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Content
2016, Volume 16, Issue C
- 208-219 Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy
by Lian, Yu-Min & Chen, Jun-Home & Liao, Szu-Lang
- 220-229 Pricing options under the non-affine stochastic volatility models: An extension of the high-order compact numerical scheme
by Shi, Guangping & Liu, Xiaoxing & Tang, Pan
- 230-238 Optimal rates from eigenvalues
by Carr, Peter & Worah, Pratik
- 239-247 Openness endangers your wealth: Noise trading and the big five
by Kleine, Jens & Wagner, Niklas & Weller, Tim
- 248-254 A note on why doesn't the choice of performance measure matter?
by Guo, Biao & Xiao, Yugu
- 255-267 On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations
by Auer, Benjamin R.
- 268-274 How do independent directors view powerful CEOs? Evidence from a quasi-natural experiment
by Jiraporn, Pornsit & Jumreornvong, Seksak & Jiraporn, Napatsorn & Singh, Simran
- 275-282 Overseas market shocks and VKOSPI dynamics: A Markov-switching approach
by Song, Wonho & Ryu, Doojin & Webb, Robert I.
- 283-289 The betting against beta anomaly: Fact or fiction?
by Buchner, Axel & Wagner, Niklas
- 290-300 On the structural estimation of an optimal portfolio rule
by Castañeda, Pablo & Devoto, Benjamín
2015, Volume 15, Issue C
- 1-10 Measuring the impact of extreme observations on CAPM alphas: Some methodological issues
by De Moor, Lieven & Sercu, Piet
- 11-17 A note on minimum riskiness hedge ratio
by Ehsani, Sina & Lien, Donald
- 18-30 How integrated is the European carbon derivatives market?
by Mazza, Paolo & Petitjean, Mikael
- 31-40 Fama–MacBeth two-pass regressions: Improving risk premia estimates
by Bai, Jushan & Zhou, Guofu
- 41-48 Testing the expectations hypothesis for the Eurozone: A nonlinear cointegration analysis
by Araç, Ayşen & Yalta, A. Yasemin
- 49-58 Granger causality and systemic risk
by Balboa, Marina & López-Espinosa, Germán & Rubia, Antonio
- 59-67 Intermediate-term momentum and credit rating
by Haga, Jesper
- 68-77 Predicting volatility of the Shanghai silver futures market: What is the role of the U.S. options market?
by Luo, Xingguo & Ye, Zinan
- 78-84 A simple and general approach to fitting the discount curve under no-arbitrage constraints
by Fengler, Matthias R. & Hin, Lin-Yee
- 85-92 Capital market seasonality: The curious case of large foreign stocks
by Guan, Xian & Saxena, Konark
- 93-98 Diversification discount over the long run: New perspectives
by Mazur, Mieszko & Zhang, Shage
- 99-105 Economic policy uncertainty and stock market volatility
by Liu, Li & Zhang, Tao
- 106-114 Minimizing the expected lifetime spent in drawdown under proportional consumption
by Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R.
- 115-124 Cultural differences and the structure of loan syndicates
by Kleimeier, Stefanie & Chaudhry, Sajid M.
- 125-132 Quadratic hedging strategies for volatility swaps
by Wang, Xingchun & Fu, Jianping & Wang, Guanying & Wang, Yongjin
- 133-137 Cointegration of the prices of gold and silver: RALS-based evidence
by Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian
- 138-145 Equilibrium option pricing: A Monte Carlo approach
by Buchner, Axel
- 146-159 Portfolio selection with independent component analysis
by Hitaj, Asmerilda & Mercuri, Lorenzo & Rroji, Edit
- 160-166 Cross-listing decisions and the foreign bias of investors
by Dodd, Olga & Frijns, Bart
- 167-174 Does individual-stock skewness/coskewness reflect portfolio risk?
