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Content
February 2024, Volume 63, Issue 2
- 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 - 1707-1743 Auctions: A New Method for Selling Objects with Bimodal Density Functions
by Javier Castro & Rosa Espínola & Inmaculada Gutiérrez & Daniel Gómez - 1745-1763 A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model
by Mohamed Kharrat & Hassen Arfaoui - 1765-1790 Investigating the Asymmetric Behavior of Oil Price Volatility Using Support Vector Regression
by Yushu Li & Hyunjoo Kim Karlsson
March 2023, Volume 61, Issue 3
- 901-903 Editorial to the Special Issue on Game Theory
by Marta Biancardi & Giovanni Villani - 905-935 Optimal Abatement Technology Licensing in a Dynamic Transboundary Pollution Game: Fixed Fee Versus Royalty
by Hao Xu & Deqing Tan - 937-974 Non-Cooperative Bargaining with Unsophisticated Agents
by Kristal K. Trejo & Ruben Juarez & Julio B. Clempner & Alexander S. Poznyak - 975-1008 Non-cooperative Mode, Cost-Sharing Mode, or Cooperative Mode: Which is the Optimal Mode for Desertification Control?
by Jiayi Sun & Deqing Tan - 1009-1035 Computing Profit-Maximizing Bid Shading Factors in First-Price Sealed-Bid Auctions
by Paulo Fagandini & Ingemar Dierickx - 1037-1037 Correction: Computing Profit-Maximizing Bid Shading Factors in First-Price Sealed-Bid Auctions
by Paulo Fagandini & Ingemar Dierickx - 1039-1074 Collaborative Innovation Strategy of Supply Chain in the Context of MCU Domestic Substitution : A Differential Game Analysis
by Yaxin Wang & Haoyu Wen & ZhongQuan Hu & Yuntao Zhang - 1075-1093 An Evolutionary Game to Study Banks–Firms Relationship: Monitoring Intensity and Private Benefit
by Giovanni Villani & Marta Biancardi - 1095-1114 Extracting Rules via Markov Chains for Cryptocurrencies Returns Forecasting
by Kerolly Kedma Felix do Nascimento & Fábio Sandro dos Santos & Jader Silva Jale & Silvio Fernando Alves Xavier Júnior & Tiago A. E. Ferreira - 1115-1135 Pricing a Specific Equity Index Annuity in a Regime-Switching Lévy Model with Jump
by Yayun Wang - 1137-1150 Prediction of Loan Rate for Mortgage Data: Deep Learning Versus Robust Regression
by Donglin Wang & Don Hong & Qiang Wu - 1151-1171 A Dynamic Mechanism Design for Controllable and Ergodic Markov Games
by Julio B. Clempner - 1173-1205 Evaluation of Non-survey Methods for the Construction of Regional Input–Output Matrices When There is Partial Historical Information
by Cristian Mardones & Darling Silva - 1207-1224 Accurate and Efficient Finite Difference Method for the Black–Scholes Model with No Far-Field Boundary Conditions
by Chaeyoung Lee & Soobin Kwak & Youngjin Hwang & Junseok Kim - 1225-1250 Dating Currency Crisis and Assessing the Determinants Based on Meta Fuzzy Index Functions
by Adem Gök & Nihat Tak - 1251-1272 Threshold Moving Approach with Logit Models for Bankruptcy Prediction
by Michaela Staňková - 1273-1303 Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques
by Bart H. L. Overes & Michel Wel
February 2023, Volume 61, Issue 2
- 487-511 Multiscale Multifractal Detrended Fluctuation Analysis and Trend Identification of Liquidity in the China's Stock Markets
by Ruzhen Yan & Ding Yue & Xu Wu & Wei Gao - 513-528 The Convergence Investigation of a Numerical Scheme for the Tempered Fractional Black-Scholes Model Arising European Double Barrier Option
by Y. Esmaeelzade Aghdam & H. Mesgarani & A. Adl & B. Farnam - 529-557 Recursive Computation of the Conditional Probability Function of the Quadratic Exponential Model for Binary Panel Data
by Francesco Bartolucci & Francesco Valentini & Claudia Pigini - 559-591 Integrating Wavelet Decomposition and Fuzzy Transformation for Improving the Accuracy of Forecasting Crude Oil Price
