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Is volatility clustering of asset returns asymmetric?

Ning, Cathy Q.; Xu, Dinghai; Wirjanto, Tony S. - In: Journal of banking & finance 52 (2015), pp. 62-76

Persistent link: https://www.econbiz.de/10011377303

Is volatility clustering of asset returns asymmetric?

Ning, Cathy Q.; Xu, Dinghai; Wirjanto, Tony S. - 2014

Persistent link: https://www.econbiz.de/10011382186

The impacts of financial crisis on sovereign credit risk analysis in Asia and Europe

Zhang, Min; Kolkiewicz, Adam W.; Wirjanto, Tony S.; Li, … - In: International journal of financial engineering 2 (2015) 3, pp. 1-57

Persistent link: https://www.econbiz.de/10011403191

Sustainable portfolio management under climate change

Fang, Mingyu; Tan, Ken Seng; Wirjanto, Tony S. - In: Journal of sustainable finance & investment 9 (2019) 1, pp. 45-67

Persistent link: https://www.econbiz.de/10012174982

Demography and inflation : an international study

Andrews, Doug; Oberoi, Jaideep; Wirjanto, Tony S.; … - In: North American actuarial journal 22 (2018) 2, pp. 210-222

Persistent link: https://www.econbiz.de/10012268013

Implied volatility surfaces during the period of global financial crisis

Wirjanto, Tony S.; Zhu, Anyi - In: International journal of financial engineering 5 (2018) 1, pp. 1-50

Persistent link: https://www.econbiz.de/10011922944

Exploring volatility of crude oil intraday return curves : a functional GARCH-X model

Rice, Gregory; Wirjanto, Tony S.; Zhao, Yuqian - In: Journal of commodity markets 32 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014495589

Valuation of carbon emission allowance options under an open trading phase

Fang, Mingyu; Tan, Ken Seng; Wirjanto, Tony S. - In: Energy economics 131 (2024), pp. 1-12

This paper presents valuation models of emission allowance options under an emission trading scheme, operating in an open trading phase, where unused allowances are banked to subsequent phases without any limit. Empirical studies are carried out to show that allowance option prices exhibit...

Persistent link: https://www.econbiz.de/10015046272

Exchange Rate of the US Dollar and the J Curve : The Case of Oil Exporting Countries

Yousefi, Ayoub - 2013

This study examines the effects of changes in the exchange rate of the US dollar on the trade balances of three oil-exporting countries, namely Iran, Venezuela and Saudi Arabia. An exchange rate pass-through model is applied to allow changes in the exchange rate of the dollar to affect prices of...

Persistent link: https://www.econbiz.de/10013084159