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Content
May 2025, Volume 65, Issue 5
- 2451-2476 Evaluation of International Monetary Policy Coordination: Evidence from Machine Learning Algorithms
by Ufuk Can & Omur Saltik & Zeynep Gizem Can & Suleyman Degirmen - 2477-2503 Is Time an Illusion? A Bootstrap Likelihood Ratio Test for Shock Transmission Delays in DSGE Models
by Giovanni Angelini & Luca Fanelli & Marco M. Sorge - 2505-2543 What is the Effect of Restrictions Imposed by Principal Components Analysis on the Empirical Performance of Dynamic Term Structure Models?
by Januj Juneja - 2545-2577 Volatility Dynamics and Mixed Jump-GARCH Model Based Jump Detection in Financial Markets
by Min Zhu & Yuping Song & Xin Zheng - 2579-2594 Modeling Bitcoin Price Dynamics: Overcoming Kurtosis and Skewness Challenges for Enhanced Predictive Accuracy
by Mostafa Tamandi - 2595-2624 Rational Spectral Collocation Method for Solving Black-Scholes and Heston Equations
by Yangyang Wang & Xunxiang Guo & Ke Wang - 2625-2648 Dynamic Time Warping: Intertemporal Clustering Alignments for Hotel Tourism Demand
by Miguel Ángel Ruiz Reina - 2649-2677 Cryptocurrency Exchanges and Traditional Markets: A Multi-algorithm Liquidity Comparison Using Multi-criteria Decision Analysis
by Bhaskar Tripathi & Rakesh Kumar Sharma - 2679-2706 The Effect of News Photo Sentiment on Stock Price Crash Risk Based on Deep Learning Models
by Gaoshan Wang & Xiaomin Wang - 2707-2741 Measuring Interdependence of Inflation Uncertainty
by Seohyun Lee - 2743-2760 Panel Stochastic Frontier Analysis with Positive Skewness
by Rachida El Mehdi & Christian M. Hafner - 2761-2774 The Impact of Foreign Stock Market Indices on Predictions Volatility of the WIG20 Index Rates of Return Using Neural Networks
by Emilia Fraszka-Sobczyk & Aleksandra Zakrzewska - 2775-2810 Robust Picture Fuzzy Regression Functions Approach Based on M-Estimators for the Forecasting Problem
by Eren Bas & Erol Egrioglu - 2811-2828 Political Similarity and the Dynamics of the Global Nuclear Trade Network
by Yeongkyun Jang - 2829-2852 Stock Returns Prediction Based on Implied Volatility Spread Under Network Perspective
by Hairong Cui & Xurui Wang & Xiaojun Chu - 2853-2871 Optimal Portfolios for Large Investors in Housing Markets Under Stress Scenarios: A Worst-Case Approach
by Bilgi Yilmaz - 2873-2889 Dynamic Interlinkages between the Twitter Uncertainty Index and the Green Bond Market: Evidence from the Covid-19 Pandemic and the Russian-Ukrainian Conflict
by Onur Polat & Berna Doğan Başar & İbrahim Halil Ekşi - 2891-2917 LightGBM-BES-BiLSTM Carbon Price Prediction Based on Environmental Impact Factors
by Peipei Wang & Xiaoping Zhou & Zhaonan Zeng - 2919-2964 Decentralized Storage Cryptocurrencies: An Innovative Network-Based Model for Identifying Effective Entities and Forecasting Future Price Trends
by Mansour Davoudi & Mina Ghavipour & Morteza Sargolzaei-Javan & Saber Dinparast - 2965-2990 An Alternative Approach for Determining the Time-Varying Decay Parameter of the Nelson-Siegel Model
by Sang-Heon Lee - 2991-3035 Integration of CNN Models and Machine Learning Methods in Credit Score Classification: 2D Image Transformation and Feature Extraction
by Yunus Emre Gür & Mesut Toğaçar & Bilal Solak - 3037-3038 Correction to: Analysis of Internet Financial Risks Based on Deep Learning and BP Neural Network
by Zixian Liu & Guansan Du & Shuai Zhou & Haifeng Lu & Han Ji
April 2025, Volume 65, Issue 4
- 1795-1817 Copper Price Forecasting Based on Improved Least Squares Support Vector Machine with Butterfly Optimization Algorithm
by Jialu Ling & Ziyu Zhong & Helin Wei - 1819-1853 An experiment with ANNs and Long-Tail Probability Ranking to Obtain Portfolios with Superior Returns
by Alexandre Silva Oliveira & Paulo Sergio Ceretta & Daniel Pastorek - 1855-1855 Correction to: An experiment with ANNs and Long‑Tail Probability Ranking to Obtain Portfolios with Superior Returns
