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Asiasn review of Financial research

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HOMEPast Issues Past Issues

Asian Review of Financial Research / November 2011 Vol. 24 No. 4

Forecasting Performances of Structural Default Probability Models with a New Iterative Estimation Method

Dae-Il Kang, Jaeho Cho

Asian Review of Financial Research

Vol.24 No.4 pp.1021-1067

Keyword : Credit Risk, Structural Default Probability Model, Parameters Estimation, Iterative Method, Out-of-Sample Test

A Study on the Attenuation of Procylicality in the Risk-Based Deposit Insurance System for the Mutual Saving Banks in Korea

Ho Sung Kang, Kwangwoo Park, Wonho Wilson Choi, Joongho Han

Asian Review of Financial Research

Vol.24 No.4 pp.1069-1111

Keyword : Deposit Insurance, Risk-Based Deposit Insurance, Option Pricing Model, Mutual Savings Banks, Procyclicality

The Effectiveness of International Small-Cap Stocks on Portfolio Diversification

Seong-Hoon Lee, Jong-Mun Yoon

Asian Review of Financial Research

Vol.24 No.4 pp.1113-1151

Keyword : Spanning Test, International Diversification, Small-Cap, International Fund, Market Globalization, Spanning Test

Performance Analysis of Pairs Trading Strategy Utilizing High Frequency Data : Evidence from the Korean Stock Market

Jooyoung Yun, Kangwhee Kim

Asian Review of Financial Research

Vol.24 No.4 pp.1153-1172

Keyword : Market Neutral, Pairs Trading, Statistical Arbitrage, Kalman Filter, High Frequency Trading

A Review of the Literature on Derivative Securities in Korea

In Joon Kim

Asian Review of Financial Research

Vol.24 No.4 pp.1175-1230

Keyword : Derivatives Markets, Futures, Options, Volatility, Hedge

Capital Market Anomalies in Korea

Sukho Sonu, Hyungsuk Choi

Asian Review of Financial Research

Vol.24 No.4 pp.1231-1284

Keyword : Market Anomalies in Korea, January Effect, Predictability of Stock Returns, Asset Pricing Models, Capital Market Efficiency

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