0.16
Impact Factor
0.25
5-Years IF
9
5-Years H index
0.16
Impact Factor
0.25
5-Years IF
9
5-Years H index
IF | AIF | IF5 | DOC | CDO | CCU | CIF | CIT | D2Y | C2Y | D5Y | C5Y | %SC | CiY | II | AII | |
1990 | 0.1 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
1991 | 0.09 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
1992 | 0.1 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
1993 | 0.11 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
1994 | 0.12 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
1995 | 0.19 | 0 | 0 | 0 | (%) | 0.07 | ||||||||||
1996 | 0.22 | 0 | 0 | 0 | (%) | 0.09 | ||||||||||
1997 | 0.27 | 5 | 5 | 18 | 0 | 0 | (%) | 0.09 | ||||||||
1998 | 0.27 | 9 | 14 | 54 | 5 | 5 | (%) | 0.1 | ||||||||
1999 | 0.07 | 0.31 | 0.07 | 6 | 20 | 1 | 0.05 | 10 | 14 | 1 | 14 | 1 | 1 (10%) | 0.13 | ||
2000 | 0.13 | 0.4 | 0.1 | 20 | 2 | 0.1 | 15 | 2 | 20 | 2 | (%) | 0.15 | ||||
2001 | 0.17 | 0.4 | 0.1 | 20 | 2 | 0.1 | 6 | 1 | 20 | 2 | (%) | 0.15 | ||||
2002 | 0.42 | 0.25 | 20 | 6 | 0.3 | 0 | 20 | 5 | (%) | 0.18 | ||||||
2003 | 0.44 | 0.47 | 18 | 38 | 8 | 0.21 | 62 | 0 | 15 | 7 | 3 (4.8%) | 0.18 | ||||
2004 | 0.06 | 0.49 | 0.08 | 19 | 57 | 15 | 0.26 | 42 | 18 | 1 | 24 | 2 | 6 (14.3%) | 7 | 0.37 | 0.2 |
2005 | 0.11 | 0.53 | 0.11 | 18 | 75 | 8 | 0.11 | 17 | 37 | 4 | 37 | 4 | (%) | 0.21 | ||
2006 | 0.05 | 0.51 | 0.15 | 19 | 94 | 12 | 0.13 | 36 | 37 | 2 | 55 | 8 | 2 (5.6%) | 0.2 | ||
2007 | 0.11 | 0.44 | 0.16 | 13 | 107 | 16 | 0.15 | 28 | 37 | 4 | 74 | 12 | 5 (17.9%) | 0.18 | ||
2008 | 0.09 | 0.47 | 0.16 | 16 | 123 | 23 | 0.19 | 13 | 32 | 3 | 87 | 14 | 3 (23.1%) | 0.2 | ||
2009 | 0.14 | 0.47 | 0.13 | 15 | 138 | 16 | 0.12 | 21 | 29 | 4 | 85 | 11 | 4 (19%) | 0.19 | ||
2010 | 0.16 | 0.44 | 0.17 | 19 | 157 | 40 | 0.25 | 38 | 31 | 5 | 81 | 14 | 3 (7.9%) | 0.16 | ||
2011 | 0.18 | 0.51 | 0.16 | 21 | 178 | 32 | 0.18 | 22 | 34 | 6 | 82 | 13 | (%) | 1 | 0.05 | 0.2 |
2012 | 0.18 | 0.56 | 0.18 | 17 | 195 | 29 | 0.15 | 12 | 40 | 7 | 84 | 15 | 5 (41.7%) | 0.21 | ||
2013 | 0.11 | 0.66 | 0.14 | 16 | 211 | 37 | 0.18 | 11 | 38 | 4 | 88 | 12 | (%) | 0.23 | ||
2014 | 0.21 | 0.67 | 0.32 | 16 | 227 | 46 | 0.2 | 3 | 33 | 7 | 88 | 28 | (%) | 0.22 | ||
2015 | 0.16 | 0.82 | 0.25 | 13 | 240 | 41 | 0.17 | 12 | 32 | 5 | 89 | 22 | 1 (8.3%) | 3 | 0.23 | 0.27 |
IF: | Impact Factor: C2Y / D2Y |
AIF: | Average Impact Factor for series in RePEc in year y |
IF5: | Impact Factor: C5Y / D5Y |
DOC: | Number of documents published in year y |
CDO: | Cumulative number of documents published until year y |
CCU: | Cumulative number of citations to papers published until year y |
CIF: | Cumulative impact factor |
CIT: | Number of citations to papers published in year y |
D2Y: | Number of articles published in y-1 plus y-2 |
C2Y: | Cites in y to articles published in y-1 plus y-2 |
D5Y: | Number of articles published in y-1 until y-5 |
C5Y: | Cites in y to articles published in y-1 until y-5 |
%SC: | Percentage of selft citations in y to articles published in y-1 plus y-2 |
CiY: | Cites in year y to documents published in year y |
II: | Immediacy Index: CiY / Documents. |
AII: | Average Immediacy Index for series in RePEc in year y |
 
# | Year | Title | Cited |
---|---|---|---|
1 | 1998 | Unconditional and Conditional Distributional Models for the Nikkei Index. (1998). Mittnik, Stefan ; Paolella, Marc ; Rachev, Svetlozar . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:5:y:1998:i:2:p:99-128. Full description at Econpapers || Download paper | 20 |
2 | 2004 | Diversified Portfolios with Jumps in a Benchmark Framework. (2004). Platen, Eckhard. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:11:y:2004:i:1:p:1-22. Full description at Econpapers || Download paper | 18 |
3 | 2010 | Efficiency of Microfinance Institutions: A Data Envelopment Analysis. (2010). Skully, Michael ; Pathan, Shams ; Haq, Mamiza . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:17:y:2010:i:1:p:63-97. Full description at Econpapers || Download paper | 15 |
