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Asia-Pacific Financial Markets

1997 - 2018

Current editor(s): Jiro Akahori

Japanese Association of Financial Economics and Engineering
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Volume 21, issue 4, 2014

Randomised Mixture Models for Pricing Kernels pp. 281-315 Downloads
Andrea Macrina and Priyanka Parbhoo
Optimal Asset-Liability Management for an Insurer Under Markov Regime Switching Jump-Diffusion Market pp. 317-330 Downloads
Jun Yu
The Influence of Japan’s Unsecured Overnight Call Rate on Bull and Bear Markets and Market Turns pp. 331-349 Downloads
Mai Shibata
Asymptotic Expansion Formula of Option Price Under Multifactor Heston Model pp. 351-396 Downloads
Kazuki Nagashima, Tsz-Kin Chung and Keiichi Tanaka

Volume 21, issue 3, 2014

Optimal Portfolio Selection Based on Expected Shortfall Under Generalized Hyperbolic Distribution pp. 193-236 Downloads
Budhi Surya and Ryan Kurniawan
A Continuous-Time Optimal Insurance Design with Costly Monitoring pp. 237-261 Downloads
Hisashi Nakamura and Koichiro Takaoka
Large Deviations for the Extended Heston Model: The Large-Time Case pp. 263-280 Downloads
Antoine Jacquier and Aleksandar Mijatović

Volume 21, issue 2, 2014

A Discrete-Time Clark-Ocone Formula for Poisson Functionals pp. 97-120 Downloads
Takafumi Amaba
Evidence on Hedging Effectiveness in Indian Derivatives Market pp. 121-131 Downloads
Barik Kumar and M. Supriya
Portfolio Selection and Optimization with Higher Moments: Evidence from the Indian Stock Market pp. 133-149 Downloads
K. Saranya and P. Prasanna
A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information pp. 151-174 Downloads
Takashi Kato, Jun Sekine and Hiromitsu Yamamoto
Intangible Asset Valuation Model Using Panel Data pp. 175-191 Downloads
Tomohiro Yamaguchi

Volume 21, issue 1, 2014

Application of Homotopy Analysis Method to Option Pricing Under Lévy Processes pp. 1-14 Downloads
Takayuki Sakuma and Yuji Yamada
Asset Pricing and Share Reforms: An Anatomy of China’s Investable Stocks pp. 15-34 Downloads
Xiao-Ming Li
Expected Log-Utility Maximization Under Incomplete Information and with Cox-Process Observations pp. 35-66 Downloads
Kazufumi Fujimoto, Hideo Nagai and Wolfgang Runggaldier
Foreign Ownership and Firm Value: Evidence from Australian Firms pp. 67-96 Downloads
Anil Mishra

Volume 20, issue 4, 2013

Asymptotic Expansion for Term Structures of Defaultable Bonds with Non-Gaussian Dependent Innovations pp. 311-344 Downloads
Masakazu Miura, Kenichiro Tamaki and Takayuki Shiohama
Does Cross-Listing Benefit the Shareholders? Evidence from Companies in the GCC Countries? pp. 345-381 Downloads
Mejda Bahlous
Forecasting Long-Term Interest Rates with a General-Equilibrium Model of the Euro Area: What Role for Liquidity Services of Bonds? pp. 383-430 Downloads
Paolo Zagaglia

Volume 20, issue 3, 2013

Informed Futures Trading and Price Discovery: Evidence from Taiwan Futures and Stock Markets pp. 219-242 Downloads
Yi-Tsung Lee, Wei-Shao Wu and Yun Yang
An Empirical Comparison of Two Stochastic Volatility Models using Indian Market Data pp. 243-259 Downloads
Srikanth Iyer, Seema Nanda and Swapnil Kumar
Optimal Investment and Consumption with Default Risk: HARA Utility pp. 261-281 Downloads
Lijun Bo, Xindan Li, Yongjin Wang and Xuewei Yang
An Analytical Evaluation Method of the Operational Risk Using Fast Wavelet Expansion Techniques pp. 283-309 Downloads
Kensuke Ishitani and Kenichi Sato

