We examine the distribution of intradaily volatility of common stock returns of a portfolio (updated annually) of the 250 most actively traded stocks on the NYSE for the sample period 1983-92. Our results suggest that there was a shift in the distribution of return volatility around 1985-86:...

Syndication develops an increasing social network of venture capitals (VC). On one hand, information channel to the center of network. On the other hand, firms in the center are faced with redundant information. Using the evidence from China, we investigate the dynamics of syndication network...

Cross-border venture capitals (CBVCs) are increasingly prevailing in recent decades, especially in emerging markets like China. With foreignness growing, it turns from liability into advantage in the context of CBVCs. We investigate the VC firm's syndication when faced with foreignness caused by...

Factor model is an appealing and effective analytic tool for high-dimensional time series, with a wide range of applications in economics, finance and statistics. One of the fundamental issues in using factor model for time series in practice is the determination of the number of factors to use....

Two methods to derive Hurst exponent from option prices are proposed in this paper. They are based on fractional Brownian market setting. The first method is to use fractional Black-Scholes model inversely to derive implied Hurst exponent. The second one depends on no specific option pricing...

Over the past 10 years, nearly 100 economies have reformed their insolvency regimes as a result of many factors, such as financial crises and to some extent the International Finance Corporation, or IFC and World Bank doing business project. In the aftermath of the global financial crisis,...

Society calls for customers to participate in carbon offset programs and purchase carbon offset products in response to the threats currently posed by severe environmental pollution. To promote these products, companies often use carbon emission calculators. However, the effectiveness of this...

Estimation errors or uncertainities in expected return and risk measures create difficulties for portfolio optimization. The literature deals with the uncertainty using stochastic, fuzzy or probability programming. This paper proposes a new approach to treating uncertainty. By assuming that the...

PDMS (Polydimethylsiloxane) is a typical material used to fabricate optofluidic microreactors for photocatalytic water splitting application. However, conventional direct catalyst coating methods are unable to load catalysts firmly and uniformly on the PDMS substrate, which results in weak bond...