EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks.
Asia-Pacific Financial Markets
1997 - 2013
Edited by Ryozo Miura
from Springer
Access Statistics for this journal.
RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series .
Volume 20, issue 1 , 2013
Financial Crisis and Corporate Liquidity: Implications for Emerging Markets pp. 1-30 Naiwei Chen and Meiya Chang How does Monetary Policy Influence Capital Markets? Using a Threshold Regression Model pp. 31-47 Guan-Ru Chen and Ming-Hung Wu Price Discovery in Chinese Stock Index Futures Market: New Evidence Based on Intraday Data pp. 49-70 Yang Hou and Steven Li Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion pp. 71-81 Yuri Imamura and Katsuya Takagi Forecasting Intraday Volatility and Value-at-Risk with High-Frequency Data pp. 83-111 Mike So and Rui Xu Volume 19, issue 4 , 2012
Factor Models for Option Pricing pp. 319-329 Peter Carr and Dilip Madan Samuelson Hypothesis & Indian Commodity Derivatives Market pp. 331-352 Saurabh Gupta and Prabina Rajib Performance Regularity: A New Class of Executive Compensation Packages pp. 353-370 Carole Bernard and Olivier Le Courtois A Time Series Analysis of Economical Phenomena in Japan’s Lost Decade (1): Determinacy Property of the Velocity of Money and Equilibrium Solution pp. 371-389 Yuji Nakano and Yasunori Okabe Unilateral Counterparty Risk Valuation for CDS Under a Regime Switching Interacting Intensities Model pp. 391-415 Yinghui Dong , Xue Liang and Guojing Wang Volume 19, issue 3 , 2012
Pricing Discrete Barrier Options Under Stochastic Volatility pp. 205-232 Kenichiro Shiraya , Akihiko Takahashi and Toshihiro Yamada Crossing the River by Touching Stones?: The Reform of Corporate Ownership in China pp. 233-258 Wenwen Zhan and John Turner Empirically Effective Bond Pricing Model and Analysis on Term Structures of Implied Interest Rates in Financial Crisis pp. 259-292 Takeaki Kariya , Jingsui Wang , Zhu Wang , Eiichi Doi and Yoshiro Yamamura Approximation of Asymmetric Multivariate Return Distributions pp. 293-318 Ba Chu Volume 19, issue 2 , 2012
Identifying Bull and Bear Markets in Japan pp. 99-117 Mai Shibata A Continuous-Time Analysis of Optimal Restructuring of Contracts with Costly Information Disclosure pp. 119-147 Hisashi Nakamura Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives pp. 149-179 Yuji Yamada Default Risk and Equity Returns: Evidence from the Taiwan Equities Market pp. 181-204 Yu-Ling Lin , Ta-Cheng Chang and Su-Jing Yeh Volume 19, issue 1 , 2012
Convertible Bonds and Stock Liquidity pp. 1-21 Jason West Is Concentration a Good Idea? Evidence from Active Fund Management pp. 23-41 Pei- Chou and Chia-Hao Lee Modeling of Contagious Credit Events and Risk Analysis of Credit Portfolios pp. 43-62 Suguru Yamanaka , Masaaki Sugihara and Hidetoshi Nakagawa The Minimal Entropy Martingale Measure (MEMM) for a Markov-Modulated Exponential Lévy Model pp. 63-98 Romuald Momeya and Zied Salah Volume 18, issue 4 , 2011
Pricing Derivatives using the Asymptotic Expansion Approach: Credit Migration Models with Stochastic Credit Spreads pp. 345-372 Yoshifumi Muroi and E. Takino Forecasting Japanese Stock Returns with Financial Ratios and Other Variables pp. 373-384 Kohei Aono and Tokuo Iwaisako Risk-sensitive Portfolio Optimization with Two-factor Having a Memory Effect pp. 385-403 Tadashi Hayashi and Jun Sekine Liquidity, Skewness and Stock Returns: Evidence from Chinese Stock Market pp. 405-427 Langnan Chen , Steven Li and Jinan Wang Using Nonnormal Distributions to Analyze the Relationship Between Stock Returns in Japan and the US pp. 429-443 Yuichi Nagahara Volume 18, issue 3 , 2011