by Alexandre Silva Oliveira & Paulo Sergio Ceretta & Daniel Pastorek - 1857-1899 Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning
by Davood Pirayesh Neghab & Mucahit Cevik & M. I. M. Wahab & Ayse Basar - 1901-1935 Stability and Chaos of the Duopoly Model of Kopel: A Study Based on Symbolic Computations
by Xiaoliang Li & Kongyan Chen & Wei Niu & Bo Huang - 1937-1969 Forecasting Stock Indices: Stochastic and Artificial Neural Network Models
by Naman Krishna Pande & Arun Kumar & Arvind Kumar Gupta - 1971-1998 Pricing Convertible Bonds with the Penalty TF Model Using Finite Element Method
by Rakhymzhan Kazbek & Yogi Erlangga & Yerlan Amanbek & Dongming Wei - 1999-2028 Portfolio Optimization During the COVID-19 Epidemic: Based on an Improved QBAS Algorithm and a Dynamic Mixed Frequency Model
by Siyao Wei & Pengfei Luo & Jiashan Song & Kunliang Jiang - 2029-2056 Implementing a Hierarchical Deep Learning Approach for Simulating Multilevel Auction Data
by Igor Sadoune & Marcelin Joanis & Andrea Lodi - 2057-2080 Improving Sliding Window Effect of LSTM in Stock Prediction Based on Econometrics Theory
by Xiaoxiao Liu & Wei Wang - 2081-2113 Optimal Time Varying Parameters in Yield Curve Modeling and Forecasting: A Simulation Study on BRICS Countries
by Oleksandr Castello & Marina Resta - 2115-2131 Analyzing Stationarity in World Coffee Prices
by C. Flores Komatsu & L. A. Gil-Alana - 2133-2178 A Hybrid Multi-population Optimization Algorithm for Global Optimization and Its Application on Stock Market Prediction
by Ali Alizadeh & Farhad Soleimanian Gharehchopogh & Mohammad Masdari & Ahmad Jafarian - 2179-2204 On a Black–Scholes American Call Option Model
by Morteza Garshasbi & Shadi Malek Bagomghaleh - 2205-2225 Dynamic Modeling and Simulation of Option Pricing Based on Fractional Diffusion Equations with Double Derivatives
by Lina Song - 2227-2248 Bitcoin Price Prediction Using Sentiment Analysis and Empirical Mode Decomposition
by Serdar Arslan - 2249-2315 PCA-ICA-LSTM: A Hybrid Deep Learning Model Based on Dimension Reduction Methods to Predict S&P 500 Index Price
by Mehmet Sarıkoç & Mete Celik - 2317-2350 On the Efficiency of the Informal Currency Markets: The Case of the Cuban Peso
by Alejandro García-Figal & Alejandro Lage-Castellanos & Daniel A. Amaro & R. Mulet - 2351-2378 Predicting the Brazilian Stock Market with Sentiment Analysis, Technical Indicators and Stock Prices: A Deep Learning Approach
by Arthur Emanuel de Oliveira Carosia & Ana Estela Antunes Silva & Guilherme Palermo Coelho - 2379-2396 Perturbating and Estimating DSGE Models in Julia
by Alvaro Salazar-Perez & Hernán D. Seoane - 2397-2422 An Efficient IMEX Compact Scheme for the Coupled Time Fractional Integro-Differential Equations Arising from Option Pricing with Jumps
by Yong Chen & Liangliang Li - 2423-2448 Estimating Input Coefficients for Regional Input–Output Tables Using Deep Learning with Mixup
by Shogo Fukui - 2449-2450 Correction to: The Spherical Parametrisation for Correlation Matrices and its Computational Advantages
by Riccardo Lucchetti & Luca Pedini
March 2025, Volume 65, Issue 3
- 1147-1168 Calibration of Local Volatility Surfaces from Observed Market Call and Put Option Prices
by Changwoo Yoo & Soobin Kwak & Youngjin Hwang & Hanbyeol Jang & Hyundong Kim & Junseok Kim - 1169-1189 Applying Machine Learning Algorithms to Predict the Size of the Informal Economy
by João Felix & Michel Alexandre & Gilberto Tadeu Lima - 1191-1230 Prediction and Allocation of Stocks, Bonds, and REITs in the US Market
by Ana Sofia Monteiro & Helder Sebastião & Nuno Silva - 1231-1264 Determinants and Pathways for Inclusive Growth in China: Investigation Based on Artificial Intelligence (AI) Algorithm
by Shuangshuang Fan & Yichao Li & William Mbanyele & Xiufeng Lai - 1265-1298 Can Text-Based Statistical Models Reveal Impending Banking Crises?
