| Publication | Date of Publication | Type |
|---|
A solution to the multidimensionality in option pricing
Communications in Statistics. Theory and Methods | 2024-05-17 | Paper |
Causal relationships between economic policy uncertainty and housing market returns in China and India: evidence from linear and nonlinear panel and time series models
Studies in Nonlinear Dynamics & Econometrics | 2023-03-30 | Paper |
Central moments, stochastic dominance, moment rule, and diversification with an application
Chaos, Solitons and Fractals | 2023-01-12 | Paper |
Return and Volatility Transmissions between Metals and Stocks: A Study of the Emerging Asian Markets by Using the VAR-AGARCH Approach
Asia-Pacific Journal of Operational Research | 2022-12-16 | Paper |
New Tests for Richness and Poorness: A Stochastic Dominance Analysis of Income Distributions in Hong Kong
Asia-Pacific Journal of Operational Research | 2022-12-16 | Paper |
Preface
Asia-Pacific Journal of Operational Research | 2022-12-16 | Paper |
Do both demand-following and supply-leading theories hold true in developing countries?
Physica A | 2022-07-15 | Paper |
A mental account-based portfolio selection model with an application for data with smaller dimensions
Computers & Operations Research | 2022-06-22 | Paper |
On the estimation of cost of capital and its reliability
Quantitative Finance | 2019-01-15 | Paper |
Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China
Quantitative Finance | 2018-09-19 | Paper |
Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency
European Journal of Operational Research | 2018-05-29 | Paper |
Input Demand Under Joint Energy and Output Prices Uncertainties
Asia-Pacific Journal of Operational Research | 2017-09-22 | Paper |
A new nonlinearity test to circumvent the limitation of Volterra expansion with application
Journal of the Korean Statistical Society | 2017-08-16 | Paper |
Multivariate stochastic dominance for risk averters and risk seekers
RAIRO. Operations Research | 2016-10-18 | Paper |
Moment conditions for almost stochastic dominance
Economics Letters | 2015-01-12 | Paper |
Should Americans invest internationally? Mean-variance portfolios optimization and stochastic dominance approaches
Risk and Decision Analysis | 2014-08-22 | Paper |
A note on almost stochastic dominance
Economics Letters | 2014-06-03 | Paper |
Integration-segregation decisions under general value functions: ``Create your own bundle-choose 1, 2 or all 3!
IMA Journal of Management Mathematics | 2014-02-24 | Paper |
| scientific article; zbMATH DE number 6151747 (Why is no real title available?) | 2013-04-08 | Paper |
An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
European Journal of Operational Research | 2012-12-29 | Paper |
Convex combinations of quadrant dependent copulas
Applied Mathematics Letters | 2012-12-04 | Paper |
Do investors like to diversify? A study of Markowitz preferences
European Journal of Operational Research | 2012-05-14 | Paper |
Prospect and Markowitz stochastic dominance
Annals of Finance | 2012-03-06 | Paper |
Asymptotic properties of eigenmatrices of a large sample covariance matrix
The Annals of Applied Probability | 2012-01-04 | Paper |
Grüss-type bounds for covariances and the notion of quadrant dependence in expectation
Central European Journal of Mathematics | 2011-12-12 | Paper |
Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models
Statistical Papers | 2011-10-25 | Paper |
The covariance sign of transformed random variables with applications to economics and finance
IMA Journal of Management Mathematics | 2011-07-28 | Paper |
Test statistics for prospect and Markowitz stochastic dominances with applications
Econometrics Journal | 2011-07-27 | Paper |
The mean-variance ratio test -- a complement to the coefficient of variation test and the Sharpe ratio test
Statistics & Probability Letters | 2011-07-26 | Paper |
Multivariate causality tests with simulation and application
Statistics & Probability Letters | 2011-07-26 | Paper |
A trinomial test for paired data when there are many ties
Mathematics and Computers in Simulation | 2011-03-25 | Paper |
