This study investigates whether there is a "China-concept factor", a common variation of stock returns, for firms that are listed in Taiwan stock markets and have real investments in China. We employ a methodology similar to that used by Lamont et al. (2001) in examining whether there is a...

Natural disasters are also known as catastrophes with low frequency but high damages. Typhoons and floods are the major catastrophes which lead to gargantuan losses in Asia. Once a disaster occurs, a broad region will be affected and this will result in huge social loss. If issuers or...

This paper is concerned with the distributions of linear functions of independent U and F variates. The statistics Up,q,n is defined as U = Q1/Q1 + Q2, where Q1 and Q2 are p x p random matrices and independently distributed as W([Sigma], n) and W([Sigma], q), respectively. Useful and accurate...

This paper studies the modelling and estimation of dependence across international financial markets, with a focus on the structure of dependence. A new approach is proposed based on a mixed copula model and the model is constructed so that it can capture various patterns of dependence...