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Frontiers in Finance & Economics
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Incl. Electronic Paper Quasi Maximum Likelihood Inference for Stochastic Volatility Models
Frontiers in Finance and Economics, Vol. 11, No. 1, 1-24, 2014
Maddalena Cavicchioli
Advanced School of Economics in Venice
Date Posted: February 03, 2015
Working Paper Series
16 downloads

Incl. Electronic Paper High Technology ETF Forecasting: Application of Grey Relational Analysis and Artificial Neural Networks
Frontiers in Finance and Economics, Vol. 10, No. 2, 129-155, 2013
Johui Chen , John Francis Diaz and Yu Fang Huang
Chung Yuan Christian University , Chung Yuan Christian University and Chung Yuan Christian University
Date Posted: February 03, 2015
Working Paper Series
24 downloads

Incl. Electronic Paper The Impact of the Subprime Crisis on Canadian Banks’ Stock Returns
Frontiers in Finance and Economics, Vol. 10, No. 2, 103-128, 2013
Jean-Pierre Gueyie
University of Quebec in Montreal-Department of Finance
Date Posted: February 03, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper Monetary Asset Substitution in the Euro Area
Frontiers in Finance and Economics, Vol. 10, No. 2, 85-102, 2013
Paolo Zagaglia
University of Bologna
Date Posted: February 03, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper Pricing Contingent Claims with an Underlying Asset Driven by an Extreme Value Distribution: Options on Dow Jones Industrial Average Index, 2009-2010
Frontiers in Finance and Economics, Vol. 10, No. 2, 63-84 (2013)
Francisco Venegas-Martinez , Salvador Cruz Ake and Francisco López-Herrera
Instituto Politécnico Nacional , Instituto Politécnico Nacional and National Autonomous University of Mexico (UNAM)
Date Posted: February 02, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper Corporate Debt and Equity: Another Look at Their Determinants
Frontiers in Finance and Economics, Vol. 10, No. 2, 31-62 (2013)
Ralph Palliam , Wafaa Sbeiti and Dilip K. Ghosh
American University of Kuwait , The American University of Kuwait and Rutgers, The State University of New Jersey - Management Science & Information Systems
Date Posted: February 02, 2015
Working Paper Series
24 downloads

Incl. Electronic Paper Sources of Momentum Returns: A Decomposition of the Explained and the Unexplained Risk Factors
Frontiers in Finance and Economics, Vol. 11, No. 2, 78-118, 2014
Sirajum M. Sarwar
Ryerson University
Date Posted: February 02, 2015
Working Paper Series
70 downloads

Incl. Electronic Paper GAAP Influence on Bid-Ask Spreads and Share Turnovers
Frontiers in Finance and Economics, Vol. 11, No. 2, 60-77, 2014
Deborah Corbin
Eastern New Mexico University
Date Posted: February 02, 2015
Working Paper Series
13 downloads

Incl. Electronic Paper The Study of the Spillover and Leverage Effects of Financial Exchange Traded Funds (ETFs)
Frontiers in Finance and Economics,Vol 11 No 2, pp. 41-59, 2014
Johui Chen and Maya Malinda
Chung Yuan Christian University and Chung Yuan Christian University
Date Posted: February 02, 2015
Working Paper Series
18 downloads

Incl. Electronic Paper Irrationality of Macroeconomic Forecasts and Behavioral Characteristics of Forecasters
Frontiers in Finance and Economics, Vol. 11, No. 2, 24-40, 2014
Paulina Ziembinska
University of Warsaw
Date Posted: February 02, 2015
Working Paper Series
25 downloads

Incl. Electronic Paper A Quasi-IRR for a Project Without IRR
Frontiers in Finance and Economics, Vol. 11, No. 2, 1-23, 2014
Flavio Pressacco , Carlo Alberto Magni and Patrizia Stucchi
Università degli Studi di Udine , University of Modena and Reggio Emilia - Department of Economics and Università degli Studi di Udine
Date Posted: February 02, 2015
Last Revised: February 06, 2015
Working Paper Series
26 downloads

