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Content
July 2024, Volume 64, Issue 1
- 1-36 Social Networks and Norms Evolution
by Ankur Tutlani & Dushyant Kumar - 37-55 Gauging Demand for Cryptocurrency over the Economic Policy Uncertainty and Stock Market Volatility
by Emon Kalyan Chowdhury & Mohammad Nayeem Abdullah - 57-80 Fast and Accurate Computation of the Regime-Switching Jump-Diffusion Option Prices Using Laplace Transform and Compact Difference with Convergence Guarantee
by Yong Chen - 81-104 Truncated Dantzig–Wolfe Decomposition for a Class of Constrained Variational Inequality Problems
by William Chung - 105-135 Explore the Impact Mechanism of Block Chain Technology on China's Carbon Market
by Hanghang Dong & Jun Yang & Xiaoming Li & Lan Xu - 137-160 Multi-regression Forecast in Stochastic Chaos
by Alexander Musaev & Andrey Makshanov & Dmitry Grigoriev - 161-179 Understanding Dividend Puzzle Using Machine Learning
by Codruț-Florin Ivașcu - 181-210 Reference Vector-Based Multiobjective Clustering Ensemble Approach for Time Series Forecasting
by Chao Liu & Fengfeng Gao & Mengwan Zhang & Yuanrui Li & Cun Qian - 211-224 An Efficient Numerical Scheme to Approach the Time Fractional Black–Scholes Model Using Orthogonal Gegenbauer Polynomials
by Y. Esmaeelzade Aghdam & H. Mesgarani & A. Amin & J. F. Gómez-Aguilar - 225-262 Autoregressive Random Forests: Machine Learning and Lag Selection for Financial Research
by Efstathios Polyzos & Costas Siriopoulos - 263-305 Accuracy in Recursive Minimal State Space Methods
by Pierri Damian - 307-334 Predicting Firm Financial Performance from SEC Filing Changes Using Automatically Generated Dictionary
by Aparna Gupta & Vipula Rawte & Mohammed J. Zaki - 335-375 Benchmark Analysis of Machine Learning Methods to Forecast the U.S. Annual Inflation Rate During a High-Decile Inflation Period
by Rama K. Malladi - 377-409 Boosting and Predictability of Macroeconomic Variables: Evidence from Brazil
by Guilherme Schultz Lindenmeyer & Hudson Silva Torrent - 411-427 After the Split: Market Efficiency of Bitcoin Cash
by Hyeonoh Kim & Eojin Yi & Jooyoung Jeon & Taeyoung Park & Kwangwon Ahn - 429-459 The Relationship Between Non-additivity Valuations, Cash Flows and Sales Growth
by Maryam Eghbal & Farzaneh Nassirzadeh & Davood Askarany - 461-486 Incremental Data Envelopment Analysis Model and Applications in Sustainable Efficiency Evaluation
by Ai-bing Ji & Bo-wen Wei & Yi-yi Ma - 487-513 Safe Havens, Machine Learning, and the Sources of Geopolitical Risk: A Forecasting Analysis Using Over a Century of Data
by Rangan Gupta & Sayar Karmakar & Christian Pierdzioch - 515-550 Comparative Analysis of Root Finding Algorithms for Implied Volatility Estimation of Ethereum Options
by S. Sapna & Biju R. Mohan - 551-577 Optimization of Asset Allocation and Liquidation Time in Investment Decisions with VaR as a Risk Measure
by Chunhui Xu & Yinyu Ye - 579-594 Housing GANs: Deep Generation of Housing Market Data
by Bilgi Yilmaz - 595-624 A Review of Generalized Hyperbolic Distributions
by Xiao Jiang & Saralees Nadarajah & Thomas Hitchen
June 2024, Volume 63, Issue 6
- 2115-2137 The Environmental Consequences of Local Government Competition: Evidence from 209 Chinese Cities
by Zhiyang Shen & Yunlong Zhang & Kaifa Wu & Muhammad Irfan & Yu Hao - 2139-2173 Unit Roots in Macroeconomic Time Series: A Comparison of Classical, Bayesian and Machine Learning Approaches
by Yamin Ahmad & Adam Check & Ming Chien Lo - 2175-2192 M-Quantile Estimation for GARCH Models
