The North American Journal of Economics and Finance
1992 - 2025
Continuation of North American Review of Economics and Finance. Current editor(s): Hamid Beladi From Elsevier Bibliographic data for series maintained by Catherine Liu (). Access Statistics for this journal.
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Volume 26, issue C, 2013
- Credit vs. demand constraints: The determinants of US firm-level investment over the business cycles from 1977 to 2011 pp. 1-27

- Christian Schoder
- The dynamic interactions among the stock, bond and insurance markets pp. 28-52

- Chien-Chiang Lee, Wei-Ling Huang and Chun-Hao Yin
- The cross market effects of short sale restrictions pp. 53-71

- Mardi Dungey, Michael D. McKenzie and Abdullah Yalama
- Anchoring effect on foreign institutional investors’ momentum trading behavior: Evidence from the Taiwan stock market pp. 72-91

- Li-Chuan Liao, Ray Chou and Banghan Chiu
- Expected worsening or improving financial instability and the 2008 financial crisis pp. 92-105

- Manmohan Agarwal, Sean Walsh, Jing Wang, John Whalley and Chen Yan
- Decomposing U.S. Stock Market Comovement into spillovers and common factors pp. 106-118

- Enzo Weber
- Dynamic relationships between industry returns and stock market returns pp. 119-144

- Chien-Chiang Lee, Mei-Ping Chen and Chi-Hung Chang
- International diversification: Households versus institutional investors pp. 145-176

- Maela Giofre'
- Portfolio selection and portfolio frontier with background risk pp. 177-196

- Hung-Hsi Huang and Ching-Ping Wang
- Spillovers of currency carry trade returns, market risk sentiment, and U.S. market returns pp. 197-216

- Hsiu-Chuan Lee and Shu-Lien Chang
- Recent developments in financial economics and econometrics: An overview pp. 217–226

- Chia-Lin Chang, David Allen and Michael McAleer
- Dynamic price integration in the global gold market pp. 227-235

- Chia-Lin Chang, Jui-Chuan Della Chang and Yi-Wei Huang
- A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management pp. 236-249

- Massimiliano Caporin and Francesco Lisi
- Has the Basel Accord improved risk management during the global financial crisis? pp. 250-265

- Michael McAleer, Juan Jimenez-Martin and Teodosio Pérez-Amaral
- The role of banking regulation in an economy under credit risk and liquidity shock pp. 266-281

- Marcos Soares da Silva and Jose Angelo Divino
- Separating Information Maximum Likelihood estimation of the integrated volatility and covariance with micro-market noise pp. 282-309

- Naoto Kunitomo and Seisho Sato
- Stress testing correlation matrices for risk management pp. 310-322

- Mike K.P. So, Jerry Wong and Manabu Asai
- Does bank relationship matter for corporate risk-taking? Evidence from listed firms in Taiwan pp. 323-338

- Chia-Chung Chan, Bing-Huei Lin, Yung-Ho Chang and Wei-Chen Liao
- Pricing options on stocks denominated in different currencies: Theory and illustrations pp. 339-354

- Andrew C.Y. Ng, Johnny Siu-Hang Li and Wai-Sum Chan
- EVT and tail-risk modelling: Evidence from market indices and volatility series pp. 355-369

- David Allen, Abhay K. Singh and Robert Powell
- The economics of data: Using simple model-free volatility in a high-frequency world pp. 370-379

- John Garvey and Liam Gallagher
- Arbitrage-free implied volatility surfaces for options on single stock futures pp. 380-399

- Antonie Kotzé, Coenraad C.A. Labuschagne, Merell L. Nair and Nadine Padayachi
- The non-uniform pricing effect of employee stock options using quantile regression pp. 400-415

- Chii-Shyan Kuo and Shih-Ti Yu
- Nonlinear dynamics and recurrence plots for detecting financial crisis pp. 416-435

- Peter Martey Addo, Monica Billio and Dominique Guégan
- How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches pp. 436-456

- Kin-Yip Ho, Yanlin Shi and Zhaoyong Zhang
- Quantitative evaluation of contingent capital and its applications pp. 457-486

- Anshul Gupta, Toshinao Akuzawa and Yoshihiko Nishiyama
- High quantiles estimation with Quasi-PORT and DPOT: An application to value-at-risk for financial variables pp. 487-496

- Paulo Araújo Santos, Isabel Fraga Alves and Shawkat Hammoudeh
- Evaluating inflation targeting based on the distribution of inflation and inflation volatility pp. 497-518

- Mzwandile Ginindza and Esfandiar Maasoumi
- Is small beautiful? Size effects of volatility spillovers for firm performance and exchange rates in tourism pp. 519-534

- Chia-Lin Chang, Hui-Kuang Hsu and Michael McAleer
- Forecasting volatility with the realized range in the presence of noise and non-trading pp. 535-551