Incl. Electronic Paper Causality between Economic Policy Uncertainty Across Countries: Evidence from Linear and Nonlinear Tests
Frontiers in Finance and Economics, Vol. 11, No. 1, 73-102, 2014
Ahdi Noomen Ajmi , Rangan Gupta and Patrick Kanda
BESTMOD (Business & Economic Statistics Modelling) - Statistics Department , University of Pretoria - Department of Economics and University of Pretoria - Department of Economics
Date Posted: February 02, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper Stock Market Reaction to Debt-Based Securities: Empirical Evidence
Frontiers in Finance and Economics, Vol. 11, No. 1, 46-72, 2014
Mohammad Elian and Tai Young Taft
Gulf University for Science and Technology (GUST) and Gulf University for Science and Technology
Date Posted: February 02, 2015
Working Paper Series
25 downloads

Incl. Electronic Paper A Mathematical Resurgence of Risk Management: An Extreme Modeling of Expert Opinions
Frontiers in Finance and Economics, Vol. 11, No. 1, 25-45, 2014
Dominique Guegan and Bertrand Hassani
Universite Paris 1 Pantheon-Sorbonne and Université Paris I Panthéon-Sorbonne
Date Posted: February 02, 2015
Working Paper Series
32 downloads

Incl. Electronic Paper Increase in Cash Holdings: Pervasive or Sector-Specific?
Frontiers in Finance and Economics, Vol. 10, No. 2, 31-62, 2013
Laurence David Booth and Jun Zhou
University of Toronto - Rotman School of Management and Dalhousie University
Date Posted: February 01, 2015
Accepted Paper Series
25 downloads

Incl. Electronic Paper What's Wrong with Those Duration Measures? Nothing
Frontiers in Finance and Economics, Vol. 10, No. 1, 30-48, 2013
Robin Grieves and J. Clay Singleton
Rollins College - Crummer Graduate School of Business and Crummer Graduate School of Business - Rollins College
Date Posted: September 07, 2013
Accepted Paper Series
60 downloads

Incl. Electronic Paper Structural Breaks and Predictive Regressions Models of South African Equity Premium
Frontiers in Finance and Economics, Vol. 10, No. 1, 49-86, 2013
Goodness C. Aye , Rangan Gupta and Mampho P. Modise
University of Pretoria - Department of Economics , University of Pretoria - Department of Economics and University of Pretoria - Department of Economics
Date Posted: September 07, 2013
Accepted Paper Series
42 downloads

Incl. Electronic Paper A Three-Stage Labour-Managed Cournot Duopoly with Lifetime Employment as a Strategic Commitment
Frontiers in Finance and Economics, Vol. 10, No. 1, 87-99, 2013
Kazuhiro Ohnishi
Osaka University
Date Posted: August 03, 2013
Accepted Paper Series
13 downloads

Incl. Electronic Paper Revisiting Idiosyncratic Volatility and Stock Returns
Frontiers in Finance and Economics, Vol. 10, No. 1, 1-29, 2013
Fatma Saryal Sonmez
Queen's School of Business
Date Posted: August 01, 2013
Accepted Paper Series
215 downloads

Incl. Electronic Paper The Effect of Derivative Instrument Use on Capital Market Risk: Evidence from Banks in Emerging and Recently Developed Countries
Frontiers in Finance and Economics, Vol. 9, No. 2, 85-121
Mohamed Rochdi Keffala , Christian de Peretti and Chia-Ying Chan
University of Liverpool - Institute of Financial and Actuarial Mathematics , University Claude Bernard Lyon 1 and Yuan-Ze University - Department of Finance
Date Posted: December 19, 2012
Accepted Paper Series
135 downloads

Incl. Electronic Paper Optimal Hedge Ratio Estimation During the Credit Crisis: An Application of Higher Moments
Frontiers in Finance and Economics, Vol. 9, No. 2, 64-84
Nicholas Apergis and Alexandros Gabrielsen
University of Piraeus and Sumitomo Mitsui Banking Corporation Europe
Date Posted: December 19, 2012
Accepted Paper Series
76 downloads