by Patrick F. Patrocinio & Valderio A. Reisen & Pascal Bondon & Edson Z. Monte & Ian M. Danilevicz - 2193-2224 Two-Stage Hybrid Feature Selection Approach Using Levy’s Flight Based Chicken Swarm Optimization for Stock Market Forecasting
by Satya Verma & Satya Prakash Sahu & Tirath Prasad Sahu - 2225-2246 Is cryptocurrency Efficient? A High-Frequency Asymmetric Multifractality Analysis
by Kai Meng & Khalid Khan - 2247-2269 Portfolio Selection with a Rank-Deficient Covariance Matrix
by Mårten Gulliksson & Anna Oleynik & Stepan Mazur - 2271-2305 Exploring Three-style Return Comovements and Contagion Using a Correlation Decomposition GARCH Model
by EnDer Su & Ving-Vunk Mak & Po-Yuk So - 2307-2324 volatilityforecastingpackage: A Financial Volatility Package in Mathematica
by Noorshanaaz Khodabaccus & Aslam A. E. F. Saib - 2325-2349 A Hybrid Parallel Processing Strategy for Large-Scale DEA Computation
by Shengqing Chang & Jingjing Ding & Chenpeng Feng & Ruifeng Wang - 2351-2370 Automation of the Individualized Investing Strategy for an Investment Advisor Established by a Semi-Markov Regime-Switching Model
by Junrong Liu & Zhiping Chen & Qihong Duan - 2371-2403 A Novel Modified Binning and Logistics Regression to Handle Shifting in Credit Scoring
by Yusuf Priyo Anggodo & Abba Suganda Girsang - 2405-2434 Weak aggregating specialist algorithm for online portfolio selection
by Jin’an He & Shicheng Yin & Fangping Peng - 2435-2499 Volatility Spillovers and Contagion During Major Crises: An Early Warning Approach Based on a Deep Learning Model
by Mehmet Sahiner - 2501-2524 The Dynamic Relationship Between Gas and Crude Oil Markets and the Causal Impact of US Shale Gas
by Sudeshna Ghosh & Aviral Kumar Tiwari & Buhari Doğan & Emmanuel Joel Aikins Abakah - 2525-2557 From the East-European Regional Day-Ahead Markets to a Global Electricity Market
by Adela Bâra & Simona-Vasilica Oprea & Bogdan George Tudorică - 2559-2584 Kinetic Models for the Exchange of Production Factors in a Multi-agent Market
by Hongjing Chen & Chong Lai & Hanlei Hu - 2585-2601 Option Valuation with Conditional Heteroskedastic Hidden Truncation Models
by Rachid Belhachemi
May 2024, Volume 63, Issue 5
- 1697-1704 In Memoriam David A. Kendrick (1937–2024)
by Hans Amman & Ruben Mercado & Berç Rustem - 1705-1734 Microfounded Tax Revenue Forecast Model with Heterogeneous Population and Genetic Algorithm Approach
by Ariel Alexi & Teddy Lazebnik & Labib Shami - 1735-1756 OG-CAT: A Novel Algorithmic Trading Alternative to Investment in Crypto Market
by Surinder Singh Khurana & Parvinder Singh & Naresh Kumar Garg - 1757-1776 New Unit Root Tests in the Nonlinear ESTAR Framework: The Movement and Volatility Characteristics of Crude oil and Copper Prices
by Yanglin Li - 1777-1803 A New Boosting Algorithm for Online Portfolio Selection Based on dynamic Time Warping and Anti-correlation
by Hongliu He & Hua Li - 1805-1825 Prophet-LSTM-BP Ensemble Carbon Trading Price Prediction Model
by Fansheng Meng & Rong Dou - 1827-1852 Machine Learning Method for Return Direction Forecast of Exchange Traded Funds (ETFs) Using Classification and Regression Models
by Raphael Paulo Beal Piovezan & Pedro Paulo Andrade Junior & Sérgio Luciano Ávila - 1853-1878 Analytical and Numerical Solution for the Time Fractional Black-Scholes Model Under Jump-Diffusion
by Jugal Mohapatra & Sudarshan Santra & Higinio Ramos - 1879-1919 Scenario Generation for Financial Data with a Machine Learning Approach Based on Realized Volatility and Copulas
by Caio Mário Mesquita & Cristiano Arbex Valle & Adriano César Machado Pereira - 1921-1947 Analyzing Human Search Behavior When Subjective Returns are Unobservable
