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Journal of Risk and Financial Management

2008 - 2019

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

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Volume 11, issue 4, 2018

Unconventional U.S. Monetary Policy: New Tools, Same Channels? pp. 1-31 Downloads
Martin Feldkircher and Florian Huber
Volatility Spillovers Arising from the Financialization of Commodities pp. 1-12 Downloads
Wing Chan, Bryce Shelton and Yan Wendy Wu
On a New Corporate Bond Pricing Model with Potential Credit Rating Change and Stochastic Interest Rate pp. 1-12 Downloads
Hong-Ming Yin, Jin Liang and Yuan Wu
Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK pp. 1-25 Downloads
Chia-Lin Chang, Tai-Lin Hsieh and Michael McAleer
Between ℙ and ℚ: The ℙ ℚ Measure for Pricing in Asset Liability Management pp. 1-23 Downloads
Marcel T. P. Van Dijk, Cornelis S. L. De Graaf and Cornelis W. Oosterlee
Assessment of Upstream Petroleum Fiscal Regimes in Myanmar pp. 1-23 Downloads
Wint Thiri Swe and Nnaemeka Vincent Emodi
Friendship of Stock Market Indices: A Cluster-Based Investigation of Stock Markets pp. 1-16 Downloads
László Nagy and Mihály Ormos
Bank Credit and Housing Prices in China: Evidence from a TVP-VAR Model with Stochastic Volatility pp. 1-16 Downloads
Xie He, Xiao-Jing Cai and Shigeyuki Hamori
A Test of Market Efficiency When Short Selling Is Prohibited: A Case of the Dhaka Stock Exchange pp. 1-17 Downloads
Maria Sochi and Steve Swidler
Are There Any Volatility Spill-Over Effects among Cryptocurrencies and Widely Traded Asset Classes? pp. 1-17 Downloads
Nader Trabelsi
Price Discovery and the Accuracy of Consolidated Data Feeds in the U.S. Equity Markets pp. 1-17 Downloads
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 and Jason G. Veneman
Stock Market Volatility and Trading Volume: A Special Case in Hong Kong With Stock Connect Turnover pp. 1-17 Downloads
Brian Sing Fan Chan, Andy Cheuk Hin Cheng and Alfred Ka Chun Ma
The Relationship between Economic Freedom and FDI versus Economic Growth: Evidence from the GCC Countries pp. 1-17 Downloads
Hichem Dkhili and Lassad Ben Dhiab
Measuring Financial Fragmentation in the Euro Area Corporate Bond Market pp. 1-19 Downloads
Guillaume Horny, Simone Manganelli and Benoit Mojon
Incorporating Credit Quality in Bank Efficiency Measurements: A Directional Distance Function Approach pp. 1-19 Downloads
Abdul Qayyum and Khalid Riaz
Blockchain-Based ICOs: Pure Hype or the Dawn of a New Era of Startup Financing? pp. 1-19 Downloads
Lennart Ante, Philipp Sandner and Ingo Fiedler
Market Reactions to Supply Chain Management Excellence pp. 1-10 Downloads
Min Shi and Wei Yu
Forecasting of Realised Volatility with the Random Forests Algorithm pp. 1-15 Downloads
Chuong Luong and Nikolai Dokuchaev
Insurance Risks Management Methodology pp. 1-15 Downloads
Kartashova Olga Ivanovna, Molchanova Olga Vladimirovna and Axana Turgaeva
Capital Allocation in Decentralized Businesses pp. 1-11 Downloads
Stuart M. Turnbull
Predicting Currency Crises: A Novel Approach Combining Random Forests and Wavelet Transform pp. 1-11 Downloads
Lei Xu, Takuji Kinkyo and Shigeyuki Hamori
Book Review for “Credit Default Swap Markets in the Global Economy” by Go Tamakoshi and Shigeyuki Hamori. Routledge: Oxford, UK, 2018; ISBN: 9781138244726 pp. 1-2 Downloads
Haifeng Xu
Systemic Approach to Management Control through Determining Factors pp. 1-20 Downloads
Ionel Bostan, Aliona Bîrcă, Viorel Țurcanu and Christiana Brigitte Sandu
Contagion Risks in Emerging Stock Markets: New Evidence from Asia and Latin America pp. 1-20 Downloads
Thi Bich Ngoc Tran
Modeling the Dependence Structure of Share Prices among Three Chinese City Banks pp. 1-18 Downloads
Guizhou Liu, Xiao-Jing Cai and Shigeyuki Hamori
An Analysis of Bitcoin’s Price Dynamics pp. 1-18 Downloads
Frode Kjærland, Aras Khazal, Erlend A. Krogstad, Frans B. G. Nordstrøm and Are Oust
Capital Adequacy, Deposit Insurance, and the Effect of Their Interaction on Bank Risk pp. 1-18 Downloads
Seksak Jumreornvong, Chanakarn Chakreyavanich, Sirimon Treepongkaruna and Pornsit Jiraporn
Inflation Propensity of Collatz Orbits: A New Proof-of-Work for Blockchain Applications pp. 1-18 Downloads
Fabian Bocart
Forecasting Volatility: Evidence from the Saudi Stock Market pp. 1-18 Downloads
Naseem Al Rahahleh and Robert Kao
Forecast Combinations for Structural Breaks in Volatility: Evidence from BRICS Countries pp. 1-13 Downloads
Davide De Gaetano
Identification of Core Suppliers Based on E-Invoice Data Using Supervised Machine Learning pp. 1-13 Downloads
Jung-sik Hong, Hyeongyu Yeo, Nam-Wook Cho and Taeuk Ahn
On the Rising Complexity of Bank Regulatory Capital Requirements: From Global Guidelines to their United States (US) Implementation pp. 1-33 Downloads
James R. Barth and Stephen Matteo Miller
Bond Risk Premia and Restrictions on Risk Prices pp. 1-22 Downloads
Constantino Hevia and Martin Sola
Risk Assessment of Housing Market Segments: The Lender’s Perspective pp. 1-22 Downloads
Mats Wilhelmsson and Jianyu Zhao

