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Publisher: Inderscience Publishers   (Total: 427 journals)

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Showing 1 - 200 of 427 Journals sorted alphabetically
African J. of Accounting, Auditing and Finance     Hybrid Journal   (Followers: 12)
African J. of Economic and Sustainable Development     Hybrid Journal   (Followers: 13)
Afro-Asian J. of Finance and Accounting     Hybrid Journal   (Followers: 7, SJR: 0.205, h-index: 3)
American J. of Finance and Accounting     Hybrid Journal   (Followers: 19)
Asian J. of Management Science and Applications     Hybrid Journal   (Followers: 4)
Atoms for Peace: an Intl. J.     Hybrid Journal   (Followers: 3, SJR: 0.103, h-index: 1)
Electronic Government, an Intl. J.     Hybrid Journal   (Followers: 15, SJR: 0.185, h-index: 23)
EuroMed J. of Management     Hybrid Journal  
European J. of Cross-Cultural Competence and Management     Hybrid Journal   (Followers: 6)
European J. of Industrial Engineering     Hybrid Journal   (Followers: 8, SJR: 0.987, h-index: 16)
European J. of Intl. Management     Hybrid Journal   (Followers: 1, SJR: 0.258, h-index: 10)
Global Business and Economics Review     Hybrid Journal   (Followers: 1, SJR: 0.13, h-index: 7)
Interdisciplinary Environmental Review     Hybrid Journal   (Followers: 3)
Intl. J. of Abrasive Technology     Hybrid Journal   (Followers: 2, SJR: 0.207, h-index: 10)
Intl. J. of Accounting and Finance     Hybrid Journal   (Followers: 13)
Intl. J. of Accounting, Auditing and Performance Evaluation     Hybrid Journal   (Followers: 13, SJR: 0.143, h-index: 9)
Intl. J. of Ad Hoc and Ubiquitous Computing     Hybrid Journal   (Followers: 9, SJR: 0.245, h-index: 13)
Intl. J. of Adaptive and Innovative Systems     Hybrid Journal   (Followers: 1)
Intl. J. of Additive and Subtractive Materials Manufacturing     Hybrid Journal  
Intl. J. of Advanced Intelligence Paradigms     Hybrid Journal   (Followers: 3, SJR: 0.39, h-index: 5)
Intl. J. of Advanced Mechatronic Systems     Hybrid Journal   (Followers: 2, SJR: 0.212, h-index: 7)
Intl. J. of Advanced Media and Communication     Hybrid Journal   (Followers: 23, SJR: 0.103, h-index: 9)
Intl. J. of Advanced Operations Management     Hybrid Journal   (Followers: 7, SJR: 0.24, h-index: 4)
Intl. J. of Aerodynamics     Hybrid Journal   (Followers: 20)
Intl. J. of Agent-Oriented Software Engineering     Hybrid Journal   (Followers: 4)
Intl. J. of Agile and Extreme Software Development     Hybrid Journal   (Followers: 4)
Intl. J. of Agile Systems and Management     Hybrid Journal   (Followers: 7, SJR: 0.212, h-index: 8)
Intl. J. of Agricultural Resources, Governance and Ecology     Hybrid Journal   (Followers: 2, SJR: 0.125, h-index: 17)
Intl. J. of Alternative Propulsion     Hybrid Journal   (Followers: 5, SJR: 0.103, h-index: 9)
Intl. J. of Applied Cryptography     Hybrid Journal   (Followers: 11, SJR: 0.401, h-index: 9)
Intl. J. of Applied Decision Sciences     Hybrid Journal   (Followers: 4, SJR: 0.455, h-index: 11)
Intl. J. of Applied Management Science     Hybrid Journal   (Followers: 5, SJR: 0.369, h-index: 10)
Intl. J. of Applied Nonlinear Science     Hybrid Journal   (Followers: 1)
Intl. J. of Applied Pattern Recognition     Hybrid Journal   (Followers: 3)
Intl. J. of Applied Systemic Studies     Hybrid Journal   (SJR: 0.138, h-index: 5)
Intl. J. of Arab Culture, Management and Sustainable Development     Hybrid Journal   (Followers: 8)