Volume 20, issue 2, 2013

Idiosyncratic Volatility and the Expected Stock Returns for Exploring the Relationship with Panel Threshold Regression pp. 113-129 Downloads
Mu-Shun Wang
Using Interest Rate Derivative Prices to Estimate LIBOR-OIS Spread Dynamics and Systemic Funding Liquidity Shock Probabilities pp. 131-146 Downloads
Cho-Hoi Hui, Tsz-Kin Chung and Chi-Fai Lo
Pricing Exotic Options and American Options: A Multidimensional Asymptotic Expansion Approach pp. 147-182 Downloads
Masahiro Nishiba
Emission Allowance as a Derivative on Commodity-Spread pp. 183-217 Downloads
Katsushi Nakajima and Kazuhiko Ohashi

Volume 20, issue 1, 2013

Financial Crisis and Corporate Liquidity: Implications for Emerging Markets pp. 1-30 Downloads
Naiwei Chen and Meiya Chang
How does Monetary Policy Influence Capital Markets? Using a Threshold Regression Model pp. 31-47 Downloads
Guan-Ru Chen and Ming-Hung Wu
Price Discovery in Chinese Stock Index Futures Market: New Evidence Based on Intraday Data pp. 49-70 Downloads
Yang Hou and Steven Li
Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion pp. 71-81 Downloads
Yuri Imamura and Katsuya Takagi
Forecasting Intraday Volatility and Value-at-Risk with High-Frequency Data pp. 83-111 Downloads
Mike So and Rui Xu

Volume 19, issue 4, 2012

Factor Models for Option Pricing pp. 319-329 Downloads
Peter Carr and Dilip Madan
Samuelson Hypothesis & Indian Commodity Derivatives Market pp. 331-352 Downloads
Saurabh Gupta and Prabina Rajib
Performance Regularity: A New Class of Executive Compensation Packages pp. 353-370 Downloads
Carole Bernard and Olivier Le Courtois
A Time Series Analysis of Economical Phenomena in Japan’s Lost Decade (1): Determinacy Property of the Velocity of Money and Equilibrium Solution pp. 371-389 Downloads
Yuji Nakano and Yasunori Okabe
Unilateral Counterparty Risk Valuation for CDS Under a Regime Switching Interacting Intensities Model pp. 391-415 Downloads
Yinghui Dong, Xue Liang and Guojing Wang

Volume 19, issue 3, 2012

Pricing Discrete Barrier Options Under Stochastic Volatility pp. 205-232 Downloads
Kenichiro Shiraya, Akihiko Takahashi and Toshihiro Yamada
Crossing the River by Touching Stones?: The Reform of Corporate Ownership in China pp. 233-258 Downloads
Wenwen Zhan and John Turner
Empirically Effective Bond Pricing Model and Analysis on Term Structures of Implied Interest Rates in Financial Crisis pp. 259-292 Downloads
Takeaki Kariya, Jingsui Wang, Zhu Wang, Eiichi Doi and Yoshiro Yamamura
Approximation of Asymmetric Multivariate Return Distributions pp. 293-318 Downloads
Ba Chu

Volume 19, issue 2, 2012

Identifying Bull and Bear Markets in Japan pp. 99-117 Downloads
Mai Shibata
A Continuous-Time Analysis of Optimal Restructuring of Contracts with Costly Information Disclosure pp. 119-147 Downloads
Hisashi Nakamura
Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives pp. 149-179 Downloads
Yuji Yamada
Default Risk and Equity Returns: Evidence from the Taiwan Equities Market pp. 181-204 Downloads
Yu-Ling Lin, Ta-Cheng Chang and Su-Jing Yeh

