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Asia-Pacific Financial Markets

1997 - 2017

Current editor(s): Jiro Akahori

Japanese Association of Financial Economics and Engineering
Series data maintained by Sonal Shukla ().

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Volume 24, issue 2, 2017

Weather Effects on Stock Returns and Volatility in South Asian Markets pp. 75-107 Downloads
Muhammad Fayyaz Sheikh, Syed Zulfiqar Ali Shah and Shahid Mahmood
An Algorithmic Approach to Optimal Asset Liquidation Problems pp. 109-129 Downloads
Juri Hinz and Jeremy Yee
VIX Forecast Under Different Volatility Specifications pp. 131-148 Downloads
Ying Wang and Hoi Ying Wong

Volume 23, issue 4, 2016

Speculative Futures Trading under Mean Reversion pp. 281-304 Downloads
Tim Leung, Jiao Li, Xin Li and Zheng Wang
On the Price of Risk Under a Regime Switching CGMY Process pp. 305-335 Downloads
Pious Asiimwe, Charles Wilson Mahera and Olivier Menoukeu-Pamen
An Asymptotic Expansion for Forward–Backward SDEs: A Malliavin Calculus Approach pp. 337-373 Downloads
Akihiko Takahashi and Toshihiro Yamada

Volume 23, issue 3, 2016

Measuring Credit Risk of Individual Corporate Bonds in US Energy Sector pp. 229-262 Downloads
Takeaki Kariya, Yoko Tanokura, Hideyuki Takada and Yoshiro Yamamura
Central Bank Intervention in USD/INR Market: Estimating Its Reaction Function and Impact on Volatility pp. 263-279 Downloads
Smita Roy Trivedi and P. G. Apte

Volume 23, issue 2, 2016

Expectations Hypothesis and Term Structure of Interest Rates: An Evidence from Emerging Market pp. 137-152 Downloads
Hassan Shareef and Santhakumar Shijin
Analysis of the Nonlinear Option Pricing Model Under Variable Transaction Costs pp. 153-174 Downloads
Daniel Ševčovič and Magdaléna Žitňanská
Bond Market Development, Economic Growth and Other Macroeconomic Determinants: Panel VAR Evidence pp. 175-201 Downloads
Rudra P. Pradhan, Mak Arvin, Sara E. Bennett, Mahendhiran Nair and John H. Hall
The Effects of Analysts’ Herding on Traders: Evidence from the Taiwan Stock Market pp. 203-227 Downloads
Po-Jung Chen

Volume 23, issue 1, 2016

Commodity Spread Option with Cointegration pp. 1-44 Downloads
Katsushi Nakajima and Kazuhiko Ohashi
Explaining Size Effect for Indian Stock Market pp. 45-68 Downloads
Asheesh Pandey and Sanjay Sehgal
The End of the Month Option and Other Embedded Options in Futures Contracts pp. 69-83 Downloads
Kristoffer Lindensjö
Pricing Foreign Exchange Options Under Intervention by Absorption Modeling pp. 85-106 Downloads
Taiga Saito
The Asymmetric Momentum Effect in the Chinese Class A Share Market Amid Market Swings pp. 107-136 Downloads
Yuan Wu

Volume 22, issue 4, 2015

Real Estate Pricing Models: Theory, Evidence, and Implementation pp. 369-396 Downloads
Hiroshi Ishijima and Akira Maeda
Credit Risk Analysis on Euro Government Bonds-Term Structures of Default Probabilities pp. 397-427 Downloads
Takeaki Kariya, Yoshiro Yamamura, Yoko Tanokura and Zhu Wang
Change Point Analysis of Exchange Rates Using Bootstrapping Methods: An Application to the Indonesian Rupiah 2000–2008 pp. 429-444 Downloads
Amirullah Hardi, Ken-ichi Kawai, Sangyeol Lee and Koichi Maekawa

Volume 22, issue 3, 2015

An FBSDE Approach to American Option Pricing with an Interacting Particle Method pp. 239-260 Downloads
Masaaki Fujii, Seisho Sato and Akihiko Takahashi
An Empirical Study of Liquidity and Return Autocorrelations in the Chinese Stock Market pp. 261-282 Downloads
Chen Yang
Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method pp. 283-304 Downloads
Masaaki Fujii and Akihiko Takahashi
Credit Derivative Evaluation and CVA Under the Benchmark Approach pp. 305-331 Downloads
Jan Baldeaux and Eckhard Platen
The SIML Estimation of Integrated Covariance and Hedging Coefficient Under Round-off Errors, Micro-market Price Adjustments and Random Sampling pp. 333-368 Downloads
Naoto Kunitomo, Hiroumi Misaki and Seisho Sato

Volume 22, issue 2, 2015

Analytical Solutions for Expected Loss and Standard Deviation of Loss with an Additional Loan pp. 113-132 Downloads
Satoshi Yamashita and Toshinao Yoshiba
Asset Pricing Using Trading Volumes in a Hidden Regime-Switching Environment pp. 133-149 Downloads
Robert Elliott and Tak Kuen Siu
Understanding Delta-Hedged Option Returns in Stochastic Volatility Environments pp. 151-184 Downloads
Hiroshi Sasaki
An Approximation Scheme for Diffusion Processes Based on an Antisymmetric Calculus over Wiener Space pp. 185-207 Downloads
Kazuhiro Yoshikawa
Dynamic Investment Strategy with Factor Models Under Regime Switches pp. 209-237 Downloads
Takahiro Komatsu and Naoki Makimoto