Intl. J. of Artificial Intelligence and Soft Computing     Hybrid Journal   (Followers: 8)
Intl. J. of Arts and Technology     Hybrid Journal   (Followers: 6, SJR: 0.114, h-index: 10)
Intl. J. of Auditing Technology     Hybrid Journal   (Followers: 5)
Intl. J. of Automation and Control     Hybrid Journal   (Followers: 9, SJR: 0.297, h-index: 7)
Intl. J. of Automation and Logistics     Hybrid Journal   (Followers: 5)
Intl. J. of Automotive Composites     Hybrid Journal   (Followers: 2)
Intl. J. of Automotive Technology and Management     Hybrid Journal   (Followers: 6, SJR: 0.356, h-index: 15)
Intl. J. of Autonomic Computing     Hybrid Journal   (Followers: 1)
Intl. J. of Autonomous and Adaptive Communications Systems     Hybrid Journal   (Followers: 4, SJR: 0.125, h-index: 10)
Intl. J. of Aviation Management     Hybrid Journal   (Followers: 4)
Intl. J. of Banking, Accounting and Finance     Hybrid Journal   (Followers: 12, SJR: 0.153, h-index: 5)
Intl. J. of Behavioural Accounting and Finance     Hybrid Journal   (Followers: 7)
Intl. J. of Behavioural and Healthcare Research     Hybrid Journal   (Followers: 7)
Intl. J. of Bibliometrics in Business and Management     Hybrid Journal  
Intl. J. of Big Data Intelligence     Hybrid Journal   (Followers: 13)
Intl. J. of Bio-Inspired Computation     Hybrid Journal   (Followers: 1, SJR: 0.77, h-index: 25)
Intl. J. of Bioinformatics Research and Applications     Hybrid Journal   (Followers: 14, SJR: 0.231, h-index: 13)
Intl. J. of Biomechatronics and Biomedical Robotics     Hybrid Journal   (Followers: 4)
Intl. J. of Biomedical Engineering and Technology     Hybrid Journal   (Followers: 4, SJR: 0.213, h-index: 10)
Intl. J. of Biomedical Nanoscience and Nanotechnology     Hybrid Journal   (Followers: 6)
Intl. J. of Biometrics     Hybrid Journal   (Followers: 4, SJR: 0.244, h-index: 10)
Intl. J. of Biotechnology     Hybrid Journal   (Followers: 5, SJR: 0.128, h-index: 15)
Intl. J. of Bonds and Derivatives     Hybrid Journal   (Followers: 1)
Intl. J. of Business and Emerging Markets     Hybrid Journal   (Followers: 3)
Intl. J. of Business and Globalisation     Hybrid Journal   (Followers: 1, SJR: 0.21, h-index: 7)
Intl. J. of Business and Systems Research     Hybrid Journal   (Followers: 1, SJR: 0.205, h-index: 11)
Intl. J. of Business Competition and Growth     Hybrid Journal   (Followers: 6)
Intl. J. of Business Continuity and Risk Management     Hybrid Journal   (Followers: 14)
Intl. J. of Business Environment     Hybrid Journal   (Followers: 3)
Intl. J. of Business Excellence     Hybrid Journal   (Followers: 3, SJR: 0.333, h-index: 12)
Intl. J. of Business Forecasting and Marketing Intelligence     Hybrid Journal   (Followers: 6)
Intl. J. of Business Governance and Ethics     Hybrid Journal   (Followers: 4, SJR: 0.222, h-index: 8)
Intl. J. of Business Information Systems     Hybrid Journal   (Followers: 17, SJR: 0.264, h-index: 18)
Intl. J. of Business Innovation and Research     Hybrid Journal   (Followers: 9, SJR: 0.273, h-index: 13)
Intl. J. of Business Intelligence and Data Mining     Hybrid Journal   (Followers: 30, SJR: 0.196, h-index: 13)
Intl. J. of Business Intelligence and Systems Engineering     Hybrid Journal  
Intl. J. of Business Performance and Supply Chain Modelling     Hybrid Journal   (Followers: 14)
Intl. J. of Business Performance Management     Hybrid Journal   (Followers: 7, SJR: 0.194, h-index: 15)
