Publication

Articles in Refereed Journals

  1. Huei-Wen Teng, Ming-Hsuan Kang, I-Han Lee, and Le-Chi Bai. Bridging accuracy and interpretability: A rescaled cluster-then-predict approach for enhanced credit scoring. International Review of Financial Analysis, 91:103005, January 2024b. (SSCI IF = 8.2, RF: 4/111=3.6%) [GitHub]
  2. Huei-Wen Teng. Importance sampling for calculating the value-at-risk and expected shortfall of the quadratic portfolio with t-distributed risk factors. Computational Economics, 62(3):1125–1154, October 2023.
  3. Yung-Chi Chang, Huei-Wen Teng, and Wolfgang Härdle. Stochastic volatility dynamic hedging of the inverse BTC option. Journal of Futures and Options, 16(2):1–48, August 2023.
  4. Le Quoc Tuan, Chih-Yung Lin, and Huei-Wen Teng. Machine learning methods for predicting failures of US commercial bank. Applied Economics Letters, pages 1–7, May 2023.
  5. Huei-Wen Teng and Yu-Hsien Li. Can deep neural networks outperform Fama-Macbeth regression and other supervised learning approaches in stock returns prediction with asset-pricing factors? Digital Finance, 5(1):149–182, March 2023
  6. Huei-Wen Teng and Cheng-Der Fuh. Simulating false alarm probability in K-distributed sea clutter. Communications in Statistics-Simulation and Computation, 51(9):5081–5098, September 2022.
  7. Huei-Wen Teng and Ming-Hsuan Kang. On accelerating Monte Carlo integration using orthogonal projections. Methodology and Computing in Applied Probability, 24(2):1143–1168, June 2022.
  8. Huei-Wen Teng and Xiang-An Zhao. On pricing quanto options with spherical Monte Carlo simulation. Journal of Futures and Options, 14(2):25–82, August 2021.
  9. Huei-Wen Teng and Michael Lee. Estimation procedures of using five alternative machine learning methods for predicting credit card default. Review of Pacific Basin Financial Markets and Policies, 22 (03):1950021, September 2019.
  10. Yuh-Dauh Lyuu, Huei-Wen Teng, Yao-Te Tseng, and Sheng-Xiang Wang. A systematic and efficient simulation scheme for the Greeks of financial derivatives. Quantitative Finance, 19(7):1199–1219, January 2019.
  11. Cheng-Der Fuh, Huei-Wen Teng, and Ren-Her Wang. Efficient simulation of value-at-risk under a jump diffusion model: A new method for moderate deviation events. Computational Economics, 51(4): 973–990, April 2018.
  12. Huei-Wen Teng, Cheng-Der Fuh, and Chun-Chieh Chen. On an automatic and optimal importance sampling approach with applications in finance. Quantitative Finance, 16(8):1259–1271, 2016.
  13. Sanford Luo, Huei-Wen Teng, and Yu-Hsuan Lee. Forecasting mortality using imputed data: The case of Taiwan. Asia-Pacific Journal of Risk and Insurance, 10(1):1–20, 2016
  14. Huei-Wen Teng Ming-Hsuan Kang and Cheng-Der Fuh. On spherical Monte Carlo simulations for multivariate normal probabilities. Advances in Applied Probability, 47(3):817–836, 2015.
  15. Wolfgang Karl Härdle, Brenda López-Cabrera, and Huei-Wen Teng. State price densities implied from weather derivatives. Insurance: Mathematics and Economics, 64:106–125, 2015.
  16. Huei-WenTeng, Wen-LiangHung,and Yen-JuChao. Bayesian Markov chain Monte Carlo imputation for the transiting exoplanets with an application in clustering analysis. Journal of Applied Statistics, 42(5):1120–132, 2015.
  17. Cheng-Der Fuh and Huei-Wen Teng. Discussion of “multiscale change point inference” by Frick, Munk and Sieling. Journal of the Royal Statistical Society: Series B, 76(3):554–555, 2014.
  18. Chun-Cheih Chen, Cheng-Der Fuh, and Huei-Wen Teng. Efficient option pricing with importance sampling. Journal of the Chinese Statistical Association, 51(3):253–273, 2013.
  19. Yuh-Dauh Lyuu and Huei-Wen Teng. Unbiased and efficient Greeks of financial options. Finance and Stochastics, 15(1):141–181, 2011.
  20. Cheng-Der Fuh, Huei-Wen Teng, and Ren-Her Wang. On-line VWAP trading strategies. Sequential Analysis, 29(3):292–310, 2010.
  21. Tze-Chuan Yang, Huei-Wen Teng, and Murali Haran. The impacts of social capital on infant mortality in the U.S.: A spatial investigation. Applied Spatial Analysis and Policy, 2(3):211–227, 2009.

Articles in Conference Proceedings

  1. Huei Wen Teng, Yu-Hsien Li, and Shang-Wen Chang. Machine learning in empirical asset pricing models. In 2020 International Conference on Pervasive Artificial Intelligence (ICPAI), pages 123–129, December 2020
  2. Huei-Wen Teng. A spherical Monte Carlo approach for calculating value-at-risk and expected shortfall in financial risk management. In 2017 Winter Simulation Conference (WSC), pages 469–480. IEEE, January 2018

Articles in Handbooks

  1. Wei-Hung Lin, Huei-Wen Teng, and Chi-Chun Yang. A heteroskedastic Black-Litterman portfolio optimization model with views derived from a predictive regression. In Cheng Few Lee and John Lee, editors, Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning, volume 1, chapter 14, pages 563–581. World Scientific, Hackensack, NJ, 2020
  2. Huei-Wen Teng and Michael Lee. Estimation procedures of using five alternative machine learning methods for predicting credit card default. In Cheng Few Lee and John Lee, editors, Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning, volume 4, chapter 101, pages 3545–3572. World Scientific, Hackensack, NJ, 2020
  3. Huei-Wen Teng and Michael Lee. Alternative machine learning methods for credit card default forecasting. In John Lee, Jow-Ran Chang, Lie-Jane Kao, and Cheng Few Lee, editors, Essentials of Excel VBA, Python, and R Volume II: Financial Derivatives, Risk Management and Machine Learning, volume 2, chapter 14, pages 285–298. Springer, Switzerland, 2 edition, 2023