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Publisher: Springer-Verlag (Total: 2352 journals)

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Showing 1 - 200 of 2352 Journals sorted alphabetically
3D Research     Hybrid Journal   (Followers: 17, SJR: 0.214, h-index: 10)
4OR: A Quarterly J. of Operations Research     Hybrid Journal   (Followers: 10, SJR: 1.073, h-index: 25)
AAPS J.     Hybrid Journal   (Followers: 20, SJR: 1.192, h-index: 74)
AAPS PharmSciTech     Hybrid Journal   (Followers: 6, SJR: 0.718, h-index: 54)
Abdominal Imaging     Hybrid Journal   (Followers: 14, SJR: 0.723, h-index: 60)
Abhandlungen aus dem Mathematischen Seminar der Universitat Hamburg     Hybrid Journal   (Followers: 3, SJR: 0.447, h-index: 12)
Academic Psychiatry     Full-text available via subscription   (Followers: 22, SJR: 0.492, h-index: 32)
Academic Questions     Hybrid Journal   (Followers: 8, SJR: 0.135, h-index: 6)
Accreditation and Quality Assurance: J. for Quality, Comparability and Reliability in Chemical Measurement     Hybrid Journal   (Followers: 26, SJR: 0.378, h-index: 30)
Acoustical Physics     Hybrid Journal   (Followers: 11, SJR: 0.355, h-index: 20)
Acoustics Australia     Hybrid Journal  
Acta Analytica     Hybrid Journal   (Followers: 7, SJR: 0.387, h-index: 6)
Acta Applicandae Mathematicae     Hybrid Journal   (Followers: 1, SJR: 0.624, h-index: 34)
Acta Biotheoretica     Hybrid Journal   (Followers: 5, SJR: 0.419, h-index: 25)
Acta Diabetologica     Hybrid Journal   (Followers: 14, SJR: 1.318, h-index: 46)
Acta Endoscopica     Hybrid Journal   (Followers: 1, SJR: 0.113, h-index: 8)
acta ethologica     Hybrid Journal   (Followers: 4, SJR: 0.465, h-index: 23)
Acta Geochimica     Hybrid Journal   (Followers: 5)
Acta Geodaetica et Geophysica     Hybrid Journal   (Followers: 1, SJR: 0.294, h-index: 13)
Acta Geotechnica     Hybrid Journal   (Followers: 7, SJR: 1.818, h-index: 22)
Acta Informatica     Hybrid Journal   (Followers: 5, SJR: 0.524, h-index: 32)
Acta Mathematica     Hybrid Journal   (Followers: 11, SJR: 8.021, h-index: 47)
Acta Mathematica Hungarica     Hybrid Journal   (Followers: 2, SJR: 0.53, h-index: 29)
Acta Mathematica Sinica, English Series     Hybrid Journal   (Followers: 6, SJR: 0.406, h-index: 30)
Acta Mathematica Vietnamica     Hybrid Journal   (SJR: 0.451, h-index: 5)
Acta Mathematicae Applicatae Sinica, English Series     Hybrid Journal   (SJR: 0.22, h-index: 20)
Acta Mechanica     Hybrid Journal   (Followers: 20, SJR: 0.898, h-index: 52)
Acta Mechanica Sinica     Hybrid Journal   (Followers: 5, SJR: 0.426, h-index: 29)
Acta Metallurgica Sinica (English Letters)     Hybrid Journal   (Followers: 5, SJR: 0.525, h-index: 18)
Acta Meteorologica Sinica     Hybrid Journal   (Followers: 3, SJR: 0.524, h-index: 14)
Acta Neurochirurgica     Hybrid Journal   (Followers: 6, SJR: 0.833, h-index: 73)
Acta Neurologica Belgica     Hybrid Journal   (SJR: 0.348, h-index: 27)
Acta Neuropathologica     Hybrid Journal   (Followers: 5, SJR: 6.61, h-index: 117)
Acta Oceanologica Sinica     Hybrid Journal   (Followers: 3, SJR: 0.295, h-index: 17)
Acta Parasitologica     Hybrid Journal   (Followers: 9, SJR: 0.581, h-index: 28)
Acta Physiologiae Plantarum     Hybrid Journal   (Followers: 2, SJR: 0.551, h-index: 39)
Acta Politica     Hybrid Journal   (Followers: 13, SJR: 0.658, h-index: 20)
Activitas Nervosa Superior     Hybrid Journal  
adhäsion KLEBEN & DICHTEN     Hybrid Journal   (Followers: 5, SJR: 0.103, h-index: 4)
ADHD Attention Deficit and Hyperactivity Disorders     Hybrid Journal   (Followers: 22, SJR: 0.871, h-index: 15)
Adhesion Adhesives & Sealants     Hybrid Journal   (Followers: 8)
Administration and Policy in Mental Health and Mental Health Services Research     Partially Free   (Followers: 15, SJR: 0.795, h-index: 40)
Adsorption     Hybrid Journal   (Followers: 4, SJR: 0.774, h-index: 52)
Advances in Applied Clifford Algebras     Hybrid Journal   (Followers: 3, SJR: 0.319, h-index: 15)
Advances in Atmospheric Sciences     Hybrid Journal   (Followers: 34, SJR: 0.959, h-index: 44)
Advances in Computational Mathematics     Hybrid Journal   (Followers: 15, SJR: 1.255, h-index: 44)
Advances in Contraception     Hybrid Journal   (Followers: 3)
Advances in Data Analysis and Classification     Hybrid Journal   (Followers: 51, SJR: 1.113, h-index: 14)
