Printed from https://ideas.repec.org/s/kap/apfinm.html
Content
September 2022, Volume 29, Issue 3
- 381-409 Algorithmic Trading Efficiency and its Impact on Market-Quality
by Ritesh Kumar Dubey & A. Sarath Babu & Rajneesh Ranjan Jha & Urvashi Varma - 411-447 Indonesia’s Financial Markets and Monetary Policy Dynamics Amid the COVID-19 Pandemic
by Eric Alexander Sugandi - 449-476 Month-of-the-Year Effect: Empirical Evidence from Indian Stock Market
by Rajesh Elangovan & Francis Gnanasekar Irudayasamy & Satyanarayana Parayitam - 477-505 Bank Performance and Noninterest Income: Evidence from Countries in the Asian Region
by Sherika Antao & Ajit Karnik - 507-526 A Bayesian Graphical Approach for Large-Scale Portfolio Management with Fewer Historical Data
by Sakae Oya - 527-568 Short Term Stress of Covid-19 on World Major Stock Indices
by Muhammad Rehan & Jahanzaib Alvi & Süleyman Serdar Karaca - 569-603 The Impact of the Real Interest Rate, the Exchange Rate and Political Stability on Foreign Direct Investment Inflows: A Comparative Analysis of G7 and GCC Countries
by Faris Alshubiri
June 2022, Volume 29, Issue 2
- 139-170 Information Quality and the Expected Rate of Return: A Structural Equation Modelling Approach
by Max Schreder & Pawel Bilinski - 171-193 Comparing Dynamic and Static Performance Indexes in the Stock Market: Evidence From Japan
by Jiro Hodoshima & Toshiyuki Yamawake - 195-220 Liquidity and Volatility of Stocks Moved from the Main Market to the Alternative Investment Market (AIM)
by Mona Mortazian - 221-252 Corporate Social Responsibility: Is Too Much Bad?—Evidence from India
by Ved Dilip Beloskar & S. V. D. Nageswara Rao - 253-289 Optimal Pair–Trade Execution with Generalized Cross–Impact
by Masamitsu Ohnishi & Makoto Shimoshimizu - 291-325 Shareholder Disputes and Commonality in Liquidity: Evidence from the Equity Markets in China
by Mu-Shun Wang - 327-355 Examining the Performance of Islamic and Conventional Stock Indices: A Comparative Analysis
by Mehmet Asutay & Yumeng Wang & Alija Avdukic - 357-379 Both Sensitive Value Measure and its Applications
by Yoshio Miyahara
March 2022, Volume 29, Issue 1
- 1-3 Green and Sustainable Finance in the Asia-Pacific Markets: An Introduction to the Special Issue
by Toan Luu Duc Huynh & Thomas Walther & Sebastian Utz - 5-32 Values-Based and Global Systemically Important Banks: Their Stability and the Impact of Regulatory Changes After the Financial Crisis on it
by Theresa Schäfer & Sebastian Utz - 33-78 Foreign Direct Investments, Renewable Electricity Output, and Ecological Footprints: Do Financial Globalization Facilitate Renewable Energy Transition and Environmental Welfare in Bangladesh?
by Muntasir Murshed & Mohamed Elheddad & Rizwan Ahmed & Mohga Bassim & Ei Thuzar Than - 79-93 Energy Consumption and Bitcoin Market
by Anh Ngoc Quang Huynh & Duy Duong & Tobias Burggraf & Hien Thi Thu Luong & Nam Huu Bui - 95-95 Correction to: Energy Consumption and Bitcoin Market
by Anh Ngoc Quang Huynh & Duy Duong & Tobias Burggraf & Hien Thi Thu Luong & Nam Huu Bui - 97-122 Does ESG Certification Improve Price Efficiency in the Chinese Stock Market?