4 | 1997 | Subordinated Market Index Models: A Comparison. (1997). Platen, Eckhard ; HURST, SIMON ; Rachev, Svetlozar . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:4:y:1997:i:2:p:97-124. Full description at Econpapers || Download paper | 14 |
5 | 2003 | A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework. (2003). Nikitopoulos-Sklibosios, Christina ; Chiarella, Carl. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:10:y:2003:i:2:p:87-127. Full description at Econpapers || Download paper | 12 |
6 | 2003 | Price Linkages in Asian Equity Markets: Evidence Bordering the Asian Economic, Currency and Financial Crises. (2003). Worthington, Andrew ; Katsuura, Masaki ; Higgs, Helen . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:10:y:2003:i:1:p:29-44. Full description at Econpapers || Download paper | 12 |
7 | 2003 | Are Banks Affiliated with Bank Holding Companies More Efficient Than Independent Banks? The Recent Experience Regarding Japanese Regional BHCs. (2003). Yamori, Nobuyoshi ; Harimaya, Kozo ; Kondo, Kazumine . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:10:y:2003:i:4:p:359-376. Full description at Econpapers || Download paper | 12 |
8 | 2006 | Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes. (2006). TANKOV, PETER ; Poirot, Jeremy. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:13:y:2006:i:4:p:327-344. Full description at Econpapers || Download paper | 12 |
9 | 2015 | Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method. (2015). Fujii, Masaaki ; Takahashi, Akihiko . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:22:y:2015:i:3:p:283-304. Full description at Econpapers || Download paper | 11 |
10 | 2004 | A Fair Pricing Approach to Weather Derivatives. (2004). Platen, Eckhard ; West, Jason . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:11:y:2004:i:1:p:23-53. Full description at Econpapers || Download paper | 8 |
11 | 2003 | Investor Familiarity and Home Bias: Japanese Evidence. (2003). Ito, Akitoshi ; Hiraki, Takato ; Kuroki, Fumiaki. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:10:y:2003:i:4:p:281-300. Full description at Econpapers || Download paper | 8 |
12 | 1998 | Transmission of Stock Returns and Volatility between the U.S. and Japan: Evidence from the Stock Index Futures Markets. (1998). Hsueh, L. ; Pan, Ming-Shiun . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:5:y:1998:i:3:p:211-225. Full description at Econpapers || Download paper | 8 |
13 | 1998 | The Impact of the U.S. and the Japanese Equity Markets on the Emerging Asia-Pacific Equity Markets. (1998). Cha, Baekin ; Cheung, Yan-Leung . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:5:y:1998:i:3:p:191-209. Full description at Econpapers || Download paper | 8 |
14 | 2009 | Counterparty Risk for Credit Default Swaps: Markov Chain Interacting Intensities Model with Stochastic Intensity. (2009). Leung, Kwai ; Kwok, Yue . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:16:y:2009:i:3:p:169-181. Full description at Econpapers || Download paper | 7 |
15 | 1998 | Monthly Pattern and Portfolio Effect on Higher Moments of Stock Returns: Empirical Evidence from Hong Kong. (1998). Tang, Gordon . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:5:y:1998:i:3:p:275-307. Full description at Econpapers || Download paper | 7 |
16 | 1998 | Econometric Analysis of a Continuous Time Multi-Factor Generalized Vasicek Term Structure Model: International Evidence. (1998). Nowman, K. ; Babbs, Simon. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:5:y:1998:i:2:p:159-183. Full description at Econpapers || Download paper | 7 |
