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Content
December 2015, Volume 10, Issue 02
- 1-26 Volatility In Copper Prices In India
by Nidhi Choudhary & Girish K. Nair & Harsh Purohit - 1-26 Application Of Maximum Likelihood Estimation To Stochastic Short Rate Models
by K. Fergusson & E. Platen - 1-27 Predicting Stock Returns — The Information Content Of Predictors Across Horizons
by Kaihua Deng & Chang-Jin Kim - 1-34 Optimal Portfolios Of Corporate Bonds And Hold To Maturity Strategies
by Yaacov Kopeliovich - 1-38 Asset Pricing With Non-Geometric Type Of Dividends
by Akira Yamazaki
2015, Volume 10, Issue 01
- 1-20 Don'T Put All Your Eggs On One Basket: The Lesson From Detroit'S Bankruptcy
by Yu Peng Lin - 1-21 Off-Balance Sheet Activities And Bank Risks: An Investigation Of The Listed Commercial Banks In China (1999–2013)
by Kangwei Ye - 1-23 Is Bitcoin Business Income Or Speculative Foolery? New Ideas Through An Improved Frequency Domain Analysis
by Jamal Bouoiyour & Refk Selmi & Aviral Kumar Tiwari - 1-23 The Disposition Effect, Escalation Of Commitment And Herding Behavior Of Mutual Fund Managers
by Yu-En Lin & Hsiang-Hsuan Chih & Tai-Hsun Huang & Chia-Hsien Tang - 1-25 On The Impact Of The Boundary On Dynamics: Anti-Persistence In The Case Of The Hkd Exchange Rate Corridor
by Hong Ben Yee - 1-29 Consolidation Within The Banking Sector And Savings Deposits: Effects On Liquidity, Output, And Profitability Within The Nigerian Economy
by Oghenovo Adewale Obrimah & Chidinma Edith Ebere - 1-29 Forecasting Value-At-Risk With Time-Varying Variance, Skewness And Kurtosis In An Exponential Weighted Moving Average Framework
by Alexandros Gabrielsen & Axel Kirchner & Zhuoshi Liu & Paolo Zagaglia
2014, Volume 09, Issue 03
- 1-19 Analysis Of Market Volatility Via A Dynamically Purified Option Price Process
by Chuong Luong & Nikolai Dokuchaev - 1-19 The "Delta" Of The Margrabe Formula
by Tumellano Sebehela - 1-29 Bayesian Estimation Of Asymmetric Jump-Diffusion Processes
by Samuel J. Frame & Cyrus A. Ramezani
2014, Volume 09, Issue 02
- 1-1 Editorial Note: Introduction To The Inaugural Special Issue
by Michael McAleer - 1-7 Recent Developments In Quantitative Finance: An Overview
by Chia-Lin Chang & Shing-Yang Hu & Shih-Ti Yu - 1-10 Qmle Of A Standard Exponential Acd Model: Asymptotic Distribution And Residual Correlation
by Chor-Yiu Sin - 1-13 Using Two-Part Quantile Regression To Analyze How Earnings Shocks Affect Stock Repurchases
by Chih-Yi Chi & Shih-Ti Yu & Yi Tzu Li & Yu-Lung Lu - 1-20 Actuarial Implications Of Structural Changes In El Niño-Southern Oscillation Index Dynamics
by Shu-Ling Chen & Yu-Lieh Huang - 1-22 Credit Spreads And Bankruptcy Information From Options Data
by Chi-Feng Tzeng - 1-23 The Impact Of Acquisitions On New Technology Stocks: The Google–Motorola Case
by Renfei Gao & Cindy S. H. Wang & Christian M. Hafner - 1-24 Searching For Landmines In Equity Markets
by Bi-Juan Chang & Jow-Ran Chang & Mao-Wei Hung - 1-26 Testing Price Pressure, Information, Feedback Trading, And Smoothing Effects For Energy Exchange Traded Funds
by Chia-Lin Chang & Yu-Pei Ke - 1-28 Does Ceo Incentive Pay Improve Bank Performance? A Quantile Regression Analysis Of U.S. Commercial Banks
by Min-Lee Chan & Cho-Min Lin & Hsin-Yu Liang & Ming-Hua Chen - 1-30 The Effects Of Firm Characteristics And Recognition Policy On Employee Stock Options Prices After Controlling For Self-Selection
by Chii-Shyan Kuo & Shih-Ti Yu - 1-32 Fast Methods For Large-Scale Non-Elliptical Portfolio Optimization
by Marc S. Paolella
2014, Volume 09, Issue 01
- 1-18 Are Real Options "Real"? Isolating Uncertainty From Risk In Real Options Analysis
by Leh-Chyan So - 1-20 Yet Another Acd Model: The Autoregressive Conditional Directional Duration (Acdd) Model
