Skip to main content

Research Repository

Advanced Search

All Outputs (3)

Pension plan solvency and extreme market movements: A regime switching approach (2014)
Journal Article
Abouraschi, N., Clacher, I., Freeman, M., Hillier, D., Kemp, M., & Zhang, Q. (2016). Pension plan solvency and extreme market movements: A regime switching approach. European Journal of Finance, 22(13), 1292-1319. https://doi.org/10.1080/1351847x.2014.946528

We develop and test a new approach to assess defined benefit (DB) pension plan solvency risk in the presence of extreme market movements. Our method captures both the ‘fat-tailed’ nature of asset returns and their correlation with discount rate chang... Read More about Pension plan solvency and extreme market movements: A regime switching approach.

High-Frequency Exchange Rate Forecasting (2014)
Journal Article
Cai, C., & Zhang, Q. (2016). High-Frequency Exchange Rate Forecasting. European Financial Management, 22(1), 120-141. https://doi.org/10.1111/eufm.12052

Predictability of exchange rate movement is of great interest to both practitioners and regulators. We examine the predictability of exchange rate movement in the high-frequency domain. To this end, we apply a model designed for modelling high-freque... Read More about High-Frequency Exchange Rate Forecasting.

The role of venture capitalists in small and medium-sized enterprise initial public offerings: Evidence from China (2014)
Journal Article
Jiang, P., Cai, C., Keasey, K., Wright, M., & Zhang, Q. (2014). The role of venture capitalists in small and medium-sized enterprise initial public offerings: Evidence from China. International Small Business Journal, 32(6), 619-643. https://doi.org/10.1177/0266242613496262

Despite the rapid growth and importance of small and medium-sized enterprises and the venture capital (VC) industry in China, this is the first article to examine comprehensively the role of VCs in public firms listed on the Small and Medium Enterpri... Read More about The role of venture capitalists in small and medium-sized enterprise initial public offerings: Evidence from China.