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September 2023, Volume 18, Issue 03
- 1-22 Potential Welfare Gains from Optimal Macro Hedging for Oil Exporters
by Ricardo Lalloo - 1-23 Market Capitalized Scale and Corporate Capital Structure — Evidence from CSI300’s Listed Firms
by Huu Manh Nguyen & Wing Keung Wong & Thi Huong Giang Vuong - 1-29 Innovation, Economic Growth, and Inequalities: A Panel Dynamic Threshold Analysis for Dynamic Economies
by Sabreen Khan & Dil Pazir - 1-33 Dynamics of a Newly Established Agricultural Commodities Market: Financialization, Hedging and Portfolio Diversification in Turkey
by Turker Acikgoz & Ozge Sezgin Alp & Nazlan Belemir Alkan - 1-33 Does Trade Openness Affect Global Entrepreneurship Development? Evidence from BRICS Countries
by Md. Mominur Rahman & Bishawjit Chandra Deb & Muhammad Shajib Rahman & M. M. Mofiz Uddin & Muhammad Ramzan & Mohammad Jubair Hossain & Gias Uddin - 1-42 From Humble Beginnings to a Global Economic Powerhouse: A Comprehensive Study of India’s Economic Development Through the Lens of Selected Macroeconomic Indicators (1990–2020)
by Rachana Jaiswal
June 2023, Volume 18, Issue 02
- 1-14 Infectious Diseases-Related Uncertainty and the Predictability of Foreign Exchange and Bitcoin Futures Realized Volatility
by Sisa Shiba & Juncal Cunado & Rangan Gupta & Samrat Goswami - 1-16 Does US Infectious Disease Equity Market Volatility Index Predict G7 Stock Returns? Evidence Beyond Symmetry
by Raheel Gohar & Asma Salman & Emmanuel Uche & Omer Faruk Derindag & Bisharat Hussain Chang - 1-20 An Analysis of the U.S. Individual Investor Sentiment Influence on Cryptocurrency Returns and Volatility
by Mustafa Sayim & Nguyen Quang My - 1-24 The Asymmetric Effect of the Extreme Changes in the Economic Policy Uncertainty on the Exchange Rates: Evidence from Emerging Seven Countries
by Alina Maydybura & Raheel Gohar & Asma Salman & Wing-Keung Wong & Bisharat Hussain Chang - 1-29 The Impact of Macroeconomic Indicators on the Balance of Payments: Empirical Evidence from Afghanistan
by Abdul Hadi Sultani & U. Faisal - 1-51 Spillover Effects in the Presence of Structural Breaks, Persistence and Conditioned Heteroscedasticity
by Francisca Mendonça Souza & Claudia Aline de Souza Ramser & Adriano Mendonça Souza & Claudimar Pereira da Veiga
March 2023, Volume 18, Issue 01
- 1-8 Editorial: Statement for the Special Issue in Honor of Michael McAleer
by David Allen & Moawia Alghalith & Wing-Keung Wong - 1-16 On the Predictive Value of the (Shadow) Real Interest Rate for the Realized Volatility of Gold-Price Returns
by Christian Pierdzioch & Sebastian Rohloff & Roland Von Campe - 1-16 The Mean-Variance Rule for Investors with Reverse S-Shaped Utility
by Wing-Keung Wong & David Yeung & Richard Lu - 1-19 Ten Ways to Specify a Gini Coefficient Using Entropy
by Hang Keun Ryu & Daniel J. Slottje - 1-22 An Informational Theory of the Dynamic Value of the Firm
by David Yeung & Wing-Keung Wong - 1-26 Drawbacks in the 3-Factor Approach of Fama and French (2018)
by David E. Allen & Michael McAleer - 1-27 Financial Development and Income Inequality: Evidence From Advanced, Emerging and Developing Economies
by Carolyn Chisadza & Mduduzi Biyase - 1-34 Nonlinear Causal Relationship Between Economic Policy Uncertainty and Macroeconomic Variables in Selected Emerging Market Economies
by Abigail Naa Korkor Adjei & George Tweneboah & Peterson Owusu Junior - 1-37 Density and Risk Prediction with Non-Gaussian COMFORT Models
by Marc S. Paolella & Paweł Polak
December 2022, Volume 17, Issue 04
- 1-17 Time-Frequency Co-Movement Between Covid-19 And Pakistan’S Stock Market: Empirical Evidence From Wavelet Coherence Analysis
by Shoaib Ali & Muhammad Naveed & Aisha Saleem & Muhammad Wajahat Nasir - 1-20 Is There A Beta Anomaly? Evidence From The India
by Vinay Khandelwal & Varun Chotia - 1-24 Do The Income And Price Changes Affect Consumption In The Emerging 7 Countries? Empirical Evidence Using Quantile Ardl Model