17 | 2010 | Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae. (2010). Platen, Eckhard ; Ignatieva, Katja . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:17:y:2010:i:3:p:261-302. Full description at Econpapers || Download paper | 7 |
18 | 2007 | Board Size, Independence and Performance: An Analysis of Thai Banks. (2007). Wickramanayake, Jayasinghe ; Skully, Michael ; Pathan, Shams. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:14:y:2007:i:3:p:211-227. Full description at Econpapers || Download paper | 7 |
19 | 2003 | The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly. (2003). Pierce, Raylene ; maberly, edwin. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:10:y:2003:i:4:p:319-334. Full description at Econpapers || Download paper | 6 |
20 | 2007 | Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging markets in South-East Asia. (2007). Gunasekarage, Abeyratna ; Pisedtasalasai, Anirut. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:14:y:2007:i:4:p:277-297. Full description at Econpapers || Download paper | 6 |
21 | 2006 | Portfolio optimization with a defaultable security. (2006). Jang, Inwon ; Bielecki, Tomasz . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:13:y:2006:i:2:p:113-127. Full description at Econpapers || Download paper | 6 |
22 | 1999 | Pricing Options under Stochastic Interest Rates: A New Approach. (1999). Kunitomo, Naoto ; Kim, Yong-Jin . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:6:y:1999:i:1:p:49-70. Full description at Econpapers || Download paper | 6 |
23 | 2011 | A Note on Utility Maximization with Unbounded Random Endowment. (2011). Owari, Keita. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:18:y:2011:i:1:p:89-103. Full description at Econpapers || Download paper | 6 |
24 | 2005 | Market Efficiency and Returns to Simple Technical Trading Rules: Further Evidence from U.S., U.K., Asian and Chinese Stock Markets. (2005). Cai, Bill ; Keasey, Kevin . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:12:y:2005:i:1:p:45-60. Full description at Econpapers || Download paper | 5 |
25 | 2006 | Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model. (2006). Quittard-Pinon, Franois ; le Courtois, Olivier . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:13:y:2006:i:1:p:11-39. Full description at Econpapers || Download paper | 5 |
26 | 2006 | Portfolio Optimization in Discontinuous Markets under Incomplete Information. (2006). Callegaro, Giorgia ; Runggaldier, Wolfgang ; Masi, Giovanni. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:13:y:2006:i:4:p:373-394. Full description at Econpapers || Download paper | 5 |
27 | 2013 | Price Discovery in Chinese Stock Index Futures Market: New Evidence Based on Intraday Data. (2013). Li, Steven ; Hou, Yang . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:20:y:2013:i:1:p:49-70. Full description at Econpapers || Download paper | 5 |
28 | 2012 | Pricing Discrete Barrier Options Under Stochastic Volatility. (2012). Takahashi, Akihiko ; Yamada, Toshihiro ; Shiraya, Kenichiro . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:19:y:2012:i:3:p:205-232. Full description at Econpapers || Download paper | 4 |
29 | 2003 | Productivity and Technical Change in Malaysian Banking: 1989â1998. (2003). Fausten, Dietrich ; Dogan, Ergun . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:10:y:2003:i:2:p:205-237. Full description at Econpapers || Download paper | 4 |
30 | 2007 | An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates. (2007). Takahashi, Akihiko ; Takehara, Kohta . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:14:y:2007:i:1:p:69-121. Full description at Econpapers || Download paper | 4 |
31 | 2009 | A Remark on a Singular Perturbation Method for Option Pricing Under a Stochastic Volatility Model. (2009). Takahashi, Akihiko ; Yamamoto, Kyo . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:16:y:2009:i:4:p:333-345. Full description at Econpapers || Download paper | 4 |