by Shinji Nakazato & Bojian Yang & Tetsuya Shimokawa - 1949-1979 GARCHNet: Value-at-Risk Forecasting with GARCH Models Based on Neural Networks
by Mateusz Buczynski & Marcin Chlebus - 1981-2010 Research on the Diffusion Mechanism of Green Technology Innovation Based on Enterprise Perception
by Jie Mi & Chuanpeng Yao & Xiaoyang Zhao & Fei Li - 2011-2033 On Forecasting Realized Volatility for Bitcoin Based on Deep Learning PSO–GRU Model
by Xiaolong Tang & Yuping Song & Xingrui Jiao & Yankun Sun - 2035-2068 Forecasting the Stock Price of Listed Innovative SMEs Using Machine Learning Methods Based on Bayesian optimization: Evidence from China
by Wei Liu & Yoshihisa Suzuki & Shuyi Du - 2069-2086 A Practical Monte Carlo Method for Pricing Equity-Linked Securities with Time-Dependent Volatility and Interest Rate
by Sangkwon Kim & Jisang Lyu & Wonjin Lee & Eunchae Park & Hanbyeol Jang & Chaeyoung Lee & Junseok Kim - 2087-2111 Zero-Adjusted Log-Symmetric Quantile Regression Models
by Danúbia R. Cunha & Jose Angelo Divino & Helton Saulo - 2113-2113 Correction to: A Bilinear Pseudo‑Spectral Method for Solving Two‑Asset European and American Pricing Options
by M. Khasi & J. Rashidinia
April 2024, Volume 63, Issue 4
- 1281-1325 Developing a New Multidimensional Index of Bank Stability and Its Usage in the Design of Optimal Policy Interventions
by Rachita Gulati & M. Kabir Hassan & Vincent Charles - 1327-1347 Option Pricing Based on the Residual Neural Network
by Lirong Gan & Wei-han Liu - 1349-1399 Hybridization of ARIMA with Learning Models for Forecasting of Stock Market Time Series
by Frédy Pokou & Jules Sadefo Kamdem & François Benhmad - 1401-1429 Pattern Recognition in Microtrading Behaviors Preceding Stock Price Jumps: A Study Based on Mutual Information for Multivariate Time Series
by Ao Kong & Robert Azencott & Hongliang Zhu & Xindan Li - 1431-1457 A Semi-Closed Form Approximation of Arbitrage-Free Call Option Price Surface
by Arindam Kundu & Sumit Kumar & Nutan Kumar Tomar - 1459-1476 Implementing Machine Learning Methods in Estimating the Size of the Non-observed Economy
by Labib Shami & Teddy Lazebnik - 1477-1491 Estimating the Likelihood of Financial Behaviours Using Nearest Neighbors
by Tiago Mendes-Neves & Diogo Seca & Ricardo Sousa & Cláudia Ribeiro & João Mendes-Moreira - 1493-1509 Fuzzy Portfolio Selection Using Stochastic Correlation
by Gumsong Jo & Hyokil Kim & Hoyong Kim & Gyongho Ri - 1511-1542 LSTM–GARCH Hybrid Model for the Prediction of Volatility in Cryptocurrency Portfolios
by Andrés García-Medina & Ester Aguayo-Moreno - 1543-1573 Valuations of Variance and Volatility Swaps Under Double Heston Jump-Diffusion Model With Approximative Fractional Stochastic Volatility
by Ke Wang & Xunxiang Guo - 1575-1608 A Dynamic Trading Model for Use with a One Step Ahead Optimal Strategy
by Amit Bhaya & Eugenius Kaszkurewicz & Leonardo Valente Ferreira - 1609-1626 A Novel Approach to Fuzzy Based Efficiency Assessment of a Financial System
by H. Mesgarani & Y. Esmaeelzade Aghdam & A. Beiranvand & J. F. Gómez-Aguilar - 1627-1647 Tobin Tax, Carry Trade, and the Exchange Rate Dynamics
by Xiaoping Li & Chunyang Zhou - 1649-1671 Does Short-and-Distort Scheme Really Exist? A Bitcoin Futures Audit Scheme through BIRCH & BPNN Approach
by Dun Li & Dezhi Han & Zibin Zheng & Tien-Hsiung Weng & Kuan-Ching Li & Ming Li & Shaokang Cai - 1673-1693 Feature Selection and Hyperparameters Optimization Employing a Hybrid Model Based on Genetic Algorithm and Artificial Neural Network: Forecasting Dividend Payout Ratio
by Fatih Konak & Mehmet Akif Bülbül & Diler Türkoǧlu - 1695-1695 Correction to: Role of Comprehensive Income in Predicting Bankruptcy
