Journal of Risk and Financial Management — Editors

Journal Contact

JRFM Editorial Office
MDPI AG, Klybeckstrasse 64, 4057 Basel, Switzerland
Tel. +41 61 683 77 34; Fax: +41 61 302 89 18
Mr. Luca Rasetti
Managing Editor
MDPI AG, Klybeckstrasse 64, CH-4057 Basel, Switzerland


Prof. Dr. Michael McAleer
Department of Quantitative Finance, National Tsing Hua University, Hsinchu, Taiwan, and Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, Burgemeester Oudlaan 50, 3062 PA Rotterdam, The Netherlands
Interests: econometrics; financial econometrics; statistics; time series analysis; empirical finance; risk management; applied mathematics

Advisory Board

Prof. Dr. Chia-Lin Chang
Department of Applied Economics and Department of Finance, National Chung Hsing University, 250 Kuo Kuang Road, Taichung 402, Taiwan
Interests: applied econometrics; financial econometrics; energy finance; time series analysis; forecasting; empirical industrial organisation; risk management
Contribution: Special Issue: Selected Papers from the Fifth International Conference on Mathematics in Finance (MiF) 2014, Organized by North-West University, University of Cape Town and University of Johannesburg, South Africa
Prof. Dr. Raymond A.K. Cox *
University of Northern British Columbia Canada
Interests: corporate finance; investments; superstardom theory
* Founding Editor-in-Chief
Prof. Dr. Robert James Elliott
Haskayne School of Business, University of Calgary, Calgary, Alberta T2N 1N4, Canada
Website: http://
Interests: stochastic processes; american options; term structure; estimation of volatility; value at risk
Prof. Dr. Jonathan M. Karpoff
Foster School of Business, University of Washington, Seattle, WA 98195-3226, USA
Interests: corporate governance; corporate crime and punishment; corporate finance
Prof. Dr. Naoto Kunitomo
Faculty of Economics, University of Tokyo Hongo 7-3-1, Bunkyo-ku, Tokyo 113-0033, Japan
Interests: statistics; econometrics; financial econometrics
Prof. Dr. Bong-Soo Lee
Department of Finance, College of Business, Florida State University, 311 Rovette Building, Tallahassee, FL 32306-1110, USA
Interests: corporate finance; investments; empirical methods in finance; Portfolio management; money; banking; capital markets; financial economics; applied time-series econometrics; macro-monetary economics; international finance
Prof. Dr. Esfandiar Maasoumi
Department of Economics, Emory University, USA
Interests: theoretical econometrics; inequality measures; financial econometrics
Prof. Dr. Dilip B. Madan
Department of Finance, Robert H. Smith School of Business, Van Munching Hall, University of Maryland, College Park, MD 20742, USA
Interests: financial management; investments; finance theory; futures and options; mathematical finance
Prof. Dr. Stefan Mittnik
Center for Quantitative Risk Analysis (CEQURA) and Department of Statistics, Ludwig Maximilian University of Munich, Germany
Interests: statistics; econometrics; financial econometrics; quantitative finance; empirical finance; risk management; time series; volatility; forecasting
Contribution: Special Issue: Advances in Modeling Value at Risk and Expected Shortfall
Special Issue: Advances in Financial and Insurance Risk Management – Selected Papers from the Sixth CEQURA Conference, 1–2 October 2015, Munich, Germany
Prof. Dr. Kazuo Nishimura
Institute of Economic Research, Kyoto University, Japan
Interests: economic theory; mathematical economics; dynamic systems
Prof. Dr. Charles S. Tapiero
Department of Finance and Risk Engineering, Polytechnic Institute of New York University, Brooklyn, NY 11201, USA
Interests: risk assessment and analysis in finance; currency wars and international finance and economics; industrial economics in supply chain management; infrastructure investments; mathematical finance; value at risk and risk management; environmental management
Prof. Dr. Wing-Keung Wong
Department of Economics, School of Business, Hong Kong Baptist University, WLB, Shaw Campus, Kowloon Tong, Hong Kong
Interests: world stock markets; anomalies and behavioral finance; capital markets; asset pricing and Portfolio management; quantitative and computing methods; financial economics; advanced econometrics; econometrics; mathematical economics; macroeconomics; microeconomics; money and banking

Editorial Board

Prof. Dr. Moawia Alghalith
University of the West Indies, Trinidad and Tobago
Interests: stochastic analysis; PDEs; volatility; optimization; the portfolio models; options; futures
Prof. Dr. David Allen
Adjunct Professor Centre for Applied Financial Studies, UniSA, Australia
Interests: investments; market microstructure; risk modelling; financial econometrics
Prof. Dr. Manabu Asai
Faculty of Economics, Soka University, Japan
Interests: econometrics; especially times series analysis; financial econometrics; statistics; forecasting
Prof. Dr. Sabri Boubaker
Department of Finance, Economics, and Law, Champagne School of Management (Groupe ESC Troyes en Champagne), France
Interests: corporate finance; corporate governance; initial public offerings
Prof. Dr. Christian Brownlees
Department of Economics and Business, Pompeu Fabra University, Ramon Trias Fargas 25-27, Office 2-E10, 08005, Barcelona, Spain
Interests: network analysis; nonlinear time series; forecasting; statistical computing; empirical finance; financial high frequency data
Contribution: Special Issue: Econometric Analysis of Networks
Prof. Dr. Massimiliano Caporin
Affiliation Dipartimento di Scienze Economiche e Aziendali "M. Fanno" - Università degli Studi di Padova, Italy
Interests: Financial econometrics; empirical finance; GARCH models; portfolio allocation and management; market risk measurement; managed portfolios performance measurement; high frequency data analysis and trading strategies; weather derivative pricing; long-memory in economics and finance
Prof. Dr. Chung Chen
The Chinese Academy of Labor and Social Security, Policy Simulation Research Laboratory, Chinese Academy of Labor and Social Security, Beijing, China
Interests: data mining and risk management; time series modeling; forecasting methods; statistical analysis of financial models; technology management; applications of macro-econometric models; design and analysis of longitudinal data in biological research
Prof. Dr. Thomas C. Chiang
Department of Finance, Drexel University, 3141 Chestnut Street, Philadelphia, PA 19104, USA
Interests: behavioral finance; financial market volatility and risk management; global capital markets; multinational finance; time series analysis of financial series
Prof. Dr. Tai-Leung Terence Chong
Institute of Global Economics and Finance, The Chinese University of Hong Kong, Cheng Yu Tung Building, Shatin, NT, Hong Kong, China and the Department of International Economics and Trade, School of Business, Nanjing University, Anzhong Building, Hankou Road #22, Gulou District, Nanjing, Jiangsu Province, China
Interests: econometrics; econometric theory; banking and finance
Contribution: Special Issue: Financial Stability and Regulation / Basel III
Prof. Dr. Martín Egozcue
Universidad de la Republica del Uruguay, Montevideo, Uruguay
Interests: applied economics; behavioral economics; Portfolio theory; behavioral finance; financial economics; decision making under risk and uncertainty; applied management mathematics
Prof. Dr. Christopher Gan
Lincoln University Centre for International Development (LUCID), Lincoln University, Lincoln 7647, Canterbury, New Zealand
Interests: commercial banking; micro-finance; rural finance; development economics; financial economics; Asian economy
Prof. Dr. Christian Hafner
CORE and Institute of statistics, biostatistics and actuarial sciences, Université catholique de Louvain, Louvain-la-neuve, Belgium
Interests: financial econometrics
Prof. Dr. Masahito Kobayashi
Faculty of Economics, Yokohama National University, Hodogaya-ku, Yokohama 240-8501, Japan
Interests: stochastic volatility model; particle filters; survival analysis
Prof. Dr. Coenraad Labuschagne
Department of Finance and Investment Management, Faculty of Economic and Financial Sciences, University of Johannesburg, PO Box 524, Aucklandpark, Johannesburg, South Africa
Interests: mathematics; statistics; mathematics of finance; quantitative finance; investment management
Contribution: Special Issue: Selected Papers from the Fifth International Conference on Mathematics in Finance (MiF) 2014, Organized by North-West University, University of Cape Town and University of Johannesburg, South Africa
Prof. Dr. Pui Lam Leung
Department of Statistics, Room 115,1/F., Lady Shaw Building, The Chinese University of Hong Kong, Shatin, New Territories, Honk Kong
Interests: multivariate analysis; decision-theoretic estimation; data mining
Prof. Dr. Wai-Keung Li
Department of Statistics and Actuarial Science, University of Hong Kong, Hong Kong, China
Interests: theoretical and applied statistics; time series analysis; financial econometrics; empirical finance
Prof. Dr. Donald Lien
College of Business, the University of Texas at San Antonio, San Antonio, TX 78249-0631, USA
Interests: economics; development economics; finance; statistics; econometrics
Contribution: Special Issue: Financial Derivatives and Hedging
Prof. Dr. Shiqing Ling
Department of Mathematics, Hong Kong University of Science and Technology, Clear Water Bay, Hong Kong
Interests: time series analysis; asymptotic theory of econometrics; financial econometrics
Prof. Dr. Bento J. Lobo
Department of Finance, University of Tennessee at Chattanooga, 615 McCallie Avenue, Chattanooga, TN 37403, USA
Interests: domestic and international asset pricing; monetary policy effects on asset markets; political risk and globalization; behavioral finance
Prof. Dr. Joseph Macri
Department of Economics, Macquarie University, Sydney, New South Wales, Australia
Prof. Dr. Guillaume Martinet
Quantitative Research, BNP Paribas, New York
Interests: financial engineering; operations research; statistics; econometrics
Prof. Dr. Marcelo Medeiros
Department of Economics, Pontifical Catholic University of Rio de Janeiro (PUC-Rio), Brazil
Interests: econometrics; nonlinear time-series models; financial econometrics; classification and pattern recognition; electricity load forecasting
Prof. Dr. Antonio Mele
Swiss Finance Institute, University of Lugano
Interests: financial economics; financial econometrics; capital market volatility; interest rates; credit markets; macro-finance; business cycles; information in securities markets
Prof. Dr. Kazumitsu Nawata
Graduate School of Engineering, University of Tokyo
Interests: econometrics, statistics, systems engineering