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Journal of Risk and Financial Management

2008 - 2019

Current editor(s): Prof. Dr. Michael McAleer

From MDPI, Open Access Journal
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Volume 12, issue 2, 2019

Statistical Arbitrage with Mean-Reverting Overnight Price Gaps on High-Frequency Data of the S&P 500 pp. 1-19 Downloads
Johannes Stübinger and Lucas Schneider
Spillover Risks on Cryptocurrency Markets: A Look from VAR-SVAR Granger Causality and Student’s-t Copulas pp. 1-19 Downloads
Toan Luu Duc Huynh
Determinants of Vietnamese Listed Firm Performance: Competition, Wage, CEO, Firm Size, Age, and International Trade pp. 1-19 Downloads
Thi-Hanh Vu, Nguyen Van-Duy, Tung Ho and Quan Hoang Vuong
Do Diamond Stocks Shine Brighter than Diamonds? pp. 1-19 Downloads
Vera Jotanovic and Rita Laura D’Ecclesia
What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity and (Non-) Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model pp. 1-7 Downloads
Michael McAleer
The Effect of Diversification under Different Ownership Structures and Economic Conditions: Evidence from the Great Recession pp. 1-28 Downloads
Ivonne A. Liebenberg and Zhilu Lin
Credit Scoring in SME Asset-Backed Securities: An Italian Case Study pp. 1-28 Downloads
Andrea Bedin, Monica Billio, Michele Costola and Loriana Pelizzon
Dynamic Expectation Theory: Insights for Market Participants pp. 1-14 Downloads
Bodo Herzog
Optimism in Financial Markets: Stock Market Returns and Investor Sentiments pp. 1-14 Downloads
Chiara Limongi Concetto and Francesco Ravazzolo
What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity, and (Non-) Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model pp. 1-9 Downloads
Michael McAleer
China and Special Drawing Rights—Towards a Better International Monetary System pp. 1-15 Downloads
Matthew Harrison and Geng Xiao
Multi-Period Investment Strategies under Cumulative Prospect Theory pp. 1-15 Downloads
Liurui Deng and Traian A. Pirvu
Positive Liquidity Spillovers from Sovereign Bond-Backed Securities pp. 1-25 Downloads
Peter Dunne
Does Managerial Power Increase Selective Hedging? Evidence from the Oil and Gas Industry pp. 1-18 Downloads
Håkan Jankensgård
Smoothed Maximum Score Estimation of Discrete Duration Models pp. 1-16 Downloads
Sadat Reza and Paul Rilstone
Carry Cost Rate Regimes and Futures Hedge Ratio Variation pp. 1-16 Downloads
Dean Leistikow and Ren-Raw Chen
Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market pp. 1-16 Downloads
Dzung Phan Tran Trung and Hung Pham Quang
Abnormal Returns or Mismeasured Risk? Network Effects and Risk Spillover in Stock Returns pp. 1-13 Downloads
Arnab Bhattacharjee and Sudipto Roy
Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data—Under Conditional Heteroskedasticity Framework pp. 1-13 Downloads
Shahiduzzaman Quoreshi, Reaz Uddin and Naushad Mamode Khan
Money as an Institution: Rule versus Evolved Practice? Analysis of Multiple Currencies in Argentina pp. 1-13 Downloads
Georgina M. Gómez
Should Vietnamese Banks Need More Equity? Evidence on Risk-Return Trade-Off in Dynamic Models of Banking pp. 1-13 Downloads
Dang Van Dan
The Impact of Algorithmic Trading in a Simulated Asset Market pp. 1-11 Downloads
