China Finance Review International: Volume 9 Issue 3

Subject:

Table of contents

Revisiting the numerical solution of stochastic differential equations

Stan Hurn, Kenneth A. Lindsay, Lina Xu

The purpose of this paper is to revisit the numerical solutions of stochastic differential equations (SDEs). An important drawback when integrating SDEs numerically is the number…

Long memory or structural break? Empirical evidences from index volatility in stock market

Yi Luo, Yirong Huang

The purpose of this paper is to explore whether stock index volatility series exhibit real long memory.

The economic value of using CAW-type models to forecast covariance matrix

Shuran Zhao, Jinchen Li, Yaping Jiang, Peimin Ren

The purpose of this paper is twofold: to improve the traditional conditional autoregressive Wishart (CAW) and heterogeneous autoregressive (HAR)-CAW model to account for…

US and Chinese yield curve responses to RMB exchange rate policy shocks: An analysis with the arbitrage-free Nelson-Siegel term structure model

Zhiwu Hong, Linlin Niu, Gengming Zeng

Using a discrete-time version of the arbitrage-free Nelson–Siegel (AFNS) term structure model, the authors examine how yield curves in the US and China react to exchange rate…

A penalized expected risk criterion for portfolio selection

Ronghua Luo, Yi Liu, Wei Lan

Under the classical mean-variance framework, the purpose of this paper is to investigate the properties of the instability of minimal variance portfolio and then propose a novel…

Stock return predictability when growth and accrual measures are negatively correlated

Miao Luo, Tao Chen, Jun Cai

For most companies, growth measures such as asset growth are positively correlated with accrual measures. Just like investment in fixed assets, current accrual represents one form…

Cover of China Finance Review International

ISSN:

2044-1398

Online date, start – end:

2011

Copyright Holder:

Emerald Publishing Limited

Open Access:

hybrid

Editors:

  • Professor Chongfeng Wu
  • Professor Haitao Li