Incl. Electronic Paper A Case for Europe: The Relationship between Sovereign CDs and Stock Indexes
Frontiers in Finance and Economics, Vol. 9, No. 2, 32-63
Maria Coronado , M. Teresa Corzo and Laura Lazcano
Universidad Pontificia Comillas , Universidad Pontificia Comillas and Universidad Pontificia Comillas
Date Posted: December 19, 2012
Accepted Paper Series
76 downloads

Incl. Electronic Paper Exploiting Intraday and Overnight Price Variation for Daily VaR Prediction
Frontiers in Finance and Economics, Vol. 9, No. 2, 1-31
Ana-Maria Fuertes and Jose Olmo
Cass Business School, City University London and University of Southampton
Date Posted: December 18, 2012
Accepted Paper Series
65 downloads

Incl. Electronic Paper A Probit Model for Insolvency Risk Among Insurance Companies
Frontiers in Finance and Economics, Vol. 9, No. 1, 33-50
Leo de Haan and Jan Kakes
De Nederlandsche Bank and De Nederlandsche Bank - Monetary and Economic Policy Department
Date Posted: June 29, 2012
Accepted Paper Series
128 downloads

Incl. Electronic Paper Can Credit Risk Be Rated Through-the-Cycle?
Frontiers in Finance and Economics, Vol. 9, No. 1, 1-32
Karlo Kauko
Bank of Finland
Date Posted: June 29, 2012
Accepted Paper Series
61 downloads

Incl. Electronic Paper Derivatives Use and Analysts’ Earnings Forecast Accuracy
Frontiers in Finance and Economics, Vol. 9, No. 1, 51-86
Salma Mefteh , Sabri Boubaker and Florence Labégorre
Lunam University - Ecole Superieure Des Sciences Commerciales D'Angers (ESSCA) , Champagne School of Management (Groupe Esc Troyes) and University of Lille I - Institute of Business Administration
Date Posted: June 29, 2012
Accepted Paper Series
74 downloads

Incl. Electronic Paper In Search of the 'Lost Capital': A Theory for Valuation, Investment Decisions, Performance Measurement
Frontiers in Finance and Economics, Vol. 9, No. 1, 87-146
Carlo Alberto Magni
University of Modena and Reggio Emilia - Department of Economics
Date Posted: June 29, 2012
Accepted Paper Series
374 downloads

Incl. Electronic Paper Quantitative vs. Qualitative Criteria for Credit Risk Assessment
Frontiers in Finance and Economics, Vol. 8, No. 1, pp. 69-87, 2011
João O. Soares , Joaquim P. Pina , Manuel S. Ribeiro and Margarida Catalao Lopes
Universidade de Lisboa , New University of Lisbon , Instituto Superior de Contabilidade e Administração de Lisboa and Technical University of Lisbon
Date Posted: February 29, 2012
Last Revised: November 05, 2013
Accepted Paper Series
362 downloads

Incl. Electronic Paper Dynamic Copulas and Long Range Dependence
Frontiers in Finance and Economics, Vol. 8, No. 2, pp. 89-111, 2011
Beatriz V.M. Mendes and Silvia Regina Costa Lopes
Instituto Nacional de Matemática Pura e Aplicada (IMPA) and University of Sao Paulo (USP) - Institute of Mathematics and Statistics (IME)
Date Posted: February 29, 2012
Accepted Paper Series
124 downloads

Incl. Electronic Paper Fund Performance Robustness: An Evaluation Using European Large-Cap Equity Funds
Frontiers in Finance and Economics, Vol. 8, No. 2, pp. 1-26, 2011
Kenneth Högholm , Johan Knif and Seppo Pynnonen
Hanken School of Economics - Department of Finance and Statistics , Hanken School of Economics / Department of Finance and Statistics and University of Vaasa, Department of Mathematics and Statistics
Date Posted: February 29, 2012
Accepted Paper Series
55 downloads

