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41.
We study the joint law of Parisian time and hitting time of a drifted Brownian motion by using a three-state semi-Markov model, obtained through perturbation. We obtain a martingale to which we can apply the optional sampling theorem and derive the double Laplace transform. This general result is applied to address problems in option pricing. We introduce a new option related to Parisian options, being triggered when the age of an excursion exceeds a certain time or/and a barrier is hit. We obtain an explicit expression for the Laplace transform of its fair price. 相似文献
42.
This paper examines the main systemic weaknesses of the Greek economy — structural, institutional and political — and assesses whether they were taken effectively into account in the design and implementation of the three adjustment programmes. We conclude that the economic policy mix that has been implemented through the memorandums focused mainly on treating the symptoms of the crisis instead of decisively dealing with its deeper causes. 相似文献
43.
During the second half of 1993, when far-reaching structural reforms had left Mexican authorities bereft of policy instruments and macroeconomic stabilization had limited their policy options, two private Mexican banks were issuing short-term Euro-dollar debt at a cost substantially below the yield on dollar-linked government securities of similar maturity. A detailed analysis of the authorities’ policy dilemmas, together with a theoretical model that formalizes them, suggests that this negative spread represented arbitrage opportunities for the two banks. It further indicates that similar opportunities may arise again as more countries embark on programs of stabilization and reform. 相似文献
44.
Angelos Kanas 《Journal of Economics and Finance》2009,33(2):111-127
Using a rich data set for the UK for over a century, we find that the relation between the equity risk premium and the government
bond maturity premium is nonlinear and subject to stochastic regime switching. We identify a regime in which both premia are
jointly characterized by low volatility and another regime in which both premia are characterized by high volatility. The
occurrence of the high volatility regime chronologically coincides with major changes in the pound exchange rate. The low
volatility regime has a higher probability of turning up over two consecutive years than the high volatility regime, but it
is not perceived by investors to be an absorbing regime. The lagged maturity premium is a strong predictor of the equity risk
premium only in the regime of low volatility. In addition, the lagged equity premium is a predictor of the maturity premium
also in the low volatility regime. This result on regime-dependent bidirectional predictability is robust to alternative definitions
of the equity premium, and to the inclusion of real interest rate and real growth effects.
相似文献
Angelos KanasEmail: |
45.
The issue of volatility spillovers between the black and official exchange markets for U.S. dollars in Greece for 1975–89 is examined. A vector error correction‐bivariate EGARCH model is developed and estimated to capture potential asymmetric effects of innovations and volatility. During the period under investigation, reciprocal spillovers are found between the black and official exchange markets for dollars. Furthermore, spillovers are asymmetric in that bad news in one market has a greater effect on the volatility of the other market than good news. Additionally, the size of spillover effects is greater from the official market to the black market. Finally, the removal of the foreign exchange controls in January 1986 made the volatility of the official exchange rate higher and changed the nature of volatility spillovers between the two markets. JEL Classification: F31, F32 相似文献
46.
47.
Angelos Kanas 《Review of Quantitative Finance and Accounting》2014,42(1):159-170
We report empirical evidence suggesting a strong and positive risk-return relation for the daily S&P 100 market index if the implied volatility index is included as an exogenous variable in the conditional variance equation. This result holds for alternative GARCH specifications and conditional distributions. Monte Carlo evidence suggests that if implied volatility is not included, whilst is should be, the risk-return relation is more likely to be negative or weak. 相似文献
48.
This article investigates the interdependence of macroeconomics, financial and other variables for European Union countries using a multivariate vector autoregressive (VAR) approach for quarterly data. The VAR analysis is applied to all bivariate cases, and the best fitted models are selected in order to conduct Granger causality testing and impulse response functions. Contrary to the existing literature, this study reveals evidence of a unilateral direction between several cases and ambiguous results regarding Impulse response functions analysis. 相似文献
49.
In this paper, we study the excursion times of a Brownian motion with drift below and above a given level by using a simple
two-state semi-Markov model. In mathematical finance, these results have an important application in the valuation of path-dependent
options such as Parisian options. Based on our results, we introduce a new type of Parisian options, single-barrier two-sided
Parisian options, and give an explicit expression for the Laplace transform of its price formula. 相似文献
50.
Chrysovalantis Gaganis Angelos Tsaklanganos 《International Journal of the Economics of Business》2013,20(2):229-244
This paper investigates the relationship between the effective tax rate on bank income and bank profit efficiency. Our sample consists of 3,472 observations from 533 publicly quoted commercial banks operating in 46 countries between 2001 and 2009. We estimate a global frontier while controlling for various country-specific characteristics such as regulations, macroeconomic conditions, market concentration, and financial and overall development. The results indicate that a higher tax rate results in higher pre-tax profit efficiency. However, the relationship is non-linear, indicating that there is a point after which a further increase in taxation reduces bank profit efficiency. We also find that concentration in the banking sector enhances the effect of taxation on profit efficiency. Overall, the results provide some support to the tax-shifting hypothesis. However, there is no robust evidence that the impact of taxation on profit efficiency is influenced by the extent of private monitoring. 相似文献