by Chunying Wu & Xiong Xiong & Ya Gao - 123-137 Investor Attention and the Carbon Emission Markets in China: A Nonparametric Wavelet-Based Causality Test
by Yongjie Zhang & Yue Li & Dehua Shen
December 2021, Volume 28, Issue 4
- 469-497 Is Being “Robust” Beneficial? A Perspective from the Indian Market
by Mohammed Bilal Girach & Shashank Oberoi & Siddhartha P. Chakrabarty - 499-526 Frontier Markets, Liberalization and Informational Efficiency: Evidence from Vietnam
by Cesario Mateus & Bao Trung Hoang - 527-561 The Relationship Between China’s Real Estate Market and Industrial Metals Futures Market: Evidence from Non-price Measures of the Real Estate Market
by Xiangyu Chen & Jittima Tongurai - 563-585 Bankruptcy risk dependence structure using the INAR model comprising macroeconomic indicators applied to stress tests
by Teruo Kemmotsu - 587-611 Applying Technical Trading Rules to Beat Long-Term Investing: Evidence from Asian Markets
by Thomas S. Coe & Kittipong Laosethakul - 613-647 Network Interdependence and Optimization of Bank Portfolios from Developed and Emerging Asia Pacific Countries
by Jose Arreola Hernandez & Sang Hoon Kang & Ron P. McIver & Seong-Min Yoon - 649-665 Financial Network Connectedness and Systemic Risk During the COVID-19 Pandemic
by Mike K. P. So & Lupe S. H. Chan & Amanda M. Y. Chu - 667-689 Stocks Recommendation from Large Datasets Using Important Company and Economic Indicators
by Kartikay Gupta & Niladri Chatterjee
September 2021, Volume 28, Issue 3
- 333-352 Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics
by João Cruz & João Nicolau & Paulo M. M. Rodrigues - 353-366 Index Future Trading and Spot Market Volatility in Frontier Markets: Evidence from Ho Chi Minh Stock Exchange
by Loc Dong Truong & Anh Thi Kim Nguyen & Dut Van Vo - 367-396 Evaluating Financial System Stability Using Heatmap from Aggregate Financial Stability Index with Change Point Analysis Approach
by Apriliani Gustiana & Nasrudin - 397-427 Stock Crashes and Jumps Reactions to Information Demand and Supply: An Intraday Analysis
by Gang Chu & Xiao Li & Dehua Shen & Yongjie Zhang - 429-448 Directional Spillover Effects Between BRICS Stock Markets and Economic Policy Uncertainty
by Ngo Thai Hung - 449-467 The Short-Selling Hypothesis of Weekend Effect and T + 1 Trading Mechanism
by Xiao Li & Bin Liu
June 2021, Volume 28, Issue 2
- 153-168 On Hoover’s Scale-Free Forecast Accuracy Metric MAD/MEAN
by Louie Ren & Peter Ren - 169-206 Risk-Sensitive Asset Management with Lognormal Interest Rates
by Hiroaki Hata - 207-241 Managerial Ability and External Financing
by Min-Rui Choo & Chih-Wei Wang & Chi Yin & Jie-Lun Li - 243-271 Impact of Market Expectations on the U.S. Interest Rate Lift-Off in ASEAN-5 Financial System
by Teik-Khim Ooi & Wee-Yeap Lau - 273-303 Imposing Regularity Conditions to Measure Banks’ Productivity Changes in Taiwan Using a Stochastic Approach
by Tai-Hsin Huang & Yi-Huang Chiu & Chih-Ying Mao - 305-318 Stay-at-Home Stocks Versus Go-Outside Stocks: The Impacts of COVID-19 on the Chinese Stock Market
by Dehua Shen & Wei Zhang - 319-332 Political Stability and the Effectiveness of Currency Based Macro Prudential Measures
by Smita Roy Trivedi
March 2021, Volume 28, Issue 1
- 1-2 Forwarding Letter for Capital Markets Conference Special Issue
by Pradiptarathi Panda - 3-17 Financial Astrology and Behavioral Bias: Evidence from India
by Ashish Mahendra & Shiba Prasad Mohanty & S. Sudalaimuthu - 19-53 Comparative Study of Momentum and Contrarian Behavior of Different Investors: Evidence from the Indian Market
by Bhaskar Chhimwal & Varadraj Bapat - 55-78 Beta-Anomaly: Evidence from the Indian Equity Market
by Asgar Ali & K. N. Badhani - 79-99 Risk-adjusted Returns from Statistical Arbitrage Opportunities in Indian Stock Futures Market
by Geetu Aggarwal & Navdeep Aggarwal - 101-119 Size Effect in Indian Equity Market: Myth or Reality?