by Asyrofa Rahmi & Hung-Yuan Lu & Deron Liang & Dinda Novitasari & Chih-Fong Tsai
March 2024, Volume 63, Issue 3
- 951-981 Volatility Interdependence Between Cryptocurrencies, Equity, and Bond Markets
by Etienne Harb & Charbel Bassil & Talie Kassamany & Roland Baz - 983-1000 Impact of Climate Variables Change on the Yield of Wheat and Rice Crops in Iran (Application of Stochastic Model Based on Monte Carlo Simulation)
by Akram Javadi & Mohammad Ghahremanzadeh & Maria Sassi & Ozra Javanbakht & Boballah Hayati - 1001-1020 An Intelligent Algorithm to Predict GDP Rate and Find a Relationship Between COVID-19 Outbreak and Economic Downturn
by Amir Masoud Rahmani & Seyedeh Yasaman Hosseini Mirmahaleh - 1021-1045 Application of Supervised Machine Learning Techniques to Forecast the COVID-19 U.S. Recession and Stock Market Crash
by Rama K. Malladi - 1047-1070 Does COVID-19 Outbreak Push Saudi Crude Oil to Connect with Selected GCC Equity Market? Insight of Time Varying Linkage
by Miklesh Yadav & Sabia Tabassum & Anas Ali AlQudah & Manaf Al-Okaily & Myriam Aloulou & Nikola Stakic & Marcos Santos - 1071-1094 Causal Linkage Effect on Chinese Industries via Partial Cross Mapping Under the Background of COVID-19
by Ding Yongmei & Li Yulian - 1095-1120 Post-COVID Recovery and Long-Run Forecasting of Indian GDP with Factor-Augmented Error Correction Model (FECM)
by Dibyendu Maiti & Naveen Kumar & Debajit Jha & Soumyadipta Sarkar - 1121-1136 Evolution of Complex Network Topology for Chinese Listed Companies Under the COVID-19 Pandemic
by Kaihao Liang & Shuliang Li & Wenfeng Zhang & Zhuokui Wu & Jiaying He & Mengmeng Li & Yuling Wang - 1137-1157 Measuring the Resilience to the Covid-19 Pandemic of Eurozone Economies with Their 2050 Forecasts
by Pierre Rostan & Alexandra Rostan & John Wall - 1159-1172 COVID-19 and REITs Crash: Predictability and Market Conditions
by Kwangwon Ahn & Hanwool Jang & Jinu Kim & Inug Ryu - 1173-1189 The Tourism Industry’s Performance During the Years of the COVID-19 Pandemic
by Theodoros Daglis - 1191-1212 COVID-19 Impact on Stock Markets: A Multiscale Event Analysis Perspective
by Helong Li & Guanglong Xu & Qin Huang & Rubin Ruan & Weiguo Zhang - 1213-1254 The Changing Behavior of the European Credit Default Swap Spreads During the Covid-19 Pandemic: A Bayesian Network Analysis
by Esma Nur Cinicioglu & Gül Huyugüzel Kışla & A. Özlem Önder & Y. Gülnur Muradoğlu - 1255-1279 Dynamic Efficiency and Herd Behavior During Pre- and Post-COVID-19 in the NFT Market: Evidence from Multifractal Analysis
by Onur Özdemir & Anoop S. Kumar
February 2024, Volume 63, Issue 2
- 437-475 Analyzing the Impact of Strategic Behavior in an Evolutionary Learning Model Using a Genetic Algorithm
by Vinícius Ferraz & Thomas Pitz - 477-511 Risk Aversion, Reservation Utility and Bargaining Power: An Evolutionary Algorithm Approximation of Incentive Contracts
by Itza Tlaloc Quetzalcoatl Curiel-Cabral & Sonia Giannatale & Giselle Labrador-Badía - 513-528 Stock Price Ranking by Learning Pairwise Preferences
by Engin Tas & Ayca Hatice Atli - 529-576 Computational Performance of Deep Reinforcement Learning to Find Nash Equilibria
by Christoph Graf & Viktor Zobernig & Johannes Schmidt & Claude Klöckl - 577-577 Correction to: Computational Performance of Deep Reinforcement Learning to Find Nash Equilibria
by Christoph Graf & Viktor Zobernig & Johannes Schmidt & Claude Klöckl - 579-598 Valuing Corporate Securities When the Firm’s Assets are Illiquid