Advances in Gerontology     Partially Free   (Followers: 8, SJR: 0.141, h-index: 3)
Advances in Health Sciences Education     Hybrid Journal   (Followers: 22, SJR: 1.397, h-index: 42)
Advances in Manufacturing     Hybrid Journal   (Followers: 3, SJR: 0.2, h-index: 4)
Advances in Polymer Science     Hybrid Journal   (Followers: 41, SJR: 0.637, h-index: 89)
Advances in Therapy     Hybrid Journal   (Followers: 5, SJR: 0.79, h-index: 44)
Aegean Review of the Law of the Sea and Maritime Law     Hybrid Journal   (Followers: 7)
Aequationes Mathematicae     Hybrid Journal   (Followers: 2, SJR: 0.882, h-index: 23)
Aerobiologia     Hybrid Journal   (Followers: 1, SJR: 0.511, h-index: 36)
Aesthetic Plastic Surgery     Hybrid Journal   (Followers: 9, SJR: 0.821, h-index: 49)
African Archaeological Review     Hybrid Journal   (Followers: 15, SJR: 0.612, h-index: 24)
Afrika Matematika     Hybrid Journal   (Followers: 1, SJR: 0.248, h-index: 6)
AGE     Hybrid Journal   (Followers: 7, SJR: 1.358, h-index: 33)
Ageing Intl.     Hybrid Journal   (Followers: 7, SJR: 0.337, h-index: 10)
Aggiornamenti CIO     Hybrid Journal   (Followers: 1)
Aging Clinical and Experimental Research     Hybrid Journal   (Followers: 3, SJR: 0.529, h-index: 55)
Agricultural Research     Hybrid Journal   (Followers: 3)
Agriculture and Human Values     Hybrid Journal   (Followers: 12, SJR: 1.197, h-index: 49)
Agroforestry Systems     Hybrid Journal   (Followers: 19, SJR: 0.64, h-index: 56)
Agronomy for Sustainable Development     Hybrid Journal   (Followers: 10, SJR: 1.732, h-index: 59)
AI & Society     Hybrid Journal   (Followers: 7, SJR: 0.171, h-index: 19)
AIDS and Behavior     Hybrid Journal   (Followers: 13, SJR: 2.006, h-index: 71)
Air Quality, Atmosphere & Health     Hybrid Journal   (Followers: 4, SJR: 0.706, h-index: 19)
Akupunktur & Aurikulomedizin     Full-text available via subscription   (Followers: 1)
Algebra and Logic     Hybrid Journal   (Followers: 4, SJR: 0.566, h-index: 18)
Algebra Universalis     Hybrid Journal   (Followers: 2, SJR: 0.388, h-index: 22)
Algebras and Representation Theory     Hybrid Journal   (Followers: 1, SJR: 0.868, h-index: 20)
Algorithmica     Hybrid Journal   (Followers: 8, SJR: 0.898, h-index: 56)
Allergo J.     Full-text available via subscription   (Followers: 1, SJR: 0.183, h-index: 20)
Allergo J. Intl.     Hybrid Journal   (Followers: 2)
Alpine Botany     Hybrid Journal   (Followers: 5, SJR: 0.729, h-index: 20)
ALTEX : Alternatives to Animal Experimentation     Open Access   (Followers: 3, SJR: 1.392, h-index: 32)
AMBIO     Hybrid Journal   (Followers: 15, SJR: 1.094, h-index: 87)
American J. of Cardiovascular Drugs     Hybrid Journal   (Followers: 16, SJR: 0.864, h-index: 39)
American J. of Community Psychology     Hybrid Journal   (Followers: 24, SJR: 1.237, h-index: 83)
American J. of Criminal Justice     Hybrid Journal   (Followers: 7, SJR: 0.634, h-index: 13)
American J. of Cultural Sociology     Hybrid Journal   (Followers: 12, SJR: 0.283, h-index: 3)
American J. of Dance Therapy     Hybrid Journal   (Followers: 4, SJR: 0.175, h-index: 13)
American J. of Potato Research     Hybrid Journal   (Followers: 2, SJR: 0.558, h-index: 35)
American J. of Psychoanalysis     Hybrid Journal   (Followers: 22, SJR: 0.293, h-index: 13)
American Sociologist     Hybrid Journal   (Followers: 14, SJR: 0.18, h-index: 13)
Amino Acids     Hybrid Journal   (Followers: 8, SJR: 1.362, h-index: 83)
AMS Review     Partially Free   (Followers: 4)
Analog Integrated Circuits and Signal Processing     Hybrid Journal   (Followers: 7, SJR: 0.21, h-index: 37)
Analysis and Mathematical Physics     Hybrid Journal   (Followers: 3, SJR: 0.665, h-index: 7)
Analysis in Theory and Applications     Hybrid Journal   (Followers: 1)
Analysis of Verbal Behavior     Hybrid Journal   (Followers: 5)
Analytical and Bioanalytical Chemistry     Hybrid Journal   (Followers: 30, SJR: 1.096, h-index: 123)
Anatomical Science Intl.     Hybrid Journal   (Followers: 2, SJR: 0.301, h-index: 26)
Angewandte Schmerztherapie und Palliativmedizin     Hybrid Journal  
Angiogenesis     Hybrid Journal   (Followers: 3, SJR: 2.212, h-index: 69)
Animal Cognition     Hybrid Journal   (Followers: 16, SJR: 1.122, h-index: 55)
Annales françaises de médecine d'urgence     Hybrid Journal   (Followers: 1, SJR: 0.156, h-index: 4)