Intl. J. of Business Process Integration and Management     Hybrid Journal   (Followers: 13, SJR: 0.172, h-index: 15)
Intl. J. of Chinese Culture and Management     Hybrid Journal   (Followers: 5)
Intl. J. of Circuits and Architecture Design     Hybrid Journal   (Followers: 6)
Intl. J. of Cloud Computing     Hybrid Journal   (Followers: 26)
Intl. J. of Cognitive Biometrics     Hybrid Journal   (Followers: 1)
Intl. J. of Cognitive Performance Support     Hybrid Journal   (Followers: 4)
Intl. J. of Collaborative Engineering     Hybrid Journal  
Intl. J. of Collaborative Enterprise     Hybrid Journal  
Intl. J. of Collaborative Intelligence     Hybrid Journal  
Intl. J. of Communication Networks and Distributed Systems     Hybrid Journal   (Followers: 7, SJR: 0.262, h-index: 9)
Intl. J. of Competitiveness     Hybrid Journal   (Followers: 1)
Intl. J. of Complexity in Applied Science and Technology     Hybrid Journal  
Intl. J. of Complexity in Leadership and Management     Hybrid Journal   (Followers: 24)
Intl. J. of Computational Biology and Drug Design     Hybrid Journal   (Followers: 1, SJR: 0.272, h-index: 8)
Intl. J. of Computational Complexity and Intelligent Algorithms     Hybrid Journal   (Followers: 1)
Intl. J. of Computational Economics and Econometrics     Hybrid Journal   (Followers: 5)
Intl. J. of Computational Intelligence in Bioinformatics and Systems Biology     Hybrid Journal   (Followers: 10)
Intl. J. of Computational Intelligence Studies     Hybrid Journal   (Followers: 2)
Intl. J. of Computational Materials Science and Surface Engineering     Hybrid Journal   (Followers: 6, SJR: 0.159, h-index: 6)
Intl. J. of Computational Science and Engineering     Hybrid Journal   (Followers: 2, SJR: 0.34, h-index: 12)
Intl. J. of Computational Systems Engineering     Hybrid Journal  
Intl. J. of Computational Vision and Robotics     Hybrid Journal   (Followers: 4, SJR: 0.123, h-index: 4)
Intl. J. of Computer Aided Engineering and Technology     Hybrid Journal   (Followers: 2, SJR: 0.112, h-index: 7)
Intl. J. of Computer Applications in Technology     Hybrid Journal   (Followers: 3, SJR: 0.309, h-index: 20)
Intl. J. of Computers in Healthcare     Hybrid Journal   (Followers: 2)
Intl. J. of Computing Science and Mathematics     Hybrid Journal   (Followers: 2, SJR: 0.385, h-index: 10)
Intl. J. of Continuing Engineering Education and Life-Long Learning     Hybrid Journal   (Followers: 3, SJR: 0.217, h-index: 16)
Intl. J. of Convergence Computing     Hybrid Journal   (Followers: 1)
Intl. J. of Corporate Governance     Hybrid Journal   (Followers: 4)
Intl. J. of Corporate Strategy and Social Responsibility     Hybrid Journal   (Followers: 1)
Intl. J. of Creative Computing     Hybrid Journal   (Followers: 1)
Intl. J. of Critical Accounting     Hybrid Journal   (Followers: 3)
Intl. J. of Critical Computer-Based Systems     Hybrid Journal   (SJR: 0.22, h-index: 6)
Intl. J. of Critical Infrastructures     Hybrid Journal   (Followers: 3, SJR: 0.277, h-index: 18)
Intl. J. of Data Analysis Techniques and Strategies     Hybrid Journal   (Followers: 5, SJR: 0.381, h-index: 10)
Intl. J. of Data Mining and Bioinformatics     Hybrid Journal   (Followers: 17, SJR: 0.289, h-index: 13)
Intl. J. of Data Mining, Modelling and Management     Hybrid Journal   (Followers: 14, SJR: 0.152, h-index: 8)
Intl. J. of Data Science     Hybrid Journal   (Followers: 6)