by Raheel Gohar & Salim Bagadeem & Bisharat Hussain Chang & Muyu Zong - 1-26 Delineation Of Blockchain Technology In Finance: A Scientometric View
by Rachana Jaiswal & Shashank Gupta & Aviral Kumar Tiwari - 1-30 Connectedness Between Crude Oil And Us Equities: The Impact Of The Covid-19 Pandemic
by Aktham Maghyereh & Hussein Abdoh - 1-33 Investment Based On Size, Value, Momentum And Income Measures: A Study In The Taiwan Stock Market
by Richard Lu & Jai-Jen Wang & Wing-Keung Wong
September 2022, Volume 17, Issue 03
- 1-21 Causality, Information Flow, And Co-Movement Analysis Of Major Stock Indices
by Cengiz Karatas & Gazanfer Unal - 1-24 Does Premium Exist In The Stock Market For Labor Income Growth Rate? A Six-Factor-Asset-Pricing Model: Evidence From Pakistan
by Naveed Khan & Hassan Zada & Imran Yousaf - 1-30 Impact Of Economic Freedom And Its Subcomponents On Commercial Banks’ Risk-Taking
by Faisal Abbas & Shoaib Ali & Wing-Keung Wong - 1-33 A Linkage Between The Financial And The Real Economy
by Sebastiã N A. Rey - 1-36 The Impacts Of Data-Driven Leadership In Ir4.0 Adoption On Firm Performance In Malaysia
by Char-Lee Lok & Shu-Fen Chuah & Chee-Wooi Hooy - 1-36 Dynamic Linkages And Integration Among Five Emerging Brics Markets: Pre- And Post-Brics Period Analysis
by Amit Kumar Singh & Rohit Kumar Shrivastav & Amiya Kumar Mohapatra
June 2022, Volume 17, Issue 02
- 1-9 A Note On Uncertainty Due To Infectious Diseases And Output Growth Of The United States: A Mixed-Frequency Forecasting Experiment
by Afees A. Salisu & Rangan Gupta & Riza Demirer - 1-21 Time–Frequency Analysis Between Economic Risk And Financial Risk In The Mint Nations: What Causes What?
by Tomiwa Sunday Adebayo & Dervis Kirikkaleli & Husam Rjoub - 1-23 Risk-Aversion: Mathematical And Economic Perspectives
by Haim Levy - 1-26 Asymmetric Dependence Between Exchange Rate And Commodity Prices In Ghana
by Christina Archer & Peterson Owusu Junior & Anokye M. Adam & Emmanuel Asafo-Adjei & Stephen Baffoe - 1-35 Modeling Of Stock Returns In Continuous Vis-À-Vis Discrete Time Is Equivalent, Respectively, To The Conditioning Of Stock Returns On A Random Walk Process For Trade Imbalances Vis-À-Vis A Random Walk Process For Evolution Of Information
by Oghenovo A. Obrimah & Wing-Keung Wong - 1-44 The Nexus Between Cash Conversion Cycle, Working Capital Finance, And Firm Performance: Evidence From Novel Machine Learning Approaches
by Faisal Mahmood & Umeair Shahzad & Ali Nazakat & Zahoor Ahmed & Husam Rjoub & Wing-Keung Wong
March 2022, Volume 17, Issue 01
- 1-13 Revisiting Inflation-Growth Nexus: An Endogenous Growth Model With Financial Frictions
by Fa-Hsiang Chang & Lin Zhang - 1-19 Modeling Stock Price Movements Prediction Based On News Sentiment Analysis And Deep Learning
by Maedeh Tajmazinani & Hossein Hassani & Reza Raei & Saeed Rouhani - 1-19 On The Relationship Between Economic Policy Uncertainty, Geopolitical Risk And Stock Market Returns In South Korea: A Quantile Causality Analysis
by Tomiwa Sunday Adebayo & Seyi Saint Akadiri & Husam Rjoub - 1-25 Impact Of Covid-19 On Volatility Spillovers Across International Markets: Evidence From Var Asymmetric Bekk Garch Model
by Nadia Arfaoui & Imran Yousaf - 1-29 The Effects Of Selected Financial Ratios On Profitability: An Empirical Analysis Of Real Estate Firms In Vietnam
by Le Ngoc Thuy Trang & Do Thi Thanh Nhan & Dung Nguyen Thi Phuong & Wing-Keung Wong - 1-46 Contagion Across Financial Markets During Covid-19: A Look At Volatility Spillovers Between The Stock And Foreign Exchange Markets In South Africa
by Chevaughn Van Der Westhuizen & Rene㉠Van Eyden & Goodness C. Aye
December 2021, Volume 16, Issue 04
- 1-14 The Effects Of U.S. Monetary Policy Uncertainty Shock On International Equity Markets
by Raymond L. Aor & Afees A. Salisu & Isah J. Okpe - 1-16 Macroeconomic Determinants Of Household Consumptions In Georgia
by Azer Dilanchiev & Tengiz Taktakishvili - 1-21 Symmetric Impact Of Exchange Rate Volatility On Foreign Direct Investment In Pakistan: Do The Global Financial Crises And Political Regimes Matter?
