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Content
April 2019, Volume 12, Issue 2
- 1-12 Sentiment-Induced Bubbles in the Cryptocurrency Market
by Cathy Yi-Hsuan Chen & Christian M. Hafner - 1-13 Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data—Under Conditional Heteroskedasticity Framework
by A. M. M. Shahiduzzaman Quoreshi & Reaz Uddin & Naushad Mamode Khan - 1-15 China and Special Drawing Rights—Towards a Better International Monetary System
by Matthew Harrison & Geng Xiao - 1-16 Smoothed Maximum Score Estimation of Discrete Duration Models
by Sadat Reza & Paul Rilstone - 1-17 Do Traditional Financial Distress Prediction Models Predict the Early Warning Signs of Financial Distress?
by Sumaira Ashraf & Elisabete G. S. Félix & Zélia Serrasqueiro - 1-17 The Effects of the Financing Facilitation Act after the Global Financial Crisis: Has the Easing of Repayment Conditions Revived Underperforming Firms?
by Nobuyoshi Yamori - 1-17 A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets
by Nikolaos A. Kyriazis - 1-17 Equalizing Seasonal Time Series Using Artificial Neural Networks in Predicting the Euro–Yuan Exchange Rate
by Marek Vochozka & Jakub Horák & Petr Šuleř - 1-18 Does Managerial Power Increase Selective Hedging? Evidence from the Oil and Gas Industry
by Håkan Jankensgård - 1-19 Statistical Arbitrage with Mean-Reverting Overnight Price Gaps on High-Frequency Data of the S&P 500
by Johannes Stübinger & Lucas Schneider - 1-19 Spillover Risks on Cryptocurrency Markets: A Look from VAR-SVAR Granger Causality and Student’s-t Copulas
by Toan Luu Duc Huynh - 1-19 Determinants of Vietnamese Listed Firm Performance: Competition, Wage, CEO, Firm Size, Age, and International Trade
by Thi-Hanh Vu & Van-Duy Nguyen & Manh-Tung Ho & Quan-Hoang Vuong - 1-20 Spillover Effects of US QE and QE Tapering on African and Middle Eastern Stock Indices
by Stephanos Papadamou & Nikolaos A. Kyriazis & Panayiotis G. Tzeremes - 1-20 Simulation of the Grondona System of Conditional Currency Convertibility Based on Primary Commodities, Considered as a Means to Resist Currency Crises
by Patrick Collins & Jameel Ahmed & Ahamed Kameel Meera - 1-21 Value-at-Risk and Models of Dependence in the U.S. Federal Crop Insurance Program
by A. Ford Ramsey & Barry K. Goodwin - 1-21 Arbitrage Free Approximations to Candidate Volatility Surface Quotations
by Dilip B. Madan & Wim Schoutens - 1-25 Positive Liquidity Spillovers from Sovereign Bond-Backed Securities
by Peter G. Dunne - 1-26 Intellectual Capital Performance and Profitability of Banks: Evidence from Pakistan
by Muhammad Haris & HongXing Yao & Gulzara Tariq & Ali Malik & Hafiz Mustansar Javaid - 1-26 Efficient Numerical Pricing of American Call Options Using Symmetry Arguments
by Lars Stentoft - 1-27 Defined Contribution Pension Plans: Who Has Seen the Risk?
