March 2020 - 23 articles
In this paper, we modify Duan’s (1995) local risk-neutral valuation relationship (mLRNVR) for the GARCH option-pricing models. In our mLRNVR, the conditional variances under two measures are designed to be different and the variance process is more p...
Nowadays, all sources in the reproduction process are easily substituted, thus the most important factors in reaching a competitive advantage are human resources. Talent management is the process oriented to enrich higher the ability of employers to...
Predicting bankruptcy of companies has been a hot subject of focus for many economists. The rationale for developing and predicting the financial distress of a company is to develop a predictive model used to forecast the financial condition of a com...
In 1983, Meese and Rogoff showed that traditional economic models developed since the 1970s do not perform better than the random walk in predicting out-of-sample exchange rates when using data obtained after the beginning of the floating rate system...
We provide the analytical gradient of the full model likelihood for the Dynamic Conditional Correlation (DCC) specification by Engle (2002), the generalised version by Cappiello et al. (2006), and of the cDCC model by Aielli(2013). We discuss how the...
In this paper, we propose a general family of Birnbaum–Saunders autoregressive conditional duration (BS-ACD) models based on generalized Birnbaum–Saunders (GBS) distributions, denoted by GBS-ACD. We further generalize these GBS-ACD models...
A novel coronavirus was reported to the World Health Organization (WHO) in China on 31 December 2019. The WHO named the disease COVID-19 on 11 February 2020. As of 26 February 2020, the disease has been detected on all continents, except for Antarcti...
Peering through the lenses of the strategic intent perspective and strategic fit paradigm, in this study, we seek to examine the contingent conditions under which emerging market multinational enterprises (EMNEs) with strategic asset seeking (SAS) in...
The development of Islamic banking continues to increase in many Muslim (majority) countries. Substituting interest with profit shares in the assets of a given Islamic bank as one of the bases of operation has many interesting implications, one of wh...
Professional forecasters can rely on an econometric model to create their forecasts. It is usually unknown to what extent they adjust an econometric model-based forecast. In this paper we show, while making just two simple assumptions, that it is pos...
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