Purba Mukerji, Christine Chung, Timothy Walsh and Bo Xiong
Sentiment-Induced Bubbles in the Cryptocurrency Market pp. 1-12 Downloads
Cathy Yi-Hsuan Chen and Christian Hafner
Do Traditional Financial Distress Prediction Models Predict the Early Warning Signs of Financial Distress? pp. 1-17 Downloads
Sumaira Ashraf, Elisabete G. S. Félix and Zélia Serrasqueiro
The Effects of the Financing Facilitation Act after the Global Financial Crisis: Has the Easing of Repayment Conditions Revived Underperforming Firms? pp. 1-17 Downloads
Nobuyoshi Yamori
A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets pp. 1-17 Downloads
Nikolaos A. Kyriazis
Equalizing Seasonal Time Series Using Artificial Neural Networks in Predicting the Euro–Yuan Exchange Rate pp. 1-17 Downloads
Marek Vochozka, Jakub Horák and Petr Šuleř
Secondary Market Liquidity and Primary Market Pricing of Corporate Bonds pp. 1-17 Downloads
Michael A. Goldstein, Edith S. Hotchkiss and David J. Pedersen
A Cointegration of the Exchange Rate and Macroeconomic Fundamentals: The Case of the Indonesian Rupiah vis-á-vis Currencies of Primary Trade Partners pp. 1-17 Downloads
Agus Salim and Kai Shi
Value-at-Risk and Models of Dependence in the U.S. Federal Crop Insurance Program pp. 1-21 Downloads
A. Ford Ramsey and Barry K. Goodwin
Arbitrage Free Approximations to Candidate Volatility Surface Quotations pp. 1-21 Downloads
Dilip B. Madan and Wim Schoutens
Threshold Stochastic Conditional Duration Model for Financial Transaction Data pp. 1-21 Downloads
Zhongxian Men, Adam W. Kolkiewicz and Tony S. Wirjanto
Managerial Self-Attribution Bias and Banks’ Future Performance: Evidence from Emerging Economies pp. 1-32 Downloads
Javid Iqbal
Nonparametric Approach to Evaluation of Economic and Social Development in the EU28 Member States by DEA Efficiency pp. 1-34 Downloads
Lukáš Melecký, Michaela Staníčková and Jana Hančlová
Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time pp. 1-31 Downloads
Vladimir Petrov, Anton Golub and Richard Olsen
Defined Contribution Pension Plans: Who Has Seen the Risk? pp. 1-27 Downloads
Peter A. Forsyth and Kenneth R. Vetzal
Intellectual Capital Performance and Profitability of Banks: Evidence from Pakistan pp. 1-26 Downloads
Muhammad Haris, HongXing Yao, Gulzara Tariq, Ali Malik and Hafiz Mustansar Javaid
Efficient Numerical Pricing of American Call Options Using Symmetry Arguments pp. 1-26 Downloads
Lars Stentoft
Spillover Effects of US QE and QE Tapering on African and Middle Eastern Stock Indices pp. 1-20 Downloads
Stephanos Papadamou, Nikolaos A. Kyriazis and Panayiotis Tzeremes
Simulation of the Grondona System of Conditional Currency Convertibility Based on Primary Commodities, Considered as a Means to Resist Currency Crises pp. 1-20 Downloads
Patrick Collins, Jameel Ahmed and Ahamed Kameel Meera

Volume 12, issue 1, 2019

Asymmetric Effects of Policy Uncertainty on the Demand for Money in the United States pp. 1-13 Downloads
Mohsen Bahmani-Oskooee and Majid Maki-Nayeri
Using Unconventional Wisdom to Re-Assess and Rebuild the BRICS pp. 1-13 Downloads
Bertrand Guillotin
Can We Forecast Daily Oil Futures Prices? Experimental Evidence from Convolutional Neural Networks pp. 1-13 Downloads
Zhaojie Luo, Xiaojing Cai, Katsuyuki Tanaka, Tetsuya Takiguchi, Takuji Kinkyo and Shigeyuki Hamori