by Hatem Ben-Ameur & Tarek Fakhfakh & Alexandre Roch - 599-638 Connectedness between Currency Risk Hedging and Firm Value: A Deep Neural Network-based Evaluation
by Yao HongXing & Hafiz Muhammad Naveed & Bilal Ahmed Memon & Shoaib Ali & Muhammad Haris & Muhammad Akhtar & Muhammad Mohsin - 639-678 Predicting Natural Gas Prices Based on a Novel Hybrid Model with Variational Mode Decomposition
by Qin Lu & Jingwen Liao & Kechi Chen & Yanhui Liang & Yu Lin - 679-709 A Time-Dependent Markovian Model of a Limit Order Book
by Jonathan A. Chávez Casillas - 711-740 Intelligent Prediction of Annual CO2 Emissions Under Data Decomposition Mode
by Yelin Wang & Ping Yang & Zan Song & Julien Chevallier & Qingtai Xiao - 741-792 An Application of Machine Learning to Logistics Performance Prediction: An Economics Attribute-Based of Collective Instance
by Suriyan Jomthanachai & Wai Peng Wong & Khai Wah Khaw - 793-833 Understanding Covid-19 Mobility Through Human Capital: A Unified Causal Framework
by Fırat Bilgel & Burhan Can Karahasan - 835-860 Enhancement of Neural Networks Model’s Predictions of Currencies Exchange Rates by Phase Space Reconstruction and Harris Hawks’ Optimization
by Haider A. Khan & Shahryar Ghorbani & Elham Shabani & Shahab S. Band - 861-876 Nonparametric Test for Volatility in Clustered Multiple Time Series
by Erniel B. Barrios & Paolo Victor T. Redondo - 877-891 Stocks Opening Price Gaps and Adjustments to New Information
by Aiche Avishay & Cohen Gil & Griskin Vladimir - 893-918 A Bilinear Pseudo-spectral Method for Solving Two-asset European and American Pricing Options
by M. Khasi & J. Rashidinia - 919-950 Quantum Optimized Cost Based Feature Selection and Credit Scoring for Mobile Micro-financing
by Chi Ming Chen & Geoffrey Kwok Fai Tso & Kaijian He
January 2024, Volume 63, Issue 1
- 1-20 Detecting Collusive Shill Bidding in Commercial Online Auctions
by L. A. Gerritse & C. F. A. Wesenbeeck - 21-45 On ESG Portfolio Construction: A Multi-Objective Optimization Approach
by Panos Xidonas & Eric Essner - 47-73 Modeling the Paths of China’s Systemic Financial Risk Contagion: A Ripple Network Perspective Analysis
by Fuwei Xu - 75-110 Comparison of Value at Risk (VaR) Multivariate Forecast Models
by Fernanda Maria Müller & Marcelo Brutti Righi - 111-127 Directed association network analysis on the Standard and Poor’s 500 Index
by Zhaoyang Li & Yuehan Yang - 129-158 Efficiency Evaluation of Assets and Optimal Portfolio Generation by Cross Efficiency and Cumulative Prospect Theory
by Sweksha Srivastava & Abha Aggarwal & Pooja Bansal - 159-192 Convertible Bond Arbitrage Smart Beta
by Peter J. Zeitsch - 193-220 Bayesian Inference for Mixed Gaussian GARCH-Type Model by Hamiltonian Monte Carlo Algorithm
by Rubing Liang & Binbin Qin & Qiang Xia - 221-244 Statistical Evaluation of Deep Learning Models for Stock Return Forecasting
by Firat Melih Yilmaz & Engin Yildiztepe - 245-270 Method of Lines for Valuation and Sensitivities of Bermudan Options
by Purba Banerjee & Vasudeva Murthy & Shashi Jain - 271-304 Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis
by Emmanuel Afuecheta & Idika E. Okorie & Saralees Nadarajah & Geraldine E. Nzeribe - 305-338 Integrated decision recommendation system using iteration-enhanced collaborative filtering, golden cut bipolar for analyzing the risk-based oil market spillovers
by Alexey Mikhaylov & Ishaq M. Bhatti & Hasan Dinçer & Serhat Yüksel - 339-355 On the Dynamics of Relative Prices and the Relationship with Inflation: An Empirical Approach
by Emiliano Alvarez & Juan Gabriel Brida & Pablo Mones - 357-389 Uncertainty Optimization Based Feature Selection Model for Stock Marketing