Volume 19, issue 1, 2012

Convertible Bonds and Stock Liquidity pp. 1-21 Downloads
Jason West
Is Concentration a Good Idea? Evidence from Active Fund Management pp. 23-41 Downloads
Pei-I Chou and Chia-Hao Lee
Modeling of Contagious Credit Events and Risk Analysis of Credit Portfolios pp. 43-62 Downloads
Suguru Yamanaka, Masaaki Sugihara and Hidetoshi Nakagawa
The Minimal Entropy Martingale Measure (MEMM) for a Markov-Modulated Exponential Lévy Model pp. 63-98 Downloads
Romuald Momeya and Zied Salah

Volume 18, issue 4, 2011

Pricing Derivatives using the Asymptotic Expansion Approach: Credit Migration Models with Stochastic Credit Spreads pp. 345-372 Downloads
Yoshifumi Muroi and E. Takino
Forecasting Japanese Stock Returns with Financial Ratios and Other Variables pp. 373-384 Downloads
Kohei Aono and Tokuo Iwaisako
Risk-sensitive Portfolio Optimization with Two-factor Having a Memory Effect pp. 385-403 Downloads
Tadashi Hayashi and Jun Sekine
Liquidity, Skewness and Stock Returns: Evidence from Chinese Stock Market pp. 405-427 Downloads
Langnan Chen, Steven Li and Jinan Wang
Using Nonnormal Distributions to Analyze the Relationship Between Stock Returns in Japan and the US pp. 429-443 Downloads
Yuichi Nagahara

Volume 18, issue 3, 2011

On a Statistical Analysis of Implied Data pp. 231-266 Downloads
Hajime Takahashi
Lead–Lag Effects in Australian Industry Portfolios pp. 267-290 Downloads
Tariq Haque
Dynamic Relationship among Intraday Realized Volatility, Volume and Number of Trades pp. 291-317 Downloads
Kerr Hatrick, Mike So, S. Chung and R. Deng
Detection of Information Flow in Major International Financial Markets by Interactivity Network Analysis pp. 319-344 Downloads
Abdelwahab Allali, Amor Oueslati and Abdelwahed Trabelsi

Volume 18, issue 2, 2011

Preface pp. 129-129 Downloads
Hiroshi Ishijima
Dynamic Investment Strategies to Reaction–Diffusion Systems Based upon Stochastic Differential Utilities pp. 131-150 Downloads
Akira Kashiwabara and Nobuhiro Nakamura
On the Verification Theorem of Dynamic Portfolio-Consumption Problems with Stochastic Market Price of Risk pp. 151-166 Downloads
Toshiki Honda and Shoji Kamimura
The Regime Switching Portfolios pp. 167-189 Downloads
Hiroshi Ishijima and Masaki Uchida
Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs pp. 191-211 Downloads
Yuichi Takano and Jun-ya Gotoh
Log Mean-Variance Portfolio Selection Under Regime Switching pp. 213-229 Downloads
Hiroshi Ishijima and Masaki Uchida

Volume 18, issue 1, 2011

The Impact of Order Flow on the Foreign Exchange Market: A Copula Approach pp. 1-31 Downloads
Yoshihiro Kitamura
Valuation of Portfolio Credit Derivatives with Default Intensities Using the Vasicek Model pp. 33-54 Downloads
Jin Liang, Jun Ma, Tao Wang and Qin Ji
Empirical Study of Nikkei 225 Options with the Markov Switching GARCH Model pp. 55-68 Downloads
Kiyotaka Satoyoshi and Hidetoshi Mitsui
“Down-Side Risk” Probability Minimization Problem with Cox-Ingersoll-Ross’s Interest Rates pp. 69-87 Downloads
Hiroaki Hata
A Note on Utility Maximization with Unbounded Random Endowment pp. 89-103 Downloads
Keita Owari
A Multifactor Model of Credit Spreads pp. 105-127 Downloads
Ramaprasad Bhar and Nedim Handzic
Page updated 2018-11-13