On a Statistical Analysis of Implied Data pp. 231-266 Hajime Takahashi Lead–Lag Effects in Australian Industry Portfolios pp. 267-290 Tariq Haque Dynamic Relationship among Intraday Realized Volatility, Volume and Number of Trades pp. 291-317 Kerr Hatrick , Mike So , S. Chung and R. Deng Detection of Information Flow in Major International Financial Markets by Interactivity Network Analysis pp. 319-344 Abdelwahab Allali , Amor Oueslati and Abdelwahed Trabelsi Volume 18, issue 2 , 2011
Preface pp. 129-129 Hiroshi Ishijima Dynamic Investment Strategies to Reaction–Diffusion Systems Based upon Stochastic Differential Utilities pp. 131-150 Akira Kashiwabara and Nobuhiro Nakamura On the Verification Theorem of Dynamic Portfolio-Consumption Problems with Stochastic Market Price of Risk pp. 151-166 Toshiki Honda and Shoji Kamimura The Regime Switching Portfolios pp. 167-189 Hiroshi Ishijima and Masaki Uchida Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs pp. 191-211 Yuichi Takano and Jun-ya Gotoh Log Mean-Variance Portfolio Selection Under Regime Switching pp. 213-229 Hiroshi Ishijima and Masaki Uchida Volume 18, issue 1 , 2011
The Impact of Order Flow on the Foreign Exchange Market: A Copula Approach pp. 1-31 Yoshihiro Kitamura Valuation of Portfolio Credit Derivatives with Default Intensities Using the Vasicek Model pp. 33-54 Jin Liang , Jun Ma , Tao Wang and Qin Ji Empirical Study of Nikkei 225 Options with the Markov Switching GARCH Model pp. 55-68 Kiyotaka Satoyoshi and Hidetoshi Mitsui “Down-Side Risk” Probability Minimization Problem with Cox-Ingersoll-Ross’s Interest Rates pp. 69-87 Hiroaki Hata A Note on Utility Maximization with Unbounded Random Endowment pp. 89-103 Keita Owari A Multifactor Model of Credit Spreads pp. 105-127 Ramaprasad Bhar and Nedim Handzic Volume 17, issue 4 , 2010
Preface pp. 323-324 Takaki Hayashi Environmental Economics and Modeling Marketable Permits pp. 325-343 Luca Taschini Assessments of ‘Greenhouse Insurance’: A Methodological Review pp. 345-363 Takanobu Kosugi Solutions and Simulations of Some One-Dimensional Stochastic Differential Equations pp. 365-372 F. Klebaner and E. Azmy Coefficients of Asymptotic Expansions of SDE with Jumps pp. 373-389 Masafumi Hayashi The Instantaneous Volatility and the Implied Volatility Surface for a Generalized Black–Scholes Model pp. 391-436 Koichiro Takaoka and Hidenori Futami Volume 17, issue 3 , 2010
Comparing Firm Failure Predictions Between Logit, KMV, and ZPP Models: Evidence from Taiwan’s Electronics Industry pp. 209-239 EnDer Su and Shih-Ming Huang Remarks on the Nonlinear Black-Scholes Equations with the Effect of Transaction Costs pp. 241-259 Naoyuki Ishimura Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae pp. 261-302 Katja Ignatieva and Eckhard Platen The Impact of Derivatives Activity on Commercial Banks: Evidence from U.S. Bank Holding Companies pp. 303-322 Li Li and Zhang Yu Volume 17, issue 2 , 2010
Comparison of Black–Scholes Formula with Fractional Black–Scholes Formula in the Foreign Exchange Option Market with Changing Volatility pp. 99-111 Li Meng and Mei Wang An Empirical Analysis of Growth Options of Japanese Electronics Firms pp. 113-140 Gennady Latypov On the Predictability of Japanese Stock Returns Using Dividend Yield pp. 141-149 Kohei Aono and Tokuo Iwaisako Utility Indifference Hedging with Exponential Additive Processes pp. 151-169 Thorsten Rheinländer and Gallus Steiger The Value of Principles-Based Governance Practices and the Attenuation of Information Asymmetry pp. 171-207 Chaiyasit Anuchitworawong Volume 17, issue 1 , 2010
Valuation of a Repriceable Executive Stock Option pp. 1-18 Takahiko Fujita and Masahiro Ishii Dominance of a Class of Stein type Estimators for Optimal Portfolio Weights When the Covariance Matrix is Unknown pp. 19-50 Takuya Kinkawa and Nobuo Shinozaki Reforms in the Korean Financial Reporting Systems and Earnings Quality pp. 51-61 B. Lee and Soo Seo Efficiency of Microfinance Institutions: A Data Envelopment Analysis pp. 63-97 Mamiza Haq , Michael Skully and Shams Tabrize Pathan
EconPapers is hosted by the
Örebro University School of Business.