Keyword: finance & banking

Found 743 papers in total
Mean‐reverting discrete time market models: speculative opportunities and absence of arbitrage
Mean‐reverting discrete time market models: speculative opportunities and absence of arbitrage
2012,
In this article, we study discrete time mean‐reverting market models. We show...
Identifying managerial groups in a large Canadian bank branch network with a DEA approach
Identifying managerial groups in a large Canadian bank branch network with a DEA approach
2012,
This paper develops a new grouping approach in using data envelopment analysis as a...
A multi‐stage financial hedging approach for the procurement of manufacturing materials
A multi‐stage financial hedging approach for the procurement of manufacturing materials
2012,
This paper addresses the problem of mitigating procurement risk that arises from...
Efficiency and returns‐to‐scale of local governments
Efficiency and returns‐to‐scale of local governments
2012,
Local governments of advanced countries often have financial problems. Most central...
The Newsvendor Problem and Price-Only Contract When Bankruptcy Costs Exist
The Newsvendor Problem and Price-Only Contract When Bankruptcy Costs Exist
2011,
We study a supply chain of a supplier selling via a wholesale price contract to a...
Testing for Continuous Martingales Using the Crossing Tree
Testing for Continuous Martingales Using the Crossing Tree
2011,
We present statistical tests for the continuous martingale hypothesis; that is, for...
Pricing American options with uncertain volatility through stochastic linear complementarity models
Pricing American options with uncertain volatility through stochastic linear complementarity models
2011,
We consider the problem of pricing American options with uncertain volatility and...
Off‐farm work, technical efficiency, and rice production risk in Taiwan
Off‐farm work, technical efficiency, and rice production risk in Taiwan
2011,
This article investigates the differences in yield production, production efficiency,...
Improving the accuracy of outlook price forecasts
Improving the accuracy of outlook price forecasts
2011,
This study investigates the predictive ability of outlook hog price forecasts released...
The impact of entry costs on export market participation in agriculture
The impact of entry costs on export market participation in agriculture
2011,
Theoretical models of market entry imply that sunk costs are an important factor in...
Measuring the cost of liquidity in agricultural futures markets: Conventional and Bayesian approaches
Measuring the cost of liquidity in agricultural futures markets: Conventional and Bayesian approaches
2011,
Estimating the cost of liquidity in agricultural futures markets is challenging...
An extended tuning method for cost‐sensitive regression and forecasting
An extended tuning method for cost‐sensitive regression and forecasting
2011,
In many real‐world regression and forecasting problems, over‐prediction...
Valuing Internet companies: a DEA‐based Multiple Valuation Approach
Valuing Internet companies: a DEA‐based Multiple Valuation Approach
2011,
The Internet industry has created a great deal of marvels over the past decade....
On solving the dual for portfolio selection by optimizing Conditional Value at Risk
On solving the dual for portfolio selection by optimizing Conditional Value at Risk
2011,
This note is focused on computational efficiency of the portfolio selection models...
Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
2011,
In this paper we discuss multiperiod portfolio selection problems related to a...
An empirical study of transformational leadership, team performance and service quality in retail banks
An empirical study of transformational leadership, team performance and service quality in retail banks
2011,
Aim: How transformational leadership and team performance impact service quality....
Monte Carlo Bounds for Game Options Including Convertible Bonds
Monte Carlo Bounds for Game Options Including Convertible Bonds
2011,
We introduce two new methods to calculate bounds for zero‐sum game options...
Output‐specific input‐assurance regions in DEA
Output‐specific input‐assurance regions in DEA
2011,
The use of assurance region (AR) constraints to restrict multipliers in data...
Are VIX futures prices predictable? An empirical investigation
Are VIX futures prices predictable? An empirical investigation
2011,
This paper investigates whether volatility futures prices per se can be forecasted by...
Open economy forecasting with a DSGE‐VAR: Head to head with the RBNZ published forecasts
Open economy forecasting with a DSGE‐VAR: Head to head with the RBNZ published forecasts
2011,
We construct a DSGE‐VAR model for competing head to head with the long history...
Multivariate semi‐nonparametric distributions with dynamic conditional correlations
Multivariate semi‐nonparametric distributions with dynamic conditional correlations
2011,
This paper generalizes the Dynamic Conditional Correlation (DCC) model of ,...
The impact of financial development on carbon emissions: An empirical analysis in China
The impact of financial development on carbon emissions: An empirical analysis in China
2011,
This paper explores the influence of financial development on carbon emissions....
Risk aversion elicitation: reconciling tractability and bias minimization
Risk aversion elicitation: reconciling tractability and bias minimization
2011,
Risk attitude is known to be a key determinant of various economic and financial...
Continuous time mean variance asset allocation: A time-consistent strategy
Continuous time mean variance asset allocation: A time-consistent strategy
2011,
We develop a numerical scheme for determining the optimal asset allocation strategy...
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