by Muhammad Ramzan - 1-22 Approximate Series Solutions Of A One-Factor Term Structure Model For Bond Pricing
by Sunday Onos Edeki & Deborah Chikwado Okoli & Hijaz Ahmad & Wing-Keung Wong - 1-23 Non-Central Moments Of The Truncated Normal Variable In Finance
by Fausto Corradin & Domenico Sartore - 1-29 Investor Sentiment Connectedness: Evidence From Linear And Nonlinear Causality Approaches
by Aviral Kumar Tiwari & Deven Bathia & Elie Bouri & Rangan Gupta
September 2021, Volume 16, Issue 03
- 1-16 Geopolitical Risks And The High-Frequency Movements Of The Us Term Structure Of Interest Rates
by Rangan Gupta & Anandamayee Majumdar & Jacobus Nel & Sowmya Subramaniam - 1-18 Universal Risk Budgeting
by Alex Garivaltis - 1-21 Editorial Statement In Honor Of Professor Michael Mcaleer
by Moawia Alghalith & Norman Swanson & Andrey Vasnev & Wing-Keung Wong - 1-21 Corporate Valuation Spurred By Information Transparency In An Emerging Economy
by Tran Thai Ha Nguyen & Wing-Keung Wong & Gia Quyen Phan & Dang Thanh Minh Tran & Massoud Moslehpour - 1-33 Strategic Interactions And Negative Oil Prices
by Chenghu Ma & Xianzhen Wang - 1-37 Arbitrageur Behavior In Sentiment-Driven Asset-Pricing
by Erdem Kilic & Oguzhan Gã–Ksel
June 2021, Volume 16, Issue 02
- 1-12 Uncertainty Related To Infectious Diseases And Forecastability Of The Realized Volatility Of Us Treasury Securities
by Sisa Shiba & Rangan Gupta - 1-13 Cases, Deaths, Stringency Indexes And Indian Financial Market — Empirical Evidence During Covid-19 Pandemic
by Shailaja Kheni & Santosh Kumar - 1-17 Evaluating The Efficiency Of Vietnam Banks Using Data Envelopment Analysis
by Do Thi Thanh Nhan & Kim-Hung Pho & Dang Thi Van Anh & Michael Mcaleer - 1-19 Zero-Inflated Poisson Regression Models: Applications In The Sciences And Social Sciences
by BUU-CHAU TRUONG & KIM-HUNG PHO & CONG-CHANH DINH & MICHAEL McALEER - 1-22 The Impact Of Capital Structure And Ownership On The Performance Of State Enterprises After Equitization: Evidence From Vietnam
by Nguyen Duy Suu & Ho Thuy Tien & Wing-Keung Wong
March 2021, Volume 16, Issue 01
- 1-2 Submissions And Acceptances For The Annals Of Financial Economics (Afe)
by Michael Mcaleer - 1-4 Pricing Options Under Stochastic Interest Rate And The Frasca–Farina Process: A Simple, Explicit Formula
by Moawia Alghalith - 1-13 The Relationship Between Economic Policy Uncertainty And Corporate Tax Rates
by Matthew Clance & Giray Gozgor & Rangan Gupta & Chi Keung Marco Lau - 1-18 Limit-To-Arbitrage Factors And Ivol Returns Puzzle: Empirical Evidence From Taiwan Before And During Covid-19
by Khoa Dang Duong & Qui Nhat Nguyen & Truong Vinh Le & Diep Van Nguyen - 1-20 Regularization Methods For Estimating A Multi-Factor Corporate Bond Pricing Model: An Application For Brazil
by Paulo Roberto Guimarães & Osvaldo Candido & André Ronzani - 1-26 Asset Investment Diversification, Bankruptcy Risk And The Mediating Role Of Business Diversification
by Vu Huu Thanh & Nguyen Minh Ha & Michael Mcaleer
December 2020, Volume 15, Issue 04
- 1-7 Simple Bayesian Forecast Combination
by Philip Hans Franses - 1-15 Predicting Cases And Deaths In Europe From Covid-19 Tests And Country Populations
by David E. Allen & Michael Mcaleer - 1-17 Historical Forecasting Of Interest Rate Mean And Volatility Of The United States: Is There A Role Of Uncertainty?
