Professor Dennis Philip's Outputs (2)

Optimal hedging in carbon emission markets using Markov regime switching models (2016)
Journal Article
Philip, D., & Shi, Y. (2016). Optimal hedging in carbon emission markets using Markov regime switching models. Journal of International Financial Markets, Institutions and Money, 43, 1-15. https://doi.org/10.1016/j.intfin.2016.03.003

This paper proposes a Markov regime switching framework for modeling carbon emission (CO2) allowances that combines a regime switching behavior and disequilibrium adjustments in the mean process, along with a state-dependent dynamic volatility proces... Read More about Optimal hedging in carbon emission markets using Markov regime switching models.

Bank liquidity creation and risk-taking: Does managerial ability matter? (2016)
Journal Article
Andreou, P., Philip, D., & Robejsek, P. (2016). Bank liquidity creation and risk-taking: Does managerial ability matter?. Journal of Business Finance and Accounting, 43(1-2), 226-259. https://doi.org/10.1111/jbfa.12169

This study investigates the impact of managerial ability on banks' liquidity creation and risk-taking behavior. We find that higher ability managers create more liquidity and take more risk. During financial crisis times, however, higher ability bank... Read More about Bank liquidity creation and risk-taking: Does managerial ability matter?.