[16] and [17] establish a VIX futures and option pricing theory when modeling S&P 500 index by using a stochastic volatility process with asset return and volatility jumps. In this note, we prove that Lin and Chang's formula is not an exact solution of their pricing equation. More generally, we...

This study proposed a lightweight and secure audio steganography system for hiding text messages during transmission over the Internet to address the computational cost exaggeration, and Insufficient levels of security in earlier studies. The paper proposes a two-phase functioning mechanism....

Effective risk allocation is crucial for the success of transport infrastructure public-private partnership (PPP) projects. However, the inherent features of multiple entities, multiple tasks, and dynamicity make it highly challenging to obtain a risk allocation solution. This study aims to...

How does access to the public equity market affect firms’ environmental externality? We answer this question by examining the use of toxic chemicals by hydraulic fracturing (HF) operators in their drilling and fracturing operations. Using data from 69,070 wells and a difference-in-differences...

Estimating covariance matrices using high-frequency data is crucial for market makers, investors in newly-issued securities, and risk managers. These estimations often handle the asynchrony of high-frequency trades by using returns for periods between when all instruments have traded (refresh...

Using data from 286 Chinese cities over the period 2001–2006, this paper investigates the relationship between financial development and economic growth at the city level in China. Our results from both traditional cross-sectional regressions and first-differenced and system GMM estimators for...