32 | 2005 | Testing for Volatility Jumps in the Stochastic Volatility Process. (2005). Kobayashi, Masahito. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:12:y:2005:i:2:p:143-157. Full description at Econpapers || Download paper | 4 |
33 | 2010 | On the Predictability of Japanese Stock Returns Using Dividend Yield. (2010). Aono, Kohei ; Iwaisako, Tokuo . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:17:y:2010:i:2:p:141-149. Full description at Econpapers || Download paper | 4 |
34 | 2004 | Understanding the Implied Volatility Surface for Options on a Diversified Index. (2004). Platen, Eckhard ; Heath, David . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:11:y:2004:i:1:p:55-77. Full description at Econpapers || Download paper | 4 |
35 | 1997 | Abnormal Stock Returns Following Large One-day Advances and Declines: Evidence from Asia-Pacific Markets. (1997). Wong, Michael. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:4:y:1997:i:2:p:171-177. Full description at Econpapers || Download paper | 3 |
36 | 2008 | The Determinants of Bank Capital Ratios in a Developing Economy. (2008). Skully, Michael ; Ariff, Mohamed ; Ahmad, Rubi . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:15:y:2008:i:3:p:255-272. Full description at Econpapers || Download paper | 3 |
37 | 2013 | Informed Futures Trading and Price Discovery: Evidence from Taiwan Futures and Stock Markets. (2013). Lee, Yi-Tsung ; Wu, Wei-Shao ; Yang, Yun . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:20:y:2013:i:3:p:219-242. Full description at Econpapers || Download paper | 3 |
38 | 2010 | Environmental Economics and Modeling Marketable Permits. (2010). Taschini, Luca. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:17:y:2010:i:4:p:325-343. Full description at Econpapers || Download paper | 3 |
39 | 2011 | Detection of Information Flow in Major International Financial Markets by Interactivity Network Analysis. (2011). Allali, Abdelwahab ; Oueslati, Amor ; Trabelsi, Abdelwahed . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:18:y:2011:i:3:p:319-344. Full description at Econpapers || Download paper | 3 |
40 | 2006 | The Asian Financial Crisis and Investorsâ Risk Aversion. (2006). Nishiyama, Yasuo . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:13:y:2006:i:3:p:181-205. Full description at Econpapers || Download paper | 3 |
41 | 2004 | A Two-Factor Model for Low Interest Rate Regimes. (2004). Platen, Eckhard ; Miller, Shane . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:11:y:2004:i:1:p:107-133. Full description at Econpapers || Download paper | 3 |
42 | 2007 | A Benchmark Approach to Portfolio Optimization under Partial Information. (2007). Platen, Eckhard ; Runggaldier, Wolfgang . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:14:y:2007:i:1:p:25-43. Full description at Econpapers || Download paper | 3 |
43 | 2004 | On Bayesian Value at Risk: From Linear to Non-Linear Portfolios. (2004). Tong, Howell ; Siu, Tak Kuen ; Yang, Hailiang . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:11:y:2004:i:2:p:161-184. Full description at Econpapers || Download paper | 3 |
44 | 1998 | The Pricing Formula for Commodity-Linked Bonds with Stochastic Convenience Yields and Default Risk. (1998). Yamauchi, Hiroaki ; Miura, Ryozo . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:5:y:1998:i:2:p:129-158. Full description at Econpapers || Download paper | 3 |
45 | 2007 | Reduced-form Models with Regime Switching: An Empirical Analysis for Corporate Bonds. (2007). Wong, Hoi . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:14:y:2007:i:3:p:229-253. Full description at Econpapers || Download paper | 3 |
46 | 2009 | Dynamic Linkages Between the China and International Stock Markets. (2009). Fan, Kui ; Lu, Zudi ; Wang, Shouyang . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:16:y:2009:i:3:p:211-230. Full description at Econpapers || Download paper | 3 |
