Details about Keshab Shrestha
Access statistics for papers by Keshab Shrestha.
Last updated 2024-08-09. Update your information in the RePEc Author Service.
Short-id: psh1174
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Journal Articles
2024
- Impact of geopolitical risk on target debt ratio
Finance Research Letters, 2024, 60, (C) View citations (3)
2023
- Contribution of Exchange Traded Funds in Hedging Crude Oil Price Risk
American Business Review, 2023, 26, (1), 203-225
- ESG and economic policy uncertainty: A wavelet application
Finance Research Letters, 2023, 58, (PD) View citations (1)
- Fintech market efficiency: A multifractal detrended fluctuation analysis
Finance Research Letters, 2023, 54, (C) View citations (5)
- Price discovery in carbon exchange traded fund markets
International Review of Financial Analysis, 2023, 89, (C) View citations (2)
2022
- Analytical properties of Hasbrouck and generalized information shares
Finance Research Letters, 2022, 49, (C) View citations (2)
- Does the conventional money market overnight rate influence the investment rate of Islamic deposits? Evidence from Malaysia
International Journal of Islamic and Middle Eastern Finance and Management, 2022, 16, (3), 647-668
2021
- An Institutional Isomorphism Perspective of Tourism Impact
Annals of Tourism Research, 2021, 86, (C)
- Multifractal Detrended Fluctuation Analysis of Return on Bitcoin
International Review of Finance, 2021, 21, (1), 312-323 View citations (7)
- The impact of financial regulation on the stickiness of credit card lending rate: evidence from the USA
Review of Quantitative Finance and Accounting, 2021, 57, (4), 1195-1213 View citations (1)
2020
- Contributions of Crude Oil Exchange Traded Funds in Price Discovery Process
American Business Review, 2020, 23, (2), 393-407
- DO STOCK MARKET FLUCTUATIONS AFFECT SUICIDE RATES?
Journal of Financial Research, 2020, 43, (4), 737-765 View citations (2)
- Price Discovery in Agricultural Markets
American Business Review, 2020, 23, (1), 53-69 View citations (1)
- Pricing and hedging foreign equity options under Hawkes jump–diffusion processes
Physica A: Statistical Mechanics and its Applications, 2020, 537, (C) View citations (1)
2019
- Forecasting realised volatility: a Markov switching approach with time‐varying transition probabilities
Accounting and Finance, 2019, 59, (S2), 1947-1975 View citations (7)
2018
- Quantile hedge ratio for energy markets
Energy Economics, 2018, 71, (C), 253-272 View citations (13)
2017
- Pricing Vulnerable Options with Jump Clustering
Journal of Futures Markets, 2017, 37, (12), 1155-1178 View citations (19)
- Pure martingale and joint normality tests for energy futures contracts
Energy Economics, 2017, 63, (C), 174-184 View citations (3)
2016
- Corporate Governance and the Information Content of Earnings Announcements: A Cross†Country Analysis
Contemporary Accounting Research, 2016, 33, (3), 1238-1266 View citations (8)
- Quantile Estimation of Optimal Hedge Ratio
Journal of Futures Markets, 2016, 36, (2), 194-214 View citations (9)
2014
- Misvaluation and Insider Trading Incentives for Accrual-based and Real Earnings Management
Journal of Business Finance & Accounting, 2014, 41, (7-8), 926-949 View citations (8)
- Price Discovery in Interrelated Markets
Journal of Futures Markets, 2014, 34, (3), 203-219 View citations (37)
- Price discovery in energy markets
Energy Economics, 2014, 45, (C), 229-233 View citations (26)
2013
- The differential effects of classified boards on firm value
Journal of Banking & Finance, 2013, 37, (11), 3993-4013 View citations (10)
2012
- THE EFFECTS OF PRICE DYNAMICS ON OPTIMAL FUTURES HEDGING
Annals of Financial Economics (AFE), 2012, 07, (02), 1-10
2011
- Cross-country IPOs: What explains differences in underpricing?