by Faramarz Saghi & Mustafa Jahangoshai Rezaee - 593-610 A Method to Pre-compile Numerical Integrals When Solving Stochastic Dynamic Problems
by Karolos Arapakis - 611-644 Finite-State Markov Chains with Flexible Distributions
by Damba Lkhagvasuren & Erdenebat Bataa - 645-676 COVID 19 Pandemic, Socio-Economic Behaviour and Infection Characteristics: An Inter-Country Predictive Study Using Deep Learning
by Srinka Basu & Sugata Sen - 677-713 Price Change and Trading Volume: Behavioral Heterogeneity in Stock Market
by Changtai Li & Weihong Huang & Wei-Siang Wang & Wai-Mun Chia - 715-741 Bankruptcy Prediction using the XGBoost Algorithm and Variable Importance Feature Engineering
by Sami Ben Jabeur & Nicolae Stef & Pedro Carmona - 743-773 Use of Econometric Predictors and Artificial Neural Networks for the Construction of Stock Market Investment Bots
by Ciniro A. L. Nametala & Jonas Villela de Souza & Alexandre Pimenta & Eduardo Gontijo Carrano - 775-805 CO2 Emission Allowances Risk Prediction with GAS and GARCH Models
by Nader Trabelsi & Aviral Kumar Tiwari - 807-853 Valuation of Spark-Spread Option Written on Electricity and Gas Forward Contracts Under Two-Factor Models with Non-Gaussian Lévy Processes
by Farshid Mehrdoust & Idin Noorani - 855-873 The Impact of Large Investors on the Portfolio Optimization of Single-Family Houses in Housing Markets
by Bilgi Yilmaz & Ralf Korn & A. Sevtap Selcuk-Kestel - 875-896 Quantitative Macroeconomics: Lessons Learned from Fourteen Replications
by Robert Kirkby - 897-897 Correction to: Generalized, Partial and Canonical Correlation Coefficients
by H. D. Vinod - 899-900 Correction to: $$\ell_{1}$$ ℓ 1 Common Trend Filtering
by Hiroshi Yamada & Ruoyi Bao
January 2023, Volume 61, Issue 1
- 1-34 A Novel High Dimensional Fitted Scheme for Stochastic Optimal Control Problems
by Christelle Dleuna Nyoumbi & Antoine Tambue - 35-55 Forecasting the Dynamic Correlation of Stock Indices Based on Deep Learning Method
by Jian Ni & Yue Xu - 57-68 A Study of the International Stock Market Behavior During COVID-19 Pandemic Using a Driven Iterated Function System
by Aman Gupta & Cyril Shaju & Pratibha & Kamal - 69-111 DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors
by Siddhartha Chib & Minchul Shin & Fei Tan - 113-137 Finding the Impact of Market Visibility and Monopoly on Wealth Distribution and Poverty Using Computational Economics
by Kashif Zia & Umar Farooq & Sakeena Al Ajmi - 139-164 Multivariate Picture Fuzzy Time Series: New Definitions and a New Forecasting Method Based on Pi-Sigma Artificial Neural Network
by Eren Bas & Erol Egrioglu & Taner Tunc - 165-196 Multivariate Regime Switching Model Estimation and Asset Allocation
by Kai Zheng & Weidong Xu & Xili Zhang - 197-231 Hedging the Risks of MENA Stock Markets with Gold: Evidence from the Spectral Approach
by Awatef Ourir & Elie Bouri & Essahbi Essaadi - 233-265 Controlling Heterogeneous Structure of Smooth Breaks in Panel Unit Root and Cointegration Testing
by Tolga Omay & Perihan Iren - 267-294 Robust Portfolio Optimization Based on Semi-Parametric ARMA-TGARCH-EVT Model with Mixed Copula Using WCVaR
by Xue Deng & Ying Liang - 295-315 An Application of the IFM Method for the Risk Assessment of Financial Instruments
by Adrià Pons & Eduard Cristobal-Fransi & Carla Vintrò & Josep Rius & Oriol Querol & Jordi Vilaplana - 317-340 Unfolding Beijing in a Hedonic Way
by Wei Lin & Zhentao Shi & Yishu Wang & Ting Hin Yan - 341-388 Diversification and Systemic Risk of Networks Holding Common Assets
by Yajing Huang & Taoxiong Liu - 389-427 Are the Eurozone Financial and Business Cycles Convergent Across Time and Frequency?