by Vibhuti Vasishth & Sanjay Sehgal & Gagan Sharma - 121-140 Predicting Wheat Futures Prices in India
by Raushan Kumar - 141-151 Does The Association Between Abnormal Trading Volumes And Historical Prices Explain Disposition Effect?
by Sravani Bharandev & Sapar Narayan Rao
December 2020, Volume 27, Issue 4
- 453-476 Speed of Price Adjustment in Indian Stock Market: A Paradox
by Parthajit Kayal & Sayanti Mondal - 477-520 Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps
by Olivier Courtois & Xiaoshan Su - 521-536 Do Fund Investors Consider Asset Returns? Substitute Relation Among Investment Funds in Korea
by Young-Min Kim - 537-585 Dynamic Linkages and Economic Role of Leading Cryptocurrencies in an Emerging Market
by Maurice Omane-Adjepong & Imhotep Paul Alagidede - 587-603 Determinants of Capital Structure: Insights from Japanese Private Firms
by Naheed Rabbani - 605-619 Market Adaptability and Evolving Predictability of Stock Returns: An Evidence from India
by Biswabhusan Bhuyan & Subhamitra Patra & Ranjan Kumar Bhuian - 621-632 A Text Mining Model to Evaluate Firms’ ESG Activities: An Application for Japanese Firms
by Takuya Kiriu & Masatoshi Nozaki
September 2020, Volume 27, Issue 3
- 325-342 Direct Estimation of Lead–Lag Relationships Using Multinomial Dynamic Time Warping
by Katsuya Ito & Ryuta Sakemoto - 343-361 The Impact of Institutional Shareholdings on Price Limits
by Manhwa Wu & Paoyu Huang & Yensen Ni - 363-386 Volatility and Specific Risk Toward Family’s Performance in an Emerging Country
by Kien S. Nguyen - 387-414 Volatility Flocking by Cucker–Smale Mechanism in Financial Markets
by Hyeong-Ohk Bae & Seung-Yeal Ha & Yongsik Kim & Hyuncheul Lim & Jane Yoo - 415-425 US Economic Policy Uncertainty and GCC Stock Market
by Abdullah Alqahtani & Miguel Martinez - 427-437 Trend of Commodity Prices and Exchange Rate in Australian Economy: Time Varying Parameter Model Approach
by Debasish Roy & Ramaprasad Bhar - 439-452 Market Participation Willingness and Investor’s Herding Behavior: Evidence from an Emerging Market
by Xiong Xiong & Chen Wang & Dehua Shen
June 2020, Volume 27, Issue 2
- 155-174 Stock Performance Evaluation Incorporating High Moments and Disaster Risk: Evidence from Japan
by Jiro Hodoshima & Tetsuya Misawa & Yoshio Miyahara - 175-192 Economics Performance Under Endogenous Knowledge Spillovers
by Mohamad Alghamdi - 193-212 Inner Rate of Risk Aversion (IRRA) and Its Applications to Investment Selection
by Yoshio Miyahara - 213-230 The High-Volume Return Premium: Does it Really Exist in the Chinese Stock Market?
by Xingjian Zheng & Dehua Shen - 231-255 Health Care Investment: The Case of Multiple Sources of Risk
by Octave Jokung & Sovan Mitra - 257-289 Does a Unique Solution Exist for a Nonlinear Rational Expectation Equation with Zero Lower Bound?
