JRFM

2008 - 2025

Current editor(s): Ms. Chelthy Cheng

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Exact Fit of Simple Finite Mixture Models pp. 1-15: Dirk Tasche
Risk Management of Interest Rate Derivative Portfolios: A Stochastic Control Approach pp. 1-20: Konstantinos Kiriakopoulos and Alexandros Koulis

Report on the Fifth International Mathematics in Finance (MiF) Conference 2014, Skukuza, Kruger National Park, South Africa pp. 1-3: Michael McAleer
Risk Measures and Portfolio Optimization pp. 1-17: Priscilla Serwaa Nkyira Gambrah and Traian Adrian Pirvu

International Diversification Versus Domestic Diversification: Mean-Variance Portfolio Optimization and Stochastic Dominance Approaches pp. 1-22: Fathi Abid, Pui Lam Leung, Mourad Mroua and Wing-Keung Wong
Asymmetric Realized Volatility Risk pp. 1-30: David Allen, Michael McAleer and Marcel Scharth
Refining Our Understanding of Beta through Quantile Regressions pp. 1-13: Allen B. Atkins and Pin T. Ng
Remuneration Committee, Board Independence and Top Executive Compensation pp. 1-17: Chii-Shyan Kuo and Shih-Ti Yu

Revisiting the Performance of MACD and RSI Oscillators pp. 1-12: Terence Tai Leung Chong, Wing-Kam Ng and Venus Liew
Validation of the Merton Distance to the Default Model under Ambiguity pp. 1-15: Wei-ling Chen and Leh-chyan So

A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500 pp. 1-25: David Allen, Michael McAleer, Robert Powell and Abhay K. Singh
Testing for a Single-Factor Stochastic Volatility in Bivariate Series pp. 1-31: Masaru Chiba and Masahito Kobayashi
Publisher’s Note: Journal of Risk and Financial Management pp. 1-2: Shu-Kun Lin
The Journal of Risk and Financial Management in Open Access pp. 1-3: Michael McAleer

Technical Efficiency and Port Competition: Revisiting the Bohai Economic Rim, China pp. 1-16: Grace Wang and Chen Gao
Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility pp. 1-37: Ping-Yu Chen, Chia-Lin Chang, Chi-Chung Chen and Michael McAleer
Stock Returns and Risk: Evidence from Quantile pp. 1-39: Thomas C. Chiang and Jiandong Li
A General Empirical Model of Hedging pp. 1-19: Moawia Alghalith and Ricardo Lalloob
The Behaviour of Small Investors in the Hong Kong Derivatives Markets: A Factor Analysis pp. 1-19: Tai-Yuen Hon

A Pseudo-Bayesian Model for Stock Returns In Financial Crises pp. 1-31: Eric S. Fung, Kin Lam, Tak Kuen Siu and Wing-Keung Wong
Periodically Collapsing Bubbles in Stock Prices Cointegrated with Broad Dividends and Macroeconomic Factors pp. 1-36: Man Fu and Prasad V. Bidarkota
Corporate Governance and Corporate Creditworthiness pp. 1-42: Dror Parnes
Use of Bayesian Estimates to determine the Volatility Parameter Input in the Black-Scholes and Binomial Option Pricing Models pp. 1-23: Shu Wing Ho, Alan Lee and Alastair Marsden
Multiperiod Hedging using Futures: Mean Reversion and the Optimal Hedging Path pp. 1-29: Vadhindran K. Rao

Soybean Futures Crush Spread Arbitrage: Trading Strategies and Market Efficiency pp. 1-34: John B. Mitchell
Hedging Performance and Multiscale Relationships in the German Electricity Spot and Futures Markets pp. 1-37: Mara Madaleno and Carlos Pinho
Are Entrepreneur-Led Companies Better? Evidence from Publicly Traded U.S. Companies: 1998-2010 pp. 1-21: Joel M. Shulman
A Mean-Variance Diagnosis of the Financial Crisis: International Diversification and Safe Havens pp. 1-21: Alexander Eptas and Lawrence Leger
Conserving Capital by Adjusting Deltas for Gamma in the Presence of Skewness pp. 1-25: Dilip B. Madan

The Nexus between Analyst Forecast Dispersion and Expected Returns Surrounding Stock Market Crashes pp. 1-19: Terence Tai Leung Chong and Xiaolei Wang
Models for Risk Aggregation and Sensitivity Analysis: An Application to Bank Economic Capital pp. 1-72: Hulusi Inanoglu and Michael Jacobs
Corporate Risk Disclosure and Corporate Governance pp. 1-24: Kaouthar Lajili
Mergers and Acquisitions (M&AS) by R&D Intensive Firms pp. 1-37: Shantanu Dutta and Vinod Kumar
China’s Stock Market Integration with a Leading Power and a Close Neighbor pp. 1-37: Zheng Yi, Chen Heng and Wing-Keung Wong

Financial Distress Comparison Across Three Global Regions pp. 1-34: Harlan D. Platt and Marjorie B. Platt
Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches pp. 1-40: Thomas C. Chiang, Hooi Hooi Lean and Wing-Keung Wong
Active Versus Passive Investing - An Analysis of UK Equity Markets, 1991-2005 pp. 1-29: Edel Barnes and M. Scott
The Intra-Industry Effects of Life Insurance Company Demutualizaton pp. 1-23: Joseph W. Meador and Emery A. Trahan
Effective Basemetal Hedging: The Optimal Hedge Ratio and Hedging Horizon pp. 1-36: Michaël Dewally and Luke Marriott