by Emile du Plessis - 1299-1317 Cross-Correlation Analysis of Crude Oil-Related Stock Markets in China Caused by the Conflict Between Russia and Ukraine
by Jian Wang & Wenjing Jiang & Menghao Huang & Wei Shao - 1319-1339 Brazilian Selic Rate Forecasting with Deep Neural Networks
by Rodrigo Moreira & Larissa Ferreira Rodrigues Moreira & Flávio Oliveira Silva - 1341-1371 A Novel Hybrid Model by Integrating Gated Recurrent Unit Network with Weighted Error-Based Fuzzy Candlestick Model for Stock Market Forecasting
by Yameng Zhang & Yan Song & Guoliang Wei - 1373-1395 A Novel Pythagorean Approach Based Sine-Shaped Fuzzy Data Envelopment Analysis Model: An Assessment of Indian Public Sector Banks
by Mohammad Aqil Sahil & Meenakshi Kaushal & Q. M. Danish Lohani - 1397-1428 Stackelberg Solutions in an Opinion Dynamics Game with Stubborn Agents
by Yulia Kareeva & Artem Sedakov & Mengke Zhen - 1429-1455 A Bayesian Time-Varying Coefficient Model for Cobb–Douglas Production Function
by Jongwoo Choi & Seongil Jo & Jaeoh Kim - 1457-1477 Can Machine Learning Explain Alpha Generated by ESG Factors?
by Vittorio Carlei & Piera Cascioli & Alessandro Ceccarelli & Donatella Furia - 1479-1504 Portfolio Optimization with Prediction-Based Return Using Long Short-Term Memory Neural Networks: Testing on Upward and Downward European Markets
by Xavier Martínez-Barbero & Roberto Cervelló-Royo & Javier Ribal - 1505-1547 The Art of Temporal Approximation: An Investigation into Numerical Solutions to Discrete- and Continuous-Time Problems in Economics
by Keyvan Eslami & Thomas Phelan - 1549-1565 Greymodels: A Shiny Package for Grey Forecasting Models in R
by Havisha Jahajeeah & Aslam A. E. F. Saib - 1567-1615 Unleashing the Potential of Mixed Frequency Data: Measuring Risk with Dynamic Tail Index Regression Model
by Hongyu An & Boping Tian - 1617-1642 Catalyzing Sustainable Investment: Revealing ESG Power in Predicting Fund Performance with Machine Learning
by Alexandre Momparler & Pedro Carmona & Francisco Climent - 1643-1705 Stock Market Efficiency of the BRICS Countries Pre-, During, and Post Covid-19 Pandemic: A Multifractal Detrended Fluctuation Analysis
by Syed Moudud-Ul-Huq & Md. Shahriar Rahman - 1707-1740 Analysis of Frequent Trading Effects of Various Machine Learning Models
by Jiahao Chen & Xiaofei Li & Junjie Du - 1741-1758 Monitoring the Dynamic Networks of Stock Returns with an Application to the Swedish Stock Market
by Elena Farahbakhsh Touli & Hoang Nguyen & Olha Bodnar - 1759-1774 Going a Step Deeper Down the Rabbit Hole: Deep Learning Model to Measure the Size of the Unregistered Economy Activity
by Teddy Lazebnik - 1775-1794 Stock Price Prediction with Heavy-Tailed Distribution Time-Series Generation Based on WGAN-BiLSTM
by Ming Kang
February 2025, Volume 65, Issue 2
- 579-583 Introduction to the Special Issue on Nonlinear Dynamics and Complex Systems
by Andrea Caravaggio & Gianluca Iannucci & Mauro Sodini & Fabio Tramontana - 585-611 Size-Dependent Enforcement, Tax Evasion and Dimensional Trap
by Raffaella Coppier & Elisabetta Michetti & Luisa Scaccia - 613-614 Correction to: Size‑Dependent Enforcement, Tax Evasion and Dimensional Trap
by Raffaella Coppier & Elisabetta Michetti & Luisa Scaccia - 615-636 Convergence Speed and Growth Patterns: A Dynamical Systems Approach
by Javier García-Algarra & Gonzalo Gómez-Bengoechea & Mary Luz Mouronte-López - 637-664 Pollution Abatement and Lobbying in a Cournot Game: An Agent-Based Modelling Approach
by Marco Catola & Silvia Leoni - 665-689 Dynamic Investigations of an Endogenous Business Cycle Model with Heterogeneous Agents
by Spiros Bougheas & Pasquale Commendatore & Laura Gardini & Ingrid Kubin - 691-715 Dynamic Multilayer Network for Systemic Risk and Bank Regulation Based on CDS
by Miao Tang & Hong Fan - 717-761 Insights on the Theory of Robust Games
by G. P. Crespi & D. Radi & M. Rocca - 763-794 Two-Population Evolutionary Oligopoly with Partial Cooperation and Partial Hostility