Annales Henri Poincaré     Hybrid Journal   (Followers: 3, SJR: 1.377, h-index: 32)
Annales mathématiques du Québec     Hybrid Journal   (Followers: 4)
Annali dell'Universita di Ferrara     Hybrid Journal   (SJR: 0.504, h-index: 14)
Annali di Matematica Pura ed Applicata     Hybrid Journal   (Followers: 1, SJR: 1.167, h-index: 26)
Annals of Behavioral Medicine     Hybrid Journal   (Followers: 11, SJR: 2.112, h-index: 98)
Annals of Biomedical Engineering     Hybrid Journal   (Followers: 18, SJR: 1.182, h-index: 94)
Annals of Combinatorics     Hybrid Journal   (Followers: 3, SJR: 0.849, h-index: 15)
Annals of Data Science     Hybrid Journal   (Followers: 11)
Annals of Dyslexia     Hybrid Journal   (Followers: 9, SJR: 0.857, h-index: 40)
Annals of Finance     Hybrid Journal   (Followers: 28, SJR: 0.686, h-index: 14)
Annals of Forest Science     Hybrid Journal   (Followers: 6, SJR: 0.929, h-index: 57)
Annals of Global Analysis and Geometry     Hybrid Journal   (Followers: 1, SJR: 1.136, h-index: 23)
Annals of Hematology     Hybrid Journal   (Followers: 14, SJR: 1.117, h-index: 62)
Annals of Mathematics and Artificial Intelligence     Hybrid Journal   (Followers: 7, SJR: 0.593, h-index: 42)
Annals of Microbiology     Hybrid Journal   (Followers: 10, SJR: 0.402, h-index: 26)
Annals of Nuclear Medicine     Hybrid Journal   (Followers: 5, SJR: 0.68, h-index: 45)
Annals of Operations Research     Hybrid Journal   (Followers: 8, SJR: 1.186, h-index: 78)
Annals of Ophthalmology     Hybrid Journal   (Followers: 12)
Annals of Regional Science     Hybrid Journal   (Followers: 7, SJR: 0.405, h-index: 42)
Annals of Software Engineering     Hybrid Journal   (Followers: 12)
Annals of Solid and Structural Mechanics     Hybrid Journal   (Followers: 10, SJR: 0.553, h-index: 8)
Annals of Surgical Oncology     Hybrid Journal   (Followers: 16, SJR: 1.902, h-index: 127)
Annals of Telecommunications     Hybrid Journal   (Followers: 7, SJR: 0.315, h-index: 25)
Annals of the Institute of Statistical Mathematics     Hybrid Journal   (Followers: 1, SJR: 0.931, h-index: 31)
Antonie van Leeuwenhoek     Hybrid Journal   (Followers: 5, SJR: 0.992, h-index: 87)
Apidologie     Hybrid Journal   (Followers: 4, SJR: 1.14, h-index: 57)
APOPTOSIS     Hybrid Journal   (Followers: 8, SJR: 1.554, h-index: 87)
Applicable Algebra in Engineering, Communication and Computing     Hybrid Journal   (Followers: 2, SJR: 0.354, h-index: 27)
Applications of Mathematics     Hybrid Journal   (Followers: 1, SJR: 0.274, h-index: 20)
Applied Biochemistry and Biotechnology     Hybrid Journal   (Followers: 44, SJR: 0.575, h-index: 80)
Applied Biochemistry and Microbiology     Hybrid Journal   (Followers: 17, SJR: 0.267, h-index: 26)
Applied Cancer Research     Open Access  
Applied Categorical Structures     Hybrid Journal   (Followers: 2, SJR: 0.361, h-index: 21)
Applied Composite Materials     Hybrid Journal   (Followers: 48, SJR: 0.705, h-index: 35)
Applied Entomology and Zoology     Partially Free   (Followers: 3, SJR: 0.554, h-index: 34)
Applied Geomatics     Hybrid Journal   (Followers: 3, SJR: 0.323, h-index: 9)
Applied Geophysics     Hybrid Journal   (Followers: 8, SJR: 0.541, h-index: 13)
Applied Intelligence     Hybrid Journal   (Followers: 11, SJR: 0.777, h-index: 43)
Applied Magnetic Resonance     Hybrid Journal   (Followers: 4, SJR: 0.358, h-index: 34)
Applied Mathematics & Optimization     Hybrid Journal   (Followers: 4, SJR: 0.955, h-index: 33)
Applied Mathematics - A J. of Chinese Universities     Hybrid Journal   (SJR: 0.275, h-index: 8)
Applied Mathematics and Mechanics     Hybrid Journal   (Followers: 5, SJR: 0.37, h-index: 26)
Applied Microbiology and Biotechnology     Hybrid Journal   (Followers: 62, SJR: 1.262, h-index: 161)
Applied Physics A     Hybrid Journal   (Followers: 7, SJR: 0.535, h-index: 121)
Applied Physics B: Lasers and Optics     Hybrid Journal   (Followers: 23, SJR: 0.983, h-index: 104)
Applied Psychophysiology and Biofeedback     Hybrid Journal   (Followers: 8, SJR: 0.677, h-index: 47)
Applied Research in Quality of Life     Hybrid Journal   (Followers: 11, SJR: 0.288, h-index: 15)
Applied Solar Energy     Hybrid Journal   (Followers: 17, SJR: 0.251, h-index: 6)
Applied Spatial Analysis and Policy     Hybrid Journal   (Followers: 4, SJR: 0.351, h-index: 9)
Aquaculture Intl.     Hybrid Journal   (Followers: 22, SJR: 0.613, h-index: 40)