by Peter A. Forsyth & Kenneth R. Vetzal - 1-31 Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time
by Vladimir Petrov & Anton Golub & Richard Olsen - 1-32 Managerial Self-Attribution Bias and Banks’ Future Performance: Evidence from Emerging Economies
by Javid Iqbal - 1-34 Nonparametric Approach to Evaluation of Economic and Social Development in the EU28 Member States by DEA Efficiency
by Lukáš Melecký & Michaela Staníčková & Jana Hančlová
June 2019, Volume 12, Issue 2
- 1-13 Optimal Cash Holding Ratio for Non-Financial Firms in Vietnam Stock Exchange Market
by Cuong Nguyen Thanh - 1-15 Default Risk and Cross Section of Returns
by Nusret Cakici & Sris Chatterjee & Ren-Raw Chen - 1-15 Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective
by Shailesh Rastogi & Chaitaly Athaley - 1-15 Financial Structure, Misery Index, and Economic Growth: Time Series Empirics from Pakistan
by Nianyong Wang & Muhammad Haroon Shah & Kishwar Ali & Shah Abbas & Sami Ullah - 1-15 When the Poor Buy the Rich: New Evidence on Wealth Effects of Cross-Border Acquisitions
by Hong-Hai Ho & Thi-Hanh Vu & Ngoc-Tien Dao & Manh-Tung Ho & Quan-Hoang Vuong - 1-15 Next-Day Bitcoin Price Forecast
by Ziaul Haque Munim & Mohammad Hassan Shakil & Ilan Alon - 1-18 Equity Market Contagion in Return Volatility during Euro Zone and Global Financial Crises: Evidence from FIMACH Model
by A. M. M. Shahiduzzaman Quoreshi & Reaz Uddin & Viroj Jienwatcharamongkhol - 1-18 Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature
by Ashok Chanabasangouda Patil & Shailesh Rastogi - 1-22 Stock Investment and Excess Returns: A Critical Review in the Light of the Efficient Market Hypothesis
by Qianwei Ying & Tahir Yousaf & Qurat ul Ain & Yasmeen Akhtar & Muhammad Shahid Rasheed - 1-25 Conditional Dependence between Oil Prices and Exchange Rates in BRICS Countries: An Application of the Copula-GARCH Model
by Yijin He & Shigeyuki Hamori - 1-26 Exchange Rate Misalignment and Capital Flight from Botswana: A Cointegration Approach with Risk Thresholds
by Mpho Bosupeng & Janet Dzator & Andrew Nadolny - 1-52 AdTurtle: An Advanced Turtle Trading System
by Dimitrios Vezeris & Ioannis Karkanis & Themistoklis Kyrgos
May 2019, Volume 12, Issue 2
- 1-10 Is Bitcoin a Relevant Predictor of Standard & Poor’s 500?
by Camilla Muglia & Luca Santabarbara & Stefano Grassi - 1-13 Should Vietnamese Banks Need More Equity? Evidence on Risk-Return Trade-Off in Dynamic Models of Banking
by Van Dan Dang - 1-14 Dynamic Expectation Theory: Insights for Market Participants
by Bodo Herzog - 1-14 Money as an Institution: Rule versus Evolved Practice? Analysis of Multiple Currencies in Argentina
by Georgina M. Gómez - 1-14 Optimism in Financial Markets: Stock Market Returns and Investor Sentiments
by Chiara Limongi Concetto & Francesco Ravazzolo - 1-15 Multi-Period Investment Strategies under Cumulative Prospect Theory
by Liurui Deng & Traian A. Pirvu - 1-16 Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market
by Dzung Phan Tran Trung & Hung Pham Quang - 1-16 Investigating the Economic and Financial Damage around Currency Peg Failures
by Colin Ellis & Emilia Gyoerk - 1-17 Carry Cost Rate Regimes and Futures Hedge Ratio Variation
by Dean Leistikow & Ren-Raw Chen - 1-17 Secondary Market Liquidity and Primary Market Pricing of Corporate Bonds
by Michael A. Goldstein & Edith S. Hotchkiss & David J. Pedersen - 1-17 A Cointegration of the Exchange Rate and Macroeconomic Fundamentals: The Case of the Indonesian Rupiah vis-á-vis Currencies of Primary Trade Partners
by Agus Salim & Kai Shi - 1-19 Do Diamond Stocks Shine Brighter than Diamonds?
by Vera Jotanovic & Rita Laura D’Ecclesia - 1-21 Threshold Stochastic Conditional Duration Model for Financial Transaction Data
by Zhongxian Men & Adam W. Kolkiewicz & Tony S. Wirjanto - 1-26 The Effect of Diversification under Different Ownership Structures and Economic Conditions: Evidence from the Great Recession
by Ivonne A. Liebenberg & Zhilu Lin - 1-28 Credit Scoring in SME Asset-Backed Securities: An Italian Case Study
by Andrea Bedin & Monica Billio & Michele Costola & Loriana Pelizzon - 1-29 Book-To-Market Decomposition, Net Share Issuance, and the Cross Section of Global Stock Returns
by Douglas W. Blackburn & Nusret Cakici - 1-30 Examination and Modification of Multi-Factor Model in Explaining Stock Excess Return with Hybrid Approach in Empirical Study of Chinese Stock Market
by Jian Huang & Huazhang Liu
March 2019, Volume 12, Issue 2
- 1-13 Abnormal Returns or Mismeasured Risk? Network Effects and Risk Spillover in Stock Returns
by Arnab Bhattacharjee & Sudipto Roy
March 2019, Volume 12, Issue 1
- 1-12 What Factors Affect Income Inequality and Economic Growth in Middle-Income Countries?