47 | 2011 | On the Verification Theorem of Dynamic Portfolio-Consumption Problems with Stochastic Market Price of Risk. (2011). Kamimura, Shoji . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:18:y:2011:i:2:p:151-166. Full description at Econpapers || Download paper | 3 |
48 | 2008 | Regulations, Supervision Approaches and Acquisition Likelihood in the Asian Banking Industry. (2008). Pasiouras, Fotios ; Gaganis, Chrysovalantis ; Zopounidis, Constantin . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:15:y:2008:i:2:p:135-154. Full description at Econpapers || Download paper | 3 |
49 | 2009 | Dynamic Modeling of Tail Risk: Applications to China, Hong Kong and Other Asian Markets. (2009). Tse, Alex ; So, Mike . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:16:y:2009:i:3:p:183-210. Full description at Econpapers || Download paper | 3 |
50 | 2003 | Financial Sector Risk and the Stock Returns: Evidence from Tokyo Stock Exchange Firms. (2003). Takehara, Hitoshi ; Kubota, Keiichi . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:10:y:2003:i:1:p:1-28. Full description at Econpapers || Download paper | 2 |
# | Year | Title | Cited |
---|---|---|---|
1 | 2010 | Efficiency of Microfinance Institutions: A Data Envelopment Analysis. (2010). Skully, Michael ; Pathan, Shams ; Haq, Mamiza . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:17:y:2010:i:1:p:63-97. Full description at Econpapers || Download paper | 12 |
2 | 2015 | Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method. (2015). Fujii, Masaaki ; Takahashi, Akihiko . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:22:y:2015:i:3:p:283-304. Full description at Econpapers || Download paper | 11 |
3 | 2003 | Are Banks Affiliated with Bank Holding Companies More Efficient Than Independent Banks? The Recent Experience Regarding Japanese Regional BHCs. (2003). Yamori, Nobuyoshi ; Harimaya, Kozo ; Kondo, Kazumine . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:10:y:2003:i:4:p:359-376. Full description at Econpapers || Download paper | 6 |
4 | 2010 | Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae. (2010). Platen, Eckhard ; Ignatieva, Katja . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:17:y:2010:i:3:p:261-302. Full description at Econpapers || Download paper | 6 |
5 | 2013 | Price Discovery in Chinese Stock Index Futures Market: New Evidence Based on Intraday Data. (2013). Li, Steven ; Hou, Yang . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:20:y:2013:i:1:p:49-70. Full description at Econpapers || Download paper | 5 |
6 | 2007 | Board Size, Independence and Performance: An Analysis of Thai Banks. (2007). Wickramanayake, Jayasinghe ; Skully, Michael ; Pathan, Shams. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:14:y:2007:i:3:p:211-227. Full description at Econpapers || Download paper | 4 |
7 | 2012 | Pricing Discrete Barrier Options Under Stochastic Volatility. (2012). Takahashi, Akihiko ; Yamada, Toshihiro ; Shiraya, Kenichiro . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:19:y:2012:i:3:p:205-232. Full description at Econpapers || Download paper | 4 |
8 | 2007 | An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates. (2007). Takahashi, Akihiko ; Takehara, Kohta . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:14:y:2007:i:1:p:69-121. Full description at Econpapers || Download paper | 3 |
9 | 2013 | Informed Futures Trading and Price Discovery: Evidence from Taiwan Futures and Stock Markets. (2013). Lee, Yi-Tsung ; Wu, Wei-Shao ; Yang, Yun . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:20:y:2013:i:3:p:219-242. Full description at Econpapers || Download paper | 3 |
