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)

1. 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.
2. Donald Lien and Elizabeth Asiedu, Democracy, Foreign Direct Investment and Natural Resources, Journal of International Economics, Vol. 84, 2011, pp. 99-111.
3. Donald Lien and Leo Chan, The Value of Planned Death, Journal of Socio-Economics, Vol. 39, 2010, pp. 392-395.
4. Donald Lien and Keshab Shrestha, A New Information Share Measure, Journal of Futures Markets, Vol. 29, 2009, pp. 377-395.
5. Donald Lien, International Accreditation and Brain Drain: A Simple Model, Economics of Education Review, Vol. 25, 2006, pp. 335-340.
6. 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.
7. 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.
8. Donald Lien, Economic Analysis of Brain Drain, Journal of Development Economics, Vol. 25, 1987, pp. 33-43.
9. Donald Lien, A Note on Competitive Bribery Games, Economics Letters, Vol. 22, 1986, pp. 337-341.
10. Donald Lien and Robert Bates, A Note on Taxation, Development, and Representative Government, Politics and Society, Vol. 14, 1985, pp. 53-70.
11. Donald Lien and Kit Pong Wong, Optimal Bidding and Hedging in International Markets, Journal of International Money and Finance, 23(2004), 785-798.
12. Donald Lien, Cointegration and Optimal Hedge Ratio, Quarterly Review of Economics and Finance, 44(2004), 654-658.
13. Donald Lien, The Use and Abuse of the Hedging Effectiveness Measure, International Review of Financial Analysis, 14(2005), 277-282.
14. Donald Lien, A Note on Asymmetric Stochastic Volatility and Futures Hedging, Journal of Futures Markets, 25(2005), 607-612.
15. 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.
16. 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.
17. Donald Lien, A Note on the Superiority of the OLS Hedge Ratio, Journal of Futures Markets, 25(2005), 1121-1126.
18. Donald Lien, On the Maximum and Minimum of Bivariate Lognormal Variables, Extremes, 8(2005), 79-83.
19. 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.
20. Donald Lien and Soojong Kwak, Provisional Liquidation of Futures Hedge Programs, Energy Economics, 28(2006), 266-273.
21. Donald Lien, Estimation Bias of Futures Hedging Performance: A Note, Journal of Futures Markets, 26(2006), 835-841.
22. 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.
23. 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.
24. Donald Lien, A Further Note on the Optimality of the OLS Hedge Strategy, Journal of Futures Markets, 28(2008), 308-311.