by Duc Hong Vo & Thang Cong Nguyen & Ngoc Phu Tran & Anh The Vo - 1-14 Effects of Global Oil Price on Exchange Rate, Trade Balance, and Reserves in Nigeria: A Frequency Domain Causality Approach
by D. O. Olayungbo - 1-14 Monetary Policy, Cash Flow and Corporate Investment: Empirical Evidence from Vietnam
by Linh My Tran & Chi Hong Mai & Phuoc Huu Le & Chi Linh Vu Bui & Linh Viet Phuong Nguyen & Toan Luu Duc Huynh - 1-14 Herding in Smart-Beta Investment Products
by Eduard Krkoska & Klaus Reiner Schenk-Hoppé - 1-16 The Role of Entrepreneurial Strategy, Network Ties, Human and Financial Capital in New Venture Performance
by Najib Ullah Khan & Shuangjie Li & Muhammad Nabeel Safdar & Zia Ullah Khan - 1-16 Insomnia: An Important Antecedent Impacting Entrepreneurs’ Health
by Ludvig Levasseur & Jintong Tang & Masoud Karami - 1-17 The Impact of Corporate Diversification and Financial Structure on Firm Performance: Evidence from South Asian Countries
by Rashid Mehmood & Ahmed Imran Hunjra & Muhammad Irfan Chani - 1-19 Asymmetric Mean Reversion in Low Liquid Markets: Evidence from BRVM
by Nathaniel Gbenro & Richard Kouamé Moussa - 1-21 News Co-Occurrences, Stock Return Correlations, and Portfolio Construction Implications
by Yi Tang & Yilu Zhou & Marshall Hong - 1-27 Determining Distribution for the Quotients of Dependent and Independent Random Variables by Using Copulas
by Sel Ly & Kim-Hung Pho & Sal Ly & Wing-Keung Wong - 1-29 The Global Legal Entity Identifier System: How Can It Deliver?
by Ka Kei Chan & Alistair Milne - 1-34 Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review
by Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye
January 2019, Volume 12, Issue 1
- 1-5 Acknowledgement to Reviewers of Journal of Risk and Financial Management in 2018
by JRFM Editorial Office - 1-6 Cash Use of the Taiwan Dollar: Is It Efficient? †
by Philip Hans Franses & Max Welz - 1-9 A Divisia User Cost Interpretation of the Yield Spread Recession Prediction
by Ryan S. Mattson - 1-12 Expectations for Statistical Arbitrage in Energy Futures Markets
by Tadahiro Nakajima - 1-13 Using Unconventional Wisdom to Re-Assess and Rebuild the BRICS
by Bertrand Guillotin - 1-13 Can We Forecast Daily Oil Futures Prices? Experimental Evidence from Convolutional Neural Networks
by Zhaojie Luo & Xiaojing Cai & Katsuyuki Tanaka & Tetsuya Takiguchi & Takuji Kinkyo & Shigeyuki Hamori - 1-14 The Impact of Exchange Rate Volatility on Exports in Vietnam: A Bounds Testing Approach
by Vinh Nguyen Thi Thuy & Duong Trinh Thi Thuy - 1-14 Limitation of Financial Health Prediction in Companies from Post-Communist Countries
by Adriana Csikosova & Maria Janoskova & Katarina Culkova - 1-14 Valuation of Environmental Management Standard ISO 14001: Evidence from an Emerging Market
by Hammad Riaz & Abubakr Saeed & Muhammad Saad Baloch & Nasrullah & Zeeshan Ahmad Khan - 1-15 Trend Prediction Classification for High Frequency Bitcoin Time Series with Deep Learning
by Takuya Shintate & Lukáš Pichl - 1-16 The Role of Economic Uncertainty in UK Stock Returns
by Jun Gao & Sheng Zhu & Niall O’Sullivan & Meadhbh Sherman - 1-16 Is Window-Dressing around Going Public Beneficial? Evidence from Poland
by Joanna Lizińska & Leszek Czapiewski - 1-23 Time–Scale Relationship between Securitized Real Estate and Local Stock Markets: Some Wavelet Evidence
by Kim Hiang Liow & Xiaoxia Zhou & Qiang Li & Yuting Huang - 1-24 Determinants and Impacts of Financial Literacy in Cambodia and Viet Nam
by Peter J. Morgan & Long Q. Trinh - 1-25 Exchange Rate Volatility and Disaggregated Manufacturing Exports: Evidence from an Emerging Country
by Duc Hong Vo & Anh The Vo & Zhaoyong Zhang - 1-30 Finance and Jobs: How Financial Markets and Prudential Regulation Shape Unemployment Dynamics
by Ekkehard Ernst - 1-31 What Determines Utility of International Currencies?