by Nagaratnam Jeyasreedharan & David E Allen & Joey Wenling Yang - 1-24 An Analysis Of Stock Repurchase Transaction Using A Panel Data Sample Selection Model
by Chii-Shyan Kuo & Shih-Ti Yu & Che-Ching Liao - 1-31 Just How Good Are The Top Three Journals In Finance? An Assessment Based On Quantity And Quality Citations
by Chia-Lin Chang & Michael Mcaleer - 1-60 Short-Run Arbitrage In Crisis Markets — Experimental Evidence
by Doron Sonsino & Tal Shavit
2013, Volume 08, Issue 02
- 1-2 Editorial Note
by Ephraim Clark - 1-3 EDITORIAL NOTE — Statement of Intent
by Michael McAleer - 1-18 Robust Estimation And Forecasting Of The Capital Asset Pricing Model
by GUORUI BIAN & MICHAEL McALEER & WING-KEUNG WONG - 1-18 Forecasting Inflation With A Financial Conditions Index: The Case Of Singapore
by Hwee Kwan Chow - 1-24 The Contribution Of Foreign Investors To Price Discovery In The Indonesian Stock Exchange
by Josephine Sudiman & David Edmund Allen & Robert John Powell - 1-27 Partial Immunization Bounds And Non-Parallel Term Structure Shifts
by Geoffrey Poitras - 1-33 Dividends, Controlling Shareholders And Firm Performance: An Investigation Of Large Firms On The Hong Kong Stock Exchange
by Tina T. He & Wilson X. B. Li & Gordon Y. N. Tang - 1-55 The Impact Of Institutional And Social Characteristics On Foreign Direct Investment: Evidence From Japan
by Navina Lucke & Alexander Karmann & Stefan Eichler
2013, Volume 08, Issue 01
- 1-16 Efficiency And Competition In The Ghanaian Banking Industry: A Panel Granger Causality Approach
by Kofi Adjei-Frimpong & Christopher Gan & Baiding Hu - 1-17 A Threshold Model Approach To Estimating The Abnormal Stock Returns
by Terence Tai-Leung Chong & Wing Hei Mak & Isabel Kit-Ming Yan - 1-22 A Closer Look At The Characteristics Of Stock Holdings Of Foreign And Local Investors In The Indonesian Stock Exchange (Idx)
by Josephine Sudiman & David Allen & Robert Powell - 1-27 Market Efficiency In G-20 Countries: The Paradox Of Financial Crisis
by João Paulo Vieito & K. V. Bhanu Murthy & Vanita Tripathi - 1-30 What Do Experts Know About Forecasting Journal Quality? A Comparison With Isi Research Impact In Finance
by Chia-Lin Chang & Michael Mcaleer
2012, Volume 07, Issue 02
- 1-4 The Interaction Between The Financial Sector And The Real Sector: A Stochastic Model
by Moawia Alghalith & Tracy Polius - 1-10 The Effects Of Price Dynamics On Optimal Futures Hedging
by Donald Lien & Keshab Shrestha - 1-11 The Third Fundamental Theorem Of Asset Pricing
by Robert Jarrow - 1-27 Estimating Prospect Theory'S Decision Weights With Stochastic Dominance: The Small Probability Case
by Haim Levy & Michal Orkan - 1-27 Modelling Long Memory Volatility In Agricultural Commodity Futures Returns
by CHIA-LIN CHANG & MICHAEL McALEER & ROENGCHAI TANSUCHAT
2012, Volume 07, Issue 01
- 1-18 Execution Costs And Efficient Execution Frontiers
by Dilip B. Madan - 1-20 Stochastic Dominance And Behavior Towards Risk: The Market For Ishares
by Dominic Gasbarro & Wing-Keung Wong & J. Kenton Zumwalt - 1-29 Selective Asymmetric Capital Financing Behavior: Preference Towards Equity Financing
by Donald Lien & Melody Lo & Jinlan Ni - 1-30 Mean-Variance Approximations To The Geometric Mean
by Harry Markowitz - 1-45 Executive Short-Term Incentive, Risk-Taking And Leverage-Neutral Incentive Scheme
by Guy Kaplanski & Haim Levy
2011, Volume 06, Issue 01
- 1-14 Thai Firms' Histories And Their Capital Structure
by Tak Yan Law & Terence Tai-Leung Chong - 1-19 Quantile Regression As A Tool For Portfolio Investment Decisions During Times Of Financial Distress
by D. E. Allen & R. J. Powell & A. K. Singh - 1-20 The Present Value Model With Stochastic Discount Rate And An Ann Process For Broad Dividends
by Man Fu & Prasad V. Bidarkota - 1-22 The Bear Market In China: Which Trades Push The Stock Prices Down?
