J
Jer-Shiou Chiou
Researcher at Shih Chien University
Publications - 3
Citations - 388
Jer-Shiou Chiou is an academic researcher from Shih Chien University. The author has contributed to research in topics: Volatility (finance) & Stock market. The author has an hindex of 3, co-authored 3 publications receiving 340 citations.
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Journal ArticleDOI
Jump dynamics and volatility: Oil and the stock markets
Jer-Shiou Chiou,Yen-Hsien Lee +1 more
TL;DR: The authors examined the effect of oil price volatility on the stock market and concluded that high fluctuations in oil prices have asymmetric unexpected impacts on S&P 500 returns, from which they implemented the ARJI model with structure changes.
Journal ArticleDOI
Oil sensitivity and its asymmetric impact on the stock market
Yen-Hsien Lee,Jer-Shiou Chiou +1 more
TL;DR: In this article, the authors developed a two-step methodology to facilitate an examination of the impact of oil shocks on stock returns, with the presence of jumps subsequently being taken into consideration to examine the asymmetric effects of oil prices.
Journal ArticleDOI
Jump dynamics with structural breaks for crude oil prices
TL;DR: In this paper, the authors investigated the joint phenomena of permanent and transitory components in conditional variance and jump intensity along with verification of structural breaks for crude oil prices using a Component-ARJI model with structural break analysis.