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Volume 25, Number 1

Regular Articles

Vertical FDI versus outsourcing: The role of technology transfer costs
Arti Grover Goswami

What did Frederick the great know about financial engineering? A survey of recent covered bond market developments and research
Carl F. Larsson

Impact of China's currency valuation and labour cost on the US in a trade and exchange rate model
Keshab Bhattarai, Sushanta Mallick

Multivariate GARCH analysis of Fannie Mae, Freddie Mac, and American International Group: Did the short-selling ban reduce systemic return-risk?
Carlos A. Ulibarri

The effects of exchange-rate volatility on commodity trade between the U.S. and Brazil
Mohsen Bahmani-Oskooee, Hanafiah Harvey, Scott W. Hegerty

The impact of NAFTA on North American stock market linkages
Abdelmounaim Lahrech, Kevin Sylwester

Special Issue: Risk Management and Financial Derivatives
Guest edited by Shawkat Hammoudeh and Michael McAleer

Risk management and financial derivatives: An overview
Shawkat Hammoudeh, Michael McAleer

Conditional correlations and volatility spillovers between crude oil and stock index returns
Chia-Lin Chang, Michael McAleer, Roengchai Tansuchat

Pricing exotic options using the Wang transform
Coenraad C.A. Labuschagne, Theresa M. Offwood

The rise and fall of S&P500 variance futures
Chia-Lin Chang, Juan-Angel Jimenez-Martin, Michael McAleer, Teodosio Perez Amaral

Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options
Wen-I Chuang, Teng-Ching Huang, Bing-Huei Lin

The performance of commodity trading advisors: A mean-variance-ratio test approach
Zhidong Bai, Kok Fai Phoon, Keyan Wang, Wing-Keung Wong

Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil
Manabu Asai, Ivan Brugal

Estimating and simulating Weibull models of risk or price durations: An application to ACD models
David Allen, K.H. Ng, Shelton Peiris

Valuation of double trigger catastrophe options with counterparty risk
I-Ming Jiang, Sheng-Yung Yang, Yu-Hong Liu, Alan T. Wang

Day-of-the-week effect on the VIX. A parsimonious representation
Maria T. Gonzalez-Perez, David E. Guerrero

Equity and CDS sector indices: Dynamic models and risk hedging
Massimiliano Caporin

Probability of default in collateralized credit operations
Jose Angelo Divino, Líneke Clementino Sleegers Rocha

Risk premia in multi-national enterprises
Stefan Lutz

Solving replication problems in a complete market by orthogonal series expansion
Chaohua Dong, Jiti Gao

Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks
Shawkat Hammoudeh, Paulo Araújo Santos, Abdullah Al-Hassan

Implied Sharpe ratios of portfolios with options: Application to Nikkei futures and listed options
Toshinao Akuzawa, Yoshihiko Nishiyama

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