10 | 2011 | On the Verification Theorem of Dynamic Portfolio-Consumption Problems with Stochastic Market Price of Risk. (2011). Kamimura, Shoji . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:18:y:2011:i:2:p:151-166. Full description at Econpapers || Download paper | 3 |
11 | 2006 | Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model. (2006). Quittard-Pinon, Franois ; le Courtois, Olivier . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:13:y:2006:i:1:p:11-39. Full description at Econpapers || Download paper | 3 |
12 | 2009 | A Remark on a Singular Perturbation Method for Option Pricing Under a Stochastic Volatility Model. (2009). Takahashi, Akihiko ; Yamamoto, Kyo . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:16:y:2009:i:4:p:333-345. Full description at Econpapers || Download paper | 3 |
13 | 1998 | Transmission of Stock Returns and Volatility between the U.S. and Japan: Evidence from the Stock Index Futures Markets. (1998). Hsueh, L. ; Pan, Ming-Shiun . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:5:y:1998:i:3:p:211-225. Full description at Econpapers || Download paper | 3 |
14 | 2011 | A Note on Utility Maximization with Unbounded Random Endowment. (2011). Owari, Keita. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:18:y:2011:i:1:p:89-103. Full description at Econpapers || Download paper | 3 |
15 | 2006 | Portfolio optimization with a defaultable security. (2006). Jang, Inwon ; Bielecki, Tomasz . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:13:y:2006:i:2:p:113-127. Full description at Econpapers || Download paper | 3 |
16 | 2006 | Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes. (2006). TANKOV, PETER ; Poirot, Jeremy. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:13:y:2006:i:4:p:327-344. Full description at Econpapers || Download paper | 3 |
17 | 2003 | Investor Familiarity and Home Bias: Japanese Evidence. (2003). Ito, Akitoshi ; Hiraki, Takato ; Kuroki, Fumiaki. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:10:y:2003:i:4:p:281-300. Full description at Econpapers || Download paper | 3 |
18 | 2014 | Large Deviations for the Extended Heston Model: The Large-Time Case. (2014). Mijatovi, Aleksandar ; Jacquier, Antoine . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:21:y:2014:i:3:p:263-280. Full description at Econpapers || Download paper | 2 |
19 | 2011 | âDown-Side Riskâ Probability Minimization Problem with Cox-Ingersoll-Rossâs Interest Rates. (2011). Hata, Hiroaki . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:18:y:2011:i:1:p:69-87. Full description at Econpapers || Download paper | 2 |
20 | 2011 | Empirical Study of Nikkei 225 Options with the Markov Switching GARCH Model. (2011). Mitsui, Hidetoshi ; Satoyoshi, Kiyotaka . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:18:y:2011:i:1:p:55-68. Full description at Econpapers || Download paper | 2 |
21 | 2006 | The Asian Financial Crisis and Investorsâ Risk Aversion. (2006). Nishiyama, Yasuo . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:13:y:2006:i:3:p:181-205. Full description at Econpapers || Download paper | 2 |
22 | 1999 | Pricing Options under Stochastic Interest Rates: A New Approach. (1999). Kunitomo, Naoto ; Kim, Yong-Jin . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:6:y:1999:i:1:p:49-70. Full description at Econpapers || Download paper | 2 |
23 | 2010 | Remarks on the Nonlinear Black-Scholes Equations with the Effect of Transaction Costs. (2010). Ishimura, Naoyuki . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:17:y:2010:i:3:p:241-259. Full description at Econpapers || Download paper | 2 |
24 | 2008 | A Stochastic Receding Horizon Control Approach to Constrained Index Tracking. (2008). Sung, Chang ; Primbs, James . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:15:y:2008:i:1:p:3-24. Full description at Econpapers || Download paper | 2 |