by Dalia Mansour-Ibrahim - 429-450 A Closed Form Solution for Pricing Variance Swaps Under the Rescaled Double Heston Model
by Youngin Yoon & Jeong-Hoon Kim - 451-485 Classifying the Variety of Customers’ Online Engagement for Churn Prediction with a Mixed-Penalty Logistic Regression
by Petra P. Šimović & Claire Y. T. Chen & Edward W. Sun
December 2022, Volume 60, Issue 4
- 1197-1220 The Relationship Between Economic Growth and Electricity Consumption: Bootstrap ARDL Test with a Fourier Function and Machine Learning Approach
by Cheng-Feng Wu & Shian-Chang Huang & Chei-Chang Chiou & Tsangyao Chang & Yung-Chih Chen - 1221-1244 The Risk Early-Warning Model of Financial Operation in Family Farms Based on Back Propagation Neural Network Methods
by Zhigui Guan & Yuanjun Zhao & Guojing Geng - 1245-1267 The Impact of Financial Enterprises’ Excessive Financialization Risk Assessment for Risk Control based on Data Mining and Machine Learning
by Yuegang Song & Ruibing Wu - 1269-1292 The Analysis of Credit Risks in Agricultural Supply Chain Finance Assessment Model Based on Genetic Algorithm and Backpropagation Neural Network
by Yingli Wu & Xin Li & Qingquan Liu & Guangji Tong - 1293-1315 Early Warning of Chinese Yuan’s Exchange Rate Fluctuation and Value at Risk Measure Using Neural Network Joint Optimization Algorithm
by Zhaoyi Xu & Yuqing Zeng & Yangrong Xue & Shenggang Yang - 1317-1351 Dynamics of Firm’s Investment in Education and Training: An Agent-based Approach
by Jung-Seung Yang - 1353-1373 V-Shaped BAS: Applications on Large Portfolios Selection Problem
by Spyridon D. Mourtas & Vasilios N. Katsikis - 1375-1412 Hedge Effectiveness of the Credit Default Swap Indices: a Spectral Decomposition and Network Topology Analysis
by Peter Sinka & Peter J. Zeitsch - 1413-1425 An Analytical Approximation Formula for Barrier Option Prices Under the Heston Model
by Xin-Jiang He & Sha Lin - 1427-1455 Global Optimal Consumption–Portfolio Rules with Myopic Preferences and Loss Aversion
by Jia Yue & Ming-Hui Wang & Nan-Jing Huang - 1457-1478 Calibration of Agent-Based Models by Means of Meta-Modeling and Nonparametric Regression
by Siyan Chen & Saul Desiderio - 1479-1506 Generalized, Partial and Canonical Correlation Coefficients
by H. D. Vinod - 1507-1527 Towards a Validation Methodology for Macroeconomic Agent-Based Models
by Sebastiaan Tieleman - 1529-1546 Does the Real Business Cycle Help Forecast the Financial Cycle?
by Fredj Jawadi & Hachmi Ben Ameur & Stephanie Bigou & Alexis Flageollet - 1547-1573 How do Fines and Their Enforcement on Counterfeit Products Affect Social Welfare?