by Arvind Kumar Sinha & Pradeep Shende - 391-421 Portfolio Selection Based on EMD Denoising with Correlation Coefficient Test Criterion
by Kuangxi Su & Yinhong Yao & Chengli Zheng & Wenzhao Xie - 423-435 Simulating and Pricing CAT Bonds Using the Spectral Method Based on Chebyshev Basis
by Y. Esmaeelzade Aghdam & A. Neisy & A. Adl
December 2023, Volume 62, Issue 4
- 1393-1411 Do Multi-Market Institutions and Renewable Energy Matter for Sustainable Development: A Panel Data Investigation
by Najid Ahmad & Fredj Jawadi & Muhammad Azam - 1413-1435 Using Quadratic Interpolated Beetle Antennae Search for Higher Dimensional Portfolio Selection Under Cardinality Constraints
by Ameer Tamoor Khan & Xinwei Cao & Shuai Li - 1437-1455 Calibration of Storage Model by Multi-Stage Statistical and Machine Learning Methods
by Nader Karimi & Hirbod Assa & Erfan Salavati & Hojatollah Adibi - 1457-1479 On the Optimal Size and Composition of Customs Unions: An Evolutionary Approach
by Takfarinas Saber & Dominik Naeher & Philippe Lombaerde - 1481-1504 A Comparison of Different Rules on Loans Evaluation in Peer-to-Peer Lending by Gradient Boosting Models Under Moving Windows with Two Timestamps
by Ligang Zhou & Chao Ma - 1505-1523 Identifying Systemically Important Banks Based on an Improved DebtRank Model
by Hu Wang & Shouwei Li - 1525-1544 Price Prediction of Cryptocurrency Using a Multi-Layer Gated Recurrent Unit Network with Multi Features
by Gyana Ranjan Patra & Mihir Narayan Mohanty - 1545-1566 A Novel Prediction Model: ELM-ABC for Annual GDP in the Case of SCO Countries
by Xiaohan Xu & Roy Anthony Rogers & Mario Arturo Ruiz Estrada - 1567-1609 Comparing Out-of-Sample Performance of Machine Learning Methods to Forecast U.S. GDP Growth
by Ba Chu & Shafiullah Qureshi - 1611-1630 Estimation of Rank-Ordered Regret Minimization Models
by Changbiao Liu & Yuling Li - 1631-1667 Performance of Different Machine Learning Algorithms in Detecting Financial Fraud
by Alhanouf Abdulrahman Saleh Alsuwailem & Emad Salem & Abdul Khader Jilani Saudagar - 1669-1720 A Machine Learning Approach for Flagging Incomplete Bid-Rigging Cartels
by Hannes Wallimann & David Imhof & Martin Huber - 1721-1750 Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market
by Qixuan Luo & Shijia Song & Handong Li - 1751-1780 Working Together: Optimal Control of Wolf Management Across Multiple States
by M. Ben Goodwin & Jamal Mamkhezri & Fidel Gonzalez - 1781-1799 Profitability of Ichimoku-Based Trading Rule in Vietnam Stock Market in the Context of the COVID-19 Outbreak
by Ha Che-Ngoc & Nga Do-Thi & Thao Nguyen-Trang - 1801-1843 A Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting
by Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller - 1845-1856 The Convergence Analysis of the Numerical Calculation to Price the Time-Fractional Black–Scholes Model
by H. Mesgarani & M. Bakhshandeh & Y. Esmaeelzade Aghdam & J. F. Gómez-Aguilar - 1857-1882 An Alternative Bootstrap for Proxy Vector Autoregressions
by Martin Bruns & Helmut Lütkepohl - 1883-1918 An Incentive-Compatible and Computationally Efficient Fog Bargaining Mechanism
by Kwang Mong Sim - 1919-1945 Modeling Bitcoin Prices using Signal Processing Methods, Bayesian Optimization, and Deep Neural Networks
by Bhaskar Tripathi & Rakesh Kumar Sharma
October 2023, Volume 62, Issue 3
- 721-759 Boosting the Scalability of Farm-Level Models: Efficient Surrogate Modeling of Compositional Simulation Output
by Christian Troost & Julia Parussis-Krech & Matías Mejaíl & Thomas Berger - 761-816 Object Oriented (Dynamic) Programming: Closing the “Structural” Estimation Coding Gap