by Kim, Thomas
- 175-186 Sample dependency during unconditional credit capital estimation
by Ferrer, Alex & Casals, José & Sotoca, Sonia
- 187-194 Analyst recommendations and volatility in a rising, falling, and crisis equity market
by Corbet, Shaen & Dowling, Michael & Cummins, Mark
- 195-207 Longevity bond pricing under the threshold CIR model
by Dong, Fangyuan & Wong, Hoi Ying
- 208-214 Unique equilibrium in a model of takeovers involving block trades and tender offers
by Oh, Frederick Dongchuhl & Baek, Sangkyu
- 215-220 The pricing of embedded lease options
by Amédée-Manesme, Charles-Olivier & des Rosiers, François & Grégoire, Philippe
- 221-231 The impacts of institutional and individual investors on the price discovery in stock index futures market: Evidence from China
by Xu, Feng & Wan, Difang
- 232-238 Credit contagion and competitive effects of bond rating downgrades along the supply chain
by Chang, Jung-Hsien & Hung, Mao-Wei & Tsai, Feng-Tse
- 239-245 The political risk factor in emerging, frontier, and developed stock markets
by Dimic, Nebojsa & Orlov, Vitaly & Piljak, Vanja
- 246-256 Capital cyclicality, conditional coverage and long-term capital assessment
by Ferrer, Alex & Casals, José & Sotoca, Sonia
- 257-265 Stock return predictability in South Africa: The role of major developed markets
by Wen, Yi-Chieh & Lin, Philip T. & Li, Bin & Roca, Eduardo
- 266-273 Investor sentiment and portfolio selection
by Fu, Chengbo & Jacoby, Gady & Wang, Yan
2015, Volume 14, Issue C
- 1-10 Asymptotic expansion of European options with mean-reverting stochastic volatility dynamics
by Hu, Jun & Kanniainen, Juho
- 11-19 Should Islamic investors consider SRI criteria in their investment strategies?
by Erragraguy, Elias & Revelli, Christophe
- 20-28 Block-ownership structure, bank nominee director and crash-risk
by Chauhan, Yogesh & Wadhwa, Kavita & Syamala, Sudhakar Reddy & Goyal, Abhinav
- 29-35 Does CSR have different value implications for different shareholders?
by Chen, Ester & Gavious, Ilanit
- 36-44 The benefits of combining seasonal anomalies and technical trading rules
by Gebka, Bartosz & Hudson, Robert S. & Atanasova, Christina V.
- 45-55 Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley
by Ballestra, Luca Vincenzo & Cecere, Liliana
- 56-63 On corporate capital structure adjustments
by Dang, Viet Anh & Garrett, Ian
- 64-68 Do scholars in Economics and Finance react to alphabetical discrimination?
by Kadel, Annke & Walter, Andreas
- 69-75 An analysis of loan loss provisioning behaviour in Vietnamese banking
by Bryce, Cormac & Dadoukis, Aristeidis & Hall, Maximilian & Nguyen, Linh & Simper, Richard
- 76-86 Optimal investment of private equity
by Liu, Yang & Yang, Jinqiang
- 87-92 Technology upgrades in emerging equity markets: Effects on liquidity and trading activity
by Yılmaz, Mustafa Kemal & Erdem, Orhan & Eraslan, Veysel & Arık, Evren
- 93-103 Equity returns of distressed equity issuers
by Park, James L.
- 104-110 Role of single largest investors: Examples of mutual funds and acquisitions
by Bi, XiaoGang & Wang, Danni
- 111-116 Investor attention to the Eurozone crisis and herding effects in national bank stock indexes
by Peltomäki, Jarkko & Vähämaa, Emilia
- 117-127 Price strategies in a vertically differentiated mutual fund market
by Lemeunier, Sébastien M. & Charléty, Patricia
- 128-134 Intraday exchange rate volatility transmissions across QE announcements
by Kenourgios, Dimitris & Papadamou, Stephanos & Dimitriou, Dimitrios
- 135-141 Does gender diverse board mean less earnings management?
by Kyaw, Khine & Olugbode, Mojisola & Petracci, Barbara
- 142-149 A comparison of the convenience yield and interest-adjusted basis
by Fouquau, Julien & Six, Pierre
- 150-159 A compensation scheme for optimal investment decisions
by Cardoso, David & Pereira, Paulo J.
- 160-166 Eurozone network “Connectedness” after fiscal year 2008
by Cimini, Riccardo
- 167-177 Credit rationing for Portuguese SMEs
by Farinha, Luísa & Félix, Sónia
- 178-187 The optimal pricing of a market maker in a heterogeneous agent economy
by Guo, Bin & Zhang, Wei & Chen, Shu-Heng & Zhang, Yongjie
2015, Volume 13, Issue C
- 1-9 Rational speculative bubbles in the US stock market and political cycles
by Wang, Miao & Wong, M. C. Sunny
- 10-16 Effects of macroeconomic uncertainty on the stock and bond markets
by Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun
- 17-28 Investment, firm performance and securitization: Evidence from industrial companies
by Riachi, Ilham & Schwienbacher, Armin
- 29-35 A simple model of market valuation and trend reversion for U.S. equities: 100 Years of bubbles, non-bubbles, and inverse-bubbles
by Godek, Paul E.