Volume 11, issue 3, 2018

Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis pp. 1-29 Downloads
Mark Jensen and John Maheu
What Makes Management Control Information Useful in Buyer–Supplier Relationships? pp. 1-16 Downloads
Juan Manuel Ramon-Jeronimo and Raquel Florez-Lopez
Financial Risk Disclosure and Financial Attributes among Publicly Traded Manufacturing Companies: Evidence from Bangladesh pp. 1-16 Downloads
Ripon Kumar Dey, Syed Zabid Hossain and Zabihollah Rezaee
U.K. House Prices: Bubbles or Market Efficiency? Evidence from Regional Analysis pp. 1-16 Downloads
Yi Wu and Nicole Lux
Enterprise Risk Management Practices and Firm Performance, the Mediating Role of Competitive Advantage and the Moderating Role of Financial Literacy pp. 1-17 Downloads
Songling Yang, Muhammad Ishtiaq and Muhammad Anwar
Nonlinear Time Series Modeling: A Unified Perspective, Algorithm and Application pp. 1-17 Downloads
Subhadeep Mukhopadhyay and Emanuel Parzen
Determinants of Stock Market Co-Movements between Pakistan and Asian Emerging Economies pp. 1-14 Downloads
Muhammad Aamir and Syed Zulfiqar Ali Shah
Greenhouse Emissions and Productivity Growth pp. 1-14 Downloads
Pantelis Kalaitzidakis, Theofanis P. Mamuneas and Thanasis Stengos
Insider Trading and Institutional Holdings in Seasoned Equity Offerings pp. 1-14 Downloads
Ching-Chih Wu and Tung-Hsiao Yang
Stationary Threshold Vector Autoregressive Models pp. 1-23 Downloads
Galyna Grynkiv and Lars Stentoft
Take Profit and Stop Loss Trading Strategies Comparison in Combination with an MACD Trading System pp. 1-23 Downloads
Dimitrios Vezeris, Themistoklis Kyrgos and Christos Schinas
Challenges and Vulnerabilities on Public Finance Sustainability. A Romanian Case Study pp. 1-24 Downloads
Ionel Bostan, Carmen Toderașcu and Anca Florentina Gavriluţă (Vatamanu)
Corporate Derivatives and Ownership Concentration: Empirical Evidence of Non-Financial Firms Listed on Pakistan Stock Exchange pp. 1-15 Downloads
Affaf Asghar Butt, Main Sajid Nazir, Hamera Arshad and Aamer Shahzad
Monte Carlo Comparison for Nonparametric Threshold Estimators pp. 1-15 Downloads
Chaoyi Chen and Yiguo Sun
Risk Culture and the Role Model of the Honorable Merchant pp. 1-11 Downloads
Jürgen Bott and Udo Milkau
How Informative Are Earnings Forecasts? † pp. 1-20 Downloads
Bert De Bruijn and Philip Hans Franses
Dynamic Linkages between Japan’s Foreign Exchange and Stock Markets: Response to the Brexit Referendum and the 2016 U.S. Presidential Election pp. 1-8 Downloads
Mirzosaid Sultonov and Shahzadah Nayyar Jehan
Can Bitcoin Replace Gold in an Investment Portfolio? pp. 1-19 Downloads
Irene Henriques and Perry Sadorsky
Nonparametric Estimation of a Conditional Quantile Function in a Fixed Effects Panel Data Model pp. 1-10 Downloads
Karen X. Yan and Qi Li
Bidding Behavior in the Housing Market under Different Market Regimes pp. 1-13 Downloads
Jon Olaf Olaussen, Are Oust and Ole Jakob Sønstebø