Volume 21, issue 4, 2014

Randomised Mixture Models for Pricing Kernels pp. 281-315 Downloads
Andrea Macrina and Priyanka Parbhoo
Optimal Asset-Liability Management for an Insurer Under Markov Regime Switching Jump-Diffusion Market pp. 317-330 Downloads
Jun Yu
The Influence of Japan’s Unsecured Overnight Call Rate on Bull and Bear Markets and Market Turns pp. 331-349 Downloads
Mai Shibata
Asymptotic Expansion Formula of Option Price Under Multifactor Heston Model pp. 351-396 Downloads
Kazuki Nagashima, Tsz-Kin Chung and Keiichi Tanaka

Volume 21, issue 3, 2014

Optimal Portfolio Selection Based on Expected Shortfall Under Generalized Hyperbolic Distribution pp. 193-236 Downloads
Budhi Surya and Ryan Kurniawan
A Continuous-Time Optimal Insurance Design with Costly Monitoring pp. 237-261 Downloads
Hisashi Nakamura and Koichiro Takaoka
Large Deviations for the Extended Heston Model: The Large-Time Case pp. 263-280 Downloads
Antoine Jacquier and Aleksandar Mijatović

Volume 21, issue 2, 2014

A Discrete-Time Clark-Ocone Formula for Poisson Functionals pp. 97-120 Downloads
Takafumi Amaba
Evidence on Hedging Effectiveness in Indian Derivatives Market pp. 121-131 Downloads
Barik Kumar and M. Supriya
Portfolio Selection and Optimization with Higher Moments: Evidence from the Indian Stock Market pp. 133-149 Downloads
K. Saranya and P. Prasanna
A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information pp. 151-174 Downloads
Takashi Kato, Jun Sekine and Hiromitsu Yamamoto
Intangible Asset Valuation Model Using Panel Data pp. 175-191 Downloads
Tomohiro Yamaguchi

Volume 21, issue 1, 2014

Application of Homotopy Analysis Method to Option Pricing Under Lévy Processes pp. 1-14 Downloads
Takayuki Sakuma and Yuji Yamada
Asset Pricing and Share Reforms: An Anatomy of China’s Investable Stocks pp. 15-34 Downloads
Xiao-Ming Li
Expected Log-Utility Maximization Under Incomplete Information and with Cox-Process Observations pp. 35-66 Downloads
Kazufumi Fujimoto, Hideo Nagai and Wolfgang Runggaldier
Foreign Ownership and Firm Value: Evidence from Australian Firms pp. 67-96 Downloads
Anil Mishra

Volume 20, issue 4, 2013

Asymptotic Expansion for Term Structures of Defaultable Bonds with Non-Gaussian Dependent Innovations pp. 311-344 Downloads
Masakazu Miura, Kenichiro Tamaki and Takayuki Shiohama
Does Cross-Listing Benefit the Shareholders? Evidence from Companies in the GCC Countries? pp. 345-381 Downloads
Mejda Bahlous
Forecasting Long-Term Interest Rates with a General-Equilibrium Model of the Euro Area: What Role for Liquidity Services of Bonds? pp. 383-430 Downloads
Paolo Zagaglia

Volume 20, issue 3, 2013

Informed Futures Trading and Price Discovery: Evidence from Taiwan Futures and Stock Markets pp. 219-242 Downloads
Yi-Tsung Lee, Wei-Shao Wu and Yun Yang
An Empirical Comparison of Two Stochastic Volatility Models using Indian Market Data pp. 243-259 Downloads
Srikanth Iyer, Seema Nanda and Swapnil Kumar
Optimal Investment and Consumption with Default Risk: HARA Utility pp. 261-281 Downloads
Lijun Bo, Xindan Li, Yongjin Wang and Xuewei Yang
An Analytical Evaluation Method of the Operational Risk Using Fast Wavelet Expansion Techniques pp. 283-309 Downloads
Kensuke Ishitani and Kenichi Sato

Volume 20, issue 2, 2013

Idiosyncratic Volatility and the Expected Stock Returns for Exploring the Relationship with Panel Threshold Regression pp. 113-129 Downloads
Mu-Shun Wang
Using Interest Rate Derivative Prices to Estimate LIBOR-OIS Spread Dynamics and Systemic Funding Liquidity Shock Probabilities pp. 131-146 Downloads
Cho-Hoi Hui, Tsz-Kin Chung and Chi-Fai Lo
Pricing Exotic Options and American Options: A Multidimensional Asymptotic Expansion Approach pp. 147-182 Downloads
Masahiro Nishiba
Emission Allowance as a Derivative on Commodity-Spread pp. 183-217 Downloads
Katsushi Nakajima and Kazuhiko Ohashi

Volume 20, issue 1, 2013

Financial Crisis and Corporate Liquidity: Implications for Emerging Markets pp. 1-30 Downloads
Naiwei Chen and Meiya Chang
How does Monetary Policy Influence Capital Markets? Using a Threshold Regression Model pp. 31-47 Downloads
Guan-Ru Chen and Ming-Hung Wu
Price Discovery in Chinese Stock Index Futures Market: New Evidence Based on Intraday Data pp. 49-70 Downloads
Yang Hou and Steven Li
Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion pp. 71-81 Downloads
Yuri Imamura and Katsuya Takagi
Forecasting Intraday Volatility and Value-at-Risk with High-Frequency Data pp. 83-111 Downloads
Mike So and Rui Xu
Page updated 2017-09-21