Volatility: A Review and a Data-Driven Approach, Handbook of High-Frequency Trading and Modeling in Finance, Wiley, 2016 (peer-reviewed), with Mark B. Shackleton
Detecting Jumps in High-Frequency Prices under Stochastic Volatility: A Review and a Data-Driven Approach, Handbook of High-Frequency Trading and Modeling in Finance, Wiley, 2016 (peer-reviewed), with Mark B. Shackleton
Estimating the Proportion of Informed Traders in BTC-USD Market Using Spread and Range, Advanced Studies of Financial Technologies and Cryptocurrency Markets, Springer, July 2020, with Shou Huang, DAI
Estimating the Proportion of Informed Traders in BTC-USD Market Using Spread and Range, Advanced Studies of Financial Technologies and Cryptocurrency Markets, Springer, July 2020, with Shou Huang, DAI
Working Paper
Working Paper
Volatility modelling with heterogeneous impulse response function: Introducing non-parametric jumps into FIEGARCH model, Lancaster University 2009
Volatility modelling with heterogeneous impulse response function: Introducing non-parametric jumps into FIEGARCH model, Lancaster University 2009
Master Dissertation
Master Dissertation
Option Bounds and Option Pricing with Limited Information, Lancaster University 2006
Option Bounds and Option Pricing with Limited Information, Lancaster University 2006
PhD Dissertation
PhD Dissertation
An Empirical Study on Jumps in Asset Prices Using High-frequency Data: Volatility Specification, Jump Detection and the Modelling of Jump Intensity, Lancaster University 2013
An Empirical Study on Jumps in Asset Prices Using High-frequency Data: Volatility Specification, Jump Detection and the Modelling of Jump Intensity, Lancaster University 2013