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This book is comprised of articles published in a Special Issue of the Journal of Risk and Financial Management entitled "Frontiers in Asset Pricing" with Guest Editors Professor James W. Kolari and Professor Seppo Pynnonen. The book contains papers in various areas related to asset pricing: (1) models; (2) multifactors; (3) theory; (4) empirical tests; (5) applications; (6) other asset classes; and (7) international tests.
Philosophy --- forecasting --- commodity market --- metals --- term structure --- yield spread --- carry cost rate --- hedge ratio --- conditional hedge ratio --- bias adjustments --- earnings --- announcements --- options --- informed trading --- net buying pressure --- volatility --- direction --- at-the-money --- out-of-the-money --- deep-out-of-the-money --- asset pricing --- S&P 500 index --- survivor stocks --- risk factors --- momentum --- Bitcoin --- cryptocurrencies --- outliers --- GARCH-jump --- time-varying jumps --- zero-beta CAPM --- return dispersion --- expectation-maximization (EM) regression --- latent variable --- free-boundary problem --- pairs trading --- stochastic control --- trading strategies --- transaction costs --- transaction regions --- finance --- economics --- event study --- clustered event days --- cross-sectional correlation --- cumulated ranks --- rank test --- standardized abnormal returns --- market index --- market factor --- multifactors --- efficient portfolios --- efficient market hypothesis --- unit root --- spectral analysis --- abnormal returns --- pricing --- market volume --- portfolio profitability --- Poisson model
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Energy consumption and economic growth have been of great interest to researchers and policy-makers. Knowing the actual causal relationship between energy and the economy with respect to environmental degradation has important implications for modeling environmental and growth policies. The eleven chapters included herein aim to help researchers, academicians, and especially decision-makers to understand relevant issues and adopt appropriate methods to tackle and solve relevant environmental problems. Various methods from different disciplines are proposed and applied to various environmental and energy issues.
expected utility maximization --- decoupling theory --- urban utility tunnel --- sensitivity analysis --- environmental Kuznets curve (EKC) --- economic systems --- structural decomposition analysis --- thermodynamic cycles --- sustainable wind energy management --- environmental engineering --- energy commodities --- hedging strategies --- energy consumption --- industrialization --- energy --- waste --- Analytic Hierarchy Process --- panel data --- rank reversal --- economy --- industrial CO2 emission --- sustainability --- sustainable development --- energy-related carbon emissions --- Multi-Criteria Decision Analysis --- Shapley value --- Kaya identity --- circular economy --- minimum-variance hedge ratio --- MESSAGE model --- fixed assets investment --- life cycle cost --- Analytic Network Process --- environmental efficiency --- Pakistan --- data envelopment analysis --- embodied energy --- carbon emissions --- district distributed power plants --- economic benefit evaluation --- differential GMM estimation --- linearization --- effectiveness --- dynamic hybrid input–output model --- environment quality cointegration --- cost allocation --- risk aversion --- environment --- 3E --- financial development --- LMDI approach --- differential games --- energy recovery --- resource dependence theory --- open-loop control systems --- Tapio decoupling model --- uncertain dynamic systems
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