Incl. Electronic Paper Giffen Goods in a Transition Economy: Subsistence Consumption in Russia
Frontiers in Finance and Economics, Vol. 8, No. 2, pp. 27-48, 2011
Yochanan Shachmurove and Janusz M. Szyrmer
City University of New York, CUNY City College of New York - Department of Economics and CASE - Center for Social and Economic Research
Date Posted: February 29, 2012
Accepted Paper Series
370 downloads

Incl. Electronic Paper Hedging with Derivatives and Value Creation: An Empirical Examination in the Insurance Industry
Frontiers in Finance and Economics, Vol. 8, No. 1, pp. 17-42, 2011
Luis Otero González , Sara Fernandez Lopez and Onofre Martorell Cunill
Universidade de Santiago de Compostela - Faculty of Economic Science and Business Studies , Universidade de Santiago de Compostela - Faculty of Economic Science and Business Studies and affiliation not provided to SSRN
Date Posted: February 29, 2012
Accepted Paper Series
93 downloads

Incl. Electronic Paper M1, M2, and the U.S. Equity Exchanges
Frontiers in Finance and Economics, Vol. 8, No. 2, pp. 112-135, 2011
Ali Parhizgari and Duong Nguyen
Florida International University and Florida International University
Date Posted: February 29, 2012
Accepted Paper Series
89 downloads

Incl. Electronic Paper Models for Moody’s Bank Ratings
Frontiers in Finance and Economics, Vol. 8, No. 1, pp. 88-110, 2011
Anatoly Peresetsky and Alexander Karminsky
New Economic School - Central Economics and Mathematics Institute and National Research University Higher School of Economics
Date Posted: February 29, 2012
Accepted Paper Series
88 downloads

Incl. Electronic Paper Real Interest Rate and Growth Rate: Theory and Empirical Evidence
Frontiers in Finance and Economics, Vol. 8, No. 2, pp.136-152, 2011
Jean Marie Le Page
Université Paris II - Panthéon-Assas
Date Posted: February 29, 2012
Accepted Paper Series
376 downloads

Incl. Electronic Paper Risk in Emerging Stock Markets from Brazil and Mexico: Extreme Value Theory and Alternative Value at Risk Models
Frontiers in Finance and Economics, Vol. 8, No. 2, pp. 49-88, 2011
Raúl De Jesús and Edgar Ortiz
Universidad Autónoma del Estado de México (UAEM) and National Autonomous University of Mexico (UNAM)
Date Posted: February 29, 2012
Accepted Paper Series
210 downloads

Incl. Electronic Paper The Skew Pattern of Implied Volatility in the DAX Index Options Market
Frontiers in Finance and Economics, Vol. 8, No. 1, pp. 43-68, 2011
Silvia Muzzioli
Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and Economics
Date Posted: February 29, 2012
Accepted Paper Series
130 downloads

Incl. Electronic Paper A Quasi-IRR for a Project Without IRR
Frontiers in Finance and Economics, 11(2), 1-23, 2014.
Flavio Pressacco , Carlo Alberto Magni and Patrizia Stucchi
Università degli Studi di Udine , University of Modena and Reggio Emilia - Department of Economics and Università degli Studi di Udine
Date Posted: April 05, 2011
Last Revised: December 08, 2014
Accepted Paper Series
142 downloads

Causality between White Pepper and Black Pepper: Evidence from Six Markets
The ICFAI Journal of Agricultural Economics, Vol. V, No. 2, pp. 7-21, April 2008
Evan Lau , Chin-Hong Puah , Swee-Ling Oh and Yan-Ching Lo
Universiti Malaysia Sarawak (UNIMAS) , affiliation not provided to SSRN , Universiti Malaysia Sarawak and Universiti Malaysia Sarawak
Date Posted: April 05, 2011
Accepted Paper Series