by Jinghan Cai & Hongbing Ouyang & Michael Chak Sham Wong
2009, Volume 05, Issue 01
- 1-13 Dynamic Hedging Of Inflation Risk
by Udo Broll & Stefan Schubert - 1-18 Pricing Default Risk With Parisian Options: Empirical Evidence From High Growth Companies
by Ephraim Clark & Sélima Baccar - 1-20 Are Nonlinear Trading Rules Profitable In The Chinese Stock Market?
by Terence Tai-Leung Chong & Tau-Hing Lam & Melvin J. Hinich - 1-20 Garch And Volume Effects In The Australian Stock Markets
by Jingliang Xiao & Robert D Brooks & Wing-Keung Wong - 1-23 Monetary Policy And Asset Prices In A Small Open Economy: A Factor-Augmented Var Analysis For Singapore
by Hwee Kwan Chow & Keen Meng Choy
2008, Volume 04, Issue 01
- 1-22 The New Basel Accord And The Nature Of Risk: A Game Theoretic Perspective
by Volker Bieta & Udo Broll & Hellmuth Milde & Wilfried Siebe - 1-27 "How Is The Stock Market Doing?" Using Absence Of Arbitrage To Measure Stock Market Performance
by Geoffrey Poitras & John Heaney - 1-27 Volatility Dynamics In Foreign Exchange Rates: Further Evidence From The Malaysian Ringgit And Singapore Dollar
by Kin-Yip Ho & Albert K Tsui - 1-28 Will Pulling Out The Rug Help? Uncertainty About Fannie And Freddie'S Federal Guarantee And The Cost Of The Subsidy
by Karan Bhanot & Donald Lien & Margot Quijano
2007, Volume 03, Issue 01
- 1-11 The Causal Relationship Between Bank Capital And Profitability
by David E. Hutchison & Raymond A. K. Cox - 1-13 Managing Credit Risk With Credit Derivatives
by Udo Broll & B. Michael Gilroy & Elmar Lukas - 1-17 A Timewise Specification Sensitive Look At Money Demand: An Analysis Of Us Data
by Ismail Genc - 1-20 Banking Risks And Interest Rate Behavior: A Stochastic Order Approach
by Alexander Karmann - 1-33 Preferences, Lévy Jumps And Option Pricing
by Chenghu Ma
2006, Volume 02, Issue 01
- 1-10 Are Stock Prices And Economic Activity Cointegrated? Evidence From The Us, 1950–2005
by Steven Cook - 1-11 Banking And The Advantage Of Hedging
by Udo Broll & Jack Wahl - 1-17 The Impact Of Evolving Market Integration On Apec Emerging Stock Markets' World Betas
by Xiao-Ming Li & Lawrence C Rose - 1-19 Predicting Financial Failure Of The Turkish Banks
by M. Mete Doğanay & Nildağ Başak Ceylan & Ramazan Aktaş - 1-34 The Stochastic Component Of Realized Volatility
by Wai Mun Fong & Wing-Keung Wong
2005, Volume 01, Issue 01
- 1-4 Feynman And Freud, What Graduate Schools Do Not Teach You
by Emanuel Derman - 1-20 Motives For Corporate Hedging: Evidence From The Uk
by Ephraim Clark & Amrit Judge - 1-20 The "Firm-Specific Return Variation": A Measure Of Price Informativeness Or Information Asymmetry?
by Radu Burlacu & Patrice Fontaine & Sonia Jimenez-Garcès - 1-34 The Log-Normal Asset Pricing Model (Lapm)
by Allon Cohen & Haim Levy - 1-36 Effects Of Return Predictability On Option Prices With Stochastic Volatility For The Market Portfolio
by Melanie Cao