A Communication Theoretic Interpretation of Modern Portfolio Theory Including Short Sales, Leverage and Transaction Costs pp. 1-11 Downloads
Giorgio Arici, Marco Dalai, Riccardo Leonardi and Arnaldo Spalvieri
Does the Misery Index Influence a U.S. President’s Political Re-Election Prospects? pp. 1-11 Downloads
Bahram Adrangi and Joseph Macri
Growth and Debt: An Endogenous Smooth Coefficient Approach pp. 1-22 Downloads
Mustafa Koroglu
Developments in Risk Management in Islamic Finance: A Review pp. 1-22 Downloads
Naseem Al Rahahleh, Muhammad Bhatti and Faridah Najuna Misman
Cash Use of the Taiwan Dollar: Is It Efficient? † pp. 1-6 Downloads
Philip Hans Franses and Max Welz
Expectations for Statistical Arbitrage in Energy Futures Markets pp. 1-12 Downloads
Tadahiro Nakajima
What Factors Affect Income Inequality and Economic Growth in Middle-Income Countries? pp. 1-12 Downloads
Duc Vo, Thang Nguyen, Ngoc Phu Tran and Anh Vo
Geometric No-Arbitrage Analysis in the Dynamic Financial Market with Transaction Costs pp. 1-17 Downloads
Wanxiao Tang, Jun Zhao and Peibiao Zhao
Predicting Micro-Enterprise Failures Using Data Mining Techniques pp. 1-17 Downloads
Aneta Ptak-Chmielewska
The Impact of Corporate Diversification and Financial Structure on Firm Performance: Evidence from South Asian Countries pp. 1-17 Downloads
Rashid Mehmood, Ahmed Hunjra and Muhammad Irfan Chani
Multivariate Student versus Multivariate Gaussian Regression Models with Application to Finance pp. 1-21 Downloads
Thi Huong An Nguyen, Anne Ruiz-Gazen, Christine Thomas-Agnan and Thibault Laurent
Effect of Corporate Governance on Institutional Investors’ Preferences: An Empirical Investigation in Taiwan pp. 1-21 Downloads
Su-Lien Lu and Ying-Hui Li
News Co-Occurrences, Stock Return Correlations, and Portfolio Construction Implications pp. 1-21 Downloads
Yi Tang, Yilu Zhou and Marshall Hong
Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review pp. 1-34 Downloads
Ruili Sun, Tiefeng Ma, Shuangzhe Liu and Milind Sathye
Determining Distribution for the Quotients of Dependent and Independent Random Variables by Using Copulas pp. 1-27 Downloads
Sel Ly, Kim-Hung Pho, Sal Ly and Wing-Keung Wong
What Determines Utility of International Currencies? pp. 1-31 Downloads
Eiji Ogawa and Makoto Muto
Systemic Risk Indicators Based on Nonlinear PolyModel pp. 1-24 Downloads
Xingxing Ye and Raphael Douady
Determinants and Impacts of Financial Literacy in Cambodia and Viet Nam pp. 1-24 Downloads
Peter Morgan and Long Q. Trinh
The Determinants of Sovereign Risk Premium in African Countries pp. 1-20 Downloads
Jane Mpapalika and Christopher Malikane
Bitcoin at High Frequency pp. 1-20 Downloads
Leopoldo Catania and Mads Sandholdt
Tax Competitiveness of the New EU Member States pp. 1-19 Downloads
Askoldas Podviezko, Lyudmila Parfenova and Andrey Pugachev
Asymmetric Mean Reversion in Low Liquid Markets: Evidence from BRVM pp. 1-19 Downloads
Nathaniel Gbenro and Richard Kouamé Moussa
Finance and Jobs: How Financial Markets and Prudential Regulation Shape Unemployment Dynamics pp. 1-30 Downloads
Ekkehard Ernst
Testing Stylized Facts of Bitcoin Limit Order Books pp. 1-30 Downloads
Matthias Schnaubelt, Jonas Rende and Christopher Krauss
Limitation of Financial Health Prediction in Companies from Post-Communist Countries pp. 1-14 Downloads