by Christopher Ferrall - 817-854 Compact Finite Difference Scheme with Hermite Interpolation for Pricing American Put Options Based on Regime Switching Model
by Chinonso I. Nwankwo & Weizhong Dai & Ruihua Liu - 855-890 Market Structure and Instability Artifacts in Heterogeneous Agent Models: Lessons from Implicit Discretizations of Stiff Equations
by Michael Heinrich Baumann & Michaela Baumann & Lars Grüne & Bernhard Herz - 891-934 Application of Robust Control for CSR Formalization and Stakeholders Interest
by Sana Ben Abdallah & Dhafer Saidane & Mihaly Petreczky - 935-967 On the Hedging of Interest Rate Margins on Bank Demand Deposits
by Hamza Cherrat & Jean-Luc Prigent - 969-1005 On the Modeling and Simulation of Portfolio Allocation Schemes: an Approach Based on Network Community Detection
by Stefano Ferretti - 1007-1045 Market Clearing and Krusell-Smith Algorithm in an Economy with Multiple Assets
by Ivo Bakota - 1047-1085 Parallel Computation of Sovereign Default Models
by Mingzhuo Deng & Pablo A. Guerron-Quintana & Lewis Tseng - 1087-1106 The Model Dimensionality and Its Impacts on the Strategic and Policy Outcomes in IAMs the Findings from the RICE2020 Model
by Zili Yang - 1107-1123 Turkish Stock Market from Pandemic to Russian Invasion, Evidence from Developed Machine Learning Algorithm
by Ahmed R. M. Alsayed - 1125-1154 Importance Sampling for Calculating the Value-at-Risk and Expected Shortfall of the Quadratic Portfolio with t-Distributed Risk Factors
by Huei-Wen Teng - 1155-1175 Numerical Approximation to a Variable-Order Time-Fractional Black–Scholes Model with Applications in Option Pricing
by Meihui Zhang & Xiangcheng Zheng - 1177-1213 A Polynomial-Affine Approximation for Dynamic Portfolio Choice
by Yichen Zhu & Marcos Escobar-Anel & Matt Davison - 1215-1232 A Novel Hybrid House Price Prediction Model
by Süreyya Özöğür Akyüz & Birsen Eygi Erdogan & Özlem Yıldız & Pınar Karadayı Ataş - 1233-1249 Internal Rate of Return Estimation of Subsidised Projects: Conventional Approach Versus fuzzy Approach
by Simona Hašková & Petr Fiala - 1251-1286 Horizon-Adaptive Extreme Risk Quantification for Cryptocurrency Assets
by George Tzagkarakis & Frantz Maurer - 1287-1311 Market Efficiency and Cross-Correlations of Chinese New Energy Market with Other Assets: Evidence from Multifractality Analysis
by Zeyi Fu & Hongli Niu & Weiqing Wang - 1313-1340 An Exploration of the Fuzzy Inference System for the Daily Trading Decision and Its Performance Analysis Based on Fuzzy MCDM Methods
by C. Veeramani & R. Venugopal & S. Muruganandan - 1341-1392 A Novel Financial Forecasting Approach Using Deep Learning Framework
by Yunus Santur
August 2023, Volume 62, Issue 2
- 487-491 Crisis and Risk Management: Recent Developments in Computational Economics
by Zied Ftiti & Jean-Luc Prigent - 493-526 Omega Compatibility: A Meta-analysis
by Carole Bernard & Massimiliano Caporin & Bertrand Maillet & Xiang Zhang - 527-559 Exploring the Nonlinear Idiosyncratic Volatility Puzzle: Evidence from China
by Bo Li & Sabri Boubaker & Zhenya Liu & Waël Louhichi & Yao Yao - 561-587 Systematic and Unsystematic Determinants of Sectoral Risk Default Interconnectedness
by Haithem Awijen & Younes Ben Zaied & Ahmed Imran Hunjra - 589-608 The Influence of Economic Policy Uncertainty and Business Cycles on Fine Wine Prices
by Hachmi Ben Ameur & Eric Le Fur & Julien Pillot - 609-637 Risk Connectedness Between Green and Conventional Assets with Portfolio Implications
by Muhammad Abubakr Naeem & Sitara Karim & Aviral Kumar Tiwari - 639-661 When Elon Musk Changes his Tone, Does Bitcoin Adjust Its Tune?