by Eiji Ogawa & Makoto Muto
February 2019, Volume 12, Issue 1
- 1-11 Does the Misery Index Influence a U.S. President’s Political Re-Election Prospects?
by Bahram Adrangi & Joseph Macri - 1-14 Has ‘Too Big To Fail’ Been Solved? A Longitudinal Analysis of Major U.S. Banks
by Satish Thosar & Bradley Schwandt - 1-15 Contribution to the Valuation of BRVM’s Assets: A Conditional CAPM Approach
by Mamadou Cisse & Mamadou Konte & Mohamed Toure & Smael Afolabi Assani - 1-15 Statistical Arbitrage in Cryptocurrency Markets
by Thomas Günter Fischer & Christopher Krauss & Alexander Deinert - 1-17 Geometric No-Arbitrage Analysis in the Dynamic Financial Market with Transaction Costs
by Wanxiao Tang & Jun Zhao & Peibiao Zhao - 1-17 Predicting Micro-Enterprise Failures Using Data Mining Techniques
by Aneta Ptak-Chmielewska - 1-18 Clarifying the Response of Gold Return to Financial Indicators: An Empirical Comparative Analysis Using Ordinary Least Squares, Robust and Quantile Regressions
by Takashi Miyazaki - 1-18 The Importance of the Financial Derivatives Markets to Economic Development in the World’s Four Major Economies
by Duc Hong Vo & Son Van Huynh & Anh The Vo & Dao Thi-Thieu Ha - 1-19 Tax Competitiveness of the New EU Member States
by Askoldas Podviezko & Lyudmila Parfenova & Andrey Pugachev - 1-20 The Determinants of Sovereign Risk Premium in African Countries
by Jane Mpapalika & Christopher Malikane - 1-20 Bitcoin at High Frequency
by Leopoldo Catania & Mads Sandholdt - 1-21 Multivariate Student versus Multivariate Gaussian Regression Models with Application to Finance
by Thi Huong An Nguyen & Anne Ruiz-Gazen & Christine Thomas-Agnan & Thibault Laurent - 1-21 Effect of Corporate Governance on Institutional Investors’ Preferences: An Empirical Investigation in Taiwan
by Su-Lien Lu & Ying-Hui Li - 1-22 Growth and Debt: An Endogenous Smooth Coefficient Approach
by Mustafa Koroglu - 1-22 Developments in Risk Management in Islamic Finance: A Review
by Naseem Al Rahahleh & M. Ishaq Bhatti & Faridah Najuna Misman - 1-30 Testing Stylized Facts of Bitcoin Limit Order Books
by Matthias Schnaubelt & Jonas Rende & Christopher Krauss
December 2018, Volume 12, Issue 1
- 1-11 A Communication Theoretic Interpretation of Modern Portfolio Theory Including Short Sales, Leverage and Transaction Costs
by Giorgio Arici & Marco Dalai & Riccardo Leonardi & Arnaldo Spalvieri - 1-13 Asymmetric Effects of Policy Uncertainty on the Demand for Money in the United States
by Mohsen Bahmani-Oskooee & Majid Maki-Nayeri - 1-23 Factors, Outcome, and the Solutions of Supply Chain Finance: Review and the Future Directions
by Zericho R Marak & Deepa Pillai - 1-24 Systemic Risk Indicators Based on Nonlinear PolyModel
by Xingxing Ye & Raphael Douady
November 2018, Volume 11, Issue 4
- 1-11 Capital Allocation in Decentralized Businesses
by Stuart M. Turnbull - 1-17 The Relationship between Economic Freedom and FDI versus Economic Growth: Evidence from the GCC Countries