25 | 1998 | Unconditional and Conditional Distributional Models for the Nikkei Index. (1998). Mittnik, Stefan ; Paolella, Marc ; Rachev, Svetlozar . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:5:y:1998:i:2:p:99-128. Full description at Econpapers || Download paper | 2 |
26 | 2005 | Market Efficiency and Returns to Simple Technical Trading Rules: Further Evidence from U.S., U.K., Asian and Chinese Stock Markets. (2005). Cai, Bill ; Keasey, Kevin . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:12:y:2005:i:1:p:45-60. Full description at Econpapers || Download paper | 2 |
27 | 2006 | Portfolio Optimization in Discontinuous Markets under Incomplete Information. (2006). Callegaro, Giorgia ; Runggaldier, Wolfgang ; Masi, Giovanni. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:13:y:2006:i:4:p:373-394. Full description at Econpapers || Download paper | 2 |
28 | 2009 | Dynamic Linkages Between the China and International Stock Markets. (2009). Fan, Kui ; Lu, Zudi ; Wang, Shouyang . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:16:y:2009:i:3:p:211-230. Full description at Econpapers || Download paper | 2 |
29 | 2003 | The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly. (2003). Pierce, Raylene ; maberly, edwin. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:10:y:2003:i:4:p:319-334. Full description at Econpapers || Download paper | 2 |
30 | 2012 | Empirically Effective Bond Pricing Model and Analysis on Term Structures of Implied Interest Rates in Financial Crisis. (2012). Doi, Eiichi ; Wang, Zhu ; Yamamura, Yoshiro ; Kariya, Takeaki . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:19:y:2012:i:3:p:259-292. Full description at Econpapers || Download paper | 2 |
31 | 2010 | The Impact of Derivatives Activity on Commercial Banks: Evidence from U.S. Bank Holding Companies. (2010). Li, LI ; Yu, Zhang . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:17:y:2010:i:3:p:303-322. Full description at Econpapers || Download paper | 2 |
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2015 | Large-Maturity Regimes of the Heston Forward Smile. (2015). Jacquier, Antoine ; Roome, Patrick . In: Papers. RePEc:arx:papers:1410.7206. Full description at Econpapers || Download paper | |
2015 | Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments. (2015). Macrina, Andrea ; Nguyen, Tuyet Mai ; Crepey, Stephane ; Skovmand, David . In: Papers. RePEc:arx:papers:1502.07397. Full description at Econpapers || Download paper | |
2015 | Risk estimation of CSI 300 index spot and futures in China from a new perspective. (2015). Suo, Yuan-Yuan ; Li, Sai-Ping ; Wang, Dong-Hua . In: Economic Modelling. RePEc:eee:ecmode:v:49:y:2015:i:c:p:344-353. Full description at Econpapers || Download paper | |
2015 | The impacts of institutional and individual investors on the price discovery in stock index futures market: Evidence from China. (2015). Xu, Feng . In: Finance Research Letters. RePEc:eee:finlet:v:15:y:2015:i:c:p:221-231. Full description at Econpapers || Download paper | |
2015 | Asymptotic Expansion Approach in Finance. (2015). Takahashi, Akihiko . In: CARF F-Series. RePEc:cfi:fseres:cf356. Full description at Econpapers || Download paper |
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2015 | Asymptotic Expansion for Forward-Backward SDEs with Jumps. (2015). Fujii, Masaaki ; Takahashi, Akihiko . In: Papers. RePEc:arx:papers:1510.03220. Full description at Econpapers || Download paper | |
2015 | Asymptotic Expansion for Forward-Backward SDEs. (2015). Fujii, Masaaki ; Takahashi, Akihiko . In: CARF F-Series. RePEc:cfi:fseres:cf372. Full description at Econpapers || Download paper | |
2015 | Asymptotic Expansion for Forward-Backward SDEs with Jumps. (2015). Fujii, Masaaki ; Takahashi, Akihiko . In: CIRJE F-Series. RePEc:tky:fseres:2015cf993. Full description at Econpapers || Download paper |
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