by Marta Biancardi & Andrea Di Liddo & Giovanni Villani - 1575-1575 Correction to: The Cross-Shareholding Network and Risk Contagion from Stochastic Shocks: An Investigation Based on China’s Market
by Yun Feng & Xin Li
October 2022, Volume 60, Issue 3
- 1-24 Disentangling Shareholder Risk Aversion from Leverage-Dependent Borrowing Cost on Corporate Policies
by Mateus Waga & Davi Valladão & Alexandre Street & Thuener Silva - 817-832 A Valid and Efficient Trinomial Tree for General Local-Volatility Models
by U Hou Lok & Yuh-Dauh Lyuu - 833-859 Portfolio Selection Using Multivariate Semiparametric Estimators and a Copula PCA-Based Approach
by Noureddine Kouaissah & Sergio Ortobelli Lozza & Ikram Jebabli - 861-882 Exploring Statistical Arbitrage Opportunities Using Machine Learning Strategy
by Baoqiang Zhan & Shu Zhang & Helen S. Du & Xiaoguang Yang - 883-900 Euro Area Deflationary Pressure Index
by Luca Brugnolini & Giuseppe Ragusa - 901-923 Tail Risk Early Warning System for Capital Markets Based on Machine Learning Algorithms
by Zongxin Zhang & Ying Chen - 949-969 Feature Screening in High Dimensional Regression with Endogenous Covariates
by Qinqin Hu & Lu Lin - 971-990 Indicator Selection of Index Construction by Adaptive Lasso with a Generic $$\varepsilon $$ ε -Insensitive Loss
by Yafen Ye & Renyong Chi & Yuan-Hai Shao & Chun-Na Li & Xiangyu Hua - 991-1039 Swarm Intelligence Based Hybrid Neural Network Approach for Stock Price Forecasting
by Gourav Kumar & Uday Pratap Singh & Sanjeev Jain - 1041-1054 A Nash Equilibrium for Differential Games with Moving-Horizon Strategies
by Enrico Saltari & Willi Semmler & Giovanni Di Bartolomeo - 1055-1100 A Pricing Method in a Constrained Market with Differential Informational Frameworks
by Ivan Peñaloza & Pablo Padilla - 1101-1134 Optimal Pricing of Climate Risk
by Thomas F. Coleman & Nicole S. Dumont & Wanqi Li & Wenbin Liu & Alexey Rubtsov - 1135-1154 Complementarity Modeling of a Ramsey-Type Equilibrium Problem with Heterogeneous Agents
by Leonhard Frerick & Georg Müller-Fürstenberger & Martin Schmidt & Max Späth - 1155-1173 Undirected and Directed Network Analysis of the Chinese Stock Market
by Binghui Li & Yuehan Yang - 1175-1196 An Algorithm for the Pricing and Timing of the Option to make a Two-Stage Investment with Credit Guarantees
by Linjia Dong & Zhaojun Yang
August 2022, Volume 60, Issue 2
- 375-400 Sectoral Impacts of International Labour Migration and Population Ageing in the Czech Republic
by Martin Stepanek - 401-437 Economic Policy Uncertainty Index Meets Ensemble Learning
by Ivana Lolić & Petar Sorić & Marija Logarušić - 439-450 The multiColl Package Versus Other Existing Packages in R to Detect Multicollinearity
by Román Salmerón Gómez & Catalina B. García García & José García Pérez - 451-477 Bayesian Estimation of Agent-Based Models via Adaptive Particle Markov Chain Monte Carlo
by Thomas Lux - 479-527 Bayesian Estimation of the Skew Ornstein-Uhlenbeck Process
by Yizhou Bai & Yongjin Wang & Haoyan Zhang & Xiaoyang Zhuo - 529-569 Portfolio Correlations in the Bank-Firm Credit Market of Japan
by Duc Thi Luu - 571-599 Bounded Rationality, Group Formation and the Emergence of Trust: An Agent-Based Economic Model
by Jefferson Satoshi Kato & Adriana Sbicca - 601-632 A Finite Difference Scheme for Pairs Trading with Transaction Costs
by Zequn Li & Agnès Tourin - 633-663 A Fitted L-Multi-Point Flux Approximation Method for Pricing Options
by Rock Stephane Koffi & Antoine Tambue - 665-692 Maximum Likelihood Estimation for the Asymmetric Exponential Power Distribution
by Mahdi Teimouri & Saralees Nadarajah