Quantitative Finance, Volume 12, Issue 3 (2012)

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Quantitative Finance, Volume 12, Issue 3 (2012)

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Feature

Article
On monitoring financial stress index with extreme value theory
Amira Dridi, Mohamed El Ghourabi & Mohamed Limam
Pages: 329-339
Published online: 24 Sep 2010
First Page PreviewforOn monitoring financial stress index with extreme value theory | Full Text | References | PDF (1,006.3 KB)
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Book Review

Book Review
Modelling, Pricing and Hedging Counterparty Credit Exposure: A Technical Guide, by G. Cesari, J. Aquilina, N. Charpillon, Z. Filipovic, G. Lee and I. Manda
Agostino Capponi
Pages: 341-342
Published online: 27 Feb 2012
CitationforModelling, Pricing and Hedging Counterparty Credit Exposure: A Technical Guide, by G. Cesari, J. Aquilina, N. Charpillon, Z. Filipovic, G. Lee and I. Manda | Full Text | PDF (179.9 KB)
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Calendar

Calendar
Calendar
Page: 343
Published online: 27 Feb 2012
CitationforCalendar | PDF (602 KB)
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Research Papers

Article
Positive return premia in Japan
Chikashi Tsuji
Pages: 345-367
Published online: 20 Jul 2011
AbstractforPositive return premia in Japan | Full Text | References | PDF (303.8 KB)
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Article
Firm characteristics, alternative factors, and asset-pricing anomalies: evidence from Japan
Pin-Huang Chou, Kuan-Cheng Ko, Szu-Tsen Kuo & Shinn-Juh Lin
Pages: 369-382
Published online: 23 Nov 2010
AbstractforFirm characteristics, alternative factors, and asset-pricing anomalies: evidence from Japan | Full Text | References | PDF (165.3 KB)
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Article
The performance of enhanced-return index funds: evidence from bootstrap analysis
An-Sing Chen, Yeh-Chung Chu & Mark T. Leung
Pages: 383-395
Published online: 14 Jul 2011
AbstractforThe performance of enhanced-return index funds: evidence from bootstrap analysis | Full Text | References | PDF (128.3 KB)
  • 264 Views
  • 1 CrossRef citations
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Article
Nonlinear interdependence of the Chinese stock markets
Abdol S. Soofi, Zhe Li & Xiaofeng Hui
Pages: 397-410
Published online: 26 Jul 2011
AbstractforNonlinear interdependence of the Chinese stock markets | Full Text | References | PDF (340 KB)
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Article
Models for stock returns
Saralees Nadarajah
Pages: 411-424
Published online: 27 Feb 2012
AbstractforModels for stock returns | Full Text | References | PDF (179.9 KB)
  • 548 Views
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Article
Converse trading strategies, intrinsic noise and the stylized facts of financial markets
Frank Westerhoff & Reiner Franke
Pages: 425-436
Published online: 13 Dec 2010
AbstractforConverse trading strategies, intrinsic noise and the stylized facts of financial markets | Full Text | References | PDF (1.2 MB)
  • 363 Views
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Article
A comparison of statistical tests for the adequacy of a neural network regression model
Nikos S. Thomaidis & Georgios D. Dounias
Pages: 437-449
Published online: 20 Apr 2010
AbstractforA comparison of statistical tests for the adequacy of a neural network regression model | Full Text | References | PDF (149.6 KB)
  • 304 Views
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Article
Pricing dynamic binary variables and their derivatives
David G. Luenberger
Pages: 451-464
Published online: 21 Sep 2011
AbstractforPricing dynamic binary variables and their derivatives | Full Text | References | PDF (332.1 KB)
  • 286 Views
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Article
Real options with a double continuation region
Anna Battauz, Marzia De Donno & Alessandro Sbuelz
Pages: 465-475
Published online: 13 Dec 2010
AbstractforReal options with a double continuation region | Full Text | References | PDF (221 KB)
  • 312 Views
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Article
Bayesian analysis of multi-group nonlinear structural equation models with application to behavioral finance
Bin Lu, Xin-Yuan Song & Xin-Dan Li
Pages: 477-488
Published online: 17 Feb 2010
AbstractforBayesian analysis of multi-group nonlinear structural equation models with application to behavioral finance | Full Text | References | PDF (206 KB)
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Article
Temperature models for pricing weather derivatives
Frank Schiller, Gerold Seidler & Maximilian Wimmer
Pages: 489-500
Published online: 01 Sep 2010
AbstractforTemperature models for pricing weather derivatives | Full Text | References | PDF (743.4 KB)
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