- 36-44 The intrinsic bounds on the risk premium of Markovian pricing kernels
by Han, Jihun & Park, Hyungbin
- 45-53 What drives gold returns? A decision tree analysis
by Malliaris, A.G. & Malliaris, Mary
- 54-65 Modelling default risk with occupation times
by Makarov, R. & Metzler, A. & Ni, Z.
- 66-73 Net payout return: An alternative to the traditional returns approach based on dividends and share repurchases
by Brawn, Derek & Sevǐc, Aleksandar
- 74-80 Are emerging MENA stock markets mean reverting? A Monte Carlo simulation
by Neaime, Simon
- 81-89 The mispricing of socially ambiguous grey stocks
by Lam, Swee-Sum & Zhang, Weina & Jacob, Gabriel Henry
- 90-96 Revisiting the earnings–price effect: The importance of future earnings
by Chen, Li-Wen & Yu, Hsin-Yi & Huang, Hsu-Huei
- 97-104 Testing equality of modified Sharpe ratios
by Ardia, David & Boudt, Kris
- 105-112 Does corporate governance influence corporate risk-taking? Evidence from the Institutional Shareholders Services (ISS)
by Jiraporn, Pornsit & Chatjuthamard, Pattanaporn & Tong, Shenghui & Kim, Young Sang
- 113-124 The investment management for a downside-protected equity-linked annuity under interest rate risk
by Han, Nan-Wei & Hung, Mao-Wei
- 125-129 Stock market interdependence between China and the world: A multi-factor R-squared approach
by He, Hongbo & Chen, Shou & Yao, Shujie & Ou, Jinghua
- 130-136 Player absence and betting lines in the NBA
by Dare, William H. & Dennis, Steven A. & Paul, Rodney J.
- 137-147 Volatility spillovers in the European bank CDS market
by Alemany, Aida & Ballester, Laura & González-Urteaga, Ana
- 148-154 Determining the economic value of ambiguous loan portfolios
by Parnes, Dror
- 155-162 Strategic coordination in forecasting – An experimental study
by Meub, Lukas & Proeger, Till & Bizer, Kilian & Spiwoks, Markus
- 163-171 Political risk, investor attention and the Scottish Independence referendum
by Acker, Daniella & Duck, Nigel W.
- 172-178 Predicting the equity premium with the demand for gold coins and bars
by Baur, Dirk G. & Löffler, Gunter
- 179-187 Investment timing and capital structure with loan guarantees
by Xiang, Hua & Yang, Zhaojun
- 188-195 Innovation in pyramidal ownership structures
by Gavious, Ilanit & Hirsh, Nimrod & Kaufman, Dan
- 196-204 Predicting severe simultaneous bear stock markets using macroeconomic variables as leading indicators
by Wu, Shue-Jen & Lee, Wei-Ming
- 205-213 Security analysts’ target prices and takeover premiums
by Gerritsen, Dirk F.
