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Zhenya Liu and Yuhao Mu
Investors decide the best time to take a given action by maximizing their utility function while taking into account current information and the underlying process in the optimal stopping model. Option pricing, sequential analysis, disorder problems, and...
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Benjamin Mudiangombe Mudiangombe and John Weirstrass Muteba Mwamba
This paper investigates whether currency risk is priced differently in the different sectors (industrial, financial, and basic materials) of equity markets in a sample of developed United States of America (USA) and developing economies (Brazil, India, P...
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Leon Li
This paper advances a volatility-regime-switching mechanism to investigate the intensity and direction of the volatility spillover effect in carbon?energy markets. Switching between a low-volatility (LV) and high-volatility (HV) regime, our mechanism inv...
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Nagmi Moftah Aimer(1), Abdulmula Albashir Lusta(2), (1) Department of Economics, Higher Institute of Marine Sciences Techniques, Sabratha, Libya (2) Department of E-commerce, Faculty of Economics and Political Science, Tripoli University, Libya
Pág. 200 - 215
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Carl Hope Korkpoe,Nathaniel Howard
Pág. 69 - 79
We adopt a granular approach to estimating the risk of equity returns in sub-Saharan African frontier equity markets under the assumption that, returns are influenced by developments in the underlying economy. Four countries were studied ? Botswana, Ghan...
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Mishelle Doorasamy,Prince Kwasi Sarpong
Pág. 93 - 100
Peters (1994) proposed the fractal market hypothesis (FMH) as an alternative to the efficient market hypothesis, following his criticism of the EMH. In this study, we analyse whether the fractal nature of a financial market determines its riskiness and d...
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Dimitrios DIMITRIOU,Anastasios PAPPAS
Pág. 121 - 131
JEL. E61, E62, H21.
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Jieting Chen and Yuichiro Kawaguchi
This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return relationship under different regimes for the Chinese stock market. It was found that the Chinese stock market has two significant regimes: a per...
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Wen-Chung Hsu and Hsiang-Tai Lee
This article investigates the effectiveness of TAIEX (Taiwan Stock Exchange) futures, Taiwan 50 futures, and nonfinance nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange. A...
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Ritika Jaiswal,Rashmi Uchil
Pág. 144 - 150
This study incorporates the regime switching framework to investigate the hedge and safe haven property of gold futures against the stock and bond market movements. The Markov-Switching Vector Autoregression (MS-VAR) model is adopted, which splits the wh...
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