MDPI, Open Access Journal
Journal of Risk and Financial Management
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Michael McAleer
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Series handle: repec:gam:jjrfmx
ISSN: 1911-8074
Citations RSS feed: at CitEc
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ISSN: 1911-8074
Citations RSS feed: at CitEc
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January 2017, Volume 10, Issue 1
- 1-2 Acknowledgement to Reviewers of the Journal of Risk and Financial Management in 2016
by JRFM Editorial Office - 1-21 Portfolio Optimization and Mortgage Choice
by Maj-Britt Nordfang & Mogens Steffensen - 1-21 Determination of the Optimal Retention Level Based on Different Measures
by Başak Bulut Karageyik & Şule Şahin - 1-23 Capital Structure Arbitrage under a Risk-Neutral Calibration
by Peter J. Zeitsch
February 2017, Volume 10, Issue 1
- 1-13 Modeling NYSE Composite US 100 Index with a Hybrid SOM and MLP-BP Neural Model
by Adriano Beluco & Denise L. Bandeira & Alexandre Beluco - 1-14 Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors
by Dobrislav Dobrev∗ & Travis D. Nesmith & Dong Hwan Oh - 1-24 On the Power and Size Properties of Cointegration Tests in the Light of High-Frequency Stylized Facts
by Christopher Krauss & Klaus Herrmann
November 2016, Volume 9, Issue 4
- 1-10 Credit Scoring by Fuzzy Support Vector Machines with a Novel Membership Function
by Jian Shi & Benlian Xu
December 2016, Volume 9, Issue 4
- 1-13 The Effect of Monitoring Committees on the Relationship between Board Structure and Firm Performance
by Aymen Ammari & Sarra Amdouni & Ahmed Zemzem & Abderrazak Ellouze
October 2016, Volume 9, Issue 4
- 1-14 Portfolios Dominating Indices: Optimization with Second-Order Stochastic Dominance Constraints vs. Minimum and Mean Variance Portfolios
by Neslihan Fidan Keçeci & Viktor Kuzmenko & Stan Uryasev - 1-21 The Design and Risk Management of Structured Finance Vehicles
by Sanjiv Das & Seoyoung Kim
September 2016, Volume 9, Issue 3
- 1-20 On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?
by Ana-Maria Fuertes & Jose Olmo
July 2016, Volume 9, Issue 3
- 1-19 Probability of Default and Default Correlations
by Weiping Li - 1-19 The Nexus between Social Capital and Bank Risk Taking
by Wenjing Xie & Haoyuan Ding & Terence Tai-Leung Chong - 1-25 The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective
by Giovanni Bonaccolto & Massimiliano Caporin
June 2016, Volume 9, Issue 2
- 1-11 Humanizing Finance by Hedging Property Values
by Jaume Roig Hernando - 1-15 Application of Vine Copulas to Credit Portfolio Risk Modeling
by Marco Geidosch & Matthias Fischer - 1-18 Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis
by David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh
May 2016, Volume 9, Issue 2
- 1-20 Revisiting Structural Modeling of Credit Risk—Evidence from the Credit Default Swap (CDS) Market
by Zhijian (James) Huang & Yuchen Luo
February 2016, Volume 9, Issue 1
- 1-6 VaR and CVaR Implied in Option Prices
by Giovanni Barone Adesi
December 2015, Volume 9, Issue 1
- 1-18 The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions
by Dirk Tasche
December 2015, Volume 8, Issue 4
- 1-6 The Fundamental Equation in Tourism Finance
by Michael McAleer
September 2015, Volume 8, Issue 4
- 1-14 On a Discrete Interaction Risk Model with Delayed Claims
by He Liu & Zhenhua Bao
August 2015, Volume 8, Issue 3
