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Details about Chung-Ming Kuan

E-mail:
Homepage:http://homepage.ntu.edu.tw/~ckuan
Phone:+886-2-3366-9541
Workplace:Department of Finance, National Taiwan University, (more information at EDIRC)

Access statistics for papers by Chung-Ming Kuan.

Last updated 2017-03-11. Update your information in the RePEc Author Service.

Short-id: pku58


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Working Papers

2014

  1. Testing Over-Identifying Restrictions without Consistent Estimation of the Asymptotic Covariance Matrix
    IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan Downloads View citations (1)
    Also in IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan (2006) Downloads

    See also Journal Article in Journal of Econometrics (2014)

2007

  1. Causality in Quantiles and Dynamic Stock Return-Volume Relations
    IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan Downloads View citations (1)
    See also Journal Article in Journal of Banking & Finance (2009)

2006

  1. Artificial Neural Networks
    IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan Downloads View citations (46)
  2. Change-Point Estimation of Nonstationary I(d) Processes
    IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan Downloads
    See also Journal Article in Economics Letters (2008)
  3. Improved HAC Covariance Matrix Estimation Based on Forecast Errors
    IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan Downloads
    See also Journal Article in Economics Letters (2008)

2004

  1. A component-driven model for regime switching and its empirical evidence
    Econometric Society 2004 Far Eastern Meetings, Econometric Society Downloads
    Also in IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan (2003) Downloads
  2. Re-Examining the Profitability of Technical Analysis with White’s Reality Check
    IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan Downloads View citations (2)

2003

  1. A Generalized Jarque-Bera Test of Conditional Normality
    IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan Downloads View citations (1)
  2. A New Test of the Martingale Difference Hypothesis
    IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan Downloads View citations (4)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2004)

2000

  1. The Pseudo-True Score Encompassing Test for Non-Nested Hypothesis
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads
    See also Journal Article in Journal of Econometrics (2002)

1999

  1. The Nonlinear Intraday Pattern of Futures Market Exchange Rates: An Application of Neural Network Models
    Computing in Economics and Finance 1999, Society for Computational Economics

1993

  1. Mosum Tests for Parameter Constancy
    Working Papers, Southern California - Department of Economics View citations (6)

1991

  1. Strong Convergence of Recursive M-Estimators for Models with Dynamic Latent Variables
    Working Papers, Stanford - Institute for Thoretical Economics View citations (1)

Journal Articles

2017

  1. Testing for central dominance: Method and application
    Journal of Econometrics, 2017, 196, (2), 368-378 Downloads

2015

  1. Robust hypothesis tests for M‐estimators with possibly non‐differentiable estimating functions
    Econometrics Journal, 2015, 18, (1), 95-116 Downloads

2014

  1. A Generalized Stepwise Procedure with Improved Power for Multiple Inequalities Testing
    Journal of Financial Econometrics, 2014, 12, (4), 730-755 Downloads View citations (1)
  2. A noise-robust estimator of volatility based on interquantile ranges
    Review of Quantitative Finance and Accounting, 2014, 43, (4), 751-779 Downloads
  3. Constructing smooth tests without estimating the eigenpairs of the limiting process
    Journal of Econometrics, 2014, 178, (P1), 71-79 Downloads View citations (1)
  4. Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix
    Journal of Econometrics, 2014, 181, (2), 181-193 Downloads
    See also Working Paper (2014)

2013

  1. Effects of National Health Insurance on precautionary saving: new evidence from Taiwan
    Empirical Economics, 2013, 44, (2), 921-943 Downloads View citations (4)
  2. Markov switching model (in Russian)
    Quantile, 2013, (11), 13-40 Downloads
  3. Testing the predictive power of the term structure without data snooping bias
    Economics Letters, 2013, 121, (3), 546-549 Downloads View citations (1)
  4. “Capital mobility in East Asian Countries is not so high”: Examining the impact of sterilization on capital flows
    China Economic Review, 2013, 24, (C), 55-64 Downloads View citations (1)

2012

  1. THE ET INTERVIEW: PROFESSOR CHENG HSIAO
    Econometric Theory, 2012, 28, (06), 1351-1372 Downloads

2011

  1. Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments
    Journal of Econometrics, 2011, 165, (1), 87-99 Downloads View citations (1)

2010

  1. An encompassing test for non-nested quantile regression models
    Economics Letters, 2010, 107, (2), 257-260 Downloads View citations (1)
  2. Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias
    Journal of Empirical Finance, 2010, 17, (3), 471-484 Downloads View citations (30)

