JRFM

2008 - 2025

Current editor(s): Ms. Chelthy Cheng

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Volume 11, issue 4, 2018

Capital Allocation in Decentralized Businesses pp. 1-11

Stuart M. Turnbull

Predicting Currency Crises: A Novel Approach Combining Random Forests and Wavelet Transform pp. 1-11

Lei Xu, Takuji Kinkyo and Shigeyuki Hamori

A Test of Market Efficiency When Short Selling Is Prohibited: A Case of the Dhaka Stock Exchange pp. 1-17

Maria Sochi and Steve Swidler

Are There Any Volatility Spill-Over Effects among Cryptocurrencies and Widely Traded Asset Classes? pp. 1-17

Nader Trabelsi

Price Discovery and the Accuracy of Consolidated Data Feeds in the U.S. Equity Markets pp. 1-17

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

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

Hichem Dkhili and Lassad Dhiab

Unconventional U.S. Monetary Policy: New Tools, Same Channels? pp. 1-31

Martin Feldkircher and Florian Huber

Between ? and ?: The ? ? Measure for Pricing in Asset Liability Management pp. 1-23

Marcel T. P. Van Dijk, Cornelis S. L. De Graaf and Cornelis Oosterlee

Assessment of Upstream Petroleum Fiscal Regimes in Myanmar pp. 1-23

Wint Thiri Swe and Nnaemeka Vincent Emodi

Bond Risk Premia and Restrictions on Risk Prices pp. 1-22

Constantino Hevia and Martin Sola

Risk Assessment of Housing Market Segments: The Lender’s Perspective pp. 1-22

Mats Wilhelmsson and Jianyu Zhao

Modeling the Dependence Structure of Share Prices among Three Chinese City Banks pp. 1-18

Guizhou Liu, Xiao-Jing Cai and Shigeyuki Hamori

An Analysis of Bitcoin’s Price Dynamics pp. 1-18

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

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

Fabian Bocart

Forecasting Volatility: Evidence from the Saudi Stock Market pp. 1-18

Naseem Al Rahahleh and Robert Kao

Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK pp. 1-25

Chia-Lin Chang, Tai-Lin Hsieh and Michael McAleer

Market Reactions to Supply Chain Management Excellence pp. 1-10

Min Shi and Wei Yu

Friendship of Stock Market Indices: A Cluster-Based Investigation of Stock Markets pp. 1-16

László Nagy and Mihály Ormos

Bank Credit and Housing Prices in China: Evidence from a TVP-VAR Model with Stochastic Volatility pp. 1-16

Xie He, Xiao-Jing Cai and Shigeyuki Hamori

Systemic Approach to Management Control through Determining Factors pp. 1-20

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

Thi Bich Ngoc Tran

Measuring Financial Fragmentation in the Euro Area Corporate Bond Market pp. 1-19

Guillaume Horny, Simone Manganelli and Benoit Mojon

Incorporating Credit Quality in Bank Efficiency Measurements: A Directional Distance Function Approach pp. 1-19

Abdul Qayyum and Khalid Riaz

Blockchain-Based ICOs: Pure Hype or the Dawn of a New Era of Startup Financing? pp. 1-19

Lennart Ante, Philipp Sandner and Ingo Fiedler

Forecasting of Realised Volatility with the Random Forests Algorithm pp. 1-15

Chuong Luong and Nikolai Dokuchaev

Insurance Risks Management Methodology pp. 1-15

Kartashova Olga Ivanovna, Molchanova Olga Vladimirovna and Axana Turgaeva

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

Haifeng Xu

Volatility Spillovers Arising from the Financialization of Commodities pp. 1-12

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

Hong-Ming Yin, Jin Liang and Yuan Wu

On the Rising Complexity of Bank Regulatory Capital Requirements: From Global Guidelines to their United States (US) Implementation pp. 1-33

James Barth and Stephen Matteo Miller

Forecast Combinations for Structural Breaks in Volatility: Evidence from BRICS Countries pp. 1-13

Davide De Gaetano

Identification of Core Suppliers Based on E-Invoice Data Using Supervised Machine Learning pp. 1-13

Jung-sik Hong, Hyeongyu Yeo, Nam-Wook Cho and Taeuk Ahn

Volume 11, issue 3, 2018

Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis pp. 1-29

Mark Jensen and John Maheu

Nonparametric Estimation of a Conditional Quantile Function in a Fixed Effects Panel Data Model pp. 1-10

Karen Yan and Qi Li

Challenges and Vulnerabilities on Public Finance Sustainability. A Romanian Case Study pp. 1-24

Ionel Bostan, Carmen Toderașcu and Anca Florentina Gavriluţă (Vatamanu)

Stationary Threshold Vector Autoregressive Models pp. 1-23

Galyna Grynkiv and Lars Stentoft

Take Profit and Stop Loss Trading Strategies Comparison in Combination with an MACD Trading System pp. 1-23

Dimitrios Vezeris, Themistoklis Kyrgos and Christos Schinas

Enterprise Risk Management Practices and Firm Performance, the Mediating Role of Competitive Advantage and the Moderating Role of Financial Literacy pp. 1-17

Songling Yang, Muhammad Ishtiaq and Muhammad Anwar

Nonlinear Time Series Modeling: A Unified Perspective, Algorithm and Application pp. 1-17

Subhadeep Mukhopadhyay and Emanuel Parzen

Risk Culture and the Role Model of the Honorable Merchant pp. 1-11

Jürgen Bott and Udo Milkau

Hedonic Price Function for Residential Area Focusing on the Reasons for Residential Preferences in Japanese Metropolitan Areas pp. 1-18

Mitsuru Sasaki and Kayoko Yamamoto

Housing Market Bubbles and Mortgage Contract Design: Implications for Mortgage Lenders and Households pp. 1-18

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

Badar Nadeem Ashraf, Sidra Arshad and Liang Yan

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

Mirzosaid Sultonov and Shahzadah Jehan

On the Performance of Wavelet Based Unit Root Tests pp. 1-22

Burak Alparslan Eroğlu and Barış Soybilgen

Bidding Behavior in the Housing Market under Different Market Regimes pp. 1-13

Jon Olaf Olaussen, Are Oust and Ole Jakob Sønstebø

Financial Development and Countries’ Production Efficiency: A Nonparametric Analysis pp. 1-13

Nickolaos G. Tzeremes

Asymmetrical Linkages between Foreign Exchange and Stock Markets: Empirical Evidence through Linear and Non-Linear ARDL pp. 1-13

Rabia Luqman and Rehana Kouser

Determinants of Stock Market Co-Movements between Pakistan and Asian Emerging Economies pp. 1-14

Muhammad Aamir and Syed Zulfiqar Ali Shah

Greenhouse Emissions and Productivity Growth pp. 1-14

Pantelis Kalaitzidakis, Theofanis Mamuneas and Thanasis Stengos

Insider Trading and Institutional Holdings in Seasoned Equity Offerings pp. 1-14

Ching-Chih Wu and Tung-Hsiao Yang

What Makes Management Control Information Useful in Buyer–Supplier Relationships? pp. 1-16

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

Ripon Kumar Dey, Syed Zabid Hossain and Zabihollah Rezaee

U.K. House Prices: Bubbles or Market Efficiency? Evidence from Regional Analysis pp. 1-16

Yi Wu and Nicole Lux

Can Bitcoin Replace Gold in an Investment Portfolio? pp. 1-19

Irene Henriques and Perry Sadorsky

Corporate Derivatives and Ownership Concentration: Empirical Evidence of Non-Financial Firms Listed on Pakistan Stock Exchange pp. 1-15

Affaf Asghar Butt, Main Sajid Nazir, Hamera Arshad and Aamer Shahzad

Monte Carlo Comparison for Nonparametric Threshold Estimators pp. 1-15

Chaoyi Chen and Yiguo Sun

How Informative Are Earnings Forecasts? † pp. 1-20

Bert De Bruijn and Philip Hans Franses

Volume 11, issue 2, 2018

Customer Preferences and Implicit Tradeoffs in Accident Scenarios for Self-Driving Vehicle Algorithms pp. 1-13

Carlo Pugnetti and Remo Schläpfer

Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis pp. 1-12

Christian Conrad, Anessa Custovic and Eric Ghysels

Mean-Variance Portfolio Selection in a Jump-Diffusion Financial Market with Common Shock Dependence pp. 1-12

Yingxu Tian and Zhongyang Sun

Editorial Note: Review Papers for Journal of Risk and Financial Management (JRFM) pp. 1-2

Michael McAleer

Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH pp. 1-20

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

Yiguo Sun and Ximing Wu

Best Fitting Fat Tail Distribution for the Volatilities of Energy Futures: Gev, Gat and Stable Distributions in GARCH and APARCH Models pp. 1-19

Samet Gunay and Audil Rashid Khaki

Credit Ratings and Liquidity Risk for the Optimization of Debt Maturity Structure pp. 1-16

Faiza Sajjad and Muhammad Zakaria

Credit Rating and Pricing: Poles Apart pp. 1-26

Andreas Blöchlinger

Contagion Effect of Natural Disaster and Financial Crisis Events on International Stock Markets pp. 1-25

Kuo-Jung Lee, Su-Lien Lu and You Shih

Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets pp. 1-10

Yuki Toyoshima

Investigation of the Financial Stability of S&P 500 Using Realized Volatility and Stock Returns Distribution pp. 1-10

Nahida Akter and Ashadun Nobi

The Wolf and the Caribou: Coexistence of Decentralized Economies and Competitive Markets pp. 1-38

Andreas Freund and Danielle Stanko

Equity Options During the Shorting Ban of 2008 pp. 1-31

Nusret Cakici, Gautam Goswami and Sinan Tan

Exchange Rate Effects on International Commercial Trade Competitiveness pp. 1-11

Ionel Bostan, Carmen Toderașcu (Sandu) and Bogdan Firtescu

Volume 11, issue 1, 2018

Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections pp. 1-29

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

Samet Gunay and Bojan Georgievski

Modified Stieltjes Transform and Generalized Convolutions of Probability Distributions pp. 1-6

Lev B. Klebanov and Rasool Roozegar

Groups, Pricing, and Cost of Debt: Evidence from Turkey pp. 1-31

A. Melih Küllü and Steven Raymar

Hierarchical Transmuted Log-Logistic Model: A Subjective Bayesian Analysis pp. 1-12

Carlos A. Dos Santos, Daniele C. T. Granzotto, Vera L. D. Tomazella and Francisco Louzada

Does the Assumption on Innovation Process Play an Important Role for Filtered Historical Simulation Model? pp. 1-13

Emrah Altun, Huseyin Tatlidil, Gamze Ozel and Saralees Nadarajah

Estimation of Cross-Lingual News Similarities Using Text-Mining Methods pp. 1-13

Zhouhao Wang, Enda Liu, Hiroki Sakaji, Tomoki Ito, Kiyoshi Izumi, Kota Tsubouchi and Tatsuo Yamashita

A New Generalization of the Pareto Distribution and Its Application to Insurance Data pp. 1-14

Mohamed E. Ghitany, Emilio Gómez-Déniz and Saralees Nadarajah

Ensemble Learning or Deep Learning? Application to Default Risk Analysis pp. 1-14

Shigeyuki Hamori, Minami Kawai, Takahiro Kume, Yuji Murakami and Chikara Watanabe

Negative Binomial Kumaraswamy-G Cure Rate Regression Model pp. 1-14

Amanda D’Andrea, Ricardo Rocha, Vera Tomazella and Francisco Louzada

The Burr X Pareto Distribution: Properties, Applications and VaR Estimation pp. 1-16

Mustafa Ç. Korkmaz, Emrah Altun, Haitham M. Yousof, Ahmed Z. Afify and Saralees Nadarajah

FHA Loans in Foreclosure Proceedings: Distinguishing Sources of Interdependence in Competing Risks pp. 1-15

Ran Deng and Shermineh Haghani

Variance Swap Replication: Discrete or Continuous? pp. 1-15

Fabien Le Floc’h

Acknowledgement to Reviewers of Journal of Risk and Financial Management in 2017 pp. 1-2

Editorial Office Jrfm

Models of Investor Forecasting Behavior — Experimental Evidence pp. 1-41

Federico Bonetto, Vinod Cheriyan and Anton J. Kleywegt