by Hossein Hassani & Mohammad Reza Yeganegi & Rangan Gupta - 1-18 Revenue Diversification And Banking Risk: Does The State Ownership Matter? Evidence From An Emerging Market
by Giang Thi Huong Vuong & Manh Huu Nguyen - 1-25 Pricing Multi-Asset American Option With Stochastic Correlation Coefficient Under Variance Gamma Asset Price Dynamic
by Farshid Mehrdoust & Oldouz Samimi - 1-26 Flattening The Curve In Risk Management Of Covid-19: Do Lockdowns Work?
by David E. Allen & Michael Mcaleer
September 2020, Volume 15, Issue 03
- 1-16 Effects Of Volatility Among Commodities In The Long Term: Analysis Of A Complex Network
by Marcelo De Oliveira Passos & Mathias Schneid Tessmann & Régis Augusto Ely & Daniel Uhr & Márcio Taceli Taveira - 1-19 Financial Integration, Energy Consumption And Economic Growth In Vietnam
by Nguyen Minh Ha & Bui Hoang Ngoc & Michael Mcaleer - 1-21 Testing Trade-Off Theory Between Networking Capital And Firm Value: Empirical Evidence From Vietnam
by Duong Dang Khoa & Pham Thi Tram Anh & Le Thi My Duyen - 1-30 Prior Trading Outcomes And Subsequent Portfolio Risks: Using Securities Dealer In Taiwan As An Example
by Yong-Chin Liu & Hsiang-Ju Chen & Wei-Ting Hsu
June 2020, Volume 15, Issue 02
- 1-7 Welfare Gains From Macro-Hedging
by Moawia Alghalith & Wing-Keung Wong - 1-7 Hedging Under Price, Output And Basis Risks: Empirical Analysis
by Moawia Alghalith & Ricardo Lalloo - 1-15 Bank Earnings Management And Dividend Policy Under Agency Problem Contexts
by Dung Viet Tran - 1-28 Valuation, Hedging, And Bounds Of Swaps Under Multi-Factor Bns-Type Stochastic Volatility Models
by Aziz Issaka - 1-30 The Impact Of Savings Withdrawals On A Banker’S Capital Holdings Subject To Basel Iii Accord
by Ryle S. Perera & Kimitoshi Sato
March 2020, Volume 15, Issue 01
- 1-5 The Cash Use Of The Malaysian Ringgit: Can It Be More Efficient?
by Philip Hans Franses & Max Welz - 1-17 An Efficient Variance Reduction-Based Simulation Algorithm For Pricing Arithmetic Asian Options
by Farshid Mehrdoust & Idin Noorani - 1-17 Immediate And Longer-Term Stock Price Dynamics Following Large Stock Price Changes
by Andrey Kudryavtsev - 1-20 Australian Government Bonds’ Nominal Yields: A Keynesian Perspective
by Tanweer Akram & Anupam Das - 1-33 Multi-Asset Portfolio Optimization With Stochastic Sharpe Ratio Under Drawdown Constraint
by Subhojit Biswas & Saif Jawaid & Diganta Mukherjee
December 2019, Volume 14, Issue 04
- 1-14 A Novel Method For Arbitrage-Free Option Surface Construction
by Greg Orosi - 1-15 A Performance Analysis Of Dollar-Cost Averaging And Self-Annuitization
by Richard Lu & Meng-Sung Hsieh - 1-21 An Option Theoretic Approach To Market Efficiency
by Rajeev R. Bhattacharya - 1-21 Forecasting Realized Volatility Dynamically Based On Adjusted Dynamic Model Averaging (Amda) Approach: Evidence From China’S Stock Market
by Ping Yuan - 1-24 DOES CHANGE IN ECONOMIC POLICY UNCERTAINTY AFFECT REAL ESTATE INVESTMENT TRUSTS (REITs)?
