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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 - 871-946 On the Replication of the Pre-kernel and Related Solutions
by Holger I. Meinhardt - 947-977 Stock Market Response to Quantitative Easing: Evidence from the Novel Rolling Windows Nonparametric Causality-in-Quantiles Approach
by Godwin Olasehinde-Williams & Ifedola Olanipekun & Oktay Özkan - 979-1022 Deep Learning and American Options via Free Boundary Framework
by Chinonso Nwankwo & Nneka Umeorah & Tony Ware & Weizhong Dai - 1023-1046 The Spherical Parametrisation for Correlation Matrices and its Computational Advantages
by Riccardo Lucchetti & Luca Pedini - 1047-1081 N-BEATS Perceiver: A Novel Approach for Robust Cryptocurrency Portfolio Forecasting
by Attilio Sbrana & Paulo André Lima de Castro - 1083-1112 Data Augmentation Based Quantile Regression Estimation for Censored Partially Linear Additive Model
by Lu Li & Ruiting Hao & Xiaorong Yang - 1113-1136 Computing Synthetic Controls Using Bilevel Optimization
by Pekka Malo & Juha Eskelinen & Xun Zhou & Timo Kuosmanen - 1137-1162 Systematic Research on Multi-dimensional and Multiple Correlation Contagion Networks of Extreme Risk in China’s Banking Industry
by Qicheng Zhao & Zhouwei Wang & Yuping Song - 1163-1198 Dynamic Analysis of Bitcoin Price Under Market News and Sentiments and Government Support Policies
by Pardis Roozkhosh & Alireza Pooya - 1199-1218 Computing Quantiles of Functions of the Agent Distribution Using t-Digests
by Robert Kirkby - 1219-1258 Evaluating the Performance of Metaheuristic Based Artificial Neural Networks for Cryptocurrency Forecasting
by Sudersan Behera & Sarat Chandra Nayak & A. V. S. Pavan Kumar - 1259-1294 Complex Systems Modeling of Community Inclusion Currencies
by Andrew Clark & Alexander Mihailov & Michael Zargham - 1295-1314 Effective Crude Oil Prediction Using CHS-EMD Decomposition and PS-RNN Model
by A. Usha Ruby & J. George Chellin Chandran & B. N. Chaithanya & T. J. Swasthika Jain & Renuka Patil
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