by F. Lamantia & D. Radi & T. Tichy - 795-818 A Novel Window Analysis and Its Application to Evaluating High-Frequency Trading Strategies
by Ha Che-Ngoc & Thach Nguyen-Ngoc & Thao Nguyen-Trang - 819-843 Dynamic Return Scenario Generation Approach for Large-Scale Portfolio Optimisation Framework
by David Neděla & Sergio Ortobelli Lozza & Tomáš Tichý - 845-876 Explaining the Stylized Facts of Foreign Exchange Markets with a Simple Agent-based Version of Paul de Grauwe’s Chaotic Exchange Rate Model
by Sarah Mignot & Frank Westerhoff - 877-912 Asymptotic Dynamics in a Multi-market Delayed Cobweb Model
by Akio Matsumoto & Ferenc Szidarovszky - 913-935 Debt Stabilisation and Dynamic Interaction Between Monetary Authority and National Fiscal Authorities
by Luca Gori & Francesco Purificato & Mauro Sodini - 937-961 Investor Structure and Corn Futures Price Volatility in China: Evidence Based on the Agent-Based Model
by Yuhe Zhao & Ronghua Ju - 963-988 Household Financial Fragility, Debt and Income in a Dynamic Model
by Giorgio Calcagnini & Federico Favaretto & Germana Giombini & Fabio Tramontana - 989-1014 Pricing of Vulnerable Timer Options
by Donghyun Kim & Mijin Ha & Sun-Yong Choi & Ji-Hun Yoon - 1015-1050 Interacting Cobweb Demands
by Lorenzo Pinna & Giorgio Ricchiuti - 1051-1082 Consumption Dynamics in Mixed-Income Neighborhoods with Connected Households
by Jochen Jungeilges & Trygve Kastberg Nilssen & Makar Pavletsov & Tatyana Perevalova - 1083-1146 Polynomial Chaos Expansion: Efficient Evaluation and Estimation of Computational Models
by Daniel Fehrle & Christopher Heiberger & Johannes Huber
January 2025, Volume 65, Issue 1
- 1-20 On Using Proportional Representation Methods as Alternatives to Pro-rata Based Order Matching Algorithms in Stock Exchanges
by Sanjay Bhattacherjee & Palash Sarkar - 21-67 A New Look at Cross-Country Aggregation in the Global VAR Approach: Theory and Monte Carlo Simulation
by Halil Ibrahim Gunduz & Furkan Emirmahmutoglu & M. Eray Yucel - 69-89 Standard Errors for Regression-Based Causal Effect Estimates in Economics Using Numerical Derivatives
by Joseph V. Terza - 91-116 Using Decision Trees to Predict Insolvency in Spanish SMEs: Is Early Warning Possible?
by Andrés Navarro-Galera & Juan Lara-Rubio & Pavel Novoa-Hernández & Carlos A. Cruz Corona - 117-146 Tales of Turbulence: BERT-based Multimodal Analysis of FED Communication Dynamics Amidst COVID-19 Through FOMC Minutes
by Bilal Taskin & Fuat Akal - 147-147 Correction to: Tales of Turbulence: BERT‑based Multimodal Analysis of FED Communication Dynamics Amidst COVID‑19 Through FOMC Minutes
by Bilal Taskin & Fuat Akal - 149-209 Designing Ensemble-Based Models Using Neural Networks and Temporal Financial Profiles to Forecast Firms’ Financial Failure
by Philippe Jardin - 211-239 Multi-Scale Event Detection in Financial Time Series
by Diego Silva Salles & Cristiane Gea & Carlos E. Mello & Laura Assis & Rafaelli Coutinho & Eduardo Bezerra & Eduardo Ogasawara - 241-270 Design of Neuro-Stochastic Bayesian Networks for Nonlinear Chaotic Differential Systems in Financial Mathematics
by Farwah Ali Syed & Kwo-Ting Fang & Adiqa Kausar Kiani & Muhammad Shoaib & Muhammad Asif Zahoor Raja - 271-312 A Consolidated MCDM Framework for Overall Performance Assessment of Listed Insurance Companies Based on Ranking Strategies
by Özcan Işık & Ahmet Çalık & Mohsin Shabir - 313-335 Identifying Safe Haven Assets: Evidence from Fractal Market Hypothesis
by P. S. Niveditha - 337-363 A Redefined Variance Inflation Factor: Overcoming the Limitations of the Variance Inflation Factor
by Román Salmerón-Gómez & Catalina B. García-García & José García-Pérez - 365-394 Trade Friction in Two-Country HANK with Financial Friction
by Chenxin Zhang & Yujie Yang & Wenwen Hou - 395-428 Risk Forecasting Comparisons in Decentralized Finance: An Approach in Constant Product Market Makers
by Lucas Mussoi Almeida & Fernanda Maria Müller & Marcelo Scherer Perlin - 429-458 A Smooth Transition Autoregressive Model for Matrix-Variate Time Series