by Ranjeeta Sadhwani & Suresh Kumar Oad Rajput & Asad Ali-Rind & Muhammad Tahir Suleman - 1-29 Does The Business Climate Affect Private Domestic And Foreign Investment? Empirical Evidence From The Mena Region
by Ousama Ben-Salha & Mourad Zmami - 1-29 A Proposal For Multi-Asset Generalized Variance Swaps
by Subhojit Biswas & Diganta Mukherjee
September 2019, Volume 14, Issue 03
- 1-16 The Nexus Between Economic Integration And Growth: Application To Vietnam
by Ha Minh Nguyen & Ngoc Hoang Bui & Duc Hong Vo - 1-18 Estimating Sectoral Systematic Risk For China, Malaysia, Singapore, And Thailand
by Thach Ngoc Pham & Duc Hong Vo - 1-18 Volatility Spillover Effect Of Federal Reserve’S Balance Sheet On The Financial And Goods Markets Of Indo-Pak Region
by Qasim Raza Syed & Waseem Shahid Malik & Bisharat Hussain Chang - 1-21 Do Exchange Rate Changes Have Symmetric Or Asymmetric Effects On International Trade Integration?
by Suresh Kumar Oad Rajput & Niaz Hussain Ghumro & Nadia Anjum - 1-25 Financial Development, Technology And Economic Development: The Role Of Institutions In Developing Countries
by Samina Sabir & Rashid Latif & Unbreen Qayyum & Kamran Abass
June 2019, Volume 14, Issue 02
- 1-12 Multifractal Behavior In Precious Metals: Wavelet Coherency And Forecasting By Varima And V-Farima Models
by Itir Doğangün & Gazanfer Ünal - 1-15 Financial Inclusion And Macroeconomic Stability In Emerging And Frontier Markets
by Anh The Vo & Loan Thi-Hong Van & Duc Hong Vo & Michael Mcaleer - 1-19 Financial Integration And Macroeconomic Volatility: New Evidence From Dsge Modeling
by Tarek Ghazouani & Ramzi Drissi & Jamel Boukhatem - 1-19 The Determinants Of Financial Instability In Emerging Countries
by Duc Hong Vo & Vuong Minh Nguyen & Phat Quang-Ton Le & Thach Ngoc Pham - 1-25 Pass-Through Rate Study For Hong Kong Banking Industry And Its Application To Nonmaturity Deposits Interest Rate Risk Management
by Zhifeng Wang & Fangying Wei & Yuzhou Fang
March 2019, Volume 14, Issue 01
- 1-16 Short-Term Herding Effect On Market Index Returns
by Andrey Kudryavtsev - 1-19 Simplified Option Pricing Techniques
by Moawia Alghalith & Christos Floros & Thomas Poufinas - 1-26 Quantile Analysis Of Investment In Private Participation In Infrastructure Projects
by Jie Yang & Wuqing Wu & Xiao Mao & Zongwu Cai - 1-26 Edgeworth Expansion For The Distribution Of The Maximum Likelihood Estimate In The Vasicek Model
by Qinwen Zhu & Hui Liu & Chengfeng Sun - 1-27 Investment Implications Of The Fractal Market Hypothesis
by Adam Karp & Gary Van Vuuren
December 2018, Volume 13, Issue 04
- 1-15 Testing The Long-Run Risk Model: A Kalman Filter Approach
by Jianqiu Wang & Ke Wu - 1-18 Asymmetric Impact Of Exchange Rate Changes On The Trade Balance: Does Global Financial Crisis Matter?
by Bisharat Hussain Chang & Suresh Kumar Oad Rajput & Niaz Hussain Ghumro - 1-24 Empirical Analysis Of Bitcoin Prices Using Threshold Time Series Models
by Rodolfo Angelo Magtanggol Iii De Guzman & Mike K. P. So - 1-24 Financial Liberalization And Stock Market Efficiency: Measuring The Threshold Effects Of Governance
by Navaz Naghavi & Muhammad Shujaat Mubarik & Devinder Kaur - 1-25 U.S. Diesel Fuel Price Responses To The Global Crude Oil Supply And Demand
by Bahram Adrangi & Arjun Chatrath & Joseph Macri & Kambiz Raffiee
September 2018, Volume 13, Issue 03
- 1-9 Concerning The Seizure Of Collateral In Collateralized Loan Markets
by Adriano Campos Menezes & Jaime Orrillo - 1-15 Time Diversification: Perspectives From The Economic Index Of Riskiness
by Richard Lu & Chen-Chen Yang & Wing-Keung Wong - 1-18 What Impact Does Inflation Targeting Have On The Real Economy Of Developing And Emerging Countries?