Intl. J. of Decision Sciences, Risk and Management     Hybrid Journal   (Followers: 8)
Intl. J. of Decision Support Systems     Hybrid Journal  
Intl. J. of Design Engineering     Hybrid Journal   (Followers: 14)
Intl. J. of Digital Culture and Electronic Tourism     Hybrid Journal   (Followers: 7)
Intl. J. of Diplomacy and Economy     Hybrid Journal   (Followers: 3)
Intl. J. of Dynamical Systems and Differential Equations     Hybrid Journal   (Followers: 1, SJR: 0.173, h-index: 9)
Intl. J. of Earthquake and Impact Engineering     Hybrid Journal   (Followers: 2)
Intl. J. of Economic Policy in Emerging Economies     Hybrid Journal   (Followers: 3, SJR: 0.228, h-index: 5)
Intl. J. of Economics and Accounting     Hybrid Journal   (Followers: 1)
Intl. J. of Economics and Business Research     Hybrid Journal   (Followers: 5, SJR: 0.102, h-index: 1)
Intl. J. of Education Economics and Development     Hybrid Journal   (Followers: 3, SJR: 0.193, h-index: 2)
Intl. J. of Electric and Hybrid Vehicles     Hybrid Journal   (Followers: 9, SJR: 0.234, h-index: 9)
Intl. J. of Electronic Banking     Hybrid Journal   (Followers: 5)
Intl. J. of Electronic Business     Hybrid Journal   (Followers: 1)
Intl. J. of Electronic Customer Relationship Management     Hybrid Journal   (Followers: 2, SJR: 0.192, h-index: 8)
Intl. J. of Electronic Democracy     Hybrid Journal   (Followers: 1)
Intl. J. of Electronic Finance     Hybrid Journal   (Followers: 4, SJR: 0.2, h-index: 1)
Intl. J. of Electronic Governance     Hybrid Journal   (Followers: 1, SJR: 0.383, h-index: 9)
Intl. J. of Electronic Healthcare     Hybrid Journal   (Followers: 3, SJR: 0.195, h-index: 18)
Intl. J. of Electronic Marketing and Retailing     Hybrid Journal   (Followers: 7, SJR: 0.148, h-index: 7)
Intl. J. of Electronic Security and Digital Forensics     Hybrid Journal   (Followers: 10, SJR: 0.221, h-index: 8)
Intl. J. of Embedded Systems     Hybrid Journal   (Followers: 5, SJR: 0.252, h-index: 9)
Intl. J. of Emergency Management     Hybrid Journal   (Followers: 12, SJR: 0.492, h-index: 17)
Intl. J. of Energy Technology and Policy     Hybrid Journal   (Followers: 7, SJR: 0.131, h-index: 11)
Intl. J. of Engineering Management and Economics     Hybrid Journal   (Followers: 4)
Intl. J. of Engineering Systems Modelling and Simulation     Hybrid Journal   (Followers: 10, SJR: 0.192, h-index: 9)
Intl. J. of Enterprise Network Management     Hybrid Journal   (SJR: 0.118, h-index: 6)
Intl. J. of Entrepreneurial Venturing     Hybrid Journal   (Followers: 1, SJR: 0.213, h-index: 7)
Intl. J. of Entrepreneurship and Innovation Management     Hybrid Journal   (Followers: 25, SJR: 0.238, h-index: 15)
Intl. J. of Entrepreneurship and Small Business     Hybrid Journal   (Followers: 23, SJR: 0.294, h-index: 16)
Intl. J. of Environment and Health     Hybrid Journal   (Followers: 9, SJR: 0.147, h-index: 10)
Intl. J. of Environment and Pollution     Hybrid Journal   (Followers: 6, SJR: 0.241, h-index: 35)
Intl. J. of Environment and Sustainable Development     Hybrid Journal   (Followers: 17, SJR: 0.142, h-index: 14)
Intl. J. of Environment and Waste Management     Hybrid Journal   (Followers: 7, SJR: 0.142, h-index: 11)
Intl. J. of Environment, Workplace and Employment     Hybrid Journal   (Followers: 4)
Intl. J. of Environmental Engineering     Hybrid Journal   (Followers: 6)
Intl. J. of Environmental Policy and Decision Making     Hybrid Journal   (Followers: 8)
