53 results for "Ariful Hoque"
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Pricing European Currency Options with High-Frequency Data
Technological innovation has changed the financial market significantly with the increasing application of high-frequency data in research and practice. This study examines the performance of intraday implied volatility (IV) in estimating currency options prices. Options quotations at a different…
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How does financial literacy impact on inclusive finance?
Abstract Inclusive finance is a core concept of finance that makes various financial products and services accessible and affordable to all individuals and businesses, especially those excluded from the formal financial system. One of the leading forces affecting people's ability to access…
Also available at: DOAJ
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Big Data-Driven Banking Operations: Opportunities, Challenges, and Data Security Perspectives
At present, with the rise of information technology revolution, such as mobile internet, cloud computing, big data, machine learning, artificial intelligence, and the Internet of Things, the banking industry is ushering in new opportunities and encountering severe challenges. This inspired us to…
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Influence of Transaction Costs on Foreign Exchange Option Contracts: Intra-Daily Tests
This paper tests the impact of transaction cost specication on deviations from lower boundary and put-call parity properties. Using PHLX traded foreign exchange options, prices for puts and calls are matched to the nearest five minutes. The results indicate how boundaries on the arbitrage profit…
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Assessing the Resilience of Islamic Stocks in BRIC Countries: Analyzing Coherence and Cointegration with S&P 500 Options Implied Volatility Smirk during the Global Financial Crisis
Challenging the perceived immunity of Islamic stocks to the global financial crisis, this research investigates whether there was any coherence and long-run cointegration between Islamic stocks of BRIC countries and S&P 500 options implied volatility smirk (IVS) in BRIC countries during the global…
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An Open Innovation Intraday Implied Volatility for Pricing Australian Dollar Options
This study introduces the intraday implied volatility (IV) for pricing the Australian dollar (AUD) options. The IV is estimated using the at-the-money one-month, two-month, and three-month maturity AUD options traded in the opening, midday, and closing period of a trading day. The Mincer-Zarnowitz…
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Analysing implied volatility smirk to predict the US stock market crash during the global financial crisis
This study analyses the presence of implied volatility smirk (IVS) and its predictability of the US stock market crash during the Global Financial Crisis (GFC) through the in-sample and out-of-sample tests. The in-sample investigation was conducted for 18 cases (cases 1–18) to confirm the…
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Does digital transformation reduce bank's risk-taking? evidence from vietnamese commercial banks
This study examines whether digital transformation reduces banks' risk-taking in the Vietnamese commercial banking sector. Our research sheds light on how banks' digital transformation affects their risks, specifically regarding credit, insolvency, and liquidity. The study utilizes the readiness…
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Which investor sentiment drives the ESG–return link? A multi-dimensional sentiment perspective on ESG changes
This paper studies the impact of various dimensions of investor sentiment on the stock price response to changes in environmental, social and governance (ESG) ratings. In contrast to most of the existing literature that relies on a single aggregate proxy of sentiment, the present study decomposes…
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Enhancing Green Innovation Through National Intellectual Capital: The Role of Institutional Quality in Asia–Pacific Economies
The impact of intellectual capital on green innovation has been extensively studied at the firm level. However, the influence of moderating factors on this dynamic at the national level remains underexplored in previous studies. This study examines the role of institutional quality in moderating…
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Navigating Dividend Decisions: The Impact of Outsider CEOs in Imputation Tax Environments
This study examines the influence of outsider CEOs on corporate dividend policies, specifically within the framework of an imputation tax environment, like in Australia. The study analyses 9826 firm-year observations from Australian firms listed on the ASX from 2012 to 2021. The study reveals that…
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Performance of some estimators for the multicollinear logistic regression model: theory, simulation, and applications
This article proposes some new estimators, namely Stein’s estimators for ridge regression and Kibria and Lukman estimator and compares their performance with some existing estimators, namely maximum likelihood estimator (MLE), ridge regression estimator, Liu estimator, almost unbiased ridge and Liu…
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What Drives Banks to Provide Green Loans? Corporate Governance and Ownership Structure Perspectives of Vietnamese Listed Banks
This study delves into the influence of banks’ governance and ownership structures on green lending. To examine this, we utilized the two-step system GMM and PCSE methods on the panel data of Vietnamese commercial banks spanning from 2010 to 2023. The findings suggest that board characteristics…
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Some one and two parameter estimators for the multicollinear gaussian linear regression model: simulations and applications
The ordinary least square estimator is inefficient when there exists multicollinearity among regressors in linear regression model. There are many methods available in literature to solve the multicollinearity problem. In this study, we consider some one and two parameter estimators for estimating…
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The Performance of Stock Portfolios: Evidence from Analysing Malaysia Case, and Implication for Open Innovation
This research examines the performance of the Islamic stock portfolio (ISP) and conventional stock portfolio (CSP) for the five industrial sectors and market in Malaysia. The capital asset pricing model statistics indicate that the ISP provides a higher return with a lower systematic risk compared…
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The Explainability–Reliability Gap in Fraud Detection: Evidence from SHAP and Permutation Importance Under Distribution Shift
This study develops an empirical audit framework for assessing the explainability–reliability gap in fraud detection: whether stable model explanations remain consistent with performance-based feature reliance under distribution shift. Using the Bank Account Fraud dataset suite, including a Base…
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Trust, Security, and Nonlinear Retention Dynamics in FinTech Neobanking: An Explainable Machine Learning (XAI) Approach
This study examines customer retention intention in neobanking environments using a theory-informed explainable machine learning framework. Existing digital banking research typically relies on linear modelling approaches to explain retention behaviour, potentially overlooking nonlinear…
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A systematic review of occupational health risks in the textile and garment industry and a conceptual framework for multi hazard risk integration
Abstract The textile and garment industry employs over 40 million workers worldwide and remains a major source of occupational hazards, particularly in low- and middle-income countries where regulatory enforcement is often limited. Following PRISMA 2020 guidelines and a preregistered protocol, we…