by Jose Angelo Divino - 1-20 Modeling The Dynamics Of International Agricultural Commodity Prices: A Comparison Of Garch And Stochastic Volatility Models
by Lu Yang & Shigeyuki Hamori - 1-37 Pricing Carbon Emissions In China
by Chia-Lin Chang & Te-Ke Mai & Michael Mcaleer
June 2018, Volume 13, Issue 02
- 1-13 A Note On The Lse Of Three-Regime Tar Model With An Infinite Variance
by Yaxing Yang & Shiqing Ling - 1-15 Herding In Crypto-Currency Markets
by Taufeeq Ajaz & Anoop S. Kumar - 1-23 Non-Parametric Multiple Change Point Analysis Of The Global Financial Crisis
by DAVID E. ALLEN & MICHAEL McALEER & ROBERT J. POWELL & ABHAY K. SINGH - 1-25 Evaluating The Accuracy Of Tail Risk Forecasts For Systemic Risk Measurement
by Christian Brownlees & Giuseppe Cavaliere & Alice Monti - 1-34 This Time It Is Different! Or Not? Discounting Past Data When Predicting The Future
by Philip Hans Franses & Eva Janssens
March 2018, Volume 13, Issue 01
- 1-2 Editorial Note: Review Papers For Annals Of Financial Economics
by MICHAEL McALEER - 1-17 Optimal Investment Strategy With Dividend Paying And Proportional Transaction Costs
by Charles. I. Nkeki - 1-20 Empirical Analysis Of The Relationship Between Oil And Precious Metals Markets
by Khaled Mokni - 1-20 Average Holding Price
by Yehong Liu & Guosheng Yin - 1-25 The Determinants Of A Simultaneous Crash In Gold And Stock Markets: An Ordered Logit Approach
by Takashi Miyazaki & Shigeyuki Hamori
December 2017, Volume 12, Issue 04
- 1-2 Editorial Note: Special Issues Of Annals Of Financial Economics (Afe)
by MICHAEL McALEER - 1-12 Corporate Financing Under Heterogeneous Beliefs
by Weining Niu - 1-20 Testing The Causalities Between Economic Policy Uncertainty And The Us Stock Indices: Applications Of Linear And Nonlinear Approaches
by Serdar Ongan & Ismet Gocer - 1-22 An Inclusive Criterion For An Optimal Choice Of Reinsurance
by El Attar Abderrahim & El Hachloufi Mostafa & Guennoun Zine El Abidine - 1-26 Optimal Investment And Optimal Additional Voluntary Contribution Rate Of A Dc Pension Fund In A Jump-Diffusion Environment
by Charles I. Nkeki
September 2017, Volume 12, Issue 03
- 1-17 Game Options
by Tumellano Sebehela - 1-18 The Dynamics Of Government Bond Yields In The Euro Zone
by Tanweer Akram & Anupam Das - 1-20 Biased Voluntary Disclosure, Earnings Target, And Product Market Competition
by Hao-Chang Sung & Chunsheng Yuan - 1-29 Derivation Of A Stochastic Loan Repayment Model For Valuing A Revenue-Based Loan Contract
by Hassan Mazengera - 1-30 Forecasting Of Oil And Agricultural Commodity Prices: Varma Versus Arma
by Mustafa Gülerce & Gazanfer Ünal
June 2017, Volume 12, Issue 02
- 1-21 Optimal Bank Capital And Impact Of The Mm Theorem: A Study Of The Pakistani Financial Sector
by Sumera Anis & Abdul Rashid - 1-21 Goodness-Of-Fit Test For Nonlinear Time Series Models
by Ngai Sze Han & Shiqing Ling - 1-22 Return And Volatility Spillover Between Sectoral Stock And Oil Price: Evidence From Pakistan Stock Exchange
by Muhammad Irfan Malik & Abdul Rashid - 1-26 Financial Constraints And Corporate Cash Holdings: An Empirical Analysis Using Firm Level Data
by Abdul Rashid & Maryam Ashfaq - 1-31 Explicit Formulae For Parameters Of Stochastic Models Of A Discounted Equity Index Using Maximum Likelihood Estimation With Applications
by K. Fergusson
March 2017, Volume 12, Issue 01
- 1-2 Connecting Theory And Empirics For Animal Spirits, Returns And Interest Rates: A Clarification Of “Risk-Free Rates And Animal Spirits In Financial Markets”
