Keyword: financial

Found 1008 papers in total
Impact of Macroeconomic Announcements on US Equity Prices: 2009‐2013
Impact of Macroeconomic Announcements on US Equity Prices: 2009‐2013
2016,
Returns of several US equity exchange‐traded funds on the days of major...
Signal Diffusion Mapping: Optimal Forecasting with Time-Varying Lags
Signal Diffusion Mapping: Optimal Forecasting with Time-Varying Lags
2016,
We introduce a new methodology for forecasting, which we call signal diffusion...
Forecasting Latent Volatility through a Markov Chain Approximation Filter
Forecasting Latent Volatility through a Markov Chain Approximation Filter
2016,
We propose a new methodology for filtering and forecasting the latent variance in a...
The Effect of Nonlinearity between Credit Conditions and Economic Activity on Density Forecasts
The Effect of Nonlinearity between Credit Conditions and Economic Activity on Density Forecasts
2016,
This paper examines the effect of nonlinearities on density forecasting. It focuses on...
Predicting Stock Return Volatility: Can We Benefit from Regression Models for Return Intervals?
Predicting Stock Return Volatility: Can We Benefit from Regression Models for Return Intervals?
2016,
We study the performance of recently developed linear regression models for interval...
Forecasting High-Frequency Risk Measures
Forecasting High-Frequency Risk Measures
2016,
This article proposes intraday high‐frequency risk (HFR) measures for market...
Optimal selection of energy efficiency measures for energy sustainability of existing buildings
Optimal selection of energy efficiency measures for energy sustainability of existing buildings
2016,
This study is motivated by the need to increase energy efficiency in existing...
Valuation of commodity derivatives with an unobservable convenience yield
Valuation of commodity derivatives with an unobservable convenience yield
2016,
This paper extends the existing literature on commodity derivatives to account for an...
The stability of survival model parameter estimates for predicting the probability of default: Empirical evidence over the credit crisis
The stability of survival model parameter estimates for predicting the probability of default: Empirical evidence over the credit crisis
2016,
Using a large portfolio of credit card loans observed between 2002 and 2011 provided...
Take it to the limit: Innovative CVaR applications to extreme credit risk measurement
Take it to the limit: Innovative CVaR applications to extreme credit risk measurement
2016,
The Global Financial Crisis (GFC) demonstrated the devastating impact of extreme...
Lending decisions with limits on capital available: The polygamous marriage problem
Lending decisions with limits on capital available: The polygamous marriage problem
2016,
In order to stimulate or subdue the economy, banking regulators have sought to impose...
Pricing derivatives with counterparty risk and collateralization: A fixed point approach
Pricing derivatives with counterparty risk and collateralization: A fixed point approach
2016,
This paper studies a valuation framework for financial contracts subject to reference...
A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models
A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models
2016,
This paper presents a cross‐country comparison of significant predictors of...
Optimal search for parameters in Monte Carlo simulation for derivative pricing
Optimal search for parameters in Monte Carlo simulation for derivative pricing
2016,
This paper provides a novel and general framework for the problem of searching...
Strategic entry in a triopoly market of firms with asymmetric cost structures
Strategic entry in a triopoly market of firms with asymmetric cost structures
2016,
This paper examines the strategic investment timing decision in a triopoly market...
Asymptotic behaviors of stochastic reserving: Aggregate versus individual models
Asymptotic behaviors of stochastic reserving: Aggregate versus individual models
2016,
In this paper, we investigate the asymptotic behaviors of the loss reservings computed...
Inverse portfolio problem with coherent risk measures
Inverse portfolio problem with coherent risk measures
2016,
In general, a portfolio problem minimizes risk (or negative utility) of a portfolio of...
Revenue management under horizontal and vertical competition within airline alliances
Revenue management under horizontal and vertical competition within airline alliances
2016,
We present a model to optimize a competitor's behavior in a network revenue management...
The relationship between disclosures of corporate social performance and financial performance: Evidences from GRI reports in manufacturing industry
The relationship between disclosures of corporate social performance and financial performance: Evidences from GRI reports in manufacturing industry
2015,
Whether the corporate social performance affects the financial performance is still...
Multistage portfolio optimization with stocks and options
Multistage portfolio optimization with stocks and options
2016,
We develop a multistage portfolio optimization model that utilizes options for...
Workforce planning and financing on a production/capital discrete-time model
Workforce planning and financing on a production/capital discrete-time model
2016,
Traditionally, companies have considered production planning and financial commitments...
Quantifying the bullwhip effect using two-echelon data: A cross-industry empirical investigation
Quantifying the bullwhip effect using two-echelon data: A cross-industry empirical investigation
2016,
We empirically examine the magnitude and prevalence of the bullwhip effect using...
The economic consequences of ESOPS
The economic consequences of ESOPS
1982,
The purpose of this paper is to assess the economic consequences of Employee Stock...
Antecedents of consumers’ intention to revisit an online group-buying website: A transaction cost perspective
Antecedents of consumers’ intention to revisit an online group-buying website: A transaction cost perspective
2015,
Consumers’ revisit is essential for online group‐buying (OGB) websites to...
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