- 214-224 Bank insolvency risk and Z-score measures: A refinement
by Lepetit, Laetitia & Strobel, Frank
- 225-233 Higher order comoments of multifactor models and asset allocation
by Boudt, Kris & Lu, Wanbo & Peeters, Benedict
- 234-242 The similarity of ECB’s communication
by Amaya, Diego & Filbien, Jean-Yves
- 243-257 The instability of the Pearson correlation coefficient in the presence of coincidental outliers
by Kim, Yunmi & Kim, Tae-Hwan & Ergün, Tolga
2015, Volume 12, Issue C
- 2-10 A common jump factor stochastic volatility model
by Laurini, Márcio Poletti & Mauad, Roberto Baltieri
- 11-16 Compensation and competition for talent: Evidence from the financial industry
by Giannetti, Mariassunta & Metzger, Daniel
- 17-22 Cross-sectional anomalies and volatility risk in different economic and market cycles
by Peltomäki, Jarkko & Äijö, Janne
- 23-37 Detecting structural changes using wavelets
by Yazgan, M. Ege & Özkan, Harun
- 38-47 Testing for asymmetric causality between U.S. equity returns and commodity futures returns
by Nguyen, Duc Khuong & Sousa, Ricardo M. & Uddin, Gazi Salah
- 48-57 A regret theory of capital structure
by Wong, Kit Pong
- 58-66 Weakening the Gain–Loss-Ratio measure to make it stronger
by Voelzke, Jan
- 67-76 Stochastic volatility and leverage: Application to a panel of S&P500 stocks
by Ozturk, Serda Selin & Richard, Jean-Francois
- 77-91 Long memory and the relation between options and stock prices
by Huang, Teng-Ching & Tu, Yu-Chen & Chou, Heng-Chih
- 92-99 Time variation in the relative importance of permanent and transitory components in the U.S. housing market
by Kishor, N. Kundan & Kumari, Swati & Song, Suyong
- 100-108 Currency competition between the dollar and euro: Evidence from exchange rate behaviors
by Eun, Cheol S. & Kim, Soo-Hyun & Lee, Kyuseok
- 109-116 Estimating the effect of entrenched boards on firm value using geographic identification
by Chintrakarn, Pandej & Jiraporn, Pornsit & Tong, Shenghui & Chatjuthamard, Pattanaporn
- 117-133 Conditional Sharpe Ratios
by Chow, Victor & Lai, Christine W.
2014, Volume 11, Issue 4
- 319-325 Can analysts predict rallies better than crashes?
by Medovikov, Ivan
- 326-331 Insurance demand and first-order risk increases under (μ,σ)-preferences revisited
by Eichner, Thomas & Wagener, Andreas
- 332-340 Hedging house price risk with futures contracts after the bubble burst
by Schorno, Patrick J. & Swidler, Steve M. & Wittry, Michael D.
- 341-348 Is gold a safe haven against equity market investment in emerging and developing countries?
by Gürgün, Gözde & Ünalmış, İbrahim
- 349-361 Reward for failure and executive compensation in institutional investors
by Loyola, Gino & Portilla, Yolanda
- 362-368 Sell in May and Go Away: Evidence from China
by Guo, Biao & Luo, Xingguo & Zhang, Ziding
- 369-374 Investing in gold: Individual asset risk in the long run
by Michis, Antonis A.
- 375-384 A sovereign risk index for the Eurozone based on stochastic dominance
by Agliardi, Elettra & Pinar, Mehmet & Stengos, Thanasis
- 385-397 The structure of equity markets across countries: Scarcity and stock valuations
by Braun, Matías
- 398-409 Macroeconomic conditions and a firm’s investment decisions
by Jeon, Haejun & Nishihara, Michi
- 410-419 Constructing a financial fragility index for emerging countries
by Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk
- 420-428 Overnight information flow and realized volatility forecasting
by Todorova, Neda & Souček, Michael
- 429-436 Optimal portfolio choice for investors with industry-specific labor income risks
by Tsai, Hui-Ju & Wu, Yangru
- 437-445 A sequential pricing framework for corporate securities: The case of rating-trigger step-up/-down bonds
by Bank, Matthias & Kupfer, Alexander
- 446-453 European business cycles and stock return predictability
by Zhu, Yanjian & Zhu, Xiaoneng
- 454-462 Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX
by Onan, Mustafa & Salih, Aslihan & Yasar, Burze
- 463-469 Do investors hold that they know? Impact of familiarity bias on investor’s reluctance to realize losses: Experimental approach
by Bulipopova, Ekaterina & Zhdanov, Vladislav & Simonov, Artem
2014, Volume 11, Issue 3
- 183-193 Computing present values: Capital budgeting done correctly
by Jarrow, Robert
- 194-202 Improved method for static replication under the CEV model
by Tsai, Wei-Che
- 203-212 Unconventional monetary policies and the corporate bond market
by Guidolin, Massimo & Orlov, Alexei G. & Pedio, Manuela
- 213-218 Foreign exchange customers and dealers: Who’s driving whom?
by Gradojevic, Nikola
- 219-223 Insurance demand and first order risk increases under (μ,σ)-preferences
by Bonilla, Claudio A. & Ruiz, Jose L.