by Takashi Tamura - 291-323 Does Marginal VaR Lead to Improved Performance of Managed Portfolios: A Study of S&P BSE 100 and S&P BSE 200
by Shrey Jain & Siddhartha P. Chakrabarty
March 2020, Volume 27, Issue 1
- 1-33 Market Closures and Cross-sectional Stock Returns
by Kotaro Miwa - 35-59 Commodity Spot and Futures Prices Under Supply, Demand, and Financial Trading: Single Input–Output Model
by Katsushi Nakajima - 61-81 The Profitability in the FTSE 100 Index: A New Markov Chain Approach
by Flavio Ivo Riedlinger & João Nicolau - 83-95 Hedging Derivatives on Two Assets with Model Risk
by Koichi Matsumoto & Keita Shimizu - 97-113 Investor Sentiment and the Return Rate of P2P Lending Platform
by Wei Zhang & Yingxiu Zhao & Pengfei Wang & Dehua Shen - 115-144 Capturing the Order Imbalance with Hidden Markov Model: A Case of SET50 and KOSPI50
by Polin Wu & Wasin Siwasarit - 145-154 Market Efficiency, Liquidity, and Multifractality of Bitcoin: A Dynamic Study
by Tetsuya Takaishi & Takanori Adachi
December 2019, Volume 26, Issue 4
- 409-427 Modeling Trading Behavior in the Japanese Stock Market During QE Tapering and Post-QE Exit
by Wee-Yeap Lau & Tien-Ming Yip - 429-451 Financial Markets Development and Financing Choice of Firms: New Evidence from Asia
by Inder Sekhar Yadav & Debasis Pahi & Rajesh Gangakhedkar - 453-477 Multifactor Portfolio Construction by Factor Risk Parity Strategies: An Empirical Comparison of Global Stock Markets
by Hidehiko Shimizu & Takayuki Shiohama - 479-493 Stylized Facts of the Indian Stock Market
by Rituparna Sen & Manavathi Subramaniam - 495-528 Incorporating Realized Quarticity into a Realized Stochastic Volatility Model
by Didit Budi Nugroho & Takayuki Morimoto - 529-552 Analysis of Price Differences Between A and H Shares
by Y. Bai & W. M. Tang & K. F. C. Yiu - 553-565 A Numerical Scheme for Expectations with First Hitting Time to Smooth Boundary
by Yuji Hishida & Yuta Ishigaki & Toshiki Okumura
September 2019, Volume 26, Issue 3
- 285-295 Earnings Management, Capital Management and Signalling Behaviour of Indian Banks
by Sushma Vishnani & Sonu Agarwal & Ritika Agarwalla & Saumya Gupta - 297-337 Term Structure Models During the Global Financial Crisis: A Parsimonious Text Mining Approach
by Kiyohiko G. Nishimura & Seisho Sato & Akihiko Takahashi - 339-354 Asset Pricing Test Using Alternative Sets of Portfolios: Evidence from India
by Sudipta Das - 355-364 Hyperbolic Symmetrization of Heston Type Diffusion
by Yuuki Ida & Tsuyoshi Kinoshita - 365-389 On Discrete Probability Approximations for Transaction Cost Problems
by Nabeel Butt - 391-408 Asymptotic Expansion as Prior Knowledge in Deep Learning Method for High dimensional BSDEs
by Masaaki Fujii & Akihiko Takahashi & Masayuki Takahashi
June 2019, Volume 26, Issue 2
- 129-168 Testing the Predictive Ability of Corridor Implied Volatility Under GARCH Models
by Shan Lu - 169-185 An Analytic Market Condition for Mutual Fund Separation: Demand for the Non-Sharpe Ratio Maximizing Portfolio
by Toru Igarashi - 187-209 Market Conditions and Calendar Anomalies in Japanese Stock Returns
by Mostafa Saidur Rahim Khan & Naheed Rabbani - 211-227 Cross Hedging Using Prediction Error Weather Derivatives for Loss of Solar Output Prediction Errors in Electricity Market
by Takuji Matsumoto & Yuji Yamada - 229-252 Large Shareholding and Firm Value in the Alternative Investment Market (AIM)
by Mona Mortazian & Seyedeh Asieh H. Tabaghdehi & Bryan Mase - 253-284 Demystifying Yield Spread on Corporate Bonds Trades in India
by Kedar nath Mukherjee
March 2019, Volume 26, Issue 1
