References


Akuzawa, T. and Y. Nishiyama (2012), “Implied Sharpe Ratios of Portfolios With Options: Application to Nikkei Futures and Listed Options”, to appear in North American Journal of Economics and Finance, this issue. 

Allen, D., K.H. Ng and S. Peiris (2012), “Estimating and Simulating Weibull Models of Risk or Price Durations: An Application to ACD Models”, to appear in North American Journal of Economics and Finance, this issue. 

Asai, M. and I. Brugal (2012), “Forecasting Volatility via Stock Return, Range, Trading Volume and Spillover Effects: The Case of Brazil”, to appear in North American Journal of Economics and Finance, this issue. 

Bai, Z., K.F. Phoon, K. Wang and W.-K. Wong (2012), “The Performance of Commodity Trading Advisors: A Mean-Variance-Ratio Test Approach”, to appear in North American Journal of Economics and Finance, this issue. 

Caporin, M. (2012), “Equity and CDS Sector Indices: Dynamic Models and Risk Hedging”, to appear in North American Journal of Economics and Finance, this issue. 

Chang, C.-L., J.-A. Jimenez-Martin, M. McAleer and T. Perez-Amaral (2012), “The Rise and Fall of S&P500 Variance Futures”, to appear in North American Journal of Economics and Finance, this issue. 

Chang, C.-L., M. McAleer and R. Tansuchat (2012), “Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns”, to appear in North American Journal of Economics and Finance, this issue. 

Chuang, W.-I, T.-C. Huang and B.-H. Lin (2012), “Predicting Volatility Using Markov Switching Multifractal Model: Evidence from S&P 100 Index and Equity Options”, to appear in North American Journal of Economics and Finance, this issue. 

Divino, J.A. and L.C.S. Rocha (2012), “Probability of Default in Collateralized Credit Operations”, to appear in North American Journal of Economics and Finance, this issue. 

Dong, C. and J. Gao (2012), “Solving Replication Problems in a Complete Market by Orthogonal Series Expansion”, to appear in North American Journal of Economics and Finance, this issue. 

Gonzalez-Perez, M.-T. and D.E. Guerrero (2012), “Day of the Week Effect on the VIX. A Parsimonious Representation”, to appear in North American Journal of Economics and Finance, this issue. 

Shawkat, S., P. Araujo Santos and A. Al-Hassan (2012), “Downside Risk Management and VaR-based Optimal Portfolios for Precious Metals, Oil and Stocks”, to appear in North American Journal of Economics and Finance, this issue. 

Jiang, I-M., S.-Y. Yang, Y.-H. Liu and A.T. Wang (2012), “Valuation of Double Trigger Catastrophe Options with Counterparty Risk”, to appear in North American Journal of Economics and Finance, this issue. 

Labuschagne, C. and T. Offwood (2012), “Pricing Exotic Options Using the Wang Transform”, to appear in North American Journal of Economics and Finance, this issue. 

Lutz, S. (2012), “Risk Premia in Multi-national Enterprises”, to appear in North American Journal of Economics and Finance, this issue.