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Content
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 - 293-318 Approximation of Asymmetric Multivariate Return Distributions
by Ba Chu
May 2012, Volume 19, Issue 2
- 99-117 Identifying Bull and Bear Markets in Japan
by Mai Shibata - 119-147 A Continuous-Time Analysis of Optimal Restructuring of Contracts with Costly Information Disclosure
by Hisashi Nakamura - 149-179 Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives
by Yuji Yamada - 181-204 Default Risk and Equity Returns: Evidence from the Taiwan Equities Market
by Yu-Ling Lin & Ta-Cheng Chang & Su-Jing Yeh
March 2012, Volume 19, Issue 1
- 1-21 Convertible Bonds and Stock Liquidity
by Jason West - 23-41 Is Concentration a Good Idea? Evidence from Active Fund Management
by Pei-I Chou & Chia-Hao Lee - 43-62 Modeling of Contagious Credit Events and Risk Analysis of Credit Portfolios
by Suguru Yamanaka & Masaaki Sugihara & Hidetoshi Nakagawa - 63-98 The Minimal Entropy Martingale Measure (MEMM) for a Markov-Modulated Exponential Lévy Model
by Romuald Momeya & Zied Salah
November 2011, Volume 18, Issue 4
- 345-372 Pricing Derivatives using the Asymptotic Expansion Approach: Credit Migration Models with Stochastic Credit Spreads
by Yoshifumi Muroi & E. Takino - 373-384 Forecasting Japanese Stock Returns with Financial Ratios and Other Variables
by Kohei Aono & Tokuo Iwaisako - 385-403 Risk-sensitive Portfolio Optimization with Two-factor Having a Memory Effect
by Tadashi Hayashi & Jun Sekine - 405-427 Liquidity, Skewness and Stock Returns: Evidence from Chinese Stock Market
by Langnan Chen & Steven Li & Jinan Wang - 429-443 Using Nonnormal Distributions to Analyze the Relationship Between Stock Returns in Japan and the US
by Yuichi Nagahara
September 2011, Volume 18, Issue 3
- 231-266 On a Statistical Analysis of Implied Data
by Hajime Takahashi - 267-290 Lead–Lag Effects in Australian Industry Portfolios
by Tariq Haque - 291-317 Dynamic Relationship among Intraday Realized Volatility, Volume and Number of Trades
by Kerr Hatrick & Mike So & S. Chung & R. Deng - 319-344 Detection of Information Flow in Major International Financial Markets by Interactivity Network Analysis
by Abdelwahab Allali & Amor Oueslati & Abdelwahed Trabelsi
May 2011, Volume 18, Issue 2
- 129-129 Preface
by Hiroshi Ishijima - 131-150 Dynamic Investment Strategies to Reaction–Diffusion Systems Based upon Stochastic Differential Utilities
by Akira Kashiwabara & Nobuhiro Nakamura - 151-166 On the Verification Theorem of Dynamic Portfolio-Consumption Problems with Stochastic Market Price of Risk
by Toshiki Honda & Shoji Kamimura - 167-189 The Regime Switching Portfolios
by Hiroshi Ishijima & Masaki Uchida - 191-211 Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs
by Yuichi Takano & Jun-ya Gotoh - 213-229 Log Mean-Variance Portfolio Selection Under Regime Switching
by Hiroshi Ishijima & Masaki Uchida
March 2011, Volume 18, Issue 1
- 1-31 The Impact of Order Flow on the Foreign Exchange Market: A Copula Approach
by Yoshihiro Kitamura - 33-54 Valuation of Portfolio Credit Derivatives with Default Intensities Using the Vasicek Model
by Jin Liang & Jun Ma & Tao Wang & Qin Ji - 55-68 Empirical Study of Nikkei 225 Options with the Markov Switching GARCH Model
by Kiyotaka Satoyoshi & Hidetoshi Mitsui - 69-87 “Down-Side Risk” Probability Minimization Problem with Cox-Ingersoll-Ross’s Interest Rates
by Hiroaki Hata - 89-103 A Note on Utility Maximization with Unbounded Random Endowment
by Keita Owari - 105-127 A Multifactor Model of Credit Spreads
by Ramaprasad Bhar & Nedim Handzic
December 2010, Volume 17, Issue 4
- 323-324 Preface
by Takaki Hayashi - 325-343 Environmental Economics and Modeling Marketable Permits
by Luca Taschini - 345-363 Assessments of ‘Greenhouse Insurance’: A Methodological Review
by Takanobu Kosugi - 365-372 Solutions and Simulations of Some One-Dimensional Stochastic Differential Equations
by F. Klebaner & E. Azmy - 373-389 Coefficients of Asymptotic Expansions of SDE with Jumps
by Masafumi Hayashi - 391-436 The Instantaneous Volatility and the Implied Volatility Surface for a Generalized Black–Scholes Model
by Koichiro Takaoka & Hidenori Futami