- 1-21 Stock Futures of a Flawed Market Index
by Kotaro Miwa - 23-45 Re-examination of Fama–French Models in the Korean Stock Market
by Serge Rugwiro & SungSup Brian Choi - 47-60 Asset Prices and Changes in Risk within a Bivariate Model
by Octave Jokung & Sovan Mitra - 61-85 Firm Value and the Impact of Operational Management
by Sovan Mitra & Andreas Karathanasopoulos - 87-106 Spatial-Temporal Modelling of Temperature for Pricing Temperature Index Insurance
by Che Mohd Imran Che Taib & Mukminah Darus - 107-126 In search of robust methods for multi-currency portfolio construction by value at risk
by Mei-Ling Tang & Trung K. Do - 127-127 Correction to: Some Further Results on the Tempered Multistable Approach
by Olivier Courtois
December 2018, Volume 25, Issue 4
- 267-284 The Effects of Firm-Level Investability Sizes on Foreign Ownership in Indonesian Public Firms
by Dezie L. Warganegara - 285-323 The Dynamic and Dependence of Takaful and Conventional Stock Return Behaviours: Evidence from the Insurance Industry in Saudi Arabia
by Noureddine Benlagha & Wael Hemrit - 325-340 A New Measure of Control-Cash Flow Deviation: Cases in Taiwan
by Pei-Gi Shu & Sue-Jane Chiang & Man-Yin Chen - 341-352 Applying Time Series Decomposition to Construct Index-Tracking Portfolio
by Jun Nakayama & Daisuke Yokouchi
September 2018, Volume 25, Issue 3
- 159-177 Information-Based Model with Noisy Anticipation and Its Application in Finance
by Kirati Thoednithi - 179-220 Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment: Empirical Study in the Japanese Stock Market
by Taiga Saito & Takanori Adachi & Teruo Nakatsuma & Akihiko Takahashi & Hiroshi Tsuda & Naoyuki Yoshino - 221-247 Industry Concentration, Firm Efficiency and Average Stock Returns: Evidence from Australia
by Thu A. T. Pham - 249-265 An Empirical Comparison of Asset-Pricing Models in the Shanghai A-Share Exchange Market
by Doha Belimam & Yong Tan & Ghizlane Lakhnati
June 2018, Volume 25, Issue 2
- 71-86 Success Factors of Financial Derivatives Markets in Asia
by Trin Sittisawad & Pariyada Sukcharoensin - 87-109 Some Further Results on the Tempered Multistable Approach
by Olivier Courtois - 111-136 Information Uncertainty and Momentum Phenomenon Amidst Market Swings: Evidence From the Chinese Class A Share Market
by Yuan Wu & Taufiq Choudhry - 137-157 Dynamic Causality Between Stock Return and Exchange Rate: Is Stock-Oriented Hypothesis More Relevant in Malaysia?
by Wee-Yeap Lau & You-How Go
March 2018, Volume 25, Issue 1
- 1-21 Model Predictive Control for Optimal Pairs Trading Portfolio with Gross Exposure and Transaction Cost Constraints
by Yuji Yamada & James A. Primbs - 23-45 China, Japan and the US Stock Markets and the Global Financial Crisis
by Yan Zhang - 47-70 On the Effect of Bank of Japan’s Outright Purchase on the JGB Yield Curve
by Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi & Takami Tokioka
December 2017, Volume 24, Issue 4
- 253-267 Internal Market Efficiency, Market Co-movement, and Cross-Market Efficiency: The Case of Hong Kong and Shanghai Stock Markets
by Ebenezer Asem & Vishaal Baulkaran & Rossitsa Yalamova & Xiaofei Zhang - 269-289 Assessing Corporate Vulnerabilities in Indonesia: A Bottom-Up Default Analysis
by Ken Miyajima & Jorge A. Chan-Lau & Weimin Miao & Jongsoon Shin - 291-308 Pricing Perpetual Put Options by the Black–Scholes Equation with a Nonlinear Volatility Function
by Maria do Rosário Grossinho & Yaser Kord Faghan & Daniel Ševčovič - 309-322 Do Domestic Institutional Trades Exacerbate Information Asymmetry? Evidence from the Korean Stock Market
