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Asia-Pacific Financial Markets
1997 - 2012
Edited by Ryozo Miura
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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 Dr. Shams Pathan
Volume 16, issue 4 , 2009
Risk-Hedging in Real Estate Markets pp. 265-285
Abel Cadenillas , Robert Elliott , Hong Miao and Zhenyu Wu
Recovery Process Model for Two Companies pp. 287-331
Yuki Itoh
A Remark on a Singular Perturbation Method for Option Pricing Under a Stochastic Volatility Model pp. 333-345
Kyo Yamamoto and Akihiko Takahashi
Multi-factor Affine Term Structure Model with Single Regime Shift: Real Term Structure under Zero Interest Rate pp. 347-369
Hidenori Futami
Volume 16, issue 3 , 2009
Counterparty Risk for Credit Default Swaps: Markov Chain Interacting Intensities Model with Stochastic Intensity pp. 169-181
Kwai Leung and Yue Kwok
Dynamic Modeling of Tail Risk: Applications to China, Hong Kong and Other Asian Markets pp. 183-210
Mike So and Alex Tse
Dynamic Linkages Between the China and International Stock Markets pp. 211-230
Kui Fan , Zudi Lu and Shouyang Wang
Macroeconomic Implications of Term Structures of Interest Rates Under Stochastic Differential Utility with Non-Unitary EIS pp. 231-263
Hisashi Nakamura , Wataru Nozawa and Akihiko Takahashi
Volume 16, issue 2 , 2009
A Stochastic Correlation Model with Mean Reversion for Pricing Multi-Asset Options pp. 97-109
Jun Ma
Evaluation of the MEMM, Parameter Estimation and Option Pricing for Geometric Lévy Processes pp. 111-139
Masatoshi Fujisaki and Dewei Zhang
Informational Efficiency: Which Institutions Matter? pp. 141-168
Tao Chen