This study used a researcher self-constructed corporate governance index as a proxy to measure the firm-level corporate governance compliance and disclosure with the 2002 Pakistani Code of Corporate Governance, to examine the relationship between corporate governance and cost of capital. We...

This article introduces a novel use of the vine copula which captures dependence among multi-line claim triangles, especially when an insurance portfolio consists of more than two lines of business. First, we suggest a way to choose an optimal joint loss development model for multiple lines of...

Portfolio optimization and quantitative risk management have been studied extensively since the 1990s and began to attract even more attention after the 2008 financial crisis. This disastrous occurrence propelled portfolio managers to reevaluate and mitigate the risk and return trade-off in...

This paper examines the effect of board characteristics, especially board independence, on firm performance from a dynamic perspective through copula-based quantile regression approaches, which allow us to focus on changes at different points in the distribution of board characteristics. We find...

This study contributes a rich set of quantitative methodologies including a non-parametric approach (Chi-plots and K-plots) as well as copulas (traditional and time-varying with Student’s t-copulas) to the existing literature in terms of determining the dependence structure in ASEAN stock...