by Hichem Dkhili & Lassad Ben Dhiab - 1-18 Capital Adequacy, Deposit Insurance, and the Effect of Their Interaction on Bank Risk
by Seksak Jumreornvong & Chanakarn Chakreyavanich & Sirimon Treepongkaruna & Pornsit Jiraporn - 1-18 Inflation Propensity of Collatz Orbits: A New Proof-of-Work for Blockchain Applications
by Fabian Bocart - 1-18 Forecasting Volatility: Evidence from the Saudi Stock Market
by Naseem Al Rahahleh & Robert Kao - 1-19 Incorporating Credit Quality in Bank Efficiency Measurements: A Directional Distance Function Approach
by Abdul Qayyum & Khalid Riaz - 1-19 Blockchain-Based ICOs: Pure Hype or the Dawn of a New Era of Startup Financing?
by Lennart Ante & Philipp Sandner & Ingo Fiedler - 1-33 On the Rising Complexity of Bank Regulatory Capital Requirements: From Global Guidelines to their United States (US) Implementation
by James R. Barth & Stephen Matteo Miller
December 2018, Volume 11, Issue 4
- 1-11 Predicting Currency Crises: A Novel Approach Combining Random Forests and Wavelet Transform
by Lei Xu & Takuji Kinkyo & Shigeyuki Hamori - 1-12 On a New Corporate Bond Pricing Model with Potential Credit Rating Change and Stochastic Interest Rate
by Hong-Ming Yin & Jin Liang & Yuan Wu - 1-16 Friendship of Stock Market Indices: A Cluster-Based Investigation of Stock Markets
by László Nagy & Mihály Ormos - 1-16 Bank Credit and Housing Prices in China: Evidence from a TVP-VAR Model with Stochastic Volatility
by Xie He & Xiao-Jing Cai & Shigeyuki Hamori - 1-20 Contagion Risks in Emerging Stock Markets: New Evidence from Asia and Latin America
by Thi Bich Ngoc TRAN - 1-23 Assessment of Upstream Petroleum Fiscal Regimes in Myanmar
by Wint Thiri Swe & Nnaemeka Vincent Emodi
October 2018, Volume 11, Issue 4
- 1-2 Book Review for “Credit Default Swap Markets in the Global Economy” by Go Tamakoshi and Shigeyuki Hamori. Routledge: Oxford, UK, 2018; ISBN: 9781138244726
by Haifeng Xu - 1-10 Market Reactions to Supply Chain Management Excellence
by Min Shi & Wei Yu - 1-12 Volatility Spillovers Arising from the Financialization of Commodities
by Wing Hong Chan & Bryce Shelton & Yan Wendy Wu - 1-13 Forecast Combinations for Structural Breaks in Volatility: Evidence from BRICS Countries
by Davide De Gaetano - 1-13 Identification of Core Suppliers Based on E-Invoice Data Using Supervised Machine Learning
by Jung-sik Hong & Hyeongyu Yeo & Nam-Wook Cho & Taeuk Ahn - 1-15 Forecasting of Realised Volatility with the Random Forests Algorithm
by Chuong Luong & Nikolai Dokuchaev - 1-15 Insurance Risks Management Methodology
by Kartashova Olga Ivanovna & Molchanova Olga Vladimirovna & Axana Turgaeva - 1-17 A Test of Market Efficiency When Short Selling Is Prohibited: A Case of the Dhaka Stock Exchange
by Maria Sochi & Steve Swidler - 1-17 Are There Any Volatility Spill-Over Effects among Cryptocurrencies and Widely Traded Asset Classes?
