Quantitative Finance, Volume 9, Issue 8 (2009)

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Quantitative Finance, Volume 9, Issue 8 (2009)

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Features

Article
Equity portfolio risk estimation using market information and sentiment
Leela Mitra, Gautam Mitra & Dan Dibartolomeo¶
Pages: 887-895
Published online: 09 Dec 2009
First Page PreviewforEquity portfolio risk estimation using market information and sentiment | Full Text | References | PDF (447.5 KB)
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Article
The news of no news in stock markets
Oral Erdogan & Ari Yezegel
Pages: 897-909
Published online: 24 Feb 2009
First Page PreviewforThe news of no news in stock markets | Full Text | References | PDF (704.8 KB)
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Research Papers

Article
Does beta react to market conditions? Estimates of ‘bull’ and ‘bear’ betas using a nonlinear market model with an endogenous threshold parameter
George Woodward & Heather M. Anderson
Pages: 913-924
Published online: 25 Mar 2009
AbstractforDoes beta react to market conditions? Estimates of ‘bull’ and ‘bear’ betas using a nonlinear market model with an endogenous threshold parameter | Full Text | References | PDF (386.9 KB)
  • 760 Views
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Article
MaxVaR for non-normal and heteroskedastic returns
Malay Bhattacharyya, Nityanand Misra & Bharat Kodase
Pages: 925-935
Published online: 22 May 2009
AbstractforMaxVaR for non-normal and heteroskedastic returns | Full Text | References | PDF (298.2 KB)
  • 270 Views
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Article
Modelling spikes and pricing swing options in electricity markets
Ben Hambly, Sam Howison & Tino Kluge
Pages: 937-949
Published online: 28 Apr 2009
AbstractforModelling spikes and pricing swing options in electricity markets | Full Text | References | PDF (261.2 KB)
  • 711 Views
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Article
On the valuation of compositions in Lévy term structure models
Wolfgang Kluge & Antonis Papapantoleon
Pages: 951-959
Published online: 09 Dec 2009
AbstractforOn the valuation of compositions in Lévy term structure models | Full Text | References | PDF (169.8 KB)
  • 143 Views
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Article
An axiomatic characterization of capital allocations of coherent risk measures
Michael Kalkbrener
Pages: 961-965
Published online: 23 Jul 2009
AbstractforAn axiomatic characterization of capital allocations of coherent risk measures | Full Text | References | PDF (103.3 KB)
  • 246 Views
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Article
Investment decisions, net present value and bounded rationality
Carlo Alberto Magni
Pages: 967-979
Published online: 23 Jul 2009
AbstractforInvestment decisions, net present value and bounded rationality | Full Text | References | PDF (153.2 KB)
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