- 1-18 An Empirical Analysis for the Prediction of a Financial Crisis in Turkey through the Use of Forecast Error Measures
by Seyma Caliskan Cavdar & Alev Dilek Aydin - 1-26 Volatility Forecast in Crises and Expansions
by Sergii Pypko
July 2015, Volume 8, Issue 3
- 1-26 Inflation and Speculation in a Dynamic Macroeconomic Model
by Matheus R. Grasselli & Adrien Nguyen Huu
June 2015, Volume 8, Issue 2
- 1-19 Network Analysis of the Shanghai Stock Exchange Based on Partial Mutual Information
by Tao You & Paweł Fiedor & Artur Hołda
May 2015, Volume 8, Issue 2
- 1-39 Dependency Relations among International Stock Market Indices
by Leonidas Sandoval Junior & Asher Mullokandov & Dror Y. Kenett
April 2015, Volume 8, Issue 2
- 1-29 Interconnected Risk Contributions: A Heavy-Tail Approach to Analyze U.S. Financial Sectors
by Mauro Bernardi & Lea Petrella
March 2015, Volume 8, Issue 2
- 1-17 The Impact of the Basel Accord on Greek Banks: A Stress Test Study
by John Leventides & Anna Donatou
February 2015, Volume 8, Issue 1
- 1-20 Quadratic Hedging of Basis Risk
by Hardy Hulley & Thomas A. McWalter - 1-23 Are Women More Likely to Seek Advice than Men? Evidence from the Boardroom
by Maurice Levi & Kai Li & Feng Zhang - 1-24 Quantification of VaR: A Note on VaR Valuation in the South African Equity Market
by Lesedi Mabitsela & Eben Maré & Rodwell Kufakunesu
March 2015, Volume 8, Issue 1
- 1-31 Firm Value and Cross Listings: The Impact of Stock Market Prestige
by Nicola Cetorelli & Stavros Peristiani
January 2015, Volume 8, Issue 1
- 1-1 Acknowledgement to Reviewers of the Journal of Risk and Financial Management
by Journal of Risk Financial Management Editorial Office - 1-15 State Prices and Implementation of the Recovery Theorem
by Alex Backwell - 1-26 Pricing a Collateralized Derivative Trade with a Funding Value Adjustment
by Chadd B. Hunzinger & Coenraad C.A. Labuschagne - 1-40 Implied and Local Volatility Surfaces for South African Index and Foreign Exchange Options
by Antonie Kotzé & Rudolf Oosthuizen & Edson Pindza
November 2014, Volume 7, Issue 4
- 1-15 Exact Fit of Simple Finite Mixture Models
by Dirk Tasche
October 2014, Volume 7, Issue 4
- 1-20 Risk Management of Interest Rate Derivative Portfolios: A Stochastic Control Approach
by Konstantinos Kiriakopoulos & Alexandros Koulis
September 2014, Volume 7, Issue 3
- 1-3 Report on the Fifth International Mathematics in Finance (MiF) Conference 2014, Skukuza, Kruger National Park, South Africa
by Michael McAleer - 1-17 Risk Measures and Portfolio Optimization
by Priscilla Serwaa Nkyira Gambrah & Traian Adrian Pirvu
April 2014, Volume 7, Issue 2
- 1-17 Remuneration Committee, Board Independence and Top Executive Compensation
by Chii-Shyan Kuo & Shih-Ti Yu
May 2014, Volume 7, Issue 2
- 1-13 Refining Our Understanding of Beta through Quantile Regressions
by Allen B. Atkins & Pin T. Ng - 1-22 International Diversification Versus Domestic Diversification: Mean-Variance Portfolio Optimization and Stochastic Dominance Approaches
by Fathi Abid & Pui Lam Leung & Mourad Mroua & Wing Keung Wong
June 2014, Volume 7, Issue 2
- 1-30 Asymmetric Realized Volatility Risk
by David E. Allen & Michael McAleer & Marcel Scharth
March 2014, Volume 7, Issue 1
- 1-15 Validation of the Merton Distance to the Default Model under Ambiguity
by Wei-ling Chen & Leh-chyan So
February 2014, Volume 7, Issue 1
- 1-12 Revisiting the Performance of MACD and RSI Oscillators
by Terence Tai-Leung Chong & Wing-Kam Ng & Venus Khim-Sen Liew
December 2013, Volume 6, Issue 1