by Nader Trabelsi - 1-17 Price Discovery and the Accuracy of Consolidated Data Feeds in the U.S. Equity Markets
by Brian F. Tivnan & David Slater & James R. Thompson & Tobin A. Bergen-Hill & Carl D. Burke & Shaun M. Brady & Matthew T. K. Koehler & Matthew T. McMahon & Brendan F. Tivnan & Jason G. Veneman - 1-17 Stock Market Volatility and Trading Volume: A Special Case in Hong Kong With Stock Connect Turnover
by Brian Sing Fan Chan & Andy Cheuk Hin Cheng & Alfred Ka Chun Ma - 1-18 An Analysis of Bitcoin’s Price Dynamics
by Frode Kjærland & Aras Khazal & Erlend A. Krogstad & Frans B. G. Nordstrøm & Are Oust - 1-19 Measuring Financial Fragmentation in the Euro Area Corporate Bond Market
by Guillaume Horny & Simone Manganelli & Benoit Mojon - 1-20 Systemic Approach to Management Control through Determining Factors
by Ionel Bostan & Aliona Bîrcă & Viorel Țurcanu & Christiana Brigitte Sandu - 1-22 Bond Risk Premia and Restrictions on Risk Prices
by Constantino Hevia & Martin Sola - 1-22 Risk Assessment of Housing Market Segments: The Lender’s Perspective
by Mats Wilhelmsson & Jianyu Zhao - 1-23 Between ℙ and ℚ: The ℙ ℚ Measure for Pricing in Asset Liability Management
by Marcel T. P. Van Dijk & Cornelis S. L. De Graaf & Cornelis W. Oosterlee - 1-31 Unconventional U.S. Monetary Policy: New Tools, Same Channels?
by Martin Feldkircher & Florian Huber
September 2018, Volume 11, Issue 4
- 1-18 Modeling the Dependence Structure of Share Prices among Three Chinese City Banks
by Guizhou Liu & Xiao-Jing Cai & Shigeyuki Hamori - 1-25 Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK
by Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer
September 2018, Volume 11, Issue 3
- 1-14 Insider Trading and Institutional Holdings in Seasoned Equity Offerings
by Ching-Chih Wu & Tung-Hsiao Yang - 1-16 U.K. House Prices: Bubbles or Market Efficiency? Evidence from Regional Analysis
by Yi Wu & Nicole Lux - 1-23 Take Profit and Stop Loss Trading Strategies Comparison in Combination with an MACD Trading System
by Dimitrios Vezeris & Themistoklis Kyrgos & Christos Schinas - 1-24 Challenges and Vulnerabilities on Public Finance Sustainability. A Romanian Case Study
by Ionel Bostan & Carmen Toderașcu & Anca Florentina Gavriluţă (Vatamanu) - 1-29 Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis
by Mark J. Jensen & John M. Maheu
July 2018, Volume 11, Issue 3
- 1-11 Risk Culture and the Role Model of the Honorable Merchant
by Jürgen Bott & Udo Milkau - 1-13 Bidding Behavior in the Housing Market under Different Market Regimes
by Jon Olaf Olaussen & Are Oust & Ole Jakob Sønstebø - 1-14 Greenhouse Emissions and Productivity Growth
by Pantelis Kalaitzidakis & Theofanis P. Mamuneas & Thanasis Stengos - 1-17 Nonlinear Time Series Modeling: A Unified Perspective, Algorithm and Application
by Subhadeep Mukhopadhyay & Emanuel Parzen - 1-18 Hedonic Price Function for Residential Area Focusing on the Reasons for Residential Preferences in Japanese Metropolitan Areas
by Mitsuru Sasaki & Kayoko Yamamoto - 1-18 Housing Market Bubbles and Mortgage Contract Design: Implications for Mortgage Lenders and Households
by Geoffrey Poitras & Giovanna Zanotti - 1-20 How Informative Are Earnings Forecasts? †
by Bert De Bruijn & Philip Hans Franses
June 2018, Volume 11, Issue 3
- 1-8 Dynamic Linkages between Japan’s Foreign Exchange and Stock Markets: Response to the Brexit Referendum and the 2016 U.S. Presidential Election
by Mirzosaid Sultonov & Shahzadah Nayyar Jehan - 1-14 Determinants of Stock Market Co-Movements between Pakistan and Asian Emerging Economies
by Muhammad Aamir & Syed Zulfiqar Ali Shah - 1-15 Corporate Derivatives and Ownership Concentration: Empirical Evidence of Non-Financial Firms Listed on Pakistan Stock Exchange
by Affaf Asghar Butt & Main Sajid Nazir & Hamera Arshad & Aamer Shahzad - 1-16 What Makes Management Control Information Useful in Buyer–Supplier Relationships?
