44 Pages · Posted: 30 Oct 2014 · Last revised: 24 Apr 2015 | We propose a test statistic for nonzero mean abnormal returns based on a Smooth Transition Auto Regressive (STAR) specification.
20 Pages · Posted: Mar 2014 · Citations: 49 | This study investigates the relation between corporate governance with (i) financial management decisions such as earnings management and sub-optimal investment, and (ii) firm performance in maritime firms.
20 Pages · Posted: 12 Mar 2015 · Citations: 10 | We investigate the relative importance of market default risk in explaining the time variation of the S&P 500 Index option-implied risk-neutral moments.
25 Pages · Posted: Feb 2013 · Citations: 8 | This study examines several alternative symmetric and asymmetric model specifications of regression-based deterministic volatility models to identify the one that best characterises the implied volatility functions of S&P 500 Index options in the period 1996–2009.
