C. Fuh

发表

Asymptotic operating characteristics of an optimal change point detection in hidden Markov models

C. Fuh, 2004, math/0503682.

Invited Discussion of "Sequential Analysis: Some Classical Problems and New Challenges

Inchi Hu, C. Fuh, 2001 .

WALD'S EQUATIONS, FIRST PASSAGE TIMES AND MOMENTS OF LADDER VARIABLES IN MARKOV RANDOM WALKS

T. Lai, C. Fuh, 1998 .

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

Inchi Hu, H. Chan, C. Fuh, 2006, math/0609431.

Bootstrapping Markov chains: countable case

K. Athreya, C. Fuh, 1992 .

The bootstrap method for Markov chains

C. Fuh, 1989 .

Efficient likelihood estimation in state space models

Cheng-Der Fuh, C. Fuh, 2006 .

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

C. Fuh, 2007, Advances in Applied Probability.

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

Cheng-Der Fuh, Charles Chang, Shih-Kuei Lin, 2013 .

ON BAHADUR EFFICIENCY OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN HIDDEN MARKOV MODELS

Cheng-Der Fuh, C. Fuh, 2004 .

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

C. Fuh, Shih-Kuei Lin, Ren-Her Wang, 2009 .

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

C. Fuh, Shih-Kuei Lin, Ren-Her Wang, 2007 .

On-line VWAP Trading Strategies

C. Fuh, Huei-Wen Teng, Ren-Her Wang, 2010 .

Efficient Simulation for Portfolio Credit Risk in Normal Mixture Copula Models

C. Fuh, Chuan-Ju Wang, 2017, 1711.03744.

Efficient Importance Sampling for Rare Event Simulation with Applications

C. Fuh, Huei-Wen Teng, Ren-Her Wang, 2013, 1302.0583.

On spherical Monte Carlo simulations for multivariate normal probabilities

C. Fuh, Huei-Wen Teng, Ming-Hsuan Kang, 2013, Advances in Applied Probability.

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

C. Fuh, S. Luo, Ju-Fang Yen, 2013 .

On Continuity Correction for First-Passage Times in Double Exponential Jump Diffusion Models

S. Kou, C. Fuh, S. Luo, 2015 .

Buy-and-hold mean-variance portfolios with a random exit strategy

C. Fuh, S. Luo, 2018 .

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

Inchi Hu, H. Chan, C. Fuh, 2006, math/0609431.

Efficient likelihood estimation in state space models

C. Fuh, 2006, math/0611376.

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

C. Fuh, Huei-Wen Teng, Chun-Chieh Chen, 2016 .

Multi-armed bandit problem with precedence relations

Inchi Hu, H. Chan, C. Fuh, 2007, math/0702819.

Statistics Methods Applied in Employee Stock Options

C. Fuh, Li-jiun Chen, 2015 .

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

C. Fuh, Huei-Wen Teng, Ren-Her Wang, 2017, Computational Economics.

A BAYESIAN BOOTSTRAP FOR FINITE STATE MARKOV CHAINS

Tsai-Hung Fan, Cheng-Der Fuh, C. Fuh, 1997 .

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

J. Aston, C. Fuh, Ren-Her Wang, 2010 .

BOOTSTRAP METHODS FOR THE UP AND DOWN TEST ON PYROTECHNICS SENSITIVITY ANALYSIS

M. T. Chao, C. D. Fuh, M. Chao, 2001 .

Balanced importance resampling for Markov chains

W. Hung, C. Fuh, T. Fan, 2000 .

Importance resampling for Markov chains

W. Hung, C. Fuh, T. Fan, 1998 .

Rényi Divergence in General Hidden Markov Models

Cheng-Der Fuh, Su-Chi Fuh, Yuan-Chen Liu, 2021, ArXiv.

Rényi Divergence in General Hidden Markov Models

C. Fuh, Su-Chi Fuh, Yuan-Chen Liu, 2021, ArXiv.

Asymptotic Bayesian Theory of Quickest Change Detection for Hidden Markov Models

Cheng-Der Fuh, Alexander G. Tartakovsky, A. Tartakovsky, 2016, IEEE Transactions on Information Theory.

SPRT and CUSUM in hidden Markov models

Cheng-Der Fuh, C. Fuh, 2003 .

Option Pricing with Markov Switching

Cheng-Der Fuh, Inchi Hu, Kwok Wah, 2021 .

Reading between the ratings: Modeling residual credit risk and yield overlap

C. Fuh, Charles Chang, C. Kao, 2017 .

Bankruptcy Prediction Based on First-Passage Models with Markovian Credit Migration

C. Fuh, C. Kao, 2009 .

Empirical Performance and Asset Pricing in Hidden Markov Models

Inchi Hu, C. Fuh, Shih-Kuei Lin, 2003 .

Ensuring More Is Better: On the Simultaneous Application of Stock and Options Data to Estimate the GARCH Options Pricing Model

C. Fuh, Hung-Wen Cheng, Charles Chang, 2018, The Journal of Derivatives.

Computerized adaptive test using raw responses for item selection: Theoretical results and applications for the up-and-down method

Edward H. Ip, Shyh-Huei Chen, Cheng-Der Fuh, 2020, Statistics and Its Interface.

Asymptotically efficient strategies for a stochastic scheduling problem with order constraints

Inchi Hu, C. Fuh, 2000 .

Bootstrap and Bayesian bootstrap clones for censored Markov chains

C. Fuh, E. Ip, 2005 .

Credit Risk Propagation in Structural-Form Models

C. Fuh, Chu-Lan Michael Kao, 2021, SIAM Journal on Financial Mathematics.

BAYESIAN STOCHASTIC ESTIMATION OF THE MAXIMUM OF A REGRESSION FUNCTION

Inchi Hu, C. Fuh, 2006 .

A Self-Normalized Central Limit Theorem for Markov Random Walks

C. Fuh, T. Pang, 2012, Advances in Applied Probability.

Kullback-Leibler Divergence and Akaike Information Criterion in General Hidden Markov Models

C. Fuh, T. Pang, C. Kao, 2023, 2303.07673.

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

C. Fuh, Charles Chang, Kate Hsu, 2006 .

Estimation in hidden Markov models via efficient importance sampling

Cheng-Der Fuh, Inchi Hu, Inchi Hu, 2007, 0708.4152.

Asymptotic behavior for Markovian iterated function systems

Cheng-Der Fuh, C. Fuh, 2021 .

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

Cheng-Der Fuh, Huei-Wen Teng, C. Fuh, 2017, Computational Economics.

Efficient importance sampling for events of moderate deviations with applications

Cheng-Der Fuh, Inchi Hu, Inchi Hu, 2004 .

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

Cheng-Der Fuh, Tze Leung Lai, T. Lai, 2001, Advances in Applied Probability.