by Juan Manuel Ramon-Jeronimo & Raquel Florez-Lopez - 1-17 Enterprise Risk Management Practices and Firm Performance, the Mediating Role of Competitive Advantage and the Moderating Role of Financial Literacy
by Songling Yang & Muhammad Ishtiaq & Muhammad Anwar
August 2018, Volume 11, Issue 3
- 1-10 Nonparametric Estimation of a Conditional Quantile Function in a Fixed Effects Panel Data Model
by Karen X. Yan & Qi Li - 1-13 Financial Development and Countries’ Production Efficiency: A Nonparametric Analysis
by Nickolaos G. Tzeremes - 1-13 Asymmetrical Linkages between Foreign Exchange and Stock Markets: Empirical Evidence through Linear and Non-Linear ARDL
by Rabia Luqman & Rehana Kouser - 1-15 Monte Carlo Comparison for Nonparametric Threshold Estimators
by Chaoyi Chen & Yiguo Sun - 1-16 Financial Risk Disclosure and Financial Attributes among Publicly Traded Manufacturing Companies: Evidence from Bangladesh
by Ripon Kumar Dey & Syed Zabid Hossain & Zabihollah Rezaee - 1-18 Do Better Political Institutions Help in Reducing Political Pressure on State-Owned Banks? Evidence from Developing Countries
by Badar Nadeem Ashraf & Sidra Arshad & Liang Yan - 1-19 Can Bitcoin Replace Gold in an Investment Portfolio?
by Irene Henriques & Perry Sadorsky - 1-22 On the Performance of Wavelet Based Unit Root Tests
by Burak Alparslan Eroğlu & Barış Soybilgen - 1-23 Stationary Threshold Vector Autoregressive Models
by Galyna Grynkiv & Lars Stentoft
June 2018, Volume 11, Issue 2
- 1-13 Customer Preferences and Implicit Tradeoffs in Accident Scenarios for Self-Driving Vehicle Algorithms
by Carlo Pugnetti & Remo Schläpfer - 1-19 Best Fitting Fat Tail Distribution for the Volatilities of Energy Futures: Gev, Gat and Stable Distributions in GARCH and APARCH Models
by Samet Gunay & Audil Rashid Khaki - 1-20 Leverage and Volatility Feedback Effects and Conditional Dependence Index: A Nonparametric Study
by Yiguo Sun & Ximing Wu
May 2018, Volume 11, Issue 2
- 1-12 Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis
by Christian Conrad & Anessa Custovic & Eric Ghysels - 1-12 Mean-Variance Portfolio Selection in a Jump-Diffusion Financial Market with Common Shock Dependence
by Yingxu Tian & Zhongyang Sun - 1-16 Credit Ratings and Liquidity Risk for the Optimization of Debt Maturity Structure
by Faiza Sajjad & Muhammad Zakaria - 1-26 Credit Rating and Pricing: Poles Apart
by Andreas Blöchlinger - 1-38 The Wolf and the Caribou: Coexistence of Decentralized Economies and Competitive Markets
by Andreas Freund & Danielle Stanko
April 2018, Volume 11, Issue 2
- 1-2 Editorial Note: Review Papers for Journal of Risk and Financial Management (JRFM)
by Michael McAleer - 1-10 Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets
by Yuki Toyoshima - 1-10 Investigation of the Financial Stability of S&P 500 Using Realized Volatility and Stock Returns Distribution
by Nahida Akter & Ashadun Nobi - 1-11 Exchange Rate Effects on International Commercial Trade Competitiveness
by Ionel Bostan & Carmen Toderașcu (Sandu) & Bogdan-Narcis Firtescu - 1-20 Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH
by Paul Bui Quang & Tony Klein & Nam H. Nguyen & Thomas Walther
March 2018, Volume 11, Issue 2
- 1-25 Contagion Effect of Natural Disaster and Financial Crisis Events on International Stock Markets
by Kuo-Jung Lee & Su-Lien Lu & You Shih - 1-31 Equity Options During the Shorting Ban of 2008
by Nusret Cakici & Gautam Goswami & Sinan Tan
February 2018, Volume 11, Issue 1
- 1-11 Effectiveness of Interest Rate Policy of the Fed in Management of Subprime Mortgage Crisis
by Samet Gunay & Bojan Georgievski - 1-14 A New Generalization of the Pareto Distribution and Its Application to Insurance Data
by Mohamed E. Ghitany & Emilio Gómez-Déniz & Saralees Nadarajah - 1-15 Variance Swap Replication: Discrete or Continuous?