Incl. Electronic Paper An Examination of Life Insurers’ Risk Attitudes
Frontiers in Finance and Economics, Vol. 7, No. 2, pp. 125-137, October 2010
Yaffa Machnes
Bar-Ilan University - S. Daniel Abraham School of Business Administration
Date Posted: December 17, 2010
Accepted Paper Series
31 downloads

Incl. Electronic Paper Are All Individual Investors Equally Prone to the Disposition Effect All The Time? New Evidence from a Small Market
Frontiers in Finance and Economics, Vol. 7, No. 2, 38-68, October 2010
Cristiana Cerqueira Leal , Manuel J. Rocha Armada and Joao C. Duque
University of Minho , University of Minho and affiliation not provided to SSRN
Date Posted: December 17, 2010
Accepted Paper Series
127 downloads

Incl. Electronic Paper Can Market Actors Help Monitor European Banks?
Frontiers in Finance and Economics, Vol. 7, No. 2, 138-182, October 2010
Anissa Naouar
affiliation not provided to SSRN
Date Posted: December 17, 2010
Accepted Paper Series
32 downloads

Incl. Electronic Paper Should Minimum Portfolio Sizes Be Prescribed for Achieving Sufficiently Well-Diversified Equity Portfolios?
Frontiers in Finance and Economics, Vol. 7, No. 2, 1-37, October 2010
Lawrence Kryzanowski and Shishir Singh
Concordia University, Quebec - Department of Finance and affiliation not provided to SSRN
Date Posted: December 17, 2010
Accepted Paper Series
105 downloads

Incl. Electronic Paper Size, Book-to-Market, Volatility and Stock Returns: Evidence from Amman Stock Exchange (ASE)
Frontiers in Finance and Economics, Vol. 7, No. 2, 90-124, October 2010
Walid Saleh
The Hashemite University
Date Posted: December 17, 2010
Accepted Paper Series
122 downloads

Incl. Electronic Paper Would You Follow MM or a Profitable Trading Strategy?
Frontiers in Finance and Economics, Vol. 7, No. 2, 69-89, October 2010
Yaz Gulnur Muradoglu and Brian Baturevich
Queen Mary University of London and affiliation not provided to SSRN
Date Posted: December 17, 2010
Accepted Paper Series
280 downloads

Incl. Electronic Paper Restructuring the European Energy Market Through M&As – An Application of the Model of Economic Dominance
Frontiers in Finance and Economics, Vol. 6, No. 2, pp. 140-180, 2009
Wassim Benhassine
affiliation not provided to SSRN
Date Posted: June 13, 2010
Accepted Paper Series
61 downloads

Incl. Electronic Paper Computational Efficiency and Accuracy In the Valuation of Basket Options
Frontiers in Finance and Economics, Vol. 6, No. 1, pp. 1-25, 2009
Pengguo Wang
Xfi, University of Exeter
Date Posted: June 13, 2010
Accepted Paper Series
77 downloads

Incl. Electronic Paper Consumer Welfare in The Deregulated Swedish Electricity Market
Frontiers in Finance and Economics, Vol. 6, No. 2, pp. 101-119, 2009
Jens Lundgren
University of Umea - Department of Economics
Date Posted: June 13, 2010
Accepted Paper Series
86 downloads

Incl. Electronic Paper Electricity Traffic Over the Barriers of Networks: The Case of Germany and the Netherlands
Frontiers in Finance and Economics, Vol. 6, No. 2, pp. 120-139, 2009
Hans Andeweg , Andre B. Dorsman and Kees van Montfort
EDF Trading Ltd. , VU University Amsterdam - Faculty of Economics and Business Administration and Nyenrode University
Date Posted: June 13, 2010
Accepted Paper Series
32 downloads

Incl. Electronic Paper Money Supply in a Simple Economic Growth Model and Multiple Steady States Equilibria
Frontiers in Finance and Economics, Vol. 6, No. 2, pp. 67-95, 2009
Augier Laurent and Jalloul Sghari
affiliation not provided to SSRN and Université Paris V Rene Descartes
Date Posted: June 13, 2010
Accepted Paper Series
119 downloads


 

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