Adriana Csikosova, Maria Janoskova and Katarina Culkova
Valuation of Environmental Management Standard ISO 14001: Evidence from an Emerging Market pp. 1-14 Downloads
Hammad Riaz, Abubakr Saeed, Muhammad Saad Baloch, Nasrullah and Zeeshan Ahmad Khan
Has ‘Too Big To Fail’ Been Solved? A Longitudinal Analysis of Major U.S. Banks pp. 1-14 Downloads
Satish Thosar and Bradley Schwandt
Effects of Global Oil Price on Exchange Rate, Trade Balance, and Reserves in Nigeria: A Frequency Domain Causality Approach pp. 1-14 Downloads
David Olayungbo
Monetary Policy, Cash Flow and Corporate Investment: Empirical Evidence from Vietnam pp. 1-14 Downloads
Linh My Tran, Chi Hong Mai, Phuoc Huu Le, Chi Linh Vu Bui, Linh Viet Phuong Nguyen and Toan Luu Duc Huynh
Herding in Smart-Beta Investment Products pp. 1-14 Downloads
Eduard Krkoska and Klaus Schenk-Hoppé
The Impact of Exchange Rate Volatility on Exports in Vietnam: A Bounds Testing Approach pp. 1-14 Downloads
Vinh Nguyen Thi Thuy and Duong Trinh Thi Thuy
A Divisia User Cost Interpretation of the Yield Spread Recession Prediction pp. 1-9 Downloads
Ryan Mattson
Acknowledgement to Reviewers of Journal of Risk and Financial Management in 2018 pp. 1-5 Downloads
Editorial Office Jrfm
Trend Prediction Classification for High Frequency Bitcoin Time Series with Deep Learning pp. 1-15 Downloads
Takuya Shintate and Lukáš Pichl
Contribution to the Valuation of BRVM’s Assets: A Conditional CAPM Approach pp. 1-15 Downloads
Mamadou Cisse, Mamadou Konte, Mohamed Toure and Smael Afolabi Assani
Statistical Arbitrage in Cryptocurrency Markets pp. 1-15 Downloads
Thomas Günter Fischer, Christopher Krauss and Alexander Deinert
Exchange Rate Volatility and Disaggregated Manufacturing Exports: Evidence from an Emerging Country pp. 1-25 Downloads
Duc Vo, Anh Vo and Zhaoyong Zhang
Factors, Outcome, and the Solutions of Supply Chain Finance: Review and the Future Directions pp. 1-23 Downloads
Zericho R Marak and Deepa Pillai
Time–Scale Relationship between Securitized Real Estate and Local Stock Markets: Some Wavelet Evidence pp. 1-23 Downloads
Kim Liow, Xiaoxia Zhou, Qiang Li and Yuting Huang
Clarifying the Response of Gold Return to Financial Indicators: An Empirical Comparative Analysis Using Ordinary Least Squares, Robust and Quantile Regressions pp. 1-18 Downloads
Takashi Miyazaki
The Importance of the Financial Derivatives Markets to Economic Development in the World’s Four Major Economies pp. 1-18 Downloads
Duc Vo, Son Van Huynh, Anh Vo and Dao Thi-Thieu Ha
Is Window-Dressing around Going Public Beneficial? Evidence from Poland pp. 1-16 Downloads
Joanna Lizińska and Leszek Czapiewski
The Role of Entrepreneurial Strategy, Network Ties, Human and Financial Capital in New Venture Performance pp. 1-16 Downloads
Najib Ullah Khan, Shuangjie Li, Muhammad Nabeel Safdar and Zia Ullah Khan
Insomnia: An Important Antecedent Impacting Entrepreneurs’ Health pp. 1-16 Downloads
Ludvig Levasseur, Jintong Tang and Masoud Karami
The Role of Economic Uncertainty in UK Stock Returns pp. 1-16 Downloads
Jun Gao, Sheng Zhu, Niall O’Sullivan and Meadhbh Sherman
The Global Legal Entity Identifier System: How Can It Deliver? pp. 1-29 Downloads
Ka Kei Chan and Alistair Milne
Page updated 2019-05-21