Intl. J. of Environmental Technology and Management     Hybrid Journal   (Followers: 1, SJR: 0.13, h-index: 15)
Intl. J. of Exergy     Hybrid Journal   (Followers: 3, SJR: 0.667, h-index: 20)
Intl. J. of Experimental and Computational Biomechanics     Hybrid Journal   (Followers: 8)
Intl. J. of Experimental Design and Process Optimisation     Hybrid Journal   (Followers: 5)
Intl. J. of Export Marketing     Hybrid Journal  
Intl. J. of Financial Engineering and Risk Management     Hybrid Journal   (Followers: 3)
Intl. J. of Financial Innovation in Banking     Hybrid Journal   (Followers: 3)
Intl. J. of Financial Markets and Derivatives     Hybrid Journal   (Followers: 3)
Intl. J. of Financial Services Management     Hybrid Journal   (Followers: 2)
Intl. J. of Food Safety, Nutrition and Public Health     Hybrid Journal   (Followers: 14)
Intl. J. of Forensic Engineering     Hybrid Journal   (Followers: 2)
Intl. J. of Forensic Engineering and Management     Hybrid Journal   (Followers: 3)
Intl. J. of Foresight and Innovation Policy     Hybrid Journal   (Followers: 6, SJR: 0.219, h-index: 14)
Intl. J. of Functional Informatics and Personalised Medicine     Hybrid Journal   (Followers: 5, SJR: 0.101, h-index: 7)
Intl. J. of Fuzzy Computation and Modelling     Hybrid Journal   (Followers: 2)
Intl. J. of Gender Studies in Developing Societies     Hybrid Journal   (Followers: 3)
Intl. J. of Global Energy Issues     Hybrid Journal   (Followers: 8, SJR: 0.18, h-index: 19)
Intl. J. of Global Environmental Issues     Hybrid Journal   (Followers: 3, SJR: 0.149, h-index: 15)
Intl. J. of Global Warming     Hybrid Journal   (Followers: 1, SJR: 0.431, h-index: 10)
Intl. J. of Globalisation and Small Business     Hybrid Journal   (Followers: 10, SJR: 0.293, h-index: 9)
Intl. J. of Granular Computing, Rough Sets and Intelligent Systems     Hybrid Journal   (Followers: 2)
Intl. J. of Green Economics     Hybrid Journal   (Followers: 4, SJR: 0.148, h-index: 10)
Intl. J. of Grid and Utility Computing     Hybrid Journal   (SJR: 0.235, h-index: 8)
Intl. J. of Happiness and Development     Hybrid Journal   (Followers: 5)
Intl. J. of Healthcare Technology and Management     Hybrid Journal   (Followers: 7, SJR: 0.155, h-index: 13)
Intl. J. of Heavy Vehicle Systems     Hybrid Journal   (Followers: 6, SJR: 0.154, h-index: 15)
Intl. J. of High Performance Computing and Networking     Hybrid Journal   (Followers: 4, SJR: 0.362, h-index: 10)
Intl. J. of High Performance Systems Architecture     Hybrid Journal   (Followers: 6, SJR: 0.301, h-index: 7)
Intl. J. of Higher Education and Sustainability     Hybrid Journal   (Followers: 3)
Intl. J. of Hospitality and Event Management     Hybrid Journal   (Followers: 3)
Intl. J. of Human Factors and Ergonomics     Hybrid Journal   (Followers: 17)
Intl. J. of Human Factors Modelling and Simulation     Hybrid Journal   (Followers: 16)
Intl. J. of Human Resources Development and Management     Hybrid Journal   (Followers: 23, SJR: 0.148, h-index: 11)
Intl. J. of Human Rights and Constitutional Studies     Hybrid Journal   (Followers: 11)
Intl. J. of Hydrology Science and Technology     Hybrid Journal   (Followers: 4, SJR: 0.181, h-index: 3)
Intl. J. of Image Mining     Hybrid Journal   (Followers: 1)
Intl. J. of Immunological Studies     Hybrid Journal   (Followers: 1)
Intl. J. of Indian Culture and Business Management     Hybrid Journal   (Followers: 1)
