This article use the smooth transition Generalized Autoregressive Conditional Heteroscedastic (GARCH) model to examine the impacts of direct cross-strait shipping on the dynamic structure of the stocks of shipping companies in Taiwan. We inferred the fact that the structural changes affect the...

This study aims to apply value-at-risk (VaR) models to evaluate the risk of dry bulk freight rates when there is an asymmetric long-memory volatility process. The VaR estimations as well as expected shortfalls for both short and long trading positions are conducted. We use the Fractionally...

This study investigates the return lead<italic>-</italic>lag and volatility transmission between dry bulk shipping and container shipping freight markets over the period before, during and after the 2008 financial tsunami. Both cointegration analysis and the Granger causality test are applied to explore the...</italic>

This paper examines the premiums paid by U.S.-listed Chinese companies in going-private transactions over the period from 2010 to 2012 and tests several incentive hypotheses for taking public companies private. Apart from the factors representing perceived difficulties and potential litigation...

This study examines latent shifts in the conditional volatility and correlation for the U.S. stock and T-bond data using the two-state Markov-switching range-based volatility and correlation models. This paper comes up with clear evidence of volatility regime-switching in stock indices and...

Ritchken and Trevor (1999) proposed a lattice approach for pricing American options under discrete time-varying volatility GARCH frameworks. Even though the lattice approach worked well for the pricing of the GARCH options, it was inappropriate when the option price was computed on the lattice...