by Fabien Le Floc’h
January 2018, Volume 11, Issue 1
- 1-2 Acknowledgement to Reviewers of Journal of Risk and Financial Management in 2017
by JRFM Editorial Office - 1-6 Modified Stieltjes Transform and Generalized Convolutions of Probability Distributions
by Lev B. Klebanov & Rasool Roozegar - 1-13 Does the Assumption on Innovation Process Play an Important Role for Filtered Historical Simulation Model?
by Emrah Altun & Huseyin Tatlidil & Gamze Ozel & Saralees Nadarajah - 1-13 Estimation of Cross-Lingual News Similarities Using Text-Mining Methods
by Zhouhao Wang & Enda Liu & Hiroki Sakaji & Tomoki Ito & Kiyoshi Izumi & Kota Tsubouchi & Tatsuo Yamashita - 1-14 Negative Binomial Kumaraswamy-G Cure Rate Regression Model
by Amanda D’Andrea & Ricardo Rocha & Vera Tomazella & Francisco Louzada
March 2018, Volume 11, Issue 1
- 1-12 Hierarchical Transmuted Log-Logistic Model: A Subjective Bayesian Analysis
by Carlos A. Dos Santos & Daniele C. T. Granzotto & Vera L. D. Tomazella & Francisco Louzada - 1-14 Ensemble Learning or Deep Learning? Application to Default Risk Analysis
by Shigeyuki Hamori & Minami Kawai & Takahiro Kume & Yuji Murakami & Chikara Watanabe - 1-29 Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections
by Chia-Lin Chang & Michael McAleer & Wing-Keung Wong - 1-31 Groups, Pricing, and Cost of Debt: Evidence from Turkey
by A. Melih Küllü & Steven Raymar
December 2017, Volume 11, Issue 1
- 1-15 FHA Loans in Foreclosure Proceedings: Distinguishing Sources of Interdependence in Competing Risks
by Ran Deng & Shermineh Haghani - 1-16 The Burr X Pareto Distribution: Properties, Applications and VaR Estimation
by Mustafa Ç. Korkmaz & Emrah Altun & Haitham M. Yousof & Ahmed Z. Afify & Saralees Nadarajah - 1-41 Models of Investor Forecasting Behavior — Experimental Evidence
by Federico Bonetto & Vinod Cheriyan & Anton J. Kleywegt
November 2017, Volume 10, Issue 4
- 1-11 Recovering Historical Inflation Data from Postage Stamps Prices
by Philip Hans Franses & Eva Janssens - 1-13 Bivariate Kumaraswamy Models via Modified FGM Copulas: Properties and Applications
by Indranil Ghosh - 1-17 Intelligent Decision Support in Proportional–Stop-Loss Reinsurance Using Multiple Attribute Decision-Making (MADM)
by Shirley Jie Xuan Wang & Kim Leng Poh - 1-19 A Risk Management Approach for a Sustainable Cloud Migration
by Alifah Aida Lope Abdul Rahman & Shareeful Islam & Christos Kalloniatis & Stefanos Gritzalis
October 2017, Volume 10, Issue 4
- 1-11 Financial Market Integration: Evidence from Cross-Listed French Firms
by Mohamed Mehanaoui - 1-15 GARCH Modelling of Cryptocurrencies
by Jeffrey Chu & Stephen Chan & Saralees Nadarajah & Joerg Osterrieder