by Andrea Bucci - 459-462 Correction to: A Smooth Transition Autoregressive Model for Matrix-Variate Time Series
by Andrea Bucci - 463-481 Stochastic Exchange Rate Dynamics, Intervention Dynamics and the Market Efficiency Hypothesis
by Emmanouil Drakonakis & Stelios Kotsios - 483-505 Determining Drivers of Private Equity Return with Computational Approaches
by Prosper Lamothe-Fernández & Eduardo García-Argüelles & Sergio Manuel Fernández-Miguélez & Omar Hassani-Zerrouk - 507-542 Building an Annual Retrospective for French Labor Market (1959–1975) As a Complement of the INSEE’s Time Series (1975–2021)
by Rodolphe Buda - 543-578 A Study of Controlling Shareholders’ Equity Pledge Rate Based on Dividend Policy and Barrier Option
by Liang Wang & Junjie He & Qian Liu
December 2024, Volume 64, Issue 6
- 3161-3179 Forecasting Bank Failure in the U.S.: A Cost-Sensitive Approach
by Aykut Ekinci & Safa Sen - 3181-3205 Sieve Bootstrap for Fixed-b Phillips–Perron Unit Root Test
by Zhenxin Wang & Shaoping Wang & Yayi Yan - 3207-3242 Upward and Downward Multifractality and Efficiency of Chinese and Hong Kong Stock Markets
by Walid Mensi & Xuan Vinh Vo & Sang Hoon Kang - 3243-3278 Prediction of Precious Metal Index Based on Ensemble Learning and SHAP Interpretable Method
by Yanbo Zhang & Mengkun Liang & Haiying Ou - 3279-3294 Recalculate Without Recomputing
by José Dias Curto - 3295-3315 Role of Economic Policy Uncertainty in Energy Commodities Prices Forecasting: Evidence from a Hybrid Deep Learning Approach
by Amar Rao & Marco Tedeschi & Kamel Si Mohammed & Umer Shahzad - 3317-3331 Engineering Optimal Cooperation Levels with Prosocial Autonomous Agents in Hybrid Human-Agent Populations: An Agent-Based Modeling Approach
by Tian Guo & Zhixue He & Chen Shen & Lei Shi & Jun Tanimoto - 3333-3351 Market Ecology: Trading Strategies and Market Volatility
by Kun Xing & Honggang Li - 3353-3379 Operator Splitting Method to Solve the Linear Complementarity Problem for Pricing American Option: An Approximation of Error
by Deepak Kumar Yadav & Akanksha Bhardwaj & Alpesh Kumar - 3381-3405 Forecasting House Prices through Credit Conditions: A Bayesian Approach
by Rosa Drift & Jan Haan & Peter Boelhouwer - 3407-3446 Developing Hybrid Deep Learning Models for Stock Price Prediction Using Enhanced Twitter Sentiment Score and Technical Indicators
by Nabanita Das & Bikash Sadhukhan & Rajdeep Ghosh & Satyajit Chakrabarti - 3447-3471 Improving Quantile Forecasts via Realized Double Hysteretic GARCH Model in Stock Markets
by Cathy W. S. Chen & Cindy T. H. Chien - 3473-3507 Trading Signal Survival Analysis: A Framework for Enhancing Technical Analysis Strategies in Stock Markets
by Wenbin Hu & Junzi Zhou - 3509-3541 Monetary Policy and the Evolution of Wealth Disparity: An Assessment Using US Survey of Consumer Finance Data
by Damien Nicholas Parker & Willi Semmler - 3543-3553 Long-Run Linkages Between us Stock Prices and Cryptocurrencies: A Fractional Cointegration Analysis
by Guglielmo Maria Caporale & José Javier de Dios Mazariegos & Luis A. Gil-Alana - 3555-3576 Exploring the Dynamics of Equity and Cryptocurrency Markets: Fresh Evidence from the Russia–Ukraine War
by Foued Hamouda & Imran Yousaf & Muhammad Abubakr Naeem - 3577-3616 Estimation of Models for Stock Returns
by Saralees Nadarajah & Thomas Hitchen - 3617-3643 Evaluating Density Forecasts Using Weighted Multivariate Scores in a Risk Management Context
by Jie Cheng - 3645-3682 A General and Efficient Method for Solving Regime-Switching DSGE Models
by Julien Albertini & Stéphane Moyen - 3683-3712 Portfolio Optimization Using Novel EW-MV Method in Conjunction with Asset Preselection
by Priya Singh & Manoj Jha
November 2024, Volume 64, Issue 5
- 2585-2603 Cryptocurrency Exchange Simulation
by Kirill Mansurov & Alexander Semenov & Dmitry Grigoriev & Andrei Radionov & Rustam Ibragimov - 2605-2640 Research on Identification and Correction of Fund Investment Style Drift Based on FSD Model
by Yanyu Guo & Zhicheng Zhang & Jizu Li & Huayun Du - 2641-2662 Combining Feature Selection and Classification Using LASSO-Based MCO Classifier for Credit Risk Evaluation
