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publications

(574)   

• Structural models: Intra/Inter-day volatility transmission and spillover persistence of the HSI, HSIF and S\&P500 futures
  Gerard L. Gannon and Daniel F. S. Choi International Review of Financial Analysis7(1):19--36(1998)
  to Structural Models Volatility by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• iShares Australia: a clinical study in international behavioral finance
  Robert B. Durand and Douglas Scott International Review of Financial Analysis12(3):223--239002003.
  to models pricing Asset by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• Are corporates' target leverage ratios time-dependent?
  C. H. Hui and C. F. Lo and M. X. Huang International Review of Financial Analysis15(3):220--236(2006)
  to risk Credit models by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• Ratings-based credit risk modelling: An empirical analysis
  Pamela Nickell and William Perraudin and Simone Varotto International Review of Financial Analysis16(5):434--451(2007)
  to risk Credit models by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• Multinationals FDI and uncertainty: an exposition
  Fathali Firoozi Journal of Multinational Financial Management7(3):265--273Oct1997.
  to models Stochastic by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• The predictability of Asian exchange rates: evidence from Kalman filter and ARCH estimations
  Jian-Xin Wang and Hoi-In Wong Journal of Multinational Financial Management7(3):231--252Oct1997.
  to models ARCH by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• The option on n assets with exchange rate and exercise price risk
  Spiros H. Martzoukos Journal of Multinational Financial Management11(1):1--15Feb2001.
  to models Derivatives by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• The approximate option pricing model: performances and dynamic properties
  Gunther Capelle-Blancard and Emmanuel Jurczenko and Bertrand Maillet Journal of Multinational Financial Management11(4-5):427--443Dec2001.
  to Option pricing models by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• Further evidence on alternative continuous time models of the short-term interest rate
  Athanasios Episcopos Journal of International Financial Markets, Institutions and Money10(2):199--212Jun2000.
  to models Continuous time by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• GARCH modelling of individual stock data: the impact of censoring, firm size and trading volume
  Robert D. Brooks and Robert W. Faff and Tim R. L. Fry Journal of International Financial Markets, Institutions and Money11(2):215--222Jun2001.
  to models GARCH by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• The explanatory role of factor portfolios for industries exposed to foreign competition: evidence from the Swedish stock market
  Hossein Asgharian and Björn Hansson Journal of International Financial Markets, Institutions and Money13(4):325--353Oct2003.
  to asset models pricing Multifactor by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• Return and risk interactions in Chinese stock markets
  Ping Wang and Aying Liu and Peijie Wang Journal of International Financial Markets, Institutions and Money14(4):367--383Oct2004.
  to models GARCH Asymmetric by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• An error correction factor model of term structure slopes in international swap markets
  Pilar Abad and Alfonso Novales Journal of International Financial Markets, Institutions and Money15(3):229--254Jul2005.
  to models Factor by smicha on Apr 29, 2008, 8:06 AM
  URL | BibTeX 
• A state-space approach to the analysis of economic shocks in Spain
  Adolfo Maza and Jos'e Villaverde Journal of Policy Modeling29(1):55--63002007.
  to models State-space by smicha on Apr 28, 2008, 2:02 PM
  URL | BibTeX 
• Testing for PPP and UIP in an FIML framework: Some evidence for Germany and Japan
  Guglielmo Maria Caporale and Sarantis Kalyvitis and Nikitas Pittis Journal of Policy Modeling23(6):637--650Aug2001.
  to VAR models by smicha on Apr 28, 2008, 2:02 PM
  URL | BibTeX 
• Optimal multiregional global economic growth: Formulation of an optimal growth program, growth prospects, and convergence
  S. M. N. Islam Journal of Policy Modeling23(7):753--774Oct2001.
  to Global growth models by smicha on Apr 28, 2008, 2:02 PM
  URL | BibTeX 
• Regional effects of economic integration: the case of Brazil
  Eduardo A. Haddad and Edson P. Domingues and Fernando S. Perobelli Journal of Policy Modeling24(5):453--482Aug2002.
  to equilibrium general models Computable by smicha on Apr 28, 2008, 2:02 PM
  URL | BibTeX 
• An application of Mean-Covariance Structure Models for the analysis of group lending behavior
  Julia Paxton and Cameron Thraen Journal of Policy Modeling25(9):863--868Dec2003.
  to Mean and covariance models structure by smicha on Apr 28, 2008, 2:02 PM
  URL | BibTeX 
• Identifying endogenous fiscal policy rules for macroeconomic models
  Javier J. P'erez and Paul Hiebert Journal of Policy Modeling26(8-9):1073--1089Dec2004.
  to models Macroeconomic by smicha on Apr 28, 2008, 2:02 PM
  URL | BibTeX 
• The timing of ETA terrorist attacks
  Carlos Pestana Barros and Jos'e Passos and Luis A. Gil-Alana Journal of Policy Modeling28(3):335--346Apr2006.
  to models Duration by smicha on Apr 28, 2008, 2:02 PM
  URL | BibTeX