New evidence on the relation between return volatility and trading volume
Journal of Forecasting | 2011-01-06 | Paper |
Multivariate linear and nonlinear causality tests
Mathematics and Computers in Simulation | 2010-11-30 | Paper |
| Revisiting Gruss's inequality: covariance bounds,QDE but not QD copulas, and central moments | 2010-10-27 | Paper |
Prospect theory, indifference curves, and hedging risks
Applied Mathematics Research eXpress | 2010-10-12 | Paper |
Segregation and integration: a study of the behaviors of investors with extended value functions
Advances in Decision Sciences | 2010-09-29 | Paper |
Stochastic dominance and risk measure: a decision-theoretic foundation for VaR and C-VaR
European Journal of Operational Research | 2010-09-09 | Paper |
Grüss-type bounds for the covariance of transformed random variables
Journal of Inequalities and Applications | 2010-04-07 | Paper |
Gains from diversification on convex combinations: a majorization and stochastic dominance approach
European Journal of Operational Research | 2009-12-10 | Paper |
Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
Mathematical Finance | 2009-12-07 | Paper |
A pseudo-Bayesian model in financial decision making with implications to market volatility, under- and overreaction
European Journal of Operational Research | 2009-12-07 | Paper |
| On some covariance inequalities for monotonic and non-monotonic functions | 2009-11-23 | Paper |
| Stochastic Dominance and Applications to Finance, Risk and Economics | 2009-10-28 | Paper |
Mapping the presidential election cycle in US stock markets
Mathematics and Computers in Simulation | 2009-08-07 | Paper |
Stochastic dominance theory for location-scale family
Journal of Applied Mathematics and Decision Sciences | 2008-11-20 | Paper |
The sizes and powers of some stochastic dominance tests: A Monte Carlo study for correlated and heteroskedastic distributions
Mathematics and Computers in Simulation | 2008-10-08 | Paper |
Preferences over location-scale family
Economic Theory | 2008-09-09 | Paper |
Three-factor profile analysis with GARCH innovations
Mathematics and Computers in Simulation | 2008-03-26 | Paper |
| scientific article; zbMATH DE number 5235468 (Why is no real title available?) | 2008-02-15 | Paper |
Stochastic dominance and mean-variance measures of profit and loss for business planning and investment
European Journal of Operational Research | 2007-05-30 | Paper |
New variance ratio tests to identify random walk from the general mean reversion model
Journal of Applied Mathematics and Decision Sciences | 2007-03-05 | Paper |
The relationship between stock markets of major developed countries and Asian emerging markets
Journal of Applied Mathematics and Decision Sciences | 2005-06-21 | Paper |
Estimating parameters in autoregressive models with asymmetric innovations
Statistics & Probability Letters | 2005-03-08 | Paper |
| scientific article; zbMATH DE number 2135705 (Why is no real title available?) | 2005-02-21 | Paper |
Time series models in non-normal situation: symmetric innovations
Journal of Time Series Analysis | 2001-09-23 | Paper |
Time series models with asymmetric innovations
Communications in Statistics: Theory and Methods | 2001-04-08 | Paper |
Extension of stochastic dominance theory to random variables
RAIRO - Operations Research | 2000-08-24 | Paper |
Extension of stochastic dominance theory to random variables
RAIRO - Operations Research | 2000-08-24 | Paper |
Robust estimation in capital asset pricing model
Journal of Applied Mathematics and Decision Sciences | 2000-01-01 | Paper |
Estimating parameters in autoregressive models in non-normal situations: symmetric innovations
Communications in Statistics: Theory and Methods | 1999-12-14 | Paper |
A note on convex stochastic dominance
Economics Letters | 1999-04-28 | Paper |
| scientific article; zbMATH DE number 1133206 (Why is no real title available?) | 1998-11-15 | Paper |
Testing for a unit root in an ar(1) model using three and four moment approximations: symmetric distributions
Communications in Statistics. Simulation and Computation | 1998-10-25 | Paper |
