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

Journal Articles

2024

1. Impact of geopolitical risk on target debt ratio
   Finance Research Letters, 2024, 60, (C) View citations (3)

2023

2. Contribution of Exchange Traded Funds in Hedging Crude Oil Price Risk
   American Business Review, 2023, 26, (1), 203-225
3. ESG and economic policy uncertainty: A wavelet application
   Finance Research Letters, 2023, 58, (PD) View citations (1)
4. Fintech market efficiency: A multifractal detrended fluctuation analysis
   Finance Research Letters, 2023, 54, (C) View citations (5)
5. Price discovery in carbon exchange traded fund markets
   International Review of Financial Analysis, 2023, 89, (C) View citations (2)

2022

6. Analytical properties of Hasbrouck and generalized information shares
   Finance Research Letters, 2022, 49, (C) View citations (2)
7. 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

8. An Institutional Isomorphism Perspective of Tourism Impact
   Annals of Tourism Research, 2021, 86, (C) View citations (1)
9. Multifractal Detrended Fluctuation Analysis of Return on Bitcoin
   International Review of Finance, 2021, 21, (1), 312-323 View citations (7)
10. 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

11. Contributions of Crude Oil Exchange Traded Funds in Price Discovery Process
    American Business Review, 2020, 23, (2), 393-407
12. DO STOCK MARKET FLUCTUATIONS AFFECT SUICIDE RATES?
    Journal of Financial Research, 2020, 43, (4), 737-765 View citations (2)
13. Price Discovery in Agricultural Markets
    American Business Review, 2020, 23, (1), 53-69 View citations (1)
14. 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

15. Forecasting realised volatility: a Markov switching approach with time‐varying transition probabilities
    Accounting and Finance, 2019, 59, (S2), 1947-1975 View citations (7)

2018

16. Quantile hedge ratio for energy markets
    Energy Economics, 2018, 71, (C), 253-272 View citations (13)

2017

17. Pricing Vulnerable Options with Jump Clustering
    Journal of Futures Markets, 2017, 37, (12), 1155-1178 View citations (20)
18. Pure martingale and joint normality tests for energy futures contracts
    Energy Economics, 2017, 63, (C), 174-184 View citations (3)

2016

19. Corporate Governance and the Information Content of Earnings Announcements: A Cross†Country Analysis
    Contemporary Accounting Research, 2016, 33, (3), 1238-1266 View citations (8)
20. Quantile Estimation of Optimal Hedge Ratio
    Journal of Futures Markets, 2016, 36, (2), 194-214 View citations (9)

2014

21. 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)
22. Price Discovery in Interrelated Markets
    Journal of Futures Markets, 2014, 34, (3), 203-219 View citations (37)
23. Price discovery in energy markets
    Energy Economics, 2014, 45, (C), 229-233 View citations (27)

2013

24. The differential effects of classified boards on firm value
    Journal of Banking & Finance, 2013, 37, (11), 3993-4013 View citations (10)

2012

25. THE EFFECTS OF PRICE DYNAMICS ON OPTIMAL FUTURES HEDGING
    Annals of Financial Economics (AFE), 2012, 07, (02), 1-10

2011

26. Cross-country IPOs: What explains differences in underpricing?
    Journal of Corporate Finance, 2011, 17, (5), 1289-1305 View citations (51)

2010

27. Estimating optimal hedge ratio: a multivariate skew-normal distribution approach
    Applied Financial Economics, 2010, 20, (8), 627-636 View citations (6)

2009

28. A new information share measure
    Journal of Futures Markets, 2009, 29, (4), 377-395 View citations (89)

2008

29. 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)
30. Hedging effectiveness comparisons: A note
    International Review of Economics & Finance, 2008, 17, (3), 391-396 View citations (13)
31. Insider Trading and Earnings Management
    Journal of Business Finance & Accounting, 2008, 35, (3‐4), 331-346 View citations (18)

2007

32. 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 (26)
33. 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

34. Monetary transmission via the administered interest rates channel
    Journal of Banking & Finance, 2006, 30, (5), 1467-1484 View citations (45)

2005

35. Estimating the optimal hedge ratio with focus information criterion
    Journal of Futures Markets, 2005, 25, (10), 1011-1024 View citations (5)
36. 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

37. 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)
38. 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

39. Futures hedge ratios: a review
    The Quarterly Review of Economics and Finance, 2003, 43, (3), 433-465 View citations (93)

2002

40. 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

41. On a Mean—Generalized Semivariance Approach to Determining the Hedge Ratio
    Journal of Futures Markets, 2001, 21, (6), 581-598 View citations (4)
42. 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

43. 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

44. Wage discrimination: a statistical test
    Applied Economics Letters, 1996, 3, (10), 649-651 View citations (2)

1989

45. Empirical Measurement of an Inflation Index: A Multiple-Indicators Distributed-Lag Approach
    Journal of Business & Economic Statistics, 1989, 7, (2), 219-25

1988

46. Estimation of a general linear model with an unobservable stochastic variable
    Economics Letters, 1988, 26, (3), 259-264

1987

47. Multiple Cause Model with autocorrelated errors: A gain in efficiency analysis
    Economics Letters, 1987, 23, (3), 257-262

1986

48. The lag relationship between producer and consumer prices: An unobservable variable approach
    Economics Letters, 1986, 22, (2-3), 175-179

Chapters

2024

1. 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
2. Hedge Ratios: Theory and Applications
   Chapter 38 in Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives In 4 Volumes, 2024, pp 1277-1328
3. 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

4. Do CEO Gender and Marital Status Affect Firm’s R&D and Value? An Empirical Analysis Using Nonlinear Models
   Springer
5. Three Alternative Methods for Estimating Hedge Ratios
   Springer