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1 – 5 of 5Tong Suk Kim, Yun Keun Lee and Jung-Soon Hyun
The term structure of KTB (Korea Treasury Bond) is empirically implemented and forecasted by the extended 2-factor CIR model. Pearson and Sun model. MLE is applied to estimate…
Abstract
The term structure of KTB (Korea Treasury Bond) is empirically implemented and forecasted by the extended 2-factor CIR model. Pearson and Sun model. MLE is applied to estimate parameters. Using KTB prices forecasted by the model, strategies of trading and hedge between KTB, KTF (Korea Treasury Futures) are established. In this article we can see that Pearson and Sun model appropriately explains the term structure of KTB but does not fit forecasting KTB prices. However, the model well forecasts the direction of interest rate moving up or down. Through such a forecast‘ profit via trading KTB and KTF can be realized.
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The author investigates realized comoments that overcome the drawback of conventional ones and derive the following findings. First, the author proves that (even generalized…
Abstract
The author investigates realized comoments that overcome the drawback of conventional ones and derive the following findings. First, the author proves that (even generalized) geometric implied lower-order comoments yield neither geometric realized third comoment nor fourth moment. This is in contrast to previous studies that produce geometric realized third moment and arithmetic realized higher-order moments through lower-order implied moments. Second, arithmetic realized joint cumulants are obtained through complete Bell polynomials of lower-order joint cumulants. This study’s realized measures are unbiased estimators and they can, therefore, overcome the drawbacks of conventional realized measures.
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Jun Sik Kim and Sol Kim
This paper investigates a retrospective on the Journal of Derivatives and Quantitative Studies (JDQS) on its 30th anniversary based on bibliometric. JDQSs yearly publications…
Abstract
This paper investigates a retrospective on the Journal of Derivatives and Quantitative Studies (JDQS) on its 30th anniversary based on bibliometric. JDQSs yearly publications, citations, impact factors, and centrality indices grew up in early 2010s, and diminished in 2020. Keyword network analysis reveals the JDQS's main keywords including behavioral finance, implied volatility, information asymmetry, price discovery, KOSPI200 futures, volatility, and KOSPI200 options. Citations of JDQS articles are mainly driven by article age, demeaned age squared, conference, nonacademic authors and language. In comparison between number of views and downloads for JDQS articles, we find that recent changes in publisher and editorial and publishing policies have increased visibility of JDQS.
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Shahid Rasool, Roberto Cerchione, Piera Centobelli, Eugenio Oropallo and Jari Salo
This study aims to highlight the impact of altruistic-self and hunger awareness on socially responsible food consumption through the lens of self-awareness and self-congruity…
Abstract
Purpose
This study aims to highlight the impact of altruistic-self and hunger awareness on socially responsible food consumption through the lens of self-awareness and self-congruity theories due to the great challenge of Sustainable Development Goal 2: Zero Hunger.
Design/methodology/approach
A survey was conducted with a sample of 812 respondents. Exploratory Factor Analysis (EFA) and Confirmatory Factor Analysis (CFA) confirm each variable's structure through the measurement model and test the hypothesis to support a structural model.
Findings
The results highlight that the combination of altruistic-self and hunger awareness (AS-HA congruence) drives consumers to execute socially responsible food consumption. Meanwhile, consumers' food-saving attitude mediation translates to the attitude towards responsible and ethical use increasing socially responsible food consumption, a contextual development in the theory of congruence. Conversely, hunger awareness is not confirmed as significantly influencing socially responsible food consumption.
Practical implications
This research provides valuable insights for academicians and practitioners in developing food waste management strategies that can be implemented to reduce food wastage.
Originality/value
Food waste is a global concern and is challenging for many manufacturing, distribution and individual wastage levels. However, food wastage by consumers is one of the most critical problems which can be minimised with awareness and attitudinal changes in behaviour as a form of socially responsible consumption.
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