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Review of Pacific Basin Financial Markets and Policies
Papers 591
1 page of 60 pages (591 results)
Xiaoqian Zhu7
Estimated H-index: 7
(CAS: Chinese Academy of Sciences),
Jianping LiXiaolei19
Estimated H-index: 19
(CAS: Chinese Academy of Sciences),
Dengsheng Wu10
Estimated H-index: 10
(CAS: Chinese Academy of Sciences)
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Wing-Choong Lai1
Estimated H-index: 1
(UM: University of Malaya),
Kim-Leng Goh10
Estimated H-index: 10
(UM: University of Malaya)
1 Citations Source Cite
Willy Alanya1
Estimated H-index: 1
Gabriel Rodríguez12
Estimated H-index: 12
(PUCP: Pontifical Catholic University of Peru)
Asymmetric autoregressive conditional heteroskedasticity (EGARCH) models and asymmetric stochastic volatility (ASV) models are applied to daily data of Peruvian stock and Forex markets for the period of 5 January 1998–30 December 2011. Following the approach developed in [Omori, Y, S Chib, N Shephard and J Nakajima (2007). Stochastic volatility with leverage: Fast likelihood inference. Journal of Econometrics, 140, 425–449], Bayesian estimation tools are used with Normal and t-Student errors in ...
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Md. Saifur Rahman3
Estimated H-index: 3
(RMIT: RMIT University),
Farihana Shahari3
Estimated H-index: 3
(IIUM: International Islamic University Malaysia)
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Yaseen S. Alhaj-Yaseen (GSU: Georgia State University), Kean Wu (RIT: Rochester Institute of Technology), Leslie B. Fletcher1
Estimated H-index: 1
(GS: Georgia Southern University)
This paper examines the changes in earnings quality of registered American Depositary Receipts (ADRs) as a result of switching accounting standards. We aim to shed light on the potential impact of International Financial Reporting Standard (IFRS) adoption on US firms. A suboptimal approach to achieve this goal is through examination of US firms’ surrogates such as ADRs. Unlike previous studies, we made a distinction between registered and unregistered ADRs and affirmed that registered ADRs are t...
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Liam A. Gallagher5
Estimated H-index: 5
(DCU: Dublin City University),
Mark C. Hutchinson6
Estimated H-index: 6
(UCC: University College Cork),
John O'Brien1
Estimated H-index: 1
(UCC: University College Cork)
We model the returns of the convertible arbitrage strategy using a non-linear framework. This strategy has generated long periods of positive returns and low volatility, followed by shorter periods of extreme negative returns and high volatility, associated with market upheaval. We specify a smooth transition regression model to assess performance, a class of model particularly suited to this type of strategy as it allows gradual transition between risk regimes. We show that in alternate regimes...
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