2009

  1. Assessing value at risk with CARE, the Conditional Autoregressive Expectile models
    Journal of Econometrics, 2009, 150, (2), 261-270 Downloads View citations (23)
  2. Causality in quantiles and dynamic stock return-volume relations
    Journal of Banking & Finance, 2009, 33, (7), 1351-1360 Downloads View citations (47)
    See also Working Paper (2007)
  3. Guest editors' introduction
    Journal of Econometrics, 2009, 150, (2), 117-118 Downloads

2008

  1. Change-point estimation of nonstationary I(d) processes
    Economics Letters, 2008, 98, (2), 115-121 Downloads View citations (2)
    See also Working Paper (2006)
  2. Improved HAC covariance matrix estimation based on forecast errors
    Economics Letters, 2008, 99, (1), 89-92 Downloads View citations (1)
    See also Working Paper (2006)
  3. Reexamining the permanent income hypothesis with uncertainty in permanent and transitory innovation states
    Journal of Macroeconomics, 2008, 30, (4), 1816-1836 Downloads View citations (3)

2007

  1. Corrigendum to "The pseudo-true score encompassing test for non-nested hypotheses": [Journal of Econometrics 106, 271-295]
    Journal of Econometrics, 2007, 141, (2), 1412-1417 Downloads
  2. Saving and housing of Taiwanese households: New evidence from quantile regression analyses
    Journal of Housing Economics, 2007, 16, (2), 102-126 Downloads View citations (8)

2006

  1. Robust M Tests Without Consistent Estimation of the Asymptotic Covariance Matrix
    Journal of the American Statistical Association, 2006, 101, 1264-1275 Downloads View citations (8)

2005

  1. An Unobserved-Component Model With Switching Permanent and Transitory Innovations
    Journal of Business & Economic Statistics, 2005, 23, 443-454 Downloads View citations (10)
  2. Reexamining the Profitability of Technical Analysis with Data Snooping Checks
    Journal of Financial Econometrics, 2005, 3, (4), 606-628 Downloads View citations (32)

2004

  1. A New Test of the Martingale Difference Hypothesis
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (4), 1-26 Downloads View citations (7)
    See also Working Paper (2003)

2002

  1. Response surfaces of MOSUM critical values
    Applied Economics Letters, 2002, 9, (2), 133-136 Downloads
  2. The pseudo-true score encompassing test for non-nested hypotheses
    Journal of Econometrics, 2002, 106, (2), 271-295 Downloads View citations (6)
    See also Working Paper (2000)
  3. Time irreversibility and EGARCH effects in US stock index returns
    Journal of Applied Econometrics, 2002, 17, (5), 565-578 Downloads View citations (10)

2001

  1. Distinguishing between trend-break models: method and empirical evidence
    Econometrics Journal, 2001, 4, (2), 1 View citations (5)
  2. Testing parameter constancy in models with infinite variance errors
    Economics Letters, 2001, 72, (1), 11-18 Downloads

2000

  1. MONITORING STRUCTURAL CHANGES WITH THE GENERALIZED FLUCTUATION TEST
    Econometric Theory, 2000, 16, (06), 835-854 Downloads View citations (29)
  2. Testing time reversibility without moment restrictions
    Journal of Econometrics, 2000, 95, (1), 199-218 Downloads View citations (24)

1999

  1. A note on tests for partial parameter instability in the trend stationary model
    Economics Letters, 1999, 65, (3), 285-291 Downloads

1998

  1. Tests for changes in models with a polynomial trend
    Journal of Econometrics, 1998, 84, (1), 75-91 Downloads View citations (4)

1997

  1. Testing for Unit Roots with Breaks: Evidence on the Great Crash and the Unit Root Hypothesis Reconsidered
    Oxford Bulletin of Economics and Statistics, 1997, 59, (4), 435-48 View citations (96)

1996

  1. Spurious number of breaks
    Economics Letters, 1996, 50, (2), 175-178 Downloads View citations (18)

1995

  1. Forecasting Exchange Rates Using Feedforward and Recurrent Neural Networks
    Journal of Applied Econometrics, 1995, 10, (4), 347-64 Downloads View citations (87)
  2. Spurious Break
    Econometric Theory, 1995, 11, (04), 736-749 Downloads View citations (40)
  3. The Moving-Estimates Test for Parameter Stability
    Econometric Theory, 1995, 11, (04), 699-720 Downloads View citations (26)

1994

  1. A range-CUSUM test with recursive residuals
    Economics Letters, 1994, 45, (3), 309-313 Downloads
  2. Adaptive Learning with Nonlinear Dynamics Driven by Dependent Processes
    Econometrica, 1994, 62, (5), 1087-1114 Downloads View citations (17)
  3. Implementing the fluctuation and moving-estimates tests in dynamic econometric models
    Economics Letters, 1994, 44, (3), 235-239 Downloads View citations (6)

1989

  1. Trends in unit energy consumption: The performance of end-use models
    Energy, 1989, 14, (12), 943-960 Downloads
 
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