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Valuation of Mortgage-Backed Securities Based upon a Structural Approach
Springer Science and Business Media LLC - Tập 8 - Trang 259-289 - 2001
Nobuhiro Nakamura
This paper studies the valuation of mortgage-backed securities (MBS) based upon a structural approach of several risks involving the prepayment and/or default behavior of mortgagors. For the Kariya and Kobayashi (1999) model using a time-consuming Monte-Carlosimulation, we provide an alternative semi-analytic valuation methodology closely related to solving the (Volterra type) integral equation wi...... hiện toàn bộ
Contents of Volume 6, 1999
Springer Science and Business Media LLC - Tập 6 - Trang 397-398 - 1999
Author Index of Volume 9 2002
Springer Science and Business Media LLC - Tập 9 - Trang 345-345 - 2002
Samuelson Hypothesis & Indian Commodity Derivatives Market
Springer Science and Business Media LLC - Tập 19 - Trang 331-352 - 2012
Saurabh Kumar Gupta, Prabina Rajib
Samuelson (1965) devised that futures price volatility increases as the futures contract approaches its expiration. The relation amid the volatility and time to maturity has significant inference for hedging strategies. Interestingly, so far the empirical evidence in favor of the Samuelson Hypothesis (maturity effect) is mixed in various markets. Considering no significant work to examine the rela...... hiện toàn bộ
Optimal Currency Portfolio with Implied Return Distribution in the Mean-Variance Approach
Springer Science and Business Media LLC - - Trang 1-33 - 2023
Yuta Hibiki, Takuya Kiriu, Norio Hibiki
In this study, we construct an optimal currency portfolio using the implied return distribution in the mean-variance approach and examine the performance through a backtest. We estimate the implied expected spot return, implied volatility, and implied correlation from currency option price data, and propose a method of constructing a fully forward-looking optimal currency portfolio without histori...... hiện toàn bộ
The Asian Financial Crisis and Investors’ Risk Aversion
Springer Science and Business Media LLC - Tập 13 - Trang 181-205 - 2007
Yasuo Nishiyama
This paper investigates whether changes in U.S. and Japanese banks’ risk aversion, measured by changes in the relative risk aversion (RRA) coefficient, are associated with the 1997 Asian financial crisis. It finds that an increase in U.S. banks’ risk aversion is unambiguously associated with the Asian crisis, while an increase in Japanese banks’ risk aversion is only weakly associated. The results...... hiện toàn bộ
Speculative Futures Trading under Mean Reversion
Springer Science and Business Media LLC - Tập 23 - Trang 281-304 - 2016
Tim Leung, Jiao Li, Xin Li, Zheng Wang
This paper studies the problem of trading futures with transaction costs when the underlying spot price is mean-reverting. Specifically, we model the spot dynamics by the Ornstein–Uhlenbeck, Cox–Ingersoll–Ross, or exponential Ornstein–Uhlenbeck model. The futures term structure is derived and its connection to futures price dynamics is examined. For each futures contract, we describe the evolution...... hiện toàn bộ
Financial Markets Development and Financing Choice of Firms: New Evidence from Asia
Springer Science and Business Media LLC - Tập 26 - Trang 429-451 - 2019
Inder Sekhar Yadav, Debasis Pahi, Rajesh Gangakhedkar
This paper investigates the effects of financial markets development on the financing choice of firms in developing and developed Asian market economies. The panel data regression models were used for a mean total of 6506 non-financial listed companies during 1995–2016 for 12 Asian economics. The estimated econometric models included short-term, long-term and total debt-equity ratios as dependent ...... hiện toàn bộ
The Short-Selling Hypothesis of Weekend Effect and T + 1 Trading Mechanism
Springer Science and Business Media LLC - - 2021
Xiao Li, Bin Liu
Utilizing a difference-in-difference regression model, we conduct cross-sectional and time-series analysis to explore effect of short sales on the weekend effect in the Chinese stock market, which uses a T + 1 trading mechanism. Our empirical results show that (1) significant negative returns associated with the weekend effect in the Chinese stock market before short selling was allowed, but the e...... hiện toàn bộ
Change Point Analysis of Exchange Rates Using Bootstrapping Methods: An Application to the Indonesian Rupiah 2000–2008
Springer Science and Business Media LLC - Tập 22 - Trang 429-444 - 2015
Amirullah Setya Hardi, Ken-ichi Kawai, Sangyeol Lee, Koichi Maekawa
In this paper, we investigate detecting single change point under time series regression model with GARCH errors using the cumulative sum of squares of the least squares residuals test and the log-likelihood ratio test. Furthermore we think it is important to calculate confidence interval for an estimated change point, for which we need to know the sampling distribution of the estimated change poi...... hiện toàn bộ
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