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ORCIDAnnals of Operations Research, Volume 334
Volume 334, Number 1, March 2024
- Hachmi Ben Ameur, Ephraim Clark, Zied Ftiti, Jean-Luc Prigent
:
Operational research insights on risk, resilience & dynamics of financial & economic systems. 1-6 - Lorenz Schneider, Bertrand Tavin:
Seasonal volatility in agricultural markets: modelling and empirical investigations. 7-58 - Nikola Gradojevic, Dragan Kukolj:
Unlocking the black box: Non-parametric option pricing before and during COVID-19. 59-82 - Philippe Bertrand:
Black-scholes approximation of warrant prices: slight return in a low interest rate environment. 83-100 - Eric Djeutcha, Jules Sadefo Kamdem:
Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model. 101-131 - Michele Costola, Bertrand Maillet, Zhining Yuan, Xiang Zhang:
Mean-variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem. 133-155 - Martin Jimenez, Yahia Salhi:
A semi-supervised learning approach for variance reduction in life insurance. 157-184 - Andrea Rigamonti, Katarína Lucivjanská:
Mean-semivariance portfolio optimization using minimum average partial. 185-203 - Roberto Casarin, Bertrand B. Maillet, Anthony Osuntuyi:
Monte carlo within simulated annealing for integral constrained optimizations. 205-240 - Davide La Torre, Franklin Mendivil, Matteo Rocca:
Modeling portfolio efficiency using stochastic optimization with incomplete information and partial uncertainty. 241-263 - Willi Semmler, Kai Lessmann, Ibrahim Tahri, Joao Paulo Braga:
Green transition, investment horizon, and dynamic portfolio decisions. 265-286 - Foued Saâdaoui, Monjia Khalfi:
Revisiting Islamic banking efficiency using multivariate adaptive regression splines. 287-315 - Ali Mirzaei, Mohsen Saad, Ali Emrouznejad:
Bank stock performance during the COVID-19 crisis: does efficiency explain why Islamic banks fared relatively better? 317-355 - Waël Louhichi, Nadia Saghi, Zainab Srour, Jean-Laurent Viviani:
The effect of liquidity creation on systemic risk: evidence from European banking sector. 357-389 - Béchir Ben Lahouel, Lotfi Taleb, Younes Ben Zaied, Shunsuke Managi:
Financial stability, liquidity risk and income diversification: evidence from European banks using the CAMELS-DEA approach. 391-422 - Hirofumi Fukuyama, Yong Tan:
Investigating into the dual role of loan loss reserves in banking production process. 423-444 - Manjeevan Seera, Chee Peng Lim, Ajay Kumar, Lalitha Dhamotharan, Kim Hua Tan:
An intelligent payment card fraud detection system. 445-467 - Noam Goldberg, Isaac Meilijson, Yael Perlman:
Dynamic history-dependent tax and environmental compliance monitoring of risk-averse firms. 469-495 - Benoît Faye, Eric Le Fur, Stéphanie Prat:
Exogeneous shocks, risk, and market convergence of real alternative and financial assets: evidence from nonlinear dynamics. 497-520 - Toan Luu Duc Huynh, Rizwan Ahmed, Muhammad Ali Nasir, Muhammad Shahbaz, Ngoc Quang Anh Huynh:
The nexus between black and digital gold: evidence from US markets. 521-546 - Elie Bouri, Ladislav Kristoufek, Tanveer Ahmad, Syed Jawad Hussain Shahzad:
Microstructure noise and idiosyncratic volatility anomalies in cryptocurrencies. 547-573 - Matteo Foglia, Eliana Angelini, Toan Luu Duc Huynh:
Tail risk connectedness in clean energy and oil financial market. 575-599 - Taha Zaghdoudi, Kais Tissaoui, Abdelaziz Hakimi, Lamia Ben Amor:
Dirty versus renewable energy consumption in China: a comparative analysis between conventional and non-conventional approaches. 601-622 - Amina Baba, Sana Ben Kebaier, Anna Creti:
How efficient are natural gas markets in practice? A wavelet-based approach. 623-677 - Sami Ben Jabeur, Salma Mefteh-Wali, Jean-Laurent Viviani:
Forecasting gold price with the XGBoost algorithm and SHAP interaction values. 679-699 - Muhammad Abubakr Naeem, Fiza Qureshi, Saqib Farid, Aviral Kumar Tiwari, Mohamed Elheddad:
Time-frequency information transmission among financial markets: evidence from implied volatility. 701-729 - Jungsuk Kim, Abhishek Kumar, Sushanta Mallick, Donghyun Park:
Financial uncertainty and interest rate movements: is Asian bond market volatility different? 731-759 - Huosong Xia, Juan Weng, Sabri Boubaker, Zuopeng Justin Zhang, Sajjad M. Jasimuddin:
Cross-influence of information and risk effects on the IPO market: exploring risk disclosure with a machine learning approach. 761-797 - Salma Mefteh-Wali, Hassen Rais, Guillaume Schier:
Is CSR linked to idiosyncratic risk? Evidence from the copula approach. 799-814 - Shouyu Yao, Ahmet Sensoy, Duc Khuong Nguyen, Tong Li:
Investor attention and cryptocurrency market liquidity: a double-edged sword. 815-856 - Carol Alexander, M. Coulon, Y. Han, X. Meng:
Evaluating the discrimination ability of proper multi-variate scoring rules. 857-883 - Fatima Shuwaikh, Souad Brinette, Sabrina Khemiri, Rita Grego De Castro:
Venture capital activities under uncertainty: US and UK investors behavior. 885-917 - Mehdi Mili, Jean-Michel Sahut, Frédéric Teulon, Lubica Hikkerova:
A multidimensional Bayesian model to test the impact of investor sentiment on equity premium. 919-939
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