Prof. Donald
Lien
University of
Texas at San Antonio, USA
Richard S. Liu
Distinguished Chair in Business
Email: Don.lien@utsa.edu
Qualifications
1986 Ph.D.,
California Institute of Technology, USA
Publications
(Selected)
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Donald Lien and Timothy Krause, Implied Volatility Dynamics
Among Exchange Traded Funds and Their Largest Component Stocks, Journal of
Derivatives, Vol. 22, 2014, pp. 7-26.
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Donald Lien and Elizabeth Asiedu, Democracy, Foreign
Direct Investment and Natural Resources, Journal of International Economics,
Vol. 84, 2011, pp. 99-111.
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Donald Lien and Leo Chan, The Value of Planned Death, Journal
of Socio-Economics, Vol. 39, 2010, pp. 392-395.
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Donald Lien and Keshab Shrestha, A New Information Share
Measure, Journal of Futures Markets, Vol. 29, 2009, pp. 377-395.
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Donald Lien, International Accreditation and Brain
Drain: A Simple Model, Economics of Education Review, Vol. 25, 2006, pp.
335-340.
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Donald Lien and N.Balakrishnan, On Regression Analysis
with Data Cleaning via Trimming, Winsorization and Dichotomization,
Communications in Statistics-Simulation and Computation, Vol. 34, 2005, pp.
839-849.
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Donald Lien and Nathan Berg, Measuring the Effect of
Sexual Orientation on Income: Evidence of Discrimination? Contemporary Economic
Policy, Vol. 20, 2002, pp. 394-414.
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Donald Lien, Economic Analysis of Brain Drain, Journal
of Development Economics, Vol. 25, 1987, pp. 33-43.
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Donald Lien, A Note on Competitive Bribery Games,
Economics Letters, Vol. 22, 1986, pp. 337-341.
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Donald Lien and Robert Bates, A Note on Taxation,
Development, and Representative Government, Politics and Society, Vol. 14,
1985, pp. 53-70.
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Donald Lien and Kit Pong Wong, Optimal Bidding and Hedging
in International Markets, Journal of International Money and Finance, 23(2004),
785-798.
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Donald Lien, Cointegration and Optimal Hedge Ratio,
Quarterly Review of Economics and Finance, 44(2004), 654-658.
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Donald Lien, The Use and Abuse of the Hedging Effectiveness
Measure, International Review of Financial Analysis, 14(2005), 277-282.
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Donald Lien, A Note on Asymmetric Stochastic Volatility
and Futures Hedging, Journal of Futures Markets, 25(2005), 607-612.
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Donald Lien and Nathan Berg, Does Society Benefit from
Investor Overconfidence in the Ability of Financial Market Experts? Journal of
Economic Behavior and Organization, 58(2005), 95-116.
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Donald Lien and N. Balakrishnan, On Regression Analysis
with Data Cleaning via Trimming, Winsorization and Dichotomization,
Communications in Statistics-Simulation and Computation, 34(2005), 839-849.
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Donald Lien, A Note on the Superiority of the OLS Hedge
Ratio, Journal of Futures Markets, 25(2005), 1121-1126.
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Donald Lien, On the Maximum and Minimum of Bivariate
Lognormal Variables, Extremes, 8(2005), 79-83.
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Donald Lien and N. Balakrishnan, Moments and Properties
of Multiplicatively Constrained Bivariate Lognormal Distributions with Applications
to Futures Hedging, Journal of Statistical Planning and Inferences, 136(2006),
1349-1359.
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Donald Lien and Soojong Kwak, Provisional Liquidation of
Futures Hedge Programs, Energy Economics, 28(2006), 266-273.
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Donald Lien, Estimation Bias of Futures Hedging
Performance: A Note, Journal of Futures Markets, 26(2006), 835-841.
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Donald Lien and Keshab Shrestha, An Empirical Analysis
of the Relationship between the Hedge Ratio and Hedging Horizon Using Wavelet
Analysis, Journal of Futures Markets, 27(2007), 127-150.
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Donald Lien and Li Yang, Asymmetric Effects of Basis on
Dynamic Futures Hedging: Empirical Evidence from Commodity Markets, Journal of
Banking and Finance, 32(2008), 187-198.
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Donald Lien, A Further Note on the Optimality of the OLS
Hedge Strategy, Journal of Futures Markets, 28(2008), 308-311.