- Karim Bannouh, Martin Martens and Dick van Dijk
- Using CARRX models to study factors affecting the volatilities of Asian equity markets pp. 552-564

- Chor-yiu (CY) Sin
- Deciphering the Libor and Euribor Spreads during the subprime crisis pp. 565-585

- Loriana Pelizzon and Domenico Sartore
- Information transmission between sovereign debt CDS and other financial factors – The case of Latin America pp. 586-601

- Alan T. Wang, Sheng-Yung Yang and Nien-Tzu Yang
- Time-varying mixture GARCH models and asymmetric volatility pp. 602-623

- Markus Haas, Jochen Krause, Marc S. Paolella and Sven C. Steude
- Diagnostic checking for non-stationary ARMA models with an application to financial data pp. 624-639

- Shiqing Ling, Ke Zhu and Chong Ching Yee
- Reexamining the time-varying volatility spillover effects: A Markov switching causality approach pp. 643-662

- Tingguo Zheng and Haomiao Zuo
- Asset price, risk transfer and economic activities: Firm-level evidence from China pp. 663-676

- Ying Sophie Huang and Yizhong Wang
- Stock prices and the location of trade: Evidence from China-backed ADRs pp. 677-688

- Xue Wang, Lee Yao and Victor Fang
- Identifying permanent and transitory risks in the Chinese property insurance market pp. 689-704

- Feng Guo and Ying Sophie Huang
- Does financial regulation affect the profit efficiency and risk of banks? Evidence from China's commercial banks pp. 705-724

- Tung-Hao Lee and Shu-Hwa Chih
- Has recent financial crisis changed permanently the correlations between BRICS and developed stock markets? pp. 725-738

- Bing Zhang, Xindan Li and Honghai Yu
Volume 25, issue C, 2013
- Vertical FDI versus outsourcing: The role of technology transfer costs pp. 1-21

- Arti Grover
- What did Frederick the great know about financial engineering? A survey of recent covered bond market developments and research pp. 22-39

- Carl F. Larsson
- Impact of China's currency valuation and labour cost on the US in a trade and exchange rate model pp. 40-59

- Keshab Bhattarai and Sushanta Mallick
- Multivariate GARCH analysis of Fannie Mae, Freddie Mac, and American International Group: Did the short-selling ban reduce systemic return-risk? pp. 60-69

- Carlos Ulibarri
- The effects of exchange-rate volatility on commodity trade between the U.S. and Brazil pp. 70-93

- Mohsen Bahmani-Oskooee, Hanafiah Harvey and Scott Hegerty
- The impact of NAFTA on North American stock market linkages pp. 94-108

- Abdelmounaim Lahrech and Kevin Sylwester
- Risk management and financial derivatives: An overview pp. 109-115

- Shawkat Hammoudeh and Michael McAleer
- Conditional correlations and volatility spillovers between crude oil and stock index returns pp. 116-138

- Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat
- Pricing exotic options using the Wang transform pp. 139-150

- Coenraad C.A. Labuschagne and Theresa M. Offwood
- The rise and fall of S&P500 variance futures pp. 151-167

- Chia-Lin Chang, Juan Jimenez-Martin, Michael McAleer and Teodosio Perez Amaral
- Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options pp. 168-187

- Wen-I Chuang, Teng-Ching Huang and Bing-Huei Lin
- The performance of commodity trading advisors: A mean-variance-ratio test approach pp. 188-201

- Zhidong Bai, Kok Fai Phoon, Keyan Wang and Wing-Keung Wong
- Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil pp. 202-213

- Manabu Asai and Ivan Brugal
- Estimating and simulating Weibull models of risk or price durations: An application to ACD models pp. 214-225

- David Allen, Kok Haur Ng and Shelton Peiris
- Valuation of double trigger catastrophe options with counterparty risk pp. 226-242

- I-Ming Jiang, Sheng-Yung Yang, Yu-Hong Liu and Alan T. Wang
- Day-of-the-week effect on the VIX. A parsimonious representation pp. 243-260

- Maria T. Gonzalez-Perez and David Guerrero
- Equity and CDS sector indices: Dynamic models and risk hedging pp. 261-275

- Massimiliano Caporin
- Probability of default in collateralized credit operations pp. 276-292

- Jose Angelo Divino and Líneke Clementino Sleegers Rocha
- Risk premia in multi-national enterprises pp. 293-305

- Stefan Lutz
- Solving replication problems in a complete market by orthogonal series expansion pp. 306-317

- Chaohua Dong and Jiti Gao
- Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks pp. 318-334

- Shawkat Hammoudeh, Paulo Araújo Santos and Abdullah Al-Hassan
- Implied Sharpe ratios of portfolios with options: Application to Nikkei futures and listed options pp. 335-357

- Toshinao Akuzawa and Yoshihiko Nishiyama
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