Journal of Corporate Finance, 2011, 17, (5), 1289-1305 View citations (51)
2010
- Estimating optimal hedge ratio: a multivariate skew-normal distribution approach
Applied Financial Economics, 2010, 20, (8), 627-636 View citations (6)
2009
- A new information share measure
Journal of Futures Markets, 2009, 29, (4), 377-395 View citations (89)
2008
- Do the pure martingale and joint normality hypotheses hold for futures contracts: Implications for the optimal hedge ratios
The Quarterly Review of Economics and Finance, 2008, 48, (1), 153-174 View citations (4)
- Hedging effectiveness comparisons: A note
International Review of Economics & Finance, 2008, 17, (3), 391-396 View citations (13)
- Insider Trading and Earnings Management
Journal of Business Finance & Accounting, 2008, 35, (3‐4), 331-346 View citations (18)
2007
- An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis
Journal of Futures Markets, 2007, 27, (2), 127-150 View citations (25)
- Relationship between Treasury bills and Eurodollars: Theoretical and Empirical Analyses
Review of Quantitative Finance and Accounting, 2007, 28, (2), 163-185 View citations (1)
2006
- Monetary transmission via the administered interest rates channel
Journal of Banking & Finance, 2006, 30, (5), 1467-1484 View citations (45)
2005
- Estimating the optimal hedge ratio with focus information criterion
Journal of Futures Markets, 2005, 25, (10), 1011-1024 View citations (5)
- Real Interest Rate Parity: Long-Run and Short-Run Analysis Using Wavelets
Review of Quantitative Finance and Accounting, 2005, 25, (2), 139-157 View citations (6)
2004
- An empirical analysis of the relationship between the hedge ratio and hedging horizon: A simultaneous estimation of the short‐ and long‐run hedge ratios
Journal of Futures Markets, 2004, 24, (4), 359-386 View citations (17)
- Nonlinear Models in Corporate Finance Research: Review, Critique, and Extensions
Review of Quantitative Finance and Accounting, 2004, 22, (2), 141-169 View citations (14)
2003
- Futures hedge ratios: a review
The Quarterly Review of Economics and Finance, 2003, 43, (3), 433-465 View citations (93)
2002
- Are Expected Inflation Rates and Expected Real Rates Negatively Correlated? A Long‐Run Test of the Mundell‐Tobin Hypothesis
Journal of Financial Research, 2002, 25, (3), 305-320 View citations (11)
2001
- On a Mean—Generalized Semivariance Approach to Determining the Hedge Ratio
Journal of Futures Markets, 2001, 21, (6), 581-598 View citations (4)
- Relationship between Expected Treasury Bill and Eurodollar Interest Rates: A Fractional Cointegration Analysis
Review of Quantitative Finance and Accounting, 2001, 16, (1), 65-80 View citations (2)
1999
- Equality of Real Returns on Canadian and US Treasury Bills: A Fractional Cointegration Analysis
Review of Quantitative Finance and Accounting, 1999, 13, (1), 83-99 View citations (1)
1996
- Wage discrimination: a statistical test
Applied Economics Letters, 1996, 3, (10), 649-651 View citations (2)
1989
- Empirical Measurement of an Inflation Index: A Multiple-Indicators Distributed-Lag Approach
Journal of Business & Economic Statistics, 1989, 7, (2), 219-25
1988
- Estimation of a general linear model with an unobservable stochastic variable
Economics Letters, 1988, 26, (3), 259-264
1987
- Multiple Cause Model with autocorrelated errors: A gain in efficiency analysis
Economics Letters, 1987, 23, (3), 257-262
1986
- The lag relationship between producer and consumer prices: An unobservable variable approach
Economics Letters, 1986, 22, (2-3), 175-179
Chapters
2024
- Analysis of Theoretical and Empirical Relationships between the Treasury Bills and Eurodollar
Chapter 34 in Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives In 4 Volumes, 2024, pp 1159-1187
- Hedge Ratios: Theory and Applications
Chapter 38 in Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives In 4 Volumes, 2024, pp 1277-1328
- Joint Normality Test for the Returns on the Futures and Spot
Chapter 33 in Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives In 4 Volumes, 2024, pp 1129-1158
2022
- Do CEO Gender and Marital Status Affect Firm’s R&D and Value? An Empirical Analysis Using Nonlinear Models
Springer
- Three Alternative Methods for Estimating Hedge Ratios
Springer
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