§ PAPERS
工作論文
投稿目標期刊與研究貢獻
14 papers
Forecast-Timing Conventions and the Value of Overnight Information in Volatility Forecasting
Yi-Hao Lai
Working PaperTarget · Finance Research LettersUploaded 2026-04-05 19:19 · Revised 2026-09-21 17:04
Working PaperReady for SubmissionSubmittedAcceptedPublished
Pages
11
References
18
Earnings-Announcement Volatility Amplification: A Cross-Market Regularity with Magnitude Ordering Evidence from Taiwan, U.S., and Japan Equity Markets
Yi-Hao Lai
Working PaperUploaded 2026-05-18 18:00 · Revised 2026-09-01 16:26
Working PaperReady for SubmissionSubmittedAcceptedPublished
Pages
30
References
18
The Crypto Fear Channel: Asymmetric and Regime-Dependent Volatility Spillover between Bitcoin and Equity Markets
Yi-Hao Lai
Working PaperUploaded 2026-05-11 18:09 · Revised 2026-09-26 08:10
Working PaperReady for SubmissionSubmittedAcceptedPublished
Pages
19
References
45
Why GAS-t Fails on Pre-Institutional Bitcoin: A Robust Deficit with a Loss-Conditional Diagnosis
Yi-Hao Lai
Working PaperUploaded 2026-07-27 12:00 · Revised 2026-09-24 19:07
Working PaperReady for SubmissionSubmittedAcceptedPublished
Pages
66
Leverage Direction Matters: Cross-Asset Evidence on GARCH Model Selection and Volatility Targeting
Yi-Hao Lai
Working PaperTarget · International Journal of ForecastingUploaded 2026-03-18 02:30 · Revised 2026-09-01 21:23
Working PaperReady for SubmissionSubmittedAcceptedPublished
Pages
44
References
57
The True Cost of Volatility Targeting: Decomposing the Insurance Premium into Opportunity and Transaction Components
Yi-Hao Lai Department of Finance, Da-Yeh University 168 University Road, Dacun, Changhua 515006, Taiwan Corresponding author. Email: yhlai@mail.dyu.edu.tw
Working PaperTarget · Finance Research LettersUploaded 2026-04-04 14:05 · Revised 2026-09-07 14:24
Working PaperReady for SubmissionSubmittedAcceptedPublished
Pages
16
References
18
Scale Before Shape: A Distribution-Free Diagnostic for Plug-In VaR Failure
Yi-Hao Lai
Working PaperUploaded 2026-09-06 12:00 · not revised
Working PaperReady for SubmissionSubmittedAcceptedPublished
Pages
10
References
8
Monotone Strategy-Specific Erosion under Volatility-Targeting Crowding: Matched-Control Identification via Agent-Based Simulation
Yi-Hao Lai
Working PaperTarget · Finance Research LettersUploaded 2026-04-04 14:05 · not revised
Working PaperReady for SubmissionSubmittedAcceptedPublished
Pages
34
References
22
Volatility Targeting in the Taiwan Stock Market: Leverage Amplification, Model Selection, and Practical Implementation
Yi-Hao Lai
Working PaperTarget · Pacific-Basin Finance JournalUploaded 2026-03-18 02:30 · Revised 2026-09-03 15:22
Working PaperReady for SubmissionSubmittedAcceptedPublished
Pages
51
References
34
Is Volatility Targeting Just Trend Following? Alpha Absorption and the Leverage Effect Across 22 Assets
Yi-Hao Lai
Working PaperTarget · Finance Research LettersUploaded 2026-03-21 22:30 · not revised
Working PaperReady for SubmissionSubmittedAcceptedPublished
Pages
36
References
24
Volatility Absorption: The Diminishing Marginal Impact of Market Fear
Yi-Hao Lai
Working PaperTarget · Journal of Financial EconomicsUploaded 2026-03-30 18:09 · Revised 2026-09-06 18:02
Working PaperReady for SubmissionSubmittedAcceptedPublished
Pages
50
References
45
Predictability at the Execution Boundary: Threshold-Crossing Dynamics and the Capacity Ceiling in Taiwan Index Futures
Yi-Hao Lai
Working PaperUploaded 2026-08-22 20:27 · not revised
Working PaperReady for SubmissionSubmittedAcceptedPublished
Pages
18
Figures
4
Tables
7
References
7
Can Anything Beat VIX? A Systematic Out-of-Sample Evaluation of Thirteen Signal Families for Equity Volatility Forecasting and Volatility Timing
Yi-Hao Lai
Working PaperTarget · Journal of ForecastingUploaded 2026-03-31 00:18 · Revised 2026-10-02 00:03
Working PaperReady for SubmissionSubmittedAcceptedPublished
Pages
69
References
49
Multiplicative GARCH-X with VIX: A Parsimonious Alternative to GARCH-MIDAS for Volatility Forecasting
Yi-Hao Lai
Working PaperTarget · Journal of Empirical FinanceSSRN 預印本 · DOI 10.2139/ssrn.7349499Uploaded 2026-04-10 15:11 · Revised 2026-09-03 16:13
Working PaperReady for SubmissionSubmittedAcceptedPublished
Pages
73
References
31
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