by Chune Young Chung & Yunjae Lee & Doojin Ryu
September 2017, Volume 24, Issue 3
- 149-167 Forecasting Financial Market Volatility Using a Dynamic Topic Model
by Takayuki Morimoto & Yoshinori Kawasaki - 169-191 Merton Model and Capital Measurement in Commercial Banks: A Case Study of Selected Emerging Countries in Southeast Asia
by Mohammadreza Janvisloo Alizadeh & Reza Sherafatian-Jahromi - 193-220 Analysis of Dynamic Correlation of Japanese Stock Returns with Network Clustering
by Takashi Isogai - 221-252 Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps
by Hiroaki Hata & Jun Sekine
June 2017, Volume 24, Issue 2
- 75-107 Weather Effects on Stock Returns and Volatility in South Asian Markets
by Muhammad Fayyaz Sheikh & Syed Zulfiqar Ali Shah & Shahid Mahmood - 109-129 An Algorithmic Approach to Optimal Asset Liquidation Problems
by Juri Hinz & Jeremy Yee - 131-148 VIX Forecast Under Different Volatility Specifications
by Ying Wang & Hoi Ying Wong
March 2017, Volume 24, Issue 1
- 1-18 Optimal Hedging of Basket Barrier Options with Additive Models and Its Application to Equity Value Separation Problem
by Yuji Yamada - 19-38 Pricing CIR Yield Options by Conditional Moment Matching
by Adrian Prayoga & Nicolas Privault - 39-73 Effects of Jumps and Small Noise in High-Frequency Financial Econometrics
by Naoto Kunitomo & Daisuke Kurisu
December 2016, Volume 23, Issue 4
- 281-304 Speculative Futures Trading under Mean Reversion
by Tim Leung & Jiao Li & Xin Li & Zheng Wang - 305-335 On the Price of Risk Under a Regime Switching CGMY Process
by Pious Asiimwe & Charles Wilson Mahera & Olivier Menoukeu-Pamen - 337-373 An Asymptotic Expansion for Forward–Backward SDEs: A Malliavin Calculus Approach
by Akihiko Takahashi & Toshihiro Yamada
September 2016, Volume 23, Issue 3
- 229-262 Measuring Credit Risk of Individual Corporate Bonds in US Energy Sector
by Takeaki Kariya & Yoko Tanokura & Hideyuki Takada & Yoshiro Yamamura - 263-279 Central Bank Intervention in USD/INR Market: Estimating Its Reaction Function and Impact on Volatility
by Smita Roy Trivedi & P. G. Apte
June 2016, Volume 23, Issue 2
- 137-152 Expectations Hypothesis and Term Structure of Interest Rates: An Evidence from Emerging Market
by Hassan Shareef & Santhakumar Shijin - 175-201 Bond Market Development, Economic Growth and Other Macroeconomic Determinants: Panel VAR Evidence
by Rudra P. Pradhan & Mak B. Arvin & Sara E. Bennett & Mahendhiran Nair & John H. Hall - 203-227 The Effects of Analysts’ Herding on Traders: Evidence from the Taiwan Stock Market
by Po-Jung Chen
March 2016, Volume 23, Issue 1
- 1-44 Commodity Spread Option with Cointegration
by Katsushi Nakajima & Kazuhiko Ohashi - 45-68 Explaining Size Effect for Indian Stock Market
by Asheesh Pandey & Sanjay Sehgal - 69-83 The End of the Month Option and Other Embedded Options in Futures Contracts
by Kristoffer Lindensjö - 85-106 Pricing Foreign Exchange Options Under Intervention by Absorption Modeling
by Taiga Saito
November 2015, Volume 22, Issue 4
- 369-396 Real Estate Pricing Models: Theory, Evidence, and Implementation
by Hiroshi Ishijima & Akira Maeda - 397-427 Credit Risk Analysis on Euro Government Bonds-Term Structures of Default Probabilities
by Takeaki Kariya & Yoshiro Yamamura & Yoko Tanokura & Zhu Wang - 429-444 Change Point Analysis of Exchange Rates Using Bootstrapping Methods: An Application to the Indonesian Rupiah 2000–2008
by Amirullah Hardi & Ken-ichi Kawai & Sangyeol Lee & Koichi Maekawa
September 2015, Volume 22, Issue 3
