Existing methodologies of equity investment, such as fundamental analysis, technical
analysis, and institutional investor analysis, explore important factors of stock price behaviors. …

This paper documents asymmetric overpricing for loser stocks across business cycle. In time
of normal market conditions, we find strong interactions among key factors in determining …

Exchange rates are known to have irregular return patterns; not only their return volatilities
but the distribution functions themselves vary with time. Quantile regression allows one to …

This paper finds that the dynamics of stock price continuation are asymmetrical, in terms of
both business cycles and past performances. During times of recession, stock returns are …

This article proposes a threshold stochastic volatility model that generates volatility forecasts
specifically designed for value at risk (VaR) estimation. The method incorporates extreme …

This article proposes an alternative approach of Value-at-Risk (VaR) estimation. Financial
assets are known to have irregular return patterns; not only the volatility but also the …

Given the vast growth in credit default swap (CDS) market over the last few years, a dramatic
improvement is projected in pricing discovery of sovereign CDS as well as its interaction …

Prior studies have documented that information presence (absence) leads to price
continuation (reversal) when a stock price experiences extreme shock. The authors investigate …

In addition to traditional time‐series models, this paper examines the recently developed
nonparametric kernel estimator (KE) approach to predicting VaR. KE methods model tail …

Risk management has attracted a great deal of attention, and Value at Risk (VaR) has emerged
as a particularly popular and important measure for detecting the market risk of financial …