The Risk Premium and Cost-of-Carry hypotheses regarding the pricing of futures contracts are tested using nested and non-nested procedures. Cointegrating relationships among the Australian dollar spot and futures prices, and US and Australian risk-free rates of interest, suggest an...

This paper examines risk-averse and risk-seeking investor preferences for oil spot and futures prices by using the mean-variance (MV) criterion and stochastic dominance (SD) approach. The MV findings cannot distinguish between the preferences of spot and futures markets. However, the SD tests...

This paper examines the novelty and usefulness of two new journal performance metrics, namely the Eigenfactor Score and Article Influence Score, using ISI data for 2009 for the 200 most highly cited journals in each of the sciences and social sciences, and compares them with existing ISI...

This paper examines behaviors of returns and volatility of ASEAN emerging stock markets (Indonesia, Malaysia, Philippines, Thailand and Vietnam), incorporating with the effects from the international gold market. The estimates of GARCH(1,1) and GJR(1,1) for these stock markets indicate that the...

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also...