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Details about Keshab Shrestha

Workplace:Business School, Sunway University, (more information at EDIRC)

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

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

2023

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

2022

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

2021

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

2020

  1. Contributions of Crude Oil Exchange Traded Funds in Price Discovery Process
    American Business Review, 2020, 23, (2), 393-407 Downloads
  2. DO STOCK MARKET FLUCTUATIONS AFFECT SUICIDE RATES?
    Journal of Financial Research, 2020, 43, (4), 737-765 Downloads View citations (2)
  3. Price Discovery in Agricultural Markets
    American Business Review, 2020, 23, (1), 53-69 Downloads View citations (1)
  4. Pricing and hedging foreign equity options under Hawkes jump–diffusion processes
    Physica A: Statistical Mechanics and its Applications, 2020, 537, (C) Downloads View citations (1)

2019

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

2018

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

2017

  1. Pricing Vulnerable Options with Jump Clustering
    Journal of Futures Markets, 2017, 37, (12), 1155-1178 Downloads View citations (19)
  2. Pure martingale and joint normality tests for energy futures contracts
    Energy Economics, 2017, 63, (C), 174-184 Downloads View citations (3)

2016

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

2014

  1. Misvaluation and Insider Trading Incentives for Accrual-based and Real Earnings Management
    Journal of Business Finance & Accounting, 2014, 41, (7-8), 926-949 Downloads View citations (8)
  2. Price Discovery in Interrelated Markets
    Journal of Futures Markets, 2014, 34, (3), 203-219 Downloads View citations (37)
  3. Price discovery in energy markets
    Energy Economics, 2014, 45, (C), 229-233 Downloads View citations (26)

2013

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

2012

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

2011

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

2010

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

2009

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

2008

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

2007

  1. An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis
    Journal of Futures Markets, 2007, 27, (2), 127-150 Downloads View citations (25)
  2. Relationship between Treasury bills and Eurodollars: Theoretical and Empirical Analyses
    Review of Quantitative Finance and Accounting, 2007, 28, (2), 163-185 Downloads View citations (1)

2006

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

2005

  1. Estimating the optimal hedge ratio with focus information criterion
    Journal of Futures Markets, 2005, 25, (10), 1011-1024 Downloads View citations (5)
  2. Real Interest Rate Parity: Long-Run and Short-Run Analysis Using Wavelets
    Review of Quantitative Finance and Accounting, 2005, 25, (2), 139-157 Downloads View citations (6)

2004

  1. 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 Downloads View citations (17)
  2. Nonlinear Models in Corporate Finance Research: Review, Critique, and Extensions
    Review of Quantitative Finance and Accounting, 2004, 22, (2), 141-169 Downloads View citations (14)

2003

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

2002

  1. 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 Downloads View citations (11)

2001

  1. On a Mean—Generalized Semivariance Approach to Determining the Hedge Ratio
    Journal of Futures Markets, 2001, 21, (6), 581-598 Downloads View citations (4)
  2. Relationship between Expected Treasury Bill and Eurodollar Interest Rates: A Fractional Cointegration Analysis
    Review of Quantitative Finance and Accounting, 2001, 16, (1), 65-80 Downloads View citations (2)

1999

  1. 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 Downloads View citations (1)

1996

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

1989

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

1988

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

1987

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

1986

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

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 Downloads
  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 Downloads
  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 Downloads

2022

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