Financial Development and Countries’ Production Efficiency: A Nonparametric Analysis pp. 1-13 Downloads
Nickolaos Tzeremes
Asymmetrical Linkages between Foreign Exchange and Stock Markets: Empirical Evidence through Linear and Non-Linear ARDL pp. 1-13 Downloads
Rabia Luqman and Rehana Kouser
On the Performance of Wavelet Based Unit Root Tests pp. 1-22 Downloads
Burak Alparslan Eroğlu and Barış Soybilgen
Hedonic Price Function for Residential Area Focusing on the Reasons for Residential Preferences in Japanese Metropolitan Areas pp. 1-18 Downloads
Mitsuru Sasaki and Kayoko Yamamoto
Housing Market Bubbles and Mortgage Contract Design: Implications for Mortgage Lenders and Households pp. 1-18 Downloads
Geoffrey Poitras and Giovanna Zanotti
Do Better Political Institutions Help in Reducing Political Pressure on State-Owned Banks? Evidence from Developing Countries pp. 1-18 Downloads
Badar Nadeem Ashraf, Sidra Arshad and Liang Yan

Volume 11, issue 2, 2018

Best Fitting Fat Tail Distribution for the Volatilities of Energy Futures: Gev, Gat and Stable Distributions in GARCH and APARCH Models pp. 1-19 Downloads
Samet Gunay and Audil Rashid Khaki
Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets pp. 1-10 Downloads
Yuki Toyoshima
Investigation of the Financial Stability of S&P 500 Using Realized Volatility and Stock Returns Distribution pp. 1-10 Downloads
Nahida Akter and Ashadun Nobi
Exchange Rate Effects on International Commercial Trade Competitiveness pp. 1-11 Downloads
Ionel Bostan, Carmen Toderașcu (Sandu) and Bogdan Firtescu
Editorial Note: Review Papers for Journal of Risk and Financial Management (JRFM) pp. 1-2 Downloads
Michael McAleer
Equity Options During the Shorting Ban of 2008 pp. 1-31 Downloads
Nusret Cakici, Gautam Goswami and Sinan Tan
The Wolf and the Caribou: Coexistence of Decentralized Economies and Competitive Markets pp. 1-38 Downloads
Andreas Freund and Danielle Stanko
Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH pp. 1-20 Downloads
Paul Bui Quang, Tony Klein, Nam H. Nguyen and Thomas Walther
Leverage and Volatility Feedback Effects and Conditional Dependence Index: A Nonparametric Study pp. 1-20 Downloads
Yiguo Sun and Ximing Wu
Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis pp. 1-12 Downloads
Christian Conrad, Anessa Custovic and Eric Ghysels
Mean-Variance Portfolio Selection in a Jump-Diffusion Financial Market with Common Shock Dependence pp. 1-12 Downloads
Yingxu Tian and Zhongyang Sun
Credit Rating and Pricing: Poles Apart pp. 1-26 Downloads
Andreas Blöchlinger
Contagion Effect of Natural Disaster and Financial Crisis Events on International Stock Markets pp. 1-25 Downloads
Kuo-Jung Lee, Su-Lien Lu and You Shih
Customer Preferences and Implicit Tradeoffs in Accident Scenarios for Self-Driving Vehicle Algorithms pp. 1-13 Downloads
Carlo Pugnetti and Remo Schläpfer
Credit Ratings and Liquidity Risk for the Optimization of Debt Maturity Structure pp. 1-16 Downloads
Faiza Sajjad and Muhammad Zakaria

Volume 11, issue 1, 2018

Hierarchical Transmuted Log-Logistic Model: A Subjective Bayesian Analysis pp. 1-12 Downloads
Carlos A. Dos Santos, Daniele C. T. Granzotto, Vera L. D. Tomazella and Francisco Louzada
A New Generalization of the Pareto Distribution and Its Application to Insurance Data pp. 1-14 Downloads
Mohamed E. Ghitany, Emilio Gómez-Déniz and Saralees Nadarajah
Ensemble Learning or Deep Learning? Application to Default Risk Analysis pp. 1-14 Downloads
Shigeyuki Hamori, Minami Kawai, Takahiro Kume, Yuji Murakami and Chikara Watanabe
Negative Binomial Kumaraswamy-G Cure Rate Regression Model pp. 1-14 Downloads
Amanda D’Andrea, Ricardo Rocha, Vera Tomazella and Francisco Louzada
Does the Assumption on Innovation Process Play an Important Role for Filtered Historical Simulation Model? pp. 1-13 Downloads
Emrah Altun, Huseyin Tatlidil, Gamze Ozel and Saralees Nadarajah
Estimation of Cross-Lingual News Similarities Using Text-Mining Methods pp. 1-13 Downloads
Zhouhao Wang, Enda Liu, Hiroki Sakaji, Tomoki Ito, Kiyoshi Izumi, Kota Tsubouchi and Tatsuo Yamashita
Modified Stieltjes Transform and Generalized Convolutions of Probability Distributions pp. 1-6 Downloads
Lev B. Klebanov and Rasool Roozegar
The Burr X Pareto Distribution: Properties, Applications and VaR Estimation pp. 1-16 Downloads
Mustafa Ç. Korkmaz, Emrah Altun, Haitham M. Yousof, Ahmed Z. Afify and Saralees Nadarajah
Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections pp. 1-29 Downloads
Chia-Lin Chang, Michael McAleer and Wing-Keung Wong
Effectiveness of Interest Rate Policy of the Fed in Management of Subprime Mortgage Crisis pp. 1-11 Downloads
Samet Gunay and Bojan Georgievski
FHA Loans in Foreclosure Proceedings: Distinguishing Sources of Interdependence in Competing Risks pp. 1-15 Downloads
Ran Deng and Shermineh Haghani
Variance Swap Replication: Discrete or Continuous? pp. 1-15 Downloads
Fabien Le Floc’h
Models of Investor Forecasting Behavior — Experimental Evidence pp. 1-41 Downloads
Federico Bonetto, Vinod Cheriyan and Anton J. Kleywegt
Acknowledgement to Reviewers of Journal of Risk and Financial Management in 2017 pp. 1-2 Downloads
Editorial Office Jrfm
Groups, Pricing, and Cost of Debt: Evidence from Turkey pp. 1-31 Downloads
A. Melih Küllü and Steven Raymar
Page updated 2019-05-23