- 239-260 An FBSDE Approach to American Option Pricing with an Interacting Particle Method
by Masaaki Fujii & Seisho Sato & Akihiko Takahashi - 261-282 An Empirical Study of Liquidity and Return Autocorrelations in the Chinese Stock Market
by Chen Yang - 283-304 Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method
by Masaaki Fujii & Akihiko Takahashi - 305-331 Credit Derivative Evaluation and CVA Under the Benchmark Approach
by Jan Baldeaux & Eckhard Platen - 333-368 The SIML Estimation of Integrated Covariance and Hedging Coefficient Under Round-off Errors, Micro-market Price Adjustments and Random Sampling
by Naoto Kunitomo & Hiroumi Misaki & Seisho Sato
May 2015, Volume 22, Issue 2
- 113-132 Analytical Solutions for Expected Loss and Standard Deviation of Loss with an Additional Loan
by Satoshi Yamashita & Toshinao Yoshiba - 133-149 Asset Pricing Using Trading Volumes in a Hidden Regime-Switching Environment
by Robert Elliott & Tak Siu - 151-184 Understanding Delta-Hedged Option Returns in Stochastic Volatility Environments
by Hiroshi Sasaki - 185-207 An Approximation Scheme for Diffusion Processes Based on an Antisymmetric Calculus over Wiener Space
by Kazuhiro Yoshikawa - 209-237 Dynamic Investment Strategy with Factor Models Under Regime Switches
by Takahiro Komatsu & Naoki Makimoto
November 2014, Volume 21, Issue 4
- 281-315 Randomised Mixture Models for Pricing Kernels
by Andrea Macrina & Priyanka Parbhoo - 317-330 Optimal Asset-Liability Management for an Insurer Under Markov Regime Switching Jump-Diffusion Market
by Jun Yu - 331-349 The Influence of Japan’s Unsecured Overnight Call Rate on Bull and Bear Markets and Market Turns
by Mai Shibata - 351-396 Asymptotic Expansion Formula of Option Price Under Multifactor Heston Model
by Kazuki Nagashima & Tsz-Kin Chung & Keiichi Tanaka
September 2014, Volume 21, Issue 3
- 193-236 Optimal Portfolio Selection Based on Expected Shortfall Under Generalized Hyperbolic Distribution
by Budhi Surya & Ryan Kurniawan - 237-261 A Continuous-Time Optimal Insurance Design with Costly Monitoring
by Hisashi Nakamura & Koichiro Takaoka - 263-280 Large Deviations for the Extended Heston Model: The Large-Time Case
by Antoine Jacquier & Aleksandar Mijatović
May 2014, Volume 21, Issue 2
- 97-120 A Discrete-Time Clark-Ocone Formula for Poisson Functionals
by Takafumi Amaba - 121-131 Evidence on Hedging Effectiveness in Indian Derivatives Market
by Barik Kumar & M. Supriya - 133-149 Portfolio Selection and Optimization with Higher Moments: Evidence from the Indian Stock Market
by K. Saranya & P. Prasanna - 151-174 A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information
by Takashi Kato & Jun Sekine & Hiromitsu Yamamoto - 175-191 Intangible Asset Valuation Model Using Panel Data
by Tomohiro Yamaguchi
March 2014, Volume 21, Issue 1
- 1-14 Application of Homotopy Analysis Method to Option Pricing Under Lévy Processes
by Takayuki Sakuma & Yuji Yamada - 15-34 Asset Pricing and Share Reforms: An Anatomy of China’s Investable Stocks
by Xiao-Ming Li - 35-66 Expected Log-Utility Maximization Under Incomplete Information and with Cox-Process Observations
by Kazufumi Fujimoto & Hideo Nagai & Wolfgang Runggaldier - 67-96 Foreign Ownership and Firm Value: Evidence from Australian Firms
by Anil Mishra
November 2013, Volume 20, Issue 4
- 311-344 Asymptotic Expansion for Term Structures of Defaultable Bonds with Non-Gaussian Dependent Innovations
by Masakazu Miura & Kenichiro Tamaki & Takayuki Shiohama - 345-381 Does Cross-Listing Benefit the Shareholders? Evidence from Companies in the GCC Countries?
