The notion of long-term memory has received considerable attention in empirical finance. This paper makes two main contributions. First one is, the paper provides evidence of long-term memory dynamics in the equity market of China. An analysis of market patterns in the Chinese market (a typical...

We consider strong limit theorems for Markov chains in bi-infinite random environments. We first give a new proof of a strong limit theorem of Liu and Yang (1995) on the average of functions of non-homogeneous Markov chains by constructing a nonnegative martingale. As corollaries, for a Markov...

This paper addresses the issue of environmental risk perception in a multidimensional framework involving perceived risks in both time and space. A representation of the probability--time&space trade-off (PTST) is obtained in which the probability--time trade-off (PTT) and the probability--space...

Firms use international joint ventures (IJVs) to access and learn from partners’ knowledge and thus enhance their new product performance, especially when the partners have complementary knowledge bases. Most of the existing literature assumes that knowledge complementarity can directly lead...

We propose a pricing model for convertible bonds based on the utility-indifference method and get access to the empirical results by use of Information Technology. By using the stochastic control theory, the general expression of utility indifference price on convertible bonds is obtained under...