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ORCIDAnnals of Operations Research, Volume 313
Volume 313, Number 1, June 2022
- Rabin K. Jana, Aviral Kumar Tiwari
, Shawkat Hammoudeh, Claudiu Tiberiu Albulescu:
Financial modeling, risk management of energy and environmental instruments and derivatives: past, present, and future. 1-7 - Sabri Boubaker, Zhenya Liu, Yaosong Zhan:
Risk management for crude oil futures: an optimal stopping-timing approach. 9-27 - Jilong Chen, Christian-Oliver Ewald, Ruolan Ouyang, Sjur Westgaard, Xiaoxia Xiao:
Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil. 29-46 - Toan Luu Duc Huynh, Muhammad Shahbaz, Muhammad Ali Nasir, Subhan Ullah:
Financial modelling, risk management of energy instruments and the role of cryptocurrencies. 47-75 - Qiang Ji, Dayong Zhang, Yuqian Zhao:
Intra-day co-movements of crude oil futures: China and the international benchmarks. 77-103 - Rabeh Khalfaoui, Sakiru Adebola Solarin, Adel Al-Qadasi, Sami Ben Jabeur:
Dynamic causality interplay from COVID-19 pandemic to oil price, stock market, and economic policy uncertainty: evidence from oil-importing and oil-exporting countries. 105-143 - Syed Jawad Hussain Shahzad, Elie Bouri, Mobeen Ur Rehman, Muhammad Abubakr Naeem, Tareq Saeed:
Oil price risk exposure of BRIC stock markets and hedging effectiveness. 145-170 - Hachmi Ben Ameur, Zied Ftiti, Waël Louhichi:
Revisiting the relationship between spot and futures markets: evidence from commodity markets and NARDL framework. 171-189 - Jorge Junio Moreira Antunes, Luis Alberiko Gil-Alana, Rossana Riccardi, Yong Tan, Peter Fernandes Wanke:
Unveiling endogeneity and temporal dependence in energy prices and demand in Iberian countries: a stochastic hidden Markov model approach. 191-229 - Abhishek Behl, P. S. Raghu Kumari, Harnesh Makhija, Dipasha Sharma:
Exploring the relationship of ESG score and firm value using cross-lagged panel analyses: case of the Indian energy sector. 231-256 - Avik Sinha, Arshian Sharif, Arnab Adhikari, Ankit Sharma:
Dependence structure between Indian financial market and energy commodities: a cross-quantilogram based evidence. 257-287 - Jorge Junio Moreira Antunes, Rangan Gupta, Zinnia Mukherjee, Peter Fernandes Wanke:
Information entropy, continuous improvement, and US energy performance: a novel stochastic-entropic analysis for ideal solutions (SEA-IS). 289-318 - Santosh Kumar Sahu, Prantik Bagchi, Ajay Kumar, Kim Hua Tan:
Technology, price instruments and energy intensity: a study of firms in the manufacturing sector of the Indian economy. 319-339 - Carla Oliveira Henriques, Maria Elisabete Neves, Licínio Castelão, Duc Khuong Nguyen:
Assessing the performance of exchange traded funds in the energy sector: a hybrid DEA multiobjective linear programming approach. 341-366 - Mohamed Arbi Madani, Zied Ftiti:
Is gold a hedge or safe haven against oil and currency market movements? A revisit using multifractal approach. 367-400 - Lu Wang, Ferhana Ahmad, Gong-li Luo, Muhammad Umar, Dervis Kirikkaleli:
Portfolio optimization of financial commodities with energy futures. 401-439 - Jiandong Chen, Chong Xu, Yinyin Wu, Zihao Li, Malin Song:
Drivers and trajectories of China's renewable energy consumption. 441-459 - Erik Hille, Bernhard Lambernd:
Has Korean growth become greener? Spatial econometric evidence for energy use and renewable energy. 461-494 - Syed Kumail Abbas Rizvi, Bushra Naqvi, Nawazish Mirza:
Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs. 495-524 - Béchir Ben Lahouel, Younes Ben Zaied, Guo-liang Yang, Maria-Giuseppina Bruna, Yaoyao Song:
A non-parametric decomposition of the environmental performance-income relationship: evidence from a non-linear model. 525-558 - Peng Chen, Andrew Vivian, Cheng Ye:
Forecasting carbon futures price: a hybrid method incorporating fuzzy entropy and extreme learning machine. 559-601
Volume 313, Number 2, June 2022
- Giovanni Barone-Adesi, Ephraim Clark, Jean-Luc Prigent:
Risk management decisions and value under uncertainty. 603-604 - Ilyes Abid, Rim Ayadi, Khaled Guesmi, Farid Mkaouar:
A new approach to deal with variable selection in neural networks: an application to bankruptcy prediction. 605-623 - Hakim Akeb, Aldo Lévy, Mohamed Rdali:
A quantitative method for opinion ratings and analysis: an event study. 625-638 - Erdinc Akyildirim, Aurelio Fernández Bariviera, Duc Khuong Nguyen, Ahmet Sensoy:
Forecasting high-frequency stock returns: a comparison of alternative methods. 639-690 - Charles-Olivier Amédée-Manesme, Fabrice Barthélémy:
Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion. 691-712 - Mondher Bellalah, Xu Guo, Shuo Wu, Detao Zhang:
General equilibrium with heterogeneous participants and continuous consumption with information costs and short selling constraints. 713-732 - Fabio Bellini, Edit Rroji, Carlo Sala:
Implicit quantiles and expectiles. 733-753 - Hachmi Ben Ameur, Zied Ftiti, Fredj Jawadi, Waël Louhichi:
Measuring extreme risk dependence between the oil and gas markets. 755-772 - Faten Ben Bouheni, Hassan Obeid, Elena Margarint:
Nonperforming loan of European Islamic banks over the economic cycle. 773-808 - Philippe Bernard, Najat El Mekkaoui De Freitas, Bertrand B. Maillet:
A financial fraud detection indicator for investors: an IDeA. 809-832 - Sabri Boubaker, Riadh Manita, Salma Mefteh-Wali:
Foreign currency hedging and firm productive efficiency. 833-854 - Ephraim Clark, Zhuo Qiao:
Stock exchange efficiency and convergence: international evidence. 855-875 - Gregor Dorfleitner:
On the use of the terminal-value approach in risk-value models. 877-897 - Eymen Errais:
Pricing insurance premia: a top down approach. 899-914 - Zied Ftiti, Kais Tissaoui, Sahbi Boubaker:
On the relationship between oil and gas markets: a new forecasting framework based on a machine learning approach. 915-943 - Rémy Garnier:
Concurrent neural network: a model of competition between times series. 945-964 - Paolo Giudici, Gloria Polinesi, Alessandro Spelta:
Network models to improve robot advisory portfolios. 965-989 - Mariya Gubareva, Maria Rosa Borges:
Governed by the cycle: interest rate sensitivity of emerging market corporate debt. 991-1019 - Tristan Guillaume:
Closed form valuation of barrier options with stochastic barriers. 1021-1050 - Manuel J. Hermoso-Orzáez, J. Garzón-Moreno:
Risk management methodology in the supply chain: a case study applied. 1051-1075 - Menelaos Karanasos, Stavroula Yfanti, John Hunter:
Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises. 1077-1116 - Oussama Kchaou, Makram Bellalah, Sofiane Tahi:
Transmission of the Greek crisis on the sovereign debt markets in the euro area. 1117-1139 - Jang Ho Kim, Yongjae Lee, Woo Chang Kim, Frank J. Fabozzi:
Goal-based investing based on multi-stage robust portfolio optimization. 1141-1158 - Siyu Lv, Zhen Wu, Qing Zhang:
The Dynkin game with regime switching and applications to pricing game options. 1159-1182 - Wafa Miled, Zied Ftiti, Jean-Michel Sahut:
Spatial contagion between financial markets: new evidence of asymmetric measures. 1183-1220 - Alfred Mbairadjim Moussa, Jules Sadefo Kamdem:
A fuzzy multifactor asset pricing model. 1221-1241 - Soumyatanu Mukherjee, Sidhartha S. Padhi:
Sourcing decision under interconnected risks: an application of mean-variance preferences approach. 1243-1268 - Inmaculada Rodríguez-Puerta, Alberto A. Álvarez-López:
A model for the optimal selection of lenders. 1269-1284 - Jinghai Shao, Sovan Mitra, Andreas S. Karathanasopoulos:
Optimal feedback control of stock prices under credit risk dynamics. 1285-1318 - Alexandre Adam, Hamza Cherrat, Mohamed Houkari, Jean Paul Laurent, Jean-Luc Prigent:
On the risk management of demand deposits: quadratic hedging of interest rate margins. 1319-1355 - Erdinc Akyildirim, Frank J. Fabozzi, Ahmet Göncü, Ahmet Sensoy:
Statistical arbitrage in jump-diffusion models with compound Poisson processes. 1357-1371 - Mondher Bellalah, Akeb Hakim, Kehan Si, Detao Zhang:
Long term optimal investment with regime switching: inflation, information and short sales. 1373-1386 - Hachmi Ben Ameur, Waël Louhichi:
The Brexit impact on European market co-movements. 1387-1403 - Monica Billio, Bertrand Maillet, Loriana Pelizzon:
A meta-measure of performance related to both investors and investments characteristics. 1405-1447
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