by Jukka Ilomäki - 1-18 Statistical Arbitrage In The Multi-Asset Black–Scholes Economy
by Ahmet Göncü & Erdinc Akyildirim - 1-19 A Statistical Risk Assessment Of Bitcoin And Its Extreme Tail Behavior
by Joerg Osterrieder & Julian Lorenz - 1-28 Individual Foreign Exchange Investors, Return Predictability And Market Timing
by Moustafa Abuelfadl - 1-33 Asymptotics Of Bond Yields And Volatilities For Extended Vasicek Models Under The Real-World Measure
by K. Fergusson
December 2016, Volume 11, Issue 04
- 1-7 A Note On Fergusson And Platen: “Application Of Maximum Likelihood Estimation To Stochastic Short Rate Models”
by Luca Vincenzo Ballestra & Graziella Pacelli & Davide Radi - 1-14 Risk Attitudes In The Board Room And Company Performance: Evidence For An Emerging Economy
by Denice Bodeutsch & Philip Hans Franses - 1-23 Capital Account, Institutional Quality, And Economic Growth In Mena Countries: A Gmm Approach
by Mohamed Ilyes Gritli & Fatma Marrakchi Charfi - 1-23 Incomplete Exchange Rate Pass-Through Transmission To Prices: An Svar Model For Tunisia
by Fatma Marrakchi Charfi & Mohamed Kadria - 1-28 A Multiscale Stochastic Conditional Duration Model
by Zhongxian Men & Tony S. Wirjanto & Adam W. Kolkiewicz
September 2016, Volume 11, Issue 03
- 1-10 Endogenizing Consumption Decision In The Frenkel–Jovanovic Stochastic Model Of Money Holding
by R. Ahalya & R. Ramanathan - 1-13 Spatial Patterns Of Economic Rents: Developing Suvarnabhumi International Airport, Thailand
by Chakarin Bejrananda & Yuk Lee & Thanchanok Bejrananda - 1-17 Market Risk Of Investment In Us Subprime Crisis: Comparison Of A Pure Diffusion And A Pure Jump Model
by Sharif Mozumder & Arafatur Rahman - 1-18 Risk-Free Rates And Animal Spirits In Financial Markets
by Jukka Ilomäki - 1-32 Pricing Covariance Swaps For Barndorff–Nielsen And Shephard Process Driven Financial Markets
by Semere Habtemicael & Indranil Sengupta
June 2016, Volume 11, Issue 02
- 1-12 Inferring The Economic Preference Of A Rental Vehicle Company By Modeling Its De-Fleeting Process
by Chuan-Hsiang Han & Jingren Shi & Suzhou Huang - 1-16 Portfolio Formation Memory
by Tumellano Sebehela - 1-17 Day-Of-The-Week Effect In Us Biotechnology Stocks — Do Policy Changes And Economic Cycles Matter?
by Swarn Chatterjee & Amy Hubble - 1-21 Modeling Dependency Of Volatility On Sampling Frequency Via Delay Equations
by Chuong Luong & Nikolai Dokuchaev - 1-29 Boundary Control Of The Black–Scholes Pde For Option Dynamics Stabilization
by Gerasimos G. Rigatos
March 2016, Volume 11, Issue 01
- 1-8 A General Optimal Investment Model In The Presence Of Background Risk
by Moawia Alghalith & Xu Guo & Wing-Keung Wong & Lixing Zhu - 1-11 Market Competition, Arbitrage Risk, And Capital Structure: Evidence From Taiwan
by Yu-En Lin & Hsiang-Hsuan Chih & Chia-Hsin Cheng & Yan-Qing Ku - 1-13 Estimating Preference Parameters From Stock Returns Using Simulated Method Of Moments
by Anindya Biswas & Biswajit Mandal - 1-26 Rational Learning For Risk-Averse Investors By Conditioning On Behavioral Choices
by Michele Costola & Massimiliano Caporin - 1-33 Short Rate Forecasting Based On The Inference From The Cir Model For Multiple Yield Curve Dynamics
by Lin-Yee Hin & Nikolai Dokuchaev
December 2015, Volume 10, Issue 02
- 1-14 Predicting By Learning: An Adaptive Rationale
by Kaihua Deng - 1-18 The Impact Of Internal Control On Firm’S Risk And Performance
