| 期刊論文 |
- Lin, Yuen-Neng, and Lin, Y. A. (2016). Using VIX futures to hedge forward implied volatility risk. International Review of Economics & Finance, 43, 88-106. (SSCI)
- Lin, Y., and Lin, Anchor Y., 2015, "Using VIX futures to hedge forward implied volatility risk," International Review of Economics & Finance, forthcoming. [SSCI]
- Lin, Anchor Y., and Lin, Y.,2014, "Herding of Institutional Investors and Margin Traders on Extreme Market Movements," International Review of Economics & Finance 33, 186-198. [SSCI]
- Yueh-Neng Lin, 2013, "VIX Option Pricing and CBOE VIX Term Structure: A New Methodology for Volatility Derivatives Valuation," Journal of Banking & Finance, Vol.37, pp.4432-4446. [SSCI]
- Lin, B.H., Lin, Y., and Chen, Y.J., 2012, "Volatility Risk Premium Decomposition of LIFFE Equity Options," International Review of Economics & Finance, Vol.24, pp.315-326. [SSCI]
- Lin, Y. and Chang, C., 2010, "Consistent Modeling of S&P 500 and VIX Derivatives," Journal of Economic Dynamics and Control, Vol.34, pp.2302-2319. [SSCI]
- Lin, Y., Yeh, S.K., Chuan, S.C, and Jordan, S.J.,2010, "The Link between Intraday Signals and Call Warrant Mispricing," Service Industries Journal, Vol.30, No.13, pp.2273-2288. [SSCI]
- Lin, Y. and Chang, C., 2009, "VIX Option Pricing," Journal of Futures Markets, Vol.29, No.6, pp.523-543. [SSCI]
- Lin, B.H. and Lin, Y., 2009, "Synthetic Currency Cross-Hedge Using Gold Futures versus Currency Forwards under a DCC-GARCH Model," Review of Futures Markets, Vol.17, No.4, pp.357-382.
- Lin, Y.,2009, "Implementing the Implied Volatility Tree for S&P 500 Options: Evidence from the Kernel-Regression Volatility Surface with an Algorithm for Dealing with Bad Transition Probabilities," Journal of Financial Studies, Vol.17, No.2, pp.27-63. [TSSCI]
- Kuo, I. and Lin, Y., 2009, "Empirical Performance of Multi-Factor Term Structure Models for Pricing and Hedging Eurodollar Futures Options," Review of Financial Economics, Vol.18, pp.23-32.
- Kuo, I. and Lin, Y.,2009, "Evidence on Inefficiency of the Euribor Option Market," Applied Financial Economics, Vol.19, pp.1009-1017.
- Lin, Y. and Hung, K., 2008, "Is Volatility Priced?," Annals of Economics and Finance, Vol.9, No.1, pp.11-46. [SSCI]
- Lin, Y., 2007, "Pricing VIX Futures: Evidence from Integrated Physical and Risk-Neutral Probability Measures," Journal of Futures Markets, Vol.27, pp.1175-1217. [SSCI]
- Lin, Y. and Lin, Anchor Y., 2007, "Pricing the Cost of Carbon Dioxide Emission Allowance Futures," Review of Futures Markets, Vol.16, pp.7-33.
- Kuo, I. and Lin, Y.,2007, "Pricing and Hedging Euribor Options with Multifactor Interest Rate Models," Review of Futures Markets, Vol.15, pp.355-383.
- Lin, Y., 2006, "Relative Contributions of Price and Volatility Risk Premiums to S&P 500 Index Returns," Journal of Financial Studies, Vol.14, pp.110-141. [TSSCI]
- Lin, Y., 2006, "Do Stochastic Volatility and/or Jumps Improve the Consistency of Risk-Neutral Distributions Implicit in the S&P 500 Index Option Market and the Cash Index Market?," Journal of Financial Studies, Vol.14, pp.34-75. [TSSCI]
- Lin, Y., Strong, N., and Xu, X., 2001, "Pricing FTSE 100 Index Options under Stochastic Volatility," Journal of Futures Markets, Vol.21, pp.197-211. [SSCI]
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| 研討會論文 |
- Lin, Yueh-Neng (2016, June). Volatility derivatives and downside risk. The 23rd Annual Conference of the Multinational Finance Society, Stockholm University Business School, Stockholm, Sweden.
- Lin, Yueh-Neng, 2013, Effective and Cost-Efficient Volatility Hedging Capital Allocation on the CBOE Volatility Derivatives, Italian Academy of Management (AIDEA) Bicentenary Conference: Banking & Finance,
- Lin, Y. and Jeremy Goh, 2013, Predictability of VIX Jump Activities in Hedge Funds Returns, Italian Academy of Management (AIDEA) Bicentenary Conference: Banking & Finance, September 19-21, in Lecce,
- Lin, Yueh-Neng, 2013, Effective and Cost-Efficient Volatility Hedging Capital Allocation on the CBOE Volatility Derivatives, The 22th European Financial Management Association (EFMA) Conference, June 26-29,
- Lin, Yueh-Neng, 2013, Effective and Cost-Efficient Use of CBOE Volatility Contracts in an Equity Portfolio, CCER-Frodham-JBF Conference on "Risk Management and Reform of Bank Regulation," April 22-23, Beijin
- Lin, Yueh-Neng, 2013, Effective and Cost-Efficient Volatility Hedging Capital Allocation: Evidence from the CBOE Volatility Derivatives, The 2013 Annual Meeting of the Financial Management Association Int
- Lin,Y., "Pricing VIX Options: Evidence from Integrated S&P 500 Index Option and VIX Futures Markets," The 2011 FMA Asian Conference, 2011-04-06, Queenstown, New, pp...
- Lin, Y.,and Anchor Y. Lin,, "Using VIX Futures as Option Market-Makers’ Short Hedge," SFM, 2010-12-17, Kaohsiung, Taiwan, pp...
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| 專書篇章 |
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| 國科會計畫 |
- 105年度，計畫主持人,隱含在選擇權市場的信用風險資訊與股票報酬率(Credit Information Trading in the Option Market for Future Stock Prices),2016/08 (2)
- 103年度,計畫主持人,VIX Option Market Making: Trading and Risk Analysis. ,2014/08 (2)
- 99年度， 計畫主持人， 資產價格跳躍下波動度風險資訊之經濟價值， 2010年08月
- 98年度， 計畫主持人， 波動度衍生性金融資產交易資訊之研究， 2009年08月 至 2010年07月
- 96年度， 計畫主持人， 連結選擇權資訊與總體經濟政策與公司事件之股市波動反應， 2007年08月 至 2009年07月
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| 其他計畫 |
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