This paper assesses the economic value of modeling conditional correlations for mean–variance portfolio optimization. Using sector returns in three major markets we show that the predictability of models describing empirical regularities in correlations such as time-variation, asymmetry and...

This study uses the VAR-BEKK methodology to examine the relationship between equity returns and currency exposure for a sample of U.S., U.K. and Japanese banks and insurance firms during 2003–2011. The findings indicate that banks' equity returns are negatively related to changes in foreign...

The article explores the relationship between short-term interest rates and the equity returns of the UK financial services industry. Based on the arbitrage pricing theory, the present study seeks to answer the sensitivity and pricing questions. The former is tested with a linear two-index model...

Using UK stock market data this study unveils positive abnormal returns on and around the ex-split date. These excess returns are partially predictable using the publicly available information prior to the ex-split date. There is also a persistent increase in the post-split volatility of these...

A cost competitive integrated technology to convert solid state fermented sweet sorghum bagasse (SS) into cellulosic ethanol which combined ethanol distillation, NaOH pretreatment and simultaneous saccharification and co-fermentation (SSCF) was presented in this study. After solid-state...

Ethanol production from NaOH-Pretreated solid state fermented sweet sorghum bagasse with an engineered strain of <i>Z</i>. <i>mobilis</i> TSH-ZM-01 was optimized. Results showed that: (1) residual solid removal during ethanol fermentation was unnecessary and 24 h fermentation duration was optimal for ethanol...

The relationships between fire danger indices and fire risk have been extensively studied in many regions of the world. This work uses partial effect analysis in semiparametric logistic regression models to assess the nonlinear relationships among location, day, altitude, fire danger indices,...

This paper assesses the relative merits of panel time series models in forecasting sovereign default. It explores the contentious issue of whether controlling for time-series and country heterogeneity is important in forecasting emerging market default. For this purpose, it uses conventional...