by Mejda Bahlous - 383-430 Forecasting Long-Term Interest Rates with a General-Equilibrium Model of the Euro Area: What Role for Liquidity Services of Bonds?
by Paolo Zagaglia
September 2013, Volume 20, Issue 3
- 219-242 Informed Futures Trading and Price Discovery: Evidence from Taiwan Futures and Stock Markets
by Yi-Tsung Lee & Wei-Shao Wu & Yun Yang - 243-259 An Empirical Comparison of Two Stochastic Volatility Models using Indian Market Data
by Srikanth Iyer & Seema Nanda & Swapnil Kumar - 261-281 Optimal Investment and Consumption with Default Risk: HARA Utility
by Lijun Bo & Xindan Li & Yongjin Wang & Xuewei Yang - 283-309 An Analytical Evaluation Method of the Operational Risk Using Fast Wavelet Expansion Techniques
by Kensuke Ishitani & Kenichi Sato
May 2013, Volume 20, Issue 2
- 113-129 Idiosyncratic Volatility and the Expected Stock Returns for Exploring the Relationship with Panel Threshold Regression
by Mu-Shun Wang - 131-146 Using Interest Rate Derivative Prices to Estimate LIBOR-OIS Spread Dynamics and Systemic Funding Liquidity Shock Probabilities
by Cho-Hoi Hui & Tsz-Kin Chung & Chi-Fai Lo - 147-182 Pricing Exotic Options and American Options: A Multidimensional Asymptotic Expansion Approach
by Masahiro Nishiba - 183-217 Emission Allowance as a Derivative on Commodity-Spread
by Katsushi Nakajima & Kazuhiko Ohashi
March 2013, Volume 20, Issue 1
- 1-30 Financial Crisis and Corporate Liquidity: Implications for Emerging Markets
by Naiwei Chen & Meiya Chang - 31-47 How does Monetary Policy Influence Capital Markets? Using a Threshold Regression Model
by Guan-Ru Chen & Ming-Hung Wu - 49-70 Price Discovery in Chinese Stock Index Futures Market: New Evidence Based on Intraday Data
by Yang Hou & Steven Li - 71-81 Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion
by Yuri Imamura & Katsuya Takagi - 83-111 Forecasting Intraday Volatility and Value-at-Risk with High-Frequency Data
by Mike So & Rui Xu
November 2012, Volume 19, Issue 4
- 319-329 Factor Models for Option Pricing
by Peter Carr & Dilip Madan - 331-352 Samuelson Hypothesis & Indian Commodity Derivatives Market
by Saurabh Gupta & Prabina Rajib - 353-370 Performance Regularity: A New Class of Executive Compensation Packages
by Carole Bernard & Olivier Le Courtois - 371-389 A Time Series Analysis of Economical Phenomena in Japan’s Lost Decade (1): Determinacy Property of the Velocity of Money and Equilibrium Solution
by Yuji Nakano & Yasunori Okabe - 391-415 Unilateral Counterparty Risk Valuation for CDS Under a Regime Switching Interacting Intensities Model
by Yinghui Dong & Xue Liang & Guojing Wang
September 2012, Volume 19, Issue 3
- 205-232 Pricing Discrete Barrier Options Under Stochastic Volatility
by Kenichiro Shiraya & Akihiko Takahashi & Toshihiro Yamada - 233-258 Crossing the River by Touching Stones?: The Reform of Corporate Ownership in China
by Wenwen Zhan & John Turner - 259-292 Empirically Effective Bond Pricing Model and Analysis on Term Structures of Implied Interest Rates in Financial Crisis
by Takeaki Kariya & Jingsui Wang & Zhu Wang & Eiichi Doi & Yoshiro Yamamura