- 1-31 Testing for a Single-Factor Stochastic Volatility in Bivariate Series
by Masaru Chiba & Masahito Kobayashi
October 2013, Volume 6, Issue 1
- 1-2 Publisher’s Note: Journal of Risk and Financial Management
by Shu-Kun Lin - 1-3 The Journal of Risk and Financial Management in Open Access
by Michael McAleer - 1-25 A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
by David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh
December 2012, Volume 5, Issue 1
- 1-16 Technical Efficiency and Port Competition: Revisiting the Bohai Economic Rim, China
by Grace Wang & Chen Gao - 1-19 A General Empirical Model of Hedging
by Moawia Alghalith & Ricardo Lalloob - 1-19 The Behaviour of Small Investors in the Hong Kong Derivatives Markets: A Factor Analysis
by Tai-Yuen Hon - 1-37 Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
by Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer - 1-39 Stock Returns and Risk: Evidence from Quantile
by Thomas C. Chiang & Jiandong Li
December 2011, Volume 4, Issue 1
- 1-23 Use of Bayesian Estimates to determine the Volatility Parameter Input in the Black-Scholes and Binomial Option Pricing Models
by Shu Wing Ho & Alan Lee & Alastair Marsden - 1-29 Multiperiod Hedging using Futures: Mean Reversion and the Optimal Hedging Path
by Vadhindran K. Rao - 1-31 A Pseudo-Bayesian Model for Stock Returns In Financial Crises
by Eric S. Fung & Kin Lam & Tak-Kuen Siu & Wing-Keung Wong - 1-36 Periodically Collapsing Bubbles in Stock Prices Cointegrated with Broad Dividends and Macroeconomic Factors
by Man Fu & Prasad V. Bidarkota - 1-42 Corporate Governance and Corporate Creditworthiness
by Dror Parnes
December 2010, Volume 3, Issue 1
- 1-21 A Mean-Variance Diagnosis of the Financial Crisis: International Diversification and Safe Havens
by Alexander Eptas & Lawrence A. Leger - 1-21 Are Entrepreneur-Led Companies Better? Evidence from Publicly Traded U.S. Companies: 1998-2010
by Joel M. Shulman - 1-25 Conserving Capital by Adjusting Deltas for Gamma in the Presence of Skewness
by Dilip B. Madan - 1-34 Soybean Futures Crush Spread Arbitrage: Trading Strategies and Market Efficiency
by John B. Mitchell - 1-37 Hedging Performance and Multiscale Relationships in the German Electricity Spot and Futures Markets
by Mara Madaleno & Carlos Pinho
December 2009, Volume 2, Issue 1
- 1-19 The Nexus between Analyst Forecast Dispersion and Expected Returns Surrounding Stock Market Crashes
by Terence Tai-Leung Chong & Xiaolei Wang - 1-24 Corporate Risk Disclosure and Corporate Governance
by Kaouthar Lajili - 1-37 Mergers and Acquisitions (M&AS) by R&D Intensive Firms
by Shantanu Dutta & Vinod Kumar - 1-37 China’s Stock Market Integration with a Leading Power and a Close Neighbor
by Zheng Yi & Chen Heng & Wing-Keung Wong - 1-72 Models for Risk Aggregation and Sensitivity Analysis: An Application to Bank Economic Capital
by Hulusi Inanoglu & Michael Jacobs
December 2008, Volume 1, Issue 1
- 1-23 The Intra-Industry Effects of Life Insurance Company Demutualizaton
by Joseph W. Meador & Emery A. Trahan - 1-29 Active Versus Passive Investing - An Analysis of UK Equity Markets, 1991-2005
by Edel Barnes & M. Scott - 1-34 Financial Distress Comparison Across Three Global Regions
by Harlan D. Platt & Marjorie B. Platt - 1-36 Effective Basemetal Hedging: The Optimal Hedge Ratio and Hedging Horizon
by Michaël Dewally & Luke Marriott - 1-40 Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches
by Thomas C. Chiang & Hooi Hooi Lean & Wing-Keung Wong