by Xiufang Li & Zhiwang Zhang & Lingyun Li & Hui Pan - 2663-2684 The Symmetric and Asymmetric Algorithmic Trading Strategies for the Stablecoins
by Mahmut Bağcı & Pınar Kaya Soylu & Selçuk Kıran - 2685-2694 Singular Stochastic Differential Equations for Time Evolution of Stocks Within Non-white Noise Approach
by L. L. B. Miranda & L. S. Lima - 2695-2716 Determinants of Nonperforming Loans: A Global Data Analysis
by MBelen Salas & Prosper Lamothe & Enrique Delgado & Angel L. Fernández-Miguélez & Lucia Valcarce - 2717-2745 Improving Cointegration-Based Pairs Trading Strategy with Asymptotic Analyses and Convergence Rate Filters
by Yen-Wu Ti & Tian-Shyr Dai & Kuan-Lun Wang & Hao-Han Chang & You-Jia Sun - 2747-2781 A General Inferential Framework for Singly-Truncated Bivariate Normal Models with Applications in Economics
by Yin Liu & Guo-Liang Tian & Chi Zhang & Hong Qin - 2783-2811 China's business cycle forecasting: a machine learning approach
by Pan Tang & Yuwei Zhang - 2813-2852 Learning Bermudans
by Riccardo Aiolfi & Nicola Moreni & Marco Bianchetti & Marco Scaringi - 2853-2878 Increasing the Hong Kong Stock Market Predictability: A Temporal Convolutional Network Approach
by Shun Chen & Lingling Guo & Lei Ge - 2879-2908 Testing the Closed-Form Spread Option Pricing Formula Based on Gauss-Hermite Quadrature for a Jump-Diffusion Model
by Xenos Chang-Shuo Lin & Daniel Wei-Chung Miao & Emma En-Tze Chang - 2909-2933 The Effects of Economic Uncertainty and Trade Policy Uncertainty on Industry-Specific Stock Markets Equity
by Ijaz Younis & Himani Gupta & Waheed Ullah Shah & Arshian Sharif & Xuan Tang - 2935-2980 Vine Copula Approach to Understand the Financial Dependence of the Istanbul Stock Exchange Index
by Ozan Evkaya & İsmail Gür & Bükre Yıldırım Külekci & Gülden Poyraz - 2981-3026 Machine Learning-Based Approach for Predicting the Altcoins Price Direction Change from a High-Frequency Data of Seven Years Based on Socio-Economic Factors, Bitcoin Prices, Twitter and News Sentiments
by Anamika Gupta & Gaurav Pandey & Rajan Gupta & Smaran Das & Ajmera Prakash & Kartik Garg & Shreyan Sarkar - 3027-3047 Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization
by Eric Luxenberg & Philipp Schiele & Stephen Boyd - 3049-3086 Which User-Friendly Model is the Best for BASEL-III? An Emerging Market Study
by Sharif Mozumder & Mohammad Zoynul Abedin & Raad Lalon & Amjad Hossain - 3087-3116 Scoring Six Detrending Methods on Timing, Lead-Lag Relations, and Cycle Periods: An Empirical Study of US and UK Recessions 1977–2020
by Knut Lehre Seip & Dan Zhang - 3117-3142 Constructing Optimal Portfolio Rebalancing Strategies with a Two-Stage Multiresolution-Grid Model
by Tian-Shyr Dai & Bo-Jen Chen & You-Jia Sun & Dong-Yuh Yang & Mu-En Wu - 3143-3159 Option Pricing and Local Volatility Surface by Physics-Informed Neural Network
by Hyeong-Ohk Bae & Seunggu Kang & Muhyun Lee
October 2024, Volume 64, Issue 4
- 1939-1963 Bayesian Quantile Regression Analysis for Bivariate Vector Autoregressive Models with an Application to Financial Time Series
by Kai Yang & Luan Zhao & Qian Hu & Wenshan Wang - 1965-2002 An Efficient Numerical Method Based on Exponential B-splines for a Time-Fractional Black–Scholes Equation Governing European Options
by Anshima Singh & Sunil Kumar - 2003-2032 Machine Learning Solutions for Fast Real Estate Derivatives Pricing
by Peiwei Cao & Xubiao He - 2033-2052 Portfolio Allocation with Dynamic Risk Preferences via Reinforcement Learning
by Ting-Fu Chen & Xian-Ji Kuang & Szu-Lang Liao & Shih-Kuei Lin - 2053-2078 The Finite Sample Performance of Instrumental Variable-Based Estimators of the Local Average Treatment Effect When Controlling for Covariates
by Hugo Bodory & Martin Huber & Michael Lechner - 2079-2096 Estimating Income Distributions From Grouped Data: A Minimum Quantile Distance Approach
by Tsvetana Spasova - 2097-2129 Inflation Targeting Regimes in Emerging Market Economies: To Invest or Not to Invest?
