Asia-Pacific Financial Markets

1997 - 2025

Current editor(s): Jiro Akahori

From:
Springer
Japanese Association of Financial Economics and Engineering
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Introduction pp. 1-2: Jaksa Cvitanic
On the Quasi Gaussian Interest Rate Models pp. 3-6: Jiro Akahori
Methods of Partial Hedging pp. 7-35: Jaksa Cvitanic
Financial Modeling in a Fast Mean-Reverting Stochastic Volatility Environment pp. 37-48: Jean-Pierre Fouque, George Papanicolaou and K. Sircar
Pricing Options under Stochastic Interest Rates: A New Approach pp. 49-70: Yong-Jin Kim and Naoto Kunitomo
Bayesian Estimation of ARMA-GARCH Model of Weekly Foreign Exchange Rates pp. 71-84: Teruo Nakatsuma and Hiroki Tsurumi

The Impact of the U.S. and the Japanese Equity Markets on the Emerging Asia-Pacific Equity Markets pp. 191-209: Baekin Cha and Yan-leung Cheung
Transmission of Stock Returns and Volatility between the U.S. and Japan: Evidence from the Stock Index Futures Markets pp. 211-225: Ming-Shiun Pan and L. Hsueh
A Note on the Term Structure of Implied Volatilities for the Yen/U.S. Dollar Currency Option pp. 227-236: Nobuya Takezawa and Noriyoshi Shiraishi
Underpricing, Subsequent Equity Offerings, and the Long-Run Performance of Japanese IPOs pp. 237-259: Takehiko Isobe, Akitoshi Ito and Joseph Kairys
Weekly Pattern of Exchange Rate Risks: Evidence from Ten Asian-Pacific Currencies pp. 261-274: Gordon Tang
Monthly Pattern and Portfolio Effect on Higher Moments of Stock Returns: Empirical Evidence from Hong Kong pp. 275-307: Gordon Tang

Unconditional and Conditional Distributional Models for the Nikkei Index pp. 99-128: Stefan Mittnik, Marc Paolella and Svetlozar Rachev
The Pricing Formula for Commodity-Linked Bonds with Stochastic Convenience Yields and Default Risk pp. 129-158: Ryozo Miura and Hiroaki Yamauchi
Econometric Analysis of a Continuous Time Multi-Factor Generalized Vasicek Term Structure Model: International Evidence pp. 159-183: Simon Babbs and K. Nowman

Subordinated Market Index Models: A Comparison pp. 97-124: Simon Hurst, Eckhard Platen and Svetlozar Rachev
Decomposition of Japanese Yen Interest Rate Data Through Local Regression pp. 125-146: Ritei Shibata and Ryozo Miura
Stock Market Returns and Economic Fundamentals in an Emerging Market: The Case of Korea pp. 147-169: Fangxiong Gong and Roberto Mariano
Abnormal Stock Returns Following Large One-day Advances and Declines: Evidence from Asia-Pacific Markets pp. 171-177: Michael Wong
Convex Structure of the Constrained Least Square Problem for Estimating the Forward Rate Sequence pp. 179-185: Hiroshi Konno