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
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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 cross market effects of short sale restrictions pp. 53-71

Mardi Dungey, Michael D. McKenzie and Abdullah Yalama

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

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

Chien-Chiang Lee, Wei-Ling Huang and Chun-Hao Yin

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

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