by Douglas Silveira & Ricardo B. L. M. Oscar - 2131-2178 Two-Stage Evaluation of the Pre-merger Potential Gains of Taiwan Financial Holding Companies: Dynamic Network Slack-Based Measure Analysis Approach
by Shao-Yin Hsu & Ching-Cheng Lu & Yan-Hui Xiao & Yung-ho Chiu - 2179-2203 The Factors Influencing China’s Population Distribution and Spatial Heterogeneity: Based on Multi-source Remote Sensing Data
by Shasha Huang & Jiandong Chen & Ming Gao & Mengjiao Yuan & Zunhong Zhu & Xueli Chen & Malin Song - 2205-2230 Non-linear Cointegration Test, Based on Record Counting Statistic
by Lynda Atil & Hocine Fellag & Ana E. Sipols & M. T. Santos-Martín & Clara Simón Blas - 2231-2232 Correction: Non‑linear Cointegration Test, Based on Record Counting Statistic
by Lynda Atil & Hocine Fellag & Ana E. Sipols & M. T. Santos-Martín & Clara Simón Blas - 2233-2262 Spillovers and Portfolio Management Between the Uncertainty Indices of Oil and Gold and G7 Stock Markets
by Walid Mensi & Salem Adel Ziadat & Xuan Vinh Vo & Sang Hoon Kang - 2263-2354 High-Frequency Trading in Bond Returns: A Comparison Across Alternative Methods and Fixed-Income Markets
by David Alaminos & María Belén Salas & Manuel A. Fernández-Gámez - 2355-2383 A Discourse Analysis of Tweets and Its Implications for Cryptocurrency Prices and Trade Volumes
by Kamyr Gomes Souza & Flavio Barboza & Daniel Vitor Tartari Garruti - 2385-2412 Quarterly Data Forecasting Method Based on Extended Grey GM(2, 1, Σsin) Model and Its Application in China’s Quarterly GDP Forecasting
by Maolin Cheng & Bin Liu - 2413-2435 Panel Interval-Valued Data Nonlinear Regression Models and Applications
by Ai-bing Ji & Qing-qing Li & Jin-jin Zhang - 2437-2476 Bayesian Local Likelihood Estimation of Time-Varying DSGE Models: Allowing for Indeterminacy
by Jinshun Wu & Luyao Wu - 2477-2508 Machine Learning-Based Time Series Prediction at Brazilian Stocks Exchange
by Ana Paula Santos Gularte & Danusio Gadelha Guimarães Filho & Gabriel Oliveira Torres & Thiago Carvalho Nunes Silva & Vitor Venceslau Curtis - 2509-2521 Reconstructing Cryptocurrency Processes via Markov Chains
by Tanya Araújo & Paulo Barbosa - 2523-2562 An Enterprise Multi-agent Model with Game Q-Learning Based on a Single Decision Factor
by Siying Xu & Gaoyu Zhang & Xianzhi Yuan - 2563-2584 Pricing Fade-in Options Under GARCH-Jump Processes
by Xingchun Wang & Han Zhang
September 2024, Volume 64, Issue 3
- 1315-1356 How Market Intervention can Prevent Bubbles and Crashes: An Agent Based Modelling Approach
by Rebecca Westphal & Didier Sornette - 1357-1390 Multiperiod Bankruptcy Prediction Models with Interpretable Single Models
by Ángel Beade & Manuel Rodríguez & José Santos - 1391-1442 Consumption Modelling Using Categorisation-Enhanced Mental Accounting
by Szymon Chudziak - 1443-1461 Deep Kusuoka Approximation: High-Order Spatial Approximation for Solving High-Dimensional Kolmogorov Equations and Its Application to Finance
by Riu Naito & Toshihiro Yamada - 1463-1488 On the Numerical Option Pricing Methods: Fractional Black-Scholes Equations with CEV Assets
by S. Banihashemi & A. Ghasemifard & A. Babaei - 1489-1505 How to Keep Your Portfolio Close in Risk and Diversification to a Desired Benchmark
by Argimiro Arratia & Henryk Gzyl & Silvia Mayoral - 1507-1538 Detection of Uncertainty Events in the Brazilian Economic and Financial Time Series
by Cristiane Gea & Luciano Vereda & Eduardo Ogasawara - 1539-1567 Exchange Rate Forecasting Based on Integration of Gated Recurrent Unit (GRU) and CBOE Volatility Index (VIX)
