This paper investigates the time varying relationship between earnings momentum and price momentum. Using a Markov-switching framework that allows for variations between high volatility and low volatility states, we find that price momentum is significantly more influenced by earnings momentum...

This paper investigates the time varying relationship between earnings momentum and price momentum. Using a Markov-switching framework that allows for variations between high volatility and low volatility states, we find that price momentum is significantly more influenced by earnings momentum...

Using a sample of 68 cross-listed A- and H-share Chinese companies, we investigate the impact of liquidity and transparency on the discount attached to H-shares from 2003 to 2011. The higher the relative illiquidity of an H-share, the more the H-share is discounted relative to the underlying...

The classical logistic equation is generalized to a model with power law growth parameter. It is shown that though the growth of human population was influenced by many factors, but the power law model can be successfully applied to give the distribution of population by seeking a suitable power...

The estimation for time series models with heavy-tailed innovations has been widely discussed in the literature, while the corresponding goodness-of-fit tests have attracted less attention. This is mainly because the commonly used autocorrelation function in constructing goodness-of-fit tests...

Estimating conditional quantiles of financial time series is essential for risk management and many other applications in finance. It is well-known that financial time series display conditional heteroscedasticity. Among the large number of conditional heteroscedastic models, the generalized...

The classical vector autoregressive model is a fundamental tool for multivariate time series analysis. However, it involves too many parameters when the number of time series and lag order are even moderately large. This paper proposes to rearrange the coefficient matrices of the model into a...

The classical logistic equation is generalized to a new model with power exponent to the rate of growth of the population. The solutions are presented and a comparing is made with the population census of WU-Gong County, China. The results indicated that the population is affected strongly by...

This paper presents a theoretical analysis for the Vasicek equation in finance. The Adomian decomposition approach is introduced and the analytical solution is obtained. The results reported in this work provide further evidence of the importance of Adomian decomposition in finding the solution...