Printed from https://ideas.repec.org/s/gam/jjrfmx22.html
Content
December 2018, Volume 11, Issue 4
- 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
December 2017, Volume 10, Issue 4
- 1-16 Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
by Shelton Peiris & Manabu Asai & Michael McAleer
July 2017, Volume 10, Issue 3
- 1-18 Trade Openness and Bank Risk-Taking Behavior: Evidence from Emerging Economies
by Badar Nadeem Ashraf & Sidra Arshad & Liang Yan
August 2017, Volume 10, Issue 3
- 1-6 Global Hedging through Post-Decision State Variables
by Michèle Breton & Frédéric Godin
June 2017, Volume 10, Issue 3
- 1-21 Safety Evaluation of Evacuation Routes in Central Tokyo Assuming a Large-Scale Evacuation in Case of Earthquake Disasters
by Kayoko Yamamoto & Ximing Li
June 2017, Volume 10, Issue 2
- 1-23 OTC Derivatives and Global Economic Activity: An Empirical Analysis
by Gordon Bodnar & Jonathan Fortun & Jaime Marquez
May 2017, Volume 10, Issue 2
- 1-12 The Solvency II Standard Formula, Linear Geometry, and Diversification
by Joachim Paulusch - 1-23 A Statistical Analysis of Cryptocurrencies
by Stephen Chan & Jeffrey Chu & Saralees Nadarajah & Joerg Osterrieder
April 2017, Volume 10, Issue 2
- 1-21 An Empirical Study on the Impact of Basel III Standards on Banks’ Default Risk: The Case of Luxembourg
by Gastón Andrés Giordana & Ingmar Schumacher - 1-24 Capital Regulation, the Cost of Financial Intermediation and Bank Profitability: Evidence from Bangladesh
by Changjun Zheng & Mohammed Mizanur Rahman & Munni Begum & Badar Nadeem Ashraf - 1-24 A Risk Management Framework for Cloud Migration Decision Support
by Shareeful Islam & Stefan Fenz & Edgar Weippl & Haralambos Mouratidis
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