- 224-230 Credit risk assessment of fixed income portfolios using explicit expressions
by Pagnoncelli, Bernardo K. & Cifuentes, Arturo
- 231-237 The bond–stock mix under time-varying interest rates and predictable stock returns
by Leirvik, Thomas
- 238-246 Stabilizing the market with short sale constraint? New evidence from price jump activities
by Yeh, Jin-Huei & Chen, Lien-Chuan
- 247-253 Explaining breakdowns in interbank lending: A bilateral bargaining model
by Vollmer, Uwe & Wiese, Harald
- 254-258 Long-term government bond yields and macroeconomic fundamentals: Evidence for Greece during the crisis-era
by Chionis, Dionysios & Pragidis, Ioannis & Schizas, Panagiotis
- 259-271 Bankruptcy risk induced by career concerns of regulators
by Cole, John A. & Cadogan, Godfrey
- 272-281 The influence of moral hazard on investment in financially constrained and unconstrained firms
by Keefe, Michael O’Connor & Kieschnick, Robert
- 282-288 A new strategy using term-structure dynamics of commodity futures
by Kim, Soo-Hyun & Kang, Hyoung-Goo
- 289-294 The effect of CEO luck on the informativeness of stock prices: Do lucky CEOs improve stock price informativeness?
by Chintrakarn, Pandej & Jiraporn, Pornsit & Jiraporn, Napatsorn
- 295-302 Shortage function and portfolio selection: On some special cases and extensions
by Briec, Walter & Oms, Laurence & Paget-Blanc, Eric
- 303-317 The value premium, aggregate risk innovations, and average stock returns
by Lindaas, Knut F. & Simlai, Prodosh
2014, Volume 11, Issue 2
- 64-73 Overconfidence, risk perception and the risk-taking behavior of finance professionals
by Broihanne, M.H. & Merli, M. & Roger, P.
- 74-83 The cost of firms’ debt financing and the global financial crisis
by Pianeselli, Daniele & Zaghini, Andrea
- 84-90 Board directors’ preferences – What are good aggregation rules?
by Duran, Mihael
- 91-103 Upfront versus rating contingent fees: Implications for rating quality
by Ozerturk, Saltuk
- 104-111 Gender heterogeneity in the sell-side analyst recommendation issuing process
by Bosquet, Katrien & de Goeij, Peter & Smedts, Kristien
- 112-121 Are stock markets really so inefficient? The case of the “Halloween Indicator”
by Dichtl, Hubert & Drobetz, Wolfgang
- 122-130 News sentiment and the investor fear gauge
by Smales, Lee A.
- 131-139 Contagion effect on bond portfolio risk measures in a hybrid credit risk model
by Boudreault, Mathieu & Gauthier, Geneviève & Thomassin, Tommy
- 140-152 The relationship with REITs and bank loans: Capital structure perspectives
by Hung, Chih-Hsing & Chen, Ming-Chi & Lin, Wen-Yuan
- 153-160 Investors’ aspirations and portfolio performance
by Magron, Camille
- 161-172 Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model
by Chen, Son-Nan & Chiang, Mi-Hsiu & Hsu, Pao-Peng & Li, Chang-Yi
- 173-182 Testing excess returns on event days: Log returns vs. dollar returns
by Duarte-Silva, Tiago & Tripolski Kimel, Maria
2014, Volume 11, Issue 1
- 1-7 GDP growth and the yield curvature
by Møller, Stig V.
- 8-15 The Mills Ratio and the behavior of redeemable bond prices in the Gaussian structural model of corporate default
by Spencer, Peter
- 16-24 Optimal multi-period consumption and investment with short-sale constraints
by Arısoy, Yakup Eser & Altay-Salih, Aslıhan & Pınar, Mustafa Ç
- 25-35 On the investment–uncertainty relationship: A game theoretic real option approach
by Lukas, Elmar & Welling, Andreas
- 36-46 Country world betas: The link between the stock market beta and macroeconomic beta
by Ülkü, Numan & Baker, Saleh
- 47-53 Internal capital market studies in empirical banking: Biases due to usage of assets instead of risk capital?
by Glaser, Markus & Riepe, Jan
- 54-62 Estimation accuracy of high–low spread estimator
by Lin, Chien-Chih
2013, Volume 10, Issue 4
- 151-156 The zero-lower bound on interest rates: Myth or reality?
by Jarrow, Robert A.
- 157-168 Operational risk and equity prices
by Shafer, Michael & Yildirim, Yildiray
- 169-174 The effect of corporate governance on CEO luck: Evidence from the Institutional Shareholder Services (ISS)
by Chintrakarn, Pandej & Jiraporn, Pornsit & Kim, J.C.
