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ORCIDAnnals of Operations Research, Volume 330
Volume 330, Number 1, November 2023
- Yanlin Shi
:
A simulation study on the Markov regime-switching zero-drift GARCH model. 1-20 - Mike G. Tsionas, Dionisis Philippas:
Measures of global sensitivity in linear programming: applications in banking sector. 585-607 - Wing Fung Chong, Runhuan Feng, Longhao Jin:
Holistic principle for risk aggregation and capital allocation. 21-54 - Fouad Ben Abdelaziz, Davide La Torre:
Robust generalized Merton-type financial portfolio models with generalized utility. 55-72 - Mohammad Mahbobi, Salman Kimiagari, Marriappan Vasudevan:
Credit risk classification: an integrated predictive accuracy algorithm using artificial and deep neural networks. 609-637 - Alessandro Spelta, Nicolò Pecora, Andrea Flori, Paolo Giudici:
The impact of the SARS-CoV-2 pandemic on financial markets: a seismologic approach. 639-664 - Zied Ftiti, Waël Louhichi, Hachmi Ben Ameur:
Cryptocurrency volatility forecasting: What can we learn from the first wave of the COVID-19 outbreak? 665-690 - Sheri Markose, Simone Giansante, Nicolas A. Eterovic, Mateusz Gatkowski:
Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods. 691-729 - Sheri Markose, Simone Giansante, Nicolas A. Eterovic, Mateusz Gatkowski:
Correction to: Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods. 841 - Hongwei Xing, Hanying Wang, Feiyang Cheng, Shouyu Yao:
Mispricing: failure to capture the risk preferences dependent on market states. 1-26 - Eduardo Bered Fernandes Vieira, Tiago Pascoal Filomena, Leonardo Riegel Sant'Anna, Miguel A. Lejeune:
Liquidity-constrained index tracking optimization models. 73-118 - Fei Wu, Zhiwei Zhang, Dayong Zhang, Qiang Ji:
Identifying systemically important financial institutions in China: new evidence from a dynamic copula-CoVaR approach. 119-153 - Erdinc Akyildirim, Oguzhan Cepni, Shaen Corbet, Gazi Salah Uddin:
Forecasting mid-price movement of Bitcoin futures using machine learning. 553-584 - Anh Tu Le, Thai-Ha Le, Wai-Man Liu, Kingsley Y. Fong:
Dynamic limit order placement activities and their effects on stock market quality. 155-175 - Walid Ben Omrane, Khaled Guesmi, Qi Qianru, Samir Saadi:
The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets. 177-209 - Sabri Boubaker, Xuyuan Han, Zhenya Liu, Yaosong Zhan:
Optimal filter rules for selling stocks in the emerging stock markets. 211-242 - Gazi Salah Uddin, Muhammad Yahya, Stelios D. Bekiros, Raanadeva Jayasekera, Gerhard Kling:
Systematic risk in the biopharmaceutical sector: a multiscale approach. 243-266 - Béchir Ben Lahouel, Lotfi Taleb, Kristína Kocisová, Younes Ben Zaied:
The threshold effects of income diversification on bank stability: an efficiency perspective based on a dynamic network slacks-based measure model. 267-304 - Najaf Iqbal, Elie Bouri, Oksana Grebinevych, David Roubaud:
Modelling extreme risk spillovers in the commodity markets around crisis periods including COVID19. 305-334 - Jonathan A. Batten, Tonmoy Choudhury, Harald Kinateder, Niklas Wagner:
Volatility impacts on the European banking sector: GFC and COVID-19. 335-360 - Rey Dang, Lubica Hikkerova, Michel Simioni, Jean-Michel Sahut:
How do women on corporate boards shape corporate social performance? Evidence drawn from semiparametric regression. 361-388 - Roy Cerqueti, Matteo Cinelli, Giovanna Ferraro, Antonio Iovanella:
Financial interbanking networks resilience under shocks propagation. 389-409 - Konstantinos Petridis, Nikolaos E. Petridis, Fouad Ben Abdelaziz, Hatem Masri:
Ranking econometric techniques using geometrical Benefit of Doubt. 411-430 - Mark Cummins, Fabian Gogolin, Fearghal Kearney, Greg Kiely, Bernard Murphy:
Practice-relevant model validation: distributional parameter risk analysis in financial model risk management. 431-455 - Bo Huang, Xiao Yao, Yinqing Luo, Jing Li:
Improving financial distress prediction using textual sentiment of annual reports. 457-484 - Emawtee Bissoondoyal-Bheenick, Robert Brooks, Hung Xuan Do:
Asset allocation of Australian superannuation funds: a markov regime switching approach. 485-515 - Fehmi Tanrisever, Burak Büke, Geert Jongen:
Futures hedging in electricity retailing. 757-785 - Linh Xuan Diep Nguyen, Thanaset Chevapatrakul, Simona Mateut:
Shock transmissions and business linkages among US sectors. 517-552 - Malin Song, Zixu Sui, Xin Zhao:
A risk measurement study evaluating the impact of COVID-19 on China's financial market using the QR-SGED-EGARCH model. 787-806 - Mahmoud Fatouh, Simone Giansante:
The cyclicality of bank credit losses and capital ratios under expected loss model. 807-840
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