by Hao Xu & Cheng Xu & Yanqi Sun & Jin Peng & Wenqizi Tian & Yan He - 1569-1638 Empirical Performance of an ESG Assets Portfolio from US Market
by Fredy Pokou & Jules Sadefo Kamdem & François Benhmad - 1639-1662 Deep Learning Model for Fusing Spatial and Temporal Data for Stock Market Prediction
by Rachna Sable & Shivani Goel & Pradeep Chatterjee - 1663-1663 Correction to: Deep Learning Model for Fusing Spatial and Temporal Data for Stock Market Prediction
by Rachna Sable & Shivani Goel & Pradeep Chatterjee - 1665-1695 Research on ESG Investment Efficiency Regulation from the Perspective of Reciprocity and Evolutionary Game
by Yinglin Wang & Leqi Chen & Jiaxin Zhuang - 1697-1714 A Note on the Non-proportionality of Winning Probabilities in Bitcoin
by José Parra-Moyano & Gregor Reich & Karl Schmedders - 1715-1756 Stochastic Default Risk Estimation Evidence from the South African Financial Market
by Mesias Alfeus & Kirsty Fitzhenry & Alessia Lederer - 1757-1773 ARDL: An R Package for ARDL Models and Cointegration
by Kleanthis Natsiopoulos & Nickolaos G. Tzeremes - 1775-1801 Approximate Bayesian Estimation of Stochastic Volatility in Mean Models Using Hidden Markov Models: Empirical Evidence from Emerging and Developed Markets
by Carlos A. Abanto-Valle & Gabriel Rodríguez & Luis M. Castro Cepero & Hernán B. Garrafa-Aragón - 1803-1835 Performance Assessment of Logistic Regression (LR), Artificial Neural Network (ANN), Fuzzy Inference System (FIS) and Adaptive Neuro-Fuzzy System (ANFIS) in Predicting Default Probability: The Case of a Tunisian Islamic Bank
by Nadia Ayed & Khemaies Bougatef - 1837-1856 A Unit Root Test with Markov Switching Deterministic Components: A Special Emphasis on Nonlinear Optimization Algorithms
by Tolga Omay & Aysegul Corakci - 1857-1890 A Machine Learning-Based Analysis on the Causality of Financial Stress in Banking Institutions
by João Gabriel Moraes Souza & Daniel Tavares Castro & Yaohao Peng & Ivan Ricardo Gartner - 1891-1912 Computing Longitudinal Moments for Heterogeneous Agent Models
by Sergio Ocampo & Baxter Robinson - 1913-1936 Business Strategy, Short-Term Debt, and Cost Stickiness
by Davood Askarany & Mona Parsaei & Nilofar Ghanbari - 1937-1937 Correction to: Option Pricing Based on the Residual Neural Network
by Lirong Gan & Wei-han Liu
August 2024, Volume 64, Issue 2
- 625-641 A Critical Introduction to the Usual Robust Control Framework in Macroeconomics
by Marco P. Tucci - 643-692 Using Newspapers for Textual Indicators: Guidance Based on Spanish- and Portuguese-Speaking Countries
by Erik Andres-Escayola & Corinna Ghirelli & Luis Molina & Javier J. Perez & Elena Vidal - 693-705 Finite Sample Lag Adjusted Critical Values and Probability Values for the Fourier Wavelet Unit Root Test
by Peter S. Sephton - 707-733 How Micro Data Improve the Estimation of Household Credit Risk Within the Macro Stress Testing Framework
by Ján Klacso - 735-768 Opinion Dynamics with Preference Matching: How the Desire to Meet Facilitates Opinion Exchange
by Mitja Steinbacher & Matjaž Steinbacher & Clemens Knoppe - 769-788 Headline-Driven Classification and Local Interpretation for Market Outperformance and Low-Risk Stock Prediction
by Daniil Karzanov - 789-814 Competitive Online Strategy Based on Improved Exponential Gradient Expert and Aggregating Method
by Yong Zhang & Jiahao Li & Xingyu Yang & Jianliang Zhang - 815-840 Online Car-Hailing Market Regulation Strategy in China: From the Perspective of Quadrilateral Evolutionary Games
by Yong Peng & YaPing Hou & ShuHan Gao - 841-869 A Hybrid Spectral-Finite Difference Method for Numerical Pricing of Time-Fractional Black–Scholes Equation
by Nasibeh Mollahasani