by Yu-En Lin & Hsiang-Hsuan Chih & Chia-Hsien Tang & Tai-Hsun Huang - 1-20 Elucidating Equity Premium Using Corporate Dividends And Habit Formation
by Jow-Ran Chang & Hsu-Hsien Chu - 1-23 Construction Of Models For Bounded Price Processes: The Case Of The Hkd Exchange Rate
by Hong Ben Yee & Nikolai Dokuchaev - 1-25 IMPROVED DETECTION OF RARE-EVENT RISK OF A PORTFOLIO WITH U.S. REITs
by Leh-Chyan So & Jun-Yang Yu - 1-26 Volatility In Copper Prices In India
by Nidhi Choudhary & Girish K. Nair & Harsh Purohit - 1-26 Application Of Maximum Likelihood Estimation To Stochastic Short Rate Models
by K. Fergusson & E. Platen - 1-27 Predicting Stock Returns — The Information Content Of Predictors Across Horizons
by Kaihua Deng & Chang-Jin Kim - 1-34 Optimal Portfolios Of Corporate Bonds And Hold To Maturity Strategies
by Yaacov Kopeliovich - 1-38 Asset Pricing With Non-Geometric Type Of Dividends
by Akira Yamazaki
2015, Volume 10, Issue 01
- 1-20 Don'T Put All Your Eggs On One Basket: The Lesson From Detroit'S Bankruptcy
by Yu Peng Lin - 1-21 Off-Balance Sheet Activities And Bank Risks: An Investigation Of The Listed Commercial Banks In China (1999–2013)
by Kangwei Ye - 1-23 Is Bitcoin Business Income Or Speculative Foolery? New Ideas Through An Improved Frequency Domain Analysis
by Jamal Bouoiyour & Refk Selmi & Aviral Kumar Tiwari - 1-23 The Disposition Effect, Escalation Of Commitment And Herding Behavior Of Mutual Fund Managers
by Yu-En Lin & Hsiang-Hsuan Chih & Tai-Hsun Huang & Chia-Hsien Tang - 1-25 On The Impact Of The Boundary On Dynamics: Anti-Persistence In The Case Of The Hkd Exchange Rate Corridor
by Hong Ben Yee - 1-29 Consolidation Within The Banking Sector And Savings Deposits: Effects On Liquidity, Output, And Profitability Within The Nigerian Economy
by Oghenovo Adewale Obrimah & Chidinma Edith Ebere - 1-29 Forecasting Value-At-Risk With Time-Varying Variance, Skewness And Kurtosis In An Exponential Weighted Moving Average Framework
by Alexandros Gabrielsen & Axel Kirchner & Zhuoshi Liu & Paolo Zagaglia
2014, Volume 09, Issue 03
- 1-19 Analysis Of Market Volatility Via A Dynamically Purified Option Price Process
by Chuong Luong & Nikolai Dokuchaev - 1-19 The "Delta" Of The Margrabe Formula
by Tumellano Sebehela - 1-29 Bayesian Estimation Of Asymmetric Jump-Diffusion Processes
by Samuel J. Frame & Cyrus A. Ramezani
2014, Volume 09, Issue 02
- 1-1 Editorial Note: Introduction To The Inaugural Special Issue
by Michael McAleer - 1-7 Recent Developments In Quantitative Finance: An Overview
by Chia-Lin Chang & Shing-Yang Hu & Shih-Ti Yu - 1-10 Qmle Of A Standard Exponential Acd Model: Asymptotic Distribution And Residual Correlation
by Chor-Yiu Sin - 1-13 Using Two-Part Quantile Regression To Analyze How Earnings Shocks Affect Stock Repurchases
by Chih-Yi Chi & Shih-Ti Yu & Yi Tzu Li & Yu-Lung Lu - 1-20 Actuarial Implications Of Structural Changes In El Niño-Southern Oscillation Index Dynamics
by Shu-Ling Chen & Yu-Lieh Huang - 1-22 Credit Spreads And Bankruptcy Information From Options Data
by Chi-Feng Tzeng - 1-23 The Impact Of Acquisitions On New Technology Stocks: The Google–Motorola Case
by Renfei Gao & Cindy S. H. Wang & Christian M. Hafner - 1-24 Searching For Landmines In Equity Markets
by Bi-Juan Chang & Jow-Ran Chang & Mao-Wei Hung - 1-26 Testing Price Pressure, Information, Feedback Trading, And Smoothing Effects For Energy Exchange Traded Funds
by Chia-Lin Chang & Yu-Pei Ke