- 175-183 Insured uncovered interest parity
by Tse, Yiuman & Wald, John K.
- 184-195 Dividend sensitivity to economic factors, stock valuation, and long-run risk
by Bergeron, Claude
- 196-208 Performance hypothesis testing with the Sharpe ratio: The case of hedge funds
by Auer, Benjamin R. & Schuhmacher, Frank
2013, Volume 10, Issue 3
- 103-109 Development and freedom as risk management
by Chowdhry, Bhagwan & Roll, Richard & Saxena, Konark
- 110-115 Histogram-based prediction of directional price relatives
by Roch, Oriol
- 116-123 Information risk and credit contagion
by Huang, Alex YiHou & Cheng, Chiao-Ming
- 124-130 Optimal capital structure and the impact of time-to-build
by Agliardi, Elettra & Koussis, Nicos
- 131-141 Leverage vs. feedback: Which Effect drives the oil market?
by Aboura, Sofiane & Chevallier, Julien
- 142-150 Mean–variance dominant trading strategies
by Galvani, Valentina & Gubellini, Stefano
2013, Volume 10, Issue 2
- 50-57 Asset pricing with skewed-normal return
by Carmichael, Benoıˆt & Coën, Alain
- 58-71 Transfer of information by an informed trader
by Dev, Pritha
- 72-81 Composition of robust equity portfolios
by Kim, Jang Ho & Kim, Woo Chang & Fabozzi, Frank J.
- 82-92 The over-optimism of financial analysts and the long-run performance of firms following private placements of equity
by Lin, Wen-Chun & Chang, Shao-Chi & Chen, Sheng-Syan & Liao, Tsai-Ling
- 93-101 Simulated testing of nonparametric measure changes for hedging European options
by Smith, Godfrey
2013, Volume 10, Issue 1
- 1-11 A value premium without operating leverage
by Guthrie, Graeme
- 12-16 Divergence in credit ratings
by Rablen, Matthew D.
- 17-26 Superconvergence of the finite element solutions of the Black–Scholes equation
by Golbabai, A. & Ballestra, L.V. & Ahmadian, D.
- 27-33 Assessing the profitability of intraday opening range breakout strategies
by Holmberg, Ulf & Lönnbark, Carl & Lundström, Christian
- 34-40 Time varying stock return predictability: Evidence from US sectors
by Guidolin, Massimo & McMillan, David G. & Wohar, Mark E.
- 41-48 A generalised arbitrage-free Nelson–Siegel model: The impact of unspanned stochastic volatility
by Chen, Rui & Du, Ke
2012, Volume 9, Issue 4
- 183-193 The real effects of delisting: Evidence from a regression discontinuity design
by Bakke, Tor-Erik & Jens, Candace E. & Whited, Toni M.
- 194-201 The relationship between reciprocal currency futures prices
by Bick, Avi
- 202-212 Spatial modeling of stock market comovements
by Fernández-Avilés, Gema & Montero, Jose-María & Orlov, Alexei G.
- 213-219 GARCH processes with skewed and leptokurtic innovations: Revisiting the Johnson Su case
by Simonato, Jean-Guy
- 220-230 Hard assets: The returns on rare diamonds and gems
by Renneboog, Luc & Spaenjers, Christophe
- 231-237 Empirical bias in intraday volatility measures
by Fang, Yan & Ielpo, Florian & Sévi, Benoît
2012, Volume 9, Issue 3
- 111-120 Auctions vs. negotiations in takeovers with initial stakes
by Loyola, Gino
- 121-134 Robust estimation of covariance and its application to portfolio optimization
by Huo, Lijuan & Kim, Tae-Hwan & Kim, Yunmi
- 135-143 Discrete time hedging with liquidity risk
by Ku, Hyejin & Lee, Kiseop & Zhu, Huaiping
- 144-156 Option pricing and ARCH processes
by Zumbach, Gilles
- 157-166 Can dual-currency sovereign CDS predict exchange rate returns?
by Pu, Xiaoling & Zhang, Jianing
- 167-175 Measuring economic uncertainty and its impact on the stock market
by Dzielinski, Michal
- 176-181 Barrier option pricing for exchange rates under the Levy–HJM processes
by Hsu, Pao-Peng & Chen, Ying-Hsiu
2012, Volume 9, Issue 2
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