by Toan Luu Duc Huynh - 663-687 Do Gas Price and Uncertainty Indices Forecast Crude Oil Prices? Fresh Evidence Through XGBoost Modeling
by Kais Tissaoui & Taha Zaghdoudi & Abdelaziz Hakimi & Mariem Nsaibi - 689-720 Role of Comprehensive Income in Predicting Bankruptcy
by Asyrofa Rahmi & Hung-Yuan Lu & Deron Liang & Dinda Novitasari & Chih-Fong Tsai
June 2023, Volume 62, Issue 1
- 1-28 A Multi-market Comparison of the Intraday Lead–Lag Relations Among Stock Index-Based Spot, Futures and Options
by Fei Ren & Mei-Ling Cai & Sai-Ping Li & Xiong Xiong & Zhang-HangJian Chen - 29-47 Spatio-Temporal Instrumental Variables Regression with Missing Data: A Bayesian Approach
by Marcus L. Nascimento & Kelly C. M. Gonçalves & Mario Jorge Mendonça - 49-89 Reconstructing the Emergent Organization of Information Flows in International Stock Markets: A Computational Complex Systems Approach
by Paolo Massimo Buscema & Francesca Della Torre & Giulia Massini & Guido Ferilli & Pier Luigi Sacco - 91-128 Ensuring Mutual Benefit in a Trans-boundary Industrial Pollution Control Problem
by Ryle S. Perera & Kimitoshi Sato - 129-147 Modeling Tail Dependence Using Stochastic Volatility Model
by See-Woo Kim & Yong-Ki Ma & Ciprian Necula - 149-164 A Deep Learning Based Numerical PDE Method for Option Pricing
by Xiang Wang & Jessica Li & Jichun Li - 165-186 Predict Stock Prices Using Supervised Learning Algorithms and Particle Swarm Optimization Algorithm
by Mohammad Javad Bazrkar & Soodeh Hosseini - 187-204 A Synthetic Data-Plus-Features Driven Approach for Portfolio Optimization
by Bernardo K. Pagnoncelli & Domingo Ramírez & Hamed Rahimian & Arturo Cifuentes - 205-227 Exploring Uncertainty, Sensitivity and Robust Solutions in Mathematical Programming Through Bayesian Analysis
by Mike G. Tsionas & Dionisis Philippas & Constantin Zopounidis - 229-287 Forecasting Forex Trend Indicators with Fuzzy Rough Sets
by J. C. Garza Sepúlveda & F. Lopez-Irarragorri & S. E. Schaeffer - 289-324 Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset
by Burcu Aydoğan & Ömür Uğur & Ümit Aksoy - 325-360 Quasi-Monte Carlo-Based Conditional Malliavin Method for Continuous-Time Asian Option Greeks
by Chao Yu & Xiaoqun Wang - 361-381 Portfolio Optimization Via Online Gradient Descent and Risk Control
by J. D. M. Yamim & C. C. H. Borges & R. F. Neto - 383-405 Spatial Interactions and the Spread of COVID-19: A Network Perspective
by Cui Zhang & Dandan Zhang - 407-424 Penalized Averaging of Quantile Forecasts from GARCH Models with Many Exogenous Predictors
by Jan G. De Gooijer - 425-462 Reinforcement Learning in Economics and Finance
by Arthur Charpentier & Romuald Élie & Carl Remlinger - 463-485 Streaming Approach to Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data
by Vladimír Holý & Petra Tomanová
April 2023, Volume 61, Issue 4
- 1305-1330 Short- and Long-Term Interactions Between Bitcoin and Economic Variables: Evidence from the US
by Lei Wang & Provash Kumer Sarker & Elie Bouri - 1331-1368 A Dynamic Baseline Calibration Procedure for CGE models
by Johannes Ziesmer & Ding Jin & Sneha D Thube & Christian Henning - 1369-1402 The Slicing Method: Determining Insensitivity Regions of Probability Weighting Functions
by Martín Egozcue & Luis Fuentes García & Ričardas Zitikis - 1403-1431 Resilient Control for Macroeconomic Models
by David Hudgins & Patrick M. Crowley - 1433-1476 Incentives for Research Effort: An Evolutionary Model of Publication Markets with Double-Blind and Open Review
by Mantas Radzvilas & Francesco De Pretis & William Peden & Daniele Tortoli & Barbara Osimani - 1477-1522 Personal Finance Decisions with Untruthful Advisors: An Agent-Based Model
by Loretta Mastroeni & Maurizio Naldi & Pierluigi Vellucci - 1523-1544 Stock Price Formation: Precepts from a Multi-Agent Reinforcement Learning Model
by Johann Lussange & Stefano Vrizzi & Sacha Bourgeois-Gironde & Stefano Palminteri & Boris Gutkin - 1545-1560 Valuation of Standard Call Options Using the Euler–Maruyama Method with Strong Approximation
by Daniel Suescún-Díaz & Luis Eduardo Girón - 1561-1591 Analytic Method for Pricing Vulnerable External Barrier Options
by Donghyun Kim & Ji-Hun Yoon - 1593-1616 Multi–Scale Risk Connectedness Between Economic Policy Uncertainty of China and Global Oil Prices in Time–Frequency Domains
by Sheng Cheng & Wei Liu & Qisheng Jiang & Yan Cao - 1617-1636 Bitcoin Price Prediction: A Machine Learning Sample Dimension Approach
by Sumit Ranjan & Parthajit Kayal & Malvika Saraf - 1637-1664 Weighted-Average Least Squares (WALS): Confidence and Prediction Intervals
by Giuseppe Luca & Jan R. Magnus & Franco Peracchi - 1665-1679 A New Neural Network Approach for Predicting the Volatility of Stock Market
by Eunho Koo & Geonwoo Kim - 1681-1705 Derivation and Application of Some Fractional Black–Scholes Equations Driven by Fractional G-Brownian Motion
by Changhong Guo & Shaomei Fang & Yong He