Aquarium Sciences and Conservation     Hybrid Journal   (Followers: 1)
Aquatic Ecology     Hybrid Journal   (Followers: 32, SJR: 0.646, h-index: 44)
Aquatic Geochemistry     Hybrid Journal   (Followers: 4, SJR: 0.764, h-index: 39)
Aquatic Sciences     Hybrid Journal   (Followers: 13, SJR: 1.172, h-index: 53)
Arabian J. for Science and Engineering     Hybrid Journal   (Followers: 5, SJR: 0.345, h-index: 20)
Arabian J. of Geosciences     Hybrid Journal   (Followers: 1, SJR: 0.417, h-index: 16)
Archaeological and Anthropological Sciences     Hybrid Journal   (Followers: 23, SJR: 1.056, h-index: 15)
Archaeologies     Hybrid Journal   (Followers: 12, SJR: 0.397, h-index: 13)
Archiv der Mathematik     Hybrid Journal   (Followers: 1, SJR: 0.597, h-index: 29)
Archival Science     Hybrid Journal   (Followers: 56, SJR: 0.804, h-index: 22)
Archive for History of Exact Sciences     Hybrid Journal   (Followers: 8, SJR: 0.28, h-index: 15)
Archive for Mathematical Logic     Hybrid Journal   (Followers: 1, SJR: 0.946, h-index: 23)
Archive for Rational Mechanics and Analysis     Hybrid Journal   (SJR: 4.091, h-index: 66)
Archive of Applied Mechanics     Hybrid Journal   (Followers: 5, SJR: 0.865, h-index: 40)
Archives and Museum Informatics     Hybrid Journal   (Followers: 131)
Archives of Computational Methods in Engineering     Hybrid Journal   (Followers: 4, SJR: 2.841, h-index: 40)
Archives of Dermatological Research     Hybrid Journal   (Followers: 7, SJR: 0.9, h-index: 65)
Archives of Environmental Contamination and Toxicology     Hybrid Journal   (Followers: 11, SJR: 0.846, h-index: 84)
Archives of Gynecology and Obstetrics     Hybrid Journal   (Followers: 17, SJR: 0.695, h-index: 47)
Archives of Microbiology     Hybrid Journal   (Followers: 8, SJR: 0.702, h-index: 85)
Archives of Orthopaedic and Trauma Surgery     Hybrid Journal   (Followers: 8, SJR: 1.039, h-index: 56)
Archives of Osteoporosis     Hybrid Journal   (Followers: 2, SJR: 1.092, h-index: 13)
Archives of Sexual Behavior     Hybrid Journal   (Followers: 9, SJR: 1.198, h-index: 74)
Archives of Toxicology     Hybrid Journal   (Followers: 16, SJR: 1.595, h-index: 76)
Archives of Virology     Hybrid Journal   (Followers: 5, SJR: 1.086, h-index: 90)
Archives of Women's Mental Health     Hybrid Journal   (Followers: 14, SJR: 1.264, h-index: 50)
Archivio di Ortopedia e Reumatologia     Hybrid Journal  
Archivum Immunologiae et Therapiae Experimentalis     Hybrid Journal   (Followers: 2, SJR: 1.2, h-index: 42)
ArgoSpine News & J.     Hybrid Journal   (SJR: 0.102, h-index: 3)
Argumentation     Hybrid Journal   (Followers: 5, SJR: 0.295, h-index: 18)
Arid Ecosystems     Hybrid Journal   (Followers: 3)
Arkiv för Matematik     Hybrid Journal   (Followers: 1, SJR: 0.948, h-index: 22)
Arnold Mathematical J.     Hybrid Journal   (Followers: 1)
Arthropod-Plant Interactions     Hybrid Journal   (Followers: 2, SJR: 0.797, h-index: 17)
Arthroskopie     Hybrid Journal   (Followers: 1, SJR: 0.145, h-index: 8)
Artificial Intelligence and Law     Hybrid Journal   (Followers: 10, SJR: 0.288, h-index: 25)
Artificial Intelligence Review     Hybrid Journal   (Followers: 14, SJR: 0.948, h-index: 48)
Artificial Life and Robotics     Hybrid Journal   (Followers: 8, SJR: 0.231, h-index: 14)
Asia Europe J.     Hybrid Journal   (Followers: 5, SJR: 0.247, h-index: 9)
Asia Pacific Education Review     Hybrid Journal   (Followers: 12, SJR: 0.371, h-index: 17)
Asia Pacific J. of Management     Hybrid Journal   (Followers: 15, SJR: 1.676, h-index: 50)
Asia-Pacific Education Researcher     Hybrid Journal   (Followers: 12, SJR: 0.353, h-index: 13)
Asia-Pacific Financial Markets     Hybrid Journal   (Followers: 2, SJR: 0.19, h-index: 15)
Asia-Pacific J. of Atmospheric Sciences     Hybrid Journal   (Followers: 20, SJR: 1.006, h-index: 14)
Asian Business & Management     Hybrid Journal   (Followers: 8, SJR: 0.41, h-index: 10)
Asian J. of Business Ethics     Hybrid Journal   (Followers: 7)
Asian J. of Criminology     Hybrid Journal   (Followers: 5, SJR: 0.263, h-index: 8)
AStA Advances in Statistical Analysis     Hybrid Journal   (Followers: 2, SJR: 0.681, h-index: 15)
AStA Wirtschafts- und Sozialstatistisches Archiv     Hybrid Journal   (Followers: 5, SJR: 0.195, h-index: 5)
ästhetische dermatologie & kosmetologie     Full-text available via subscription  

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Journal Cover Asia-Pacific Financial Markets
  [SJR: 0.19]   [H-I: 15]   [2 followers]  Follow
    
   Hybrid Journal Hybrid journal (It can contain Open Access articles)
   ISSN (Print) 1573-6946 - ISSN (Online) 1387-2834
   Published by Springer-Verlag Homepage  [2352 journals]
  • Pricing Perpetual Put Options by the Black–Scholes Equation with a
           Nonlinear Volatility Function
    • Authors: Maria do Rosário Grossinho; Yaser Kord Faghan; Daniel Ševčovič
      Abstract: We investigate qualitative and quantitative behavior of a solution of the mathematical model for pricing American style of perpetual put options. We assume the option price is a solution to the stationary generalized Black–Scholes equation in which the volatility function may depend on the second derivative of the option price itself. We prove existence and uniqueness of a solution to the free boundary problem. We derive a single implicit equation for the free boundary position and the closed form formula for the option price. It is a generalization of the well-known explicit closed form solution derived by Merton for the case of a constant volatility. We also present results of numerical computations of the free boundary position, option price and their dependence on model parameters.
      PubDate: 2017-11-07
      DOI: 10.1007/s10690-017-9234-1
       
  • Assessing Corporate Vulnerabilities in Indonesia: A Bottom-Up Default
           Analysis
    • Authors: Ken Miyajima; Jorge A. Chan-Lau; Weimin Miao; Jongsoon Shin
      Abstract: Under adverse macroeconomic conditions, the potential realization of corporate sector vulnerabilities could pose major risks to the economy. This paper assesses corporate vulnerabilities in Indonesia by using a Bottom-Up Default Analysis (BuDA) approach, which allows projecting corporate probabilities of default (PDs) under different macroeconomic scenarios. In particular, a protracted recession and the ensuing currency depreciation could erode buffers on corporate balance sheets, pushing up the probabilities of default (PDs) in the corporate sector to the high levels observed during the Global Financial Crisis. While this is a low-probability scenario, the results suggest the need to closely monitor vulnerabilities and strengthen contingency plans.
      PubDate: 2017-10-14
      DOI: 10.1007/s10690-017-9233-2
       
  • Internal Market Efficiency, Market Co-movement, and Cross-Market
           Efficiency: The Case of Hong Kong and Shanghai Stock Markets
    • Authors: Ebenezer Asem; Vishaal Baulkaran; Rossitsa Yalamova; Xiaofei Zhang
      Abstract: We examine the effects of the 2008 financial crisis on the cross-market efficiency of the Hong Kong and Shanghai stock markets. Our results show a sharp decline in the cross-market efficiency during the financial crisis. We investigate whether this is due to lower internal market efficiency or higher market co-movement. The results show no evidence that the internal market efficiency dropped in Hong Kong or Shanghai during the crisis. In contrast, we document a strong increase in the market co-movement during the crisis. These results suggest that the decline in cross-market efficiency during the financial crisis is due to increased market co-movement and not a decline in internal market efficiency.
      PubDate: 2017-10-09
      DOI: 10.1007/s10690-017-9232-3
       
  • Analysis of Dynamic Correlation of Japanese Stock Returns with Network
           Clustering
    • Authors: Takashi Isogai
      Abstract: In this paper, the dynamic correlation of Japanese stock returns is estimated by using the dynamic conditional correlation (DCC–GARCH) model to study their correlation dynamics empirically. It is difficult to fit the model to the whole stock market jointly at the same time; therefore, a network-based clustering is applied for the dimensionality reduction of the sample data. Two types correlation structures are estimated: homogeneous groups of stocks in a balanced size are created by clustering to observe within-group correlation, while a single portfolio that comprises group portfolio returns is also created to observe between-group correlation. The estimation result reveals dynamic changes in correlation intensity represented by the largest eigenvalue of the estimated correlation matrix. A higher level of correlation intensity and volatility are observed during the crisis periods, namely after both the Lehman collapse and the Great East Japan Earthquake, for the between- and within-group correlations. It is also confirmed that the pattern of correlation change is significantly different between the groups. The proposed method is useful for monitoring dynamic correlation of asset returns efficiently in a large scale of portfolio.
      PubDate: 2017-09-22
      DOI: 10.1007/s10690-017-9230-5
       
  • Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model
           with Jumps
    • Authors: Hiroaki Hata; Jun Sekine
      Abstract: Risk-sensitive asset management problems, both those with a finite horizon and those with an infinite horizon, are studied in a financial market model that has a Wishart autoregressive-type jump-diffusion factor, which is a positive-definite symmetric matrix-valued process. The model describes the stochasticity of the market covariance structure, the interest rates, and the risk-premium of the risky assets. We obtain explicit representations of the solutions to the problems.
      PubDate: 2017-09-01
      DOI: 10.1007/s10690-017-9231-4
       
  • Merton Model and Capital Measurement in Commercial Banks: A Case Study of
           Selected Emerging Countries in Southeast Asia
    • Authors: Mohammadreza Janvisloo Alizadeh; Reza Sherafatian-Jahromi
      Abstract: Following the implementation of Basel III criteria concerning the supervision of banks capital, this paper attempts to examine the competence of Merton-type probability of default as an indicator for measuring optimal capital in commercial banks of five Southeast Asian emerging economies. The estimated default risk changes are consistent with the changes in market value of banks’ asset in countries studied. Using a forward-looking approach, the banks required capital has been measured to reach a hypothetical level of probability of default as an accepted level by policy makers. Empirical results show that the banks had to increase their current capital in order to reduce the risk of bankruptcy in crisis times. The findings of this study refer evidently to the efficiency of Merton-type default risk to estimate the adequate capital and to use in micro and macro-prudential studies or stress tests on commercial banks.
      PubDate: 2017-08-04
      DOI: 10.1007/s10690-017-9229-y
       
  • Forecasting Financial Market Volatility Using a Dynamic Topic Model
    • Authors: Takayuki Morimoto; Yoshinori Kawasaki
      Abstract: This study employs big data and text data mining techniques to forecast financial market volatility. We incorporate financial information from online news sources into time series volatility models. We categorize a topic for each news article using time stamps and analyze the chronological evolution of the topic in the set of articles using a dynamic topic model. After calculating a topic score, we develop time series models that incorporate the score to estimate and forecast realized volatility. The results of our empirical analysis suggest that the proposed models can contribute to improving forecasting accuracy.
      PubDate: 2017-07-19
      DOI: 10.1007/s10690-017-9228-z
       
  • VIX Forecast Under Different Volatility Specifications
    • Authors: Ying Wang; Hoi Ying Wong
      Abstract: Stochastic volatility (SV) models are theoretically more attractive than the GARCH type of models as it allows additional randomness. The classical SV models deduce a continuous probability distribution for volatility so that it does not admit a computable likelihood function. The estimation requires the use of Bayesian approach. A recent approach considers discrete stochastic autoregressive volatility models for a bounded and tractable likelihood function. Hence, a maximum likelihood estimation can be achieved. This paper proposes a general approach to link SV models under the physical probability measure, both continuous and discrete types, to their processes under a martingale measure. Doing so enables us to deduce the close-form expression for the VIX forecast for the both SV models and GARCH type models. We then carry out an empirical study to compare the performances of the continuous and discrete SV models using GARCH models as benchmark models.
      PubDate: 2017-06-09
      DOI: 10.1007/s10690-017-9227-0
       
  • An Algorithmic Approach to Optimal Asset Liquidation Problems
    • Authors: Juri Hinz; Jeremy Yee
      Abstract: This paper examines discrete-time optimal control problems arising in the context of optimal asset liquidation using recently published algorithms and code. We address these questions within a realistic framework, assuming that the order placement decisions must be adapted dynamically. Furthermore, we show how a duality-based technique can be used to assess the quality of our numerical solution.
      PubDate: 2017-05-17
      DOI: 10.1007/s10690-017-9226-1
       
  • Weather Effects on Stock Returns and Volatility in South Asian Markets
    • Authors: Muhammad Fayyaz Sheikh; Syed Zulfiqar Ali Shah; Shahid Mahmood
      Abstract: We study the effect of mood-proxy variables on index returns and volatility in six South Asian markets. Our mood-proxy variables include six weather (temperature, humidity, cloud cover, air pressure, visibility, and wind speed), three weather indicator variables (fog, thunder storm and rain or drizzle) and two biorhythmic variables (SAD and lunar phases). We adopt a robust approach and attempt to select the best parsimonious econometric model for each market. Our findings suggest that mood-proxy variables have some convincing influences in South Asian capital markets. In some instances, these variables are influencing returns while in other instances they are influencing volatility.
      PubDate: 2017-05-15
      DOI: 10.1007/s10690-017-9225-2
       
  • Effects of Jumps and Small Noise in High-Frequency Financial Econometrics
    • Authors: Naoto Kunitomo; Daisuke Kurisu
      Abstract: Several new statistical procedures for high-frequency financial data analysis have been developed to estimate risk quantities and test the presence of jumps in the underlying continuous-time financial processes. Although the role of micro-market noise is important in high-frequency financial data, there are some basic questions on the effects of presence of noise and jump in the underlying stochastic processes. When there can be jumps and (micro-market) noise at the same time, it is not obvious whether the existing statistical methods are reliable for applications in actual data analysis. We investigate the misspecification effects of jumps and noise on some basic statistics and the testing procedures for jumps proposed by Ait-Sahalia and Jacod (Ann Stat 37–1:184–222 2009; 38–5:3093–3123 2010) as an illustration. We find that their first test (testing the presence of jumps as a null-hypothesis) is asymptotically robust in the small-noise asymptotic sense against possible misspecifications while their second test (testing no-jumps as a null-hypothesis) is quite sensitive to the presence of noise.
      PubDate: 2017-03-04
      DOI: 10.1007/s10690-017-9223-4
       
  • Pricing CIR Yield Options by Conditional Moment Matching
    • Authors: Adrian Prayoga; Nicolas Privault
      Abstract: We propose an approximation scheme for the pricing of yield options in the CIR model using conditional moment matching based on the gamma and lognormal distributions. This method is fast and simple to implement, and it shows a high degree of accuracy without being subject to the numerical instabilities that can be encountered with more sophisticated approaches.
      PubDate: 2017-02-28
      DOI: 10.1007/s10690-017-9222-5
       
  • Optimal Hedging of Basket Barrier Options with Additive Models and Its
           Application to Equity Value Separation Problem
    • Authors: Yuji Yamada
      Abstract: At the heart of optimal hedging with additive models in Yamada (Recent advances in financial engineering: proceedings of the KIER-TMU international workshop on financial engineering, World Scientific, pp 225–245, 2010; Proceedings of the 2011 American control conference, pp 3856–3861, 2011; Asia-Pac Financ Mark 19(2):149–179, 2012) is to replicate the payoff of European basket options using separate options as close as possible. In this paper, we extend their technique for the case of path-dependent barrier options, where the mean square error of the payoffs between the basket barrier option and the sum of options on the individual assets is minimized over any smooth payoff functions. To this end, we propose to represent the underlying assets using the Brownian bride decomposition and show that computations involving conditional expectations of basket barrier options boil down to those of unconditional expectations. This procedure enables us to provide an algorithm to compute the necessary and sufficient condition for the optimal hedging problem based on the Monte Carlo method. Then, we consider to apply our methodology to the Black–Cox type first passage time structural model, where a defaultable company possesses/runs multiple assets/projects and the default may occur the first time the asset value hits a certain lower threshold before the maturity. We formulate the equity value separation problem using additive models, in which individual equity values are introduced so that their sum approximates the total equity value as close as possible. It is also shown that any portion of total equity value may be assigned as an initial value of each individual equity when using the optimal smooth functions. Finally, we examine the contributions of individual equity values to default or survival by applying a certain normalization for conditional expectations via numerical experiments to illustrate our proposed methodology.
      PubDate: 2017-01-09
      DOI: 10.1007/s10690-016-9221-y
       
  • Expectations Hypothesis and Term Structure of Interest Rates: An Evidence
           from Emerging Market
    • Authors: Hassan Shareef; Santhakumar Shijin
      Pages: 137 - 152
      Abstract: The integration of emerging economies with developed economies has changed the behaviour of interest rates and exchange rate fluctuation. The current study tries to analyse the implication of expectation hypothesis (EH) and term structures of interest rates between India and US. Using vector auto regressive estimates, the study tries to test the dynamic interdependence of interest rates on exchange rate fluctuation. Further, the study estimates Granger causality tests and Impulse Response Functions to test the behaviour of interest rate movements for a period of nineteen years ranging from June 1996 to June 2015.The empirical results of the study show evidence in line with the existence of EH in the case of emerging market. Nevertheless, in the case of advanced economies we do not find any evidence for EH. The findings revealed that the spread between long and short rate of India is influenced by short-term interest rates and past values of Indian spread. This implies that the fluctuations in the long rate over the short rate evidenced the strong presence of EH as far as emerging economy is concerned.To the best of our knowledge, this is the first study in Indian market, which tests the role of EH in interest rate fluctuations along with exchange rate. Since majority of the studies on term structure of interest rates focus on developed markets, the present study is an attempt to test the causal relationship between developed and developing economies.
      PubDate: 2016-03-25
      DOI: 10.1007/s10690-016-9212-z
      Issue No: Vol. 23, No. 2 (2016)
       
  • The Effects of Analysts’ Herding on Traders: Evidence from the
           Taiwan Stock Market
    • Authors: Po-Jung Chen
      Pages: 203 - 227
      Abstract: The primary aim of this study is to carry out an investigation into the effects of analysts’ herding on different types of traders in Taiwan stock market. Our empirical results reveal that smaller traders are more readily affected by analyst herding, essentially as a result of their lack of experience and their lack of access to relevant information sources, which leads to them reacting directly to the central point of the recommendations made by the analysts. Our findings also reveal that both small and large traders are affected by analyst herding in the recommendations provided by the analysts relating specifically to buying. As for the evidence on analyst herding in recommendations relating to selling, larger traders are invariably found to have made use of their informational advantages to act in advance of such recommendations.
      PubDate: 2016-05-04
      DOI: 10.1007/s10690-016-9216-8
      Issue No: Vol. 23, No. 2 (2016)
       
  • An Asymptotic Expansion for Forward–Backward SDEs: A Malliavin
           Calculus Approach
    • Authors: Akihiko Takahashi; Toshihiro Yamada
      Abstract: This paper proposes a new analytical approximation scheme for the representation of the forward–backward stochastic differential equations (FBSDEs) of Ma and Zhang (Ann Appl Probab, 2002). In particular, we obtain an error estimate for the scheme applying Malliavin calculus method for the forward SDEs combined with the Picard iteration scheme for the BSDEs. We also show numerical examples for pricing option with counterparty risk under local and stochastic volatility models, where the credit value adjustment is taken into account.
      PubDate: 2016-09-22
      DOI: 10.1007/s10690-016-9220-z
       
  • On the Price of Risk Under a Regime Switching CGMY Process
    • Authors: Pious Asiimwe; Charles Wilson Mahera; Olivier Menoukeu-Pamen
      Abstract: In this paper, we study option pricing under a regime-switching exponential Lévy model. Assuming that the coefficients are time-dependent and modulated by a finite state Markov chain, we generalise the work in Momeya and Morales (Method Comput Appl Probab, 2014, doi:10.1007/s11009-014-9399-2), and Siu and Yang (Acta Mathe Appl Sin 2:369–388, 2009), that is, we use a pricing method based on the Esscher transform conditional on the information available on the Markov chain. We also carry out numerical analysis, to show the impact of the risk induced by the underlying Markov chain on the price of the option.
      PubDate: 2016-09-03
      DOI: 10.1007/s10690-016-9219-5
       
  • Central Bank Intervention in USD/INR Market: Estimating Its Reaction
           Function and Impact on Volatility
    • Authors: Smita Roy Trivedi; P. G. Apte
      Abstract: Econometric evidence on why central banks intervene in the foreign exchange market and the impact of such intervention has remained inconclusive. We contribute to the literature with evidence from India, a managed float regime that sees consistent monitoring and intervention by Reserve Bank of India, India’s central bank. Estimation of the central bank reaction function shows that increased volatility in the foreign exchange market and misalignment from targeted rates are important objectives behind intervention. The paper further uses the GARCH framework to study how intervention influences exchange rate volatility. We find that intervention in the spot market increases volatility while that in the forward market reduces volatility.
      PubDate: 2016-08-17
      DOI: 10.1007/s10690-016-9218-6
       
  • Measuring Credit Risk of Individual Corporate Bonds in US Energy Sector
    • Authors: Takeaki Kariya; Yoko Tanokura; Hideyuki Takada; Yoshiro Yamamura
      Abstract: In this paper, using the measures of the credit risk price spread (CRiPS) and the standardized credit risk price spread (S-CRiPS) proposed in Kariya’s (A CB (corporate bond) pricing model for deriving default probabilities and recovery rates. Eaton, IMS Collection Series: Festschrift for Professor Morris L., 2013) corporate bond model, we make a comprehensive empirical credit risk analysis on individual corporate bonds (CBs) in the US energy sector, where cross-sectional CB and government bond price data is used with bond attributes. Applying the principal component analysis method to the S-CRiPSs, we also categorize individual CBs into three different groups and study on their characteristics of S-CRiPS fluctuations of each group in association with bond attributes. Secondly, using the market credit rating scheme proposed by Kariya et al. (2014), we make credit-homogeneous groups of CBs and show that our rating scheme is empirically very timely and useful. Thirdly, we derive term structures of default probabilities for each homogeneous group, which reflect the investors’ views and perspectives on the future default probabilities or likelihoods implicitly implied by the CB prices for each credit-homogeneous group. Throughout this paper it is observed that our credit risk models and the associated measures for individual CBs work effectively and can timely provide the market credit information evaluated by investors.
      PubDate: 2016-07-30
      DOI: 10.1007/s10690-016-9217-7
       
  • Speculative Futures Trading under Mean Reversion
    • Authors: Tim Leung; Jiao Li; Xin Li; Zheng Wang
      Abstract: This paper studies the problem of trading futures with transaction costs when the underlying spot price is mean-reverting. Specifically, we model the spot dynamics by the Ornstein–Uhlenbeck, Cox–Ingersoll–Ross, or exponential Ornstein–Uhlenbeck model. The futures term structure is derived and its connection to futures price dynamics is examined. For each futures contract, we describe the evolution of the roll yield, and compute explicitly the expected roll yield. For the futures trading problem, we incorporate the investor’s timing option to enter or exit the market, as well as a chooser option to long or short a futures upon entry. This leads us to formulate and solve the corresponding optimal double stopping problems to determine the optimal trading strategies. Numerical results are presented to illustrate the optimal entry and exit boundaries under different models. We find that the option to choose between a long or short position induces the investor to delay market entry, as compared to the case where the investor pre-commits to go either long or short.
      PubDate: 2016-04-18
      DOI: 10.1007/s10690-016-9215-9
       
 
 
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