Quantitative Finance, Volume 8, Issue 4 (2008)

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Quantitative Finance, Volume 8, Issue 4 (2008)

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Comment and Analysis

Article
Can the January anomaly in Taiwan's stock market be explained by the prospect theory?
Chin-Chen Chien & Tsung-Cheng Chen
Pages: 335-339
Published online: 12 Jun 2008
First Page PreviewforCan the January anomaly in Taiwan's stock market be explained by the prospect theory? | Full Text | References | PDF (208.5 KB)
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Article
Return autocorrelation anomalies and the importance of non-trading periods: evidence from Spain, France and Germany
Josep García Blandón
Pages: 341-349
Published online: 12 Jun 2008
First Page PreviewforReturn autocorrelation anomalies and the importance of non-trading periods: evidence from Spain, France and Germany | Full Text | References | PDF (582.3 KB)
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Research Papers

Article
Analysing liquidity and absorption limits of electronic markets with volume durations
Wing Lon Ng
Pages: 353-361
Published online: 12 Jun 2008
AbstractforAnalysing liquidity and absorption limits of electronic markets with volume durations | Full Text | References | PDF (514.1 KB)
  • 100 Views
  • 5 CrossRef citations
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Article
Wealth-driven competition in a speculative financial market: examples with maximizing agents
Mikhail Anufriev
Pages: 363-380
Published online: 13 Jun 2008
AbstractforWealth-driven competition in a speculative financial market: examples with maximizing agents | Full Text | References | PDF (322.5 KB)
  • 101 Views
  • 10 CrossRef citations
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Article
Conditional risk–return relationship in a time-varying beta model
Peng Huang & C. James Hueng
Pages: 381-390
Published online: 12 Jun 2008
AbstractforConditional risk–return relationship in a time-varying beta model | Full Text | References | PDF (220.8 KB)
  • 734 Views
  • 26 CrossRef citations
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Article
Historical simulation approach to the estimation of stochastic discount factor models
Andrei Semenov
Pages: 391-404
Published online: 12 Jun 2008
AbstractforHistorical simulation approach to the estimation of stochastic discount factor models | Full Text | References | PDF (315.9 KB)
  • 138 Views
  • 1 CrossRef citations
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Article
A new computational tool for analysing dynamic hedging under transaction costs
James A. Primbs & Yuji Yamada
Pages: 405-413
Published online: 12 Jun 2008
AbstractforA new computational tool for analysing dynamic hedging under transaction costs | Full Text | References | PDF (156.7 KB)
  • 208 Views
  • 11 CrossRef citations
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Article
Risk-sensitive benchmarked asset management
Mark Davis & SÉBastien Lleo
Pages: 415-426
Published online: 12 Jun 2008
AbstractforRisk-sensitive benchmarked asset management | Full Text | References | PDF (187.4 KB)
  • 406 Views
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Article
New and robust drift approximations for the LIBOR market model
Mark Joshi & Alan Stacey
Pages: 427-434
Published online: 12 Jun 2008
AbstractforNew and robust drift approximations for the LIBOR market model | Full Text | References | PDF (193.2 KB)
  • 146 Views
  • 18 CrossRef citations
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