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Advanced Search Results For "finance"

1 - 10 of 17,994 results for
 "finance"
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Is gold a hedge or safe haven against oil and currency market movements? A revisit using multifractal approach.

Publication Type:Academic Journal

Source(s):Annals of Operations Research. Jun2022, Vol. 313 Issue 1, p367-400. 34p.

Abstract:We investigate gold's role as a hedge or safe haven against oil price and currency movements across calm and extreme market conditions. For the empirical analysis, we extend the intraday multifractal correlation measure developed by Madani et al. (Bank...

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Solving optimal stopping problems under model uncertainty via empirical dual optimisation.

Publication Type:Academic Journal

Source(s):Finance & Stochastics. Jul2022, Vol. 26 Issue 3, p461-503. 43p.

Abstract:In this work, we consider optimal stopping problems with model uncertainty incorporated into the formulation of the underlying objective function. Typically, the robust, efficient hedging of American options in incomplete markets may be described as op...

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Measuring systemic risk and contagion in the European financial network.

Publication Type:Academic Journal

Source(s):Empirical Economics. Jul2022, Vol. 63 Issue 1, p345-389. 45p. 1 Illustration, 11 Diagrams, 18 Charts, 8 Graphs.

Abstract:This paper introduces a novel framework to study default dependence and systemic risk in a financial network that evolves over time. We analyse several indicators of risk, and develop a new latent space model to assess the health of key European banks ...

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Account-level analytic hierarchical mixing modeling for credit risk of Chinese Government financing vehicle portfolios.

Publication Type:Academic Journal

Source(s):Empirical Economics. Jun2022, Vol. 62 Issue 6, p2771-2798. 28p. 2 Diagrams, 8 Charts, 8 Graphs.

Abstract:Traditional credit risk measurement models, requiring fair amounts of default debts, have trouble in measuring the true default probability of Government financing vehicle (GFVs) loans in China. In this study, an analytic hierarchical mixing model (AHM...

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Options on bonds: implied volatilities from affine short-rate dynamics.

Publication Type:Academic Journal

Source(s):Annals of Finance. Jun2022, Vol. 18 Issue 2, p183-216. 34p.

Abstract:We derive an explicit asymptotic approximation for the implied volatilities of Call options written on bonds assuming the short-rate is described by an affine short-rate model. For specific affine short-rate models, we perform numerical experiments in ...

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Security token offerings.

Publication Type:Academic Journal

Source(s):Small Business Economics. Jun2022, Vol. 59 Issue 1, p299-325. 27p. 1 Diagram, 10 Charts.

Abstract:This paper posits that distinguishing security token offerings (STOs) from initial coin offerings (ICOs) is important for the study of entrepreneurial finance. We first provide a working definition of a security token and present an overview of the STO...

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A default penalty model based on C2VP2C mode for internet financial platforms in Chinese market.

Publication Type:Academic Journal

Source(s):Electronic Commerce Research. Jun2022, Vol. 22 Issue 2, p485-511. 27p.

Abstract:The present study proposes a novel customer-to-virtual-product-to-customer (C2VP2C) mode of a loan default penalty model for Internet financial platforms (IFPs) in the Chinese market. The C2VP2C mode is developed based on the traditional peer-to-peer (...

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Is oil price risk systemic to sectoral equity markets of an oil importing country? Evidence from a dependence-switching copula delta CoVaR approach.

Publication Type:Academic Journal

Source(s):Annals of Operations Research. Aug2022, Vol. 315 Issue 1, p429-461. 33p.

Abstract:In this paper, a dependence-switching copula model is used for the first time to analyse the dependence structure between sectoral equity markets and crude oil prices for India, one of the largest oil importing countries. Specifically, we investigate t...

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Nonperforming loan of European Islamic banks over the economic cycle.

Publication Type:Academic Journal

Source(s):Annals of Operations Research. Jun2022, Vol. 313 Issue 2, p773-808. 36p.

Abstract:This paper investigates the variation in nonperforming loans over the economic cycle and the effect of past returns based on a nonparametric quantile analysis of the largest Islamic banks in the United Kingdom and Turkey from 2010 to 2019. The findings...

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Foreign currency hedging and firm productive efficiency.

Publication Type:Academic Journal

Source(s):Annals of Operations Research. Jun2022, Vol. 313 Issue 2, p833-854. 22p.

Abstract:This study assesses whether foreign currency (FC) hedging improves firm productive efficiency. Using a unique sample of French non-financial listed firms belonging to the CAC All-Tradable index (former SBF250 index) index over the period 2004–2012, we ...

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