Intl. J. of Industrial and Systems Engineering     Hybrid Journal   (Followers: 9, SJR: 0.433, h-index: 19)
Intl. J. of Industrial Electronics and Drives     Hybrid Journal   (Followers: 4)
Intl. J. of Information and Coding Theory     Hybrid Journal  
Intl. J. of Information and Communication Technology     Hybrid Journal   (Followers: 6, SJR: 0.144, h-index: 5)
Intl. J. of Information and Computer Security     Hybrid Journal   (Followers: 19, SJR: 0.134, h-index: 8)
Intl. J. of Information and Decision Sciences     Hybrid Journal   (Followers: 18, SJR: 0.323, h-index: 10)
Intl. J. of Information and Operations Management Education     Hybrid Journal   (Followers: 9)
Intl. J. of Information Privacy, Security and Integrity     Hybrid Journal   (Followers: 27)
Intl. J. of Information Quality     Hybrid Journal   (Followers: 5, SJR: 0.103, h-index: 8)
Intl. J. of Information Systems and Change Management     Hybrid Journal   (Followers: 9, SJR: 0.112, h-index: 8)
Intl. J. of Information Systems and Management     Hybrid Journal   (Followers: 2)
Intl. J. of Information Technology and Management     Hybrid Journal   (Followers: 15, SJR: 0.128, h-index: 11)
Intl. J. of Information Technology, Communications and Convergence     Hybrid Journal   (Followers: 19)

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Journal Cover International Journal of Bonds and Derivatives
  [1 followers]  Follow
    
   Hybrid Journal Hybrid journal (It can contain Open Access articles)
   ISSN (Print) 2050-2281 - ISSN (Online) 2050-229X
   Published by Inderscience Publishers Homepage  [427 journals]
  • Smile perfect match extension
    • Authors: Suresh Renukappa, Ahmed Al Shebli, Subashini Suresh
      Pages: 93 - 113
      Abstract: In this paper, we present a model, the SPM, which performs a good 'perfect' calibration of the smile. Between the Black and Scholes and the Local Vol, the SPM was developed a decade ago. In the first part, we present the classic implementation then in a second part we introduce some extensions; one reflecting the correlation skew and another one implying a temporal copula fitting via the OTC market.
      Keywords: smile perfect match; SPM; pricing; correlation skew; FX triangle
      Citation: International Journal of Bonds and Derivatives, Vol. 3, No. 2 (2017) pp. 93 - 113
      PubDate: 2017-07-09T23:20:50-05:00
      DOI: 10.1504/IJBD.2017.084917
      Issue No: Vol. 3, No. 2 (2017)
       
  • The weekend effect: a fractional integration and trading robot
           analysis
    • Authors: Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun, Inna Makarenko
      Pages: 114 - 131
      Abstract: This paper provides some new empirical evidence on the weekend effect, one of the most recognised anomalies in financial markets. Two different methods are used: 1) a fractional integration technique for the estimation of the degree of integration of the series (d); 2) a trading robot approach to examine whether or not there is such an anomaly giving rise to exploitable profit opportunities by replicating the actions of traders. The lowest orders of integration are generally found on Mondays, which can be seen as evidence for a weekend effect. However, the trading robot analysis shows that this anomaly cannot be exploited to make abnormal profits and, therefore, it is not inconsistent with the efficient market hypothesis (EMH).
      Keywords: efficient market hypothesis; EMH; trading strategy; weekend effect
      Citation: International Journal of Bonds and Derivatives, Vol. 3, No. 2 (2017) pp. 114 - 131
      PubDate: 2017-07-09T23:20:50-05:00
      DOI: 10.1504/IJBD.2017.084921
      Issue No: Vol. 3, No. 2 (2017)
       
  • Spillover effects of foreign institutional investments in India
    • Authors: Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun, Inna Makarenko
      Pages: 132 - 152
      Abstract: This paper examines the relationship between investments by foreign institutional investors (FIIs) and financial markets in India. By using a bivariate asymmetric BEKK-GARCH (1, 1) model, we find that FII investments are largely driven by profit opportunities available in financial markets. Granger causality-in-mean test results also validate these findings. Estimates from variance equation and Granger causality-in-variance tests provide the evidence of volatility spillover from FII investments to stock market and forex market. The results show the presence of volatility transmission from exchange rate movements to FII activity. However, we did not find any causality-in-variance from stock market to FII investments. The sub-sample analyses suggest an increase in volatility spillover from FII activity to financial markets in India during the post global financial crisis period.
      Keywords: foreign institutional investment; multivariate GARCH; volatility spillover; Granger causality-in-variance; financial market; forex market; India
      Citation: International Journal of Bonds and Derivatives, Vol. 3, No. 2 (2017) pp. 132 - 152
      PubDate: 2017-07-09T23:20:50-05:00
      DOI: 10.1504/IJBD.2017.084922
      Issue No: Vol. 3, No. 2 (2017)
       
  • Modelling VIX and VIX derivatives with reducible diffusions
    • Authors: Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun, Inna Makarenko
      Pages: 153 - 175
      Abstract: Starting from the tractable basic diffusion processes, we obtain a one-factor diffusion model for VIX and VIX derivatives through a nonlinear transformation. The new model encompasses many existing models such as square root, 3/2 and logarithmic Ornstein-Uhlenbeck models as special cases. We obtain the analytical solutions for VIX futures and options. We estimate the parameters in the models using the historical data from the time series of VIX index and VIX options and compare this model with some of the nested others. The results indicate that the elasticity of volatility with respect to the underlying VIX is statistically and economically different from 1/2 or 3/2 as specified in the popular models.
      Keywords: volatility index; VIX; VIX derivatives; reducible diffusions; CIR; 3/2 model; CEV model; nonlinear model
      Citation: International Journal of Bonds and Derivatives, Vol. 3, No. 2 (2017) pp. 153 - 175
      PubDate: 2017-07-09T23:20:50-05:00
      DOI: 10.1504/IJBD.2017.084927
      Issue No: Vol. 3, No. 2 (2017)
       
  • Operational constraints of equity financed budget deficit in
           interest-free economy
    • Authors: Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun, Inna Makarenko
      Pages: 176 - 182
      Abstract: This paper investigate conditions under which equity funds can be a sustainable source of budget deficit financing in an interest free economy. Our findings show equity fund can be a sustainable source of deficit financing when the rate of return on equity fund exceeds the budget deficit expansion rate. This is because when the budget deficit expansion rate exceeds the rate of return on equity fund, the return per unit of the equity fund declines over time as more investment units need to be issued to meet the expanding budget deficit. Our results also show that to maintain stable demand for equity fund units, it is essential to maintain the size of the fund at a fixed level, and ensure that the rate of return on those units exceed the rate of cost of capital financing.
      Keywords: Islamic equity fund; IEF; budget deficit; constraints
      Citation: International Journal of Bonds and Derivatives, Vol. 3, No. 2 (2017) pp. 176 - 182
      PubDate: 2017-07-09T23:20:50-05:00
      DOI: 10.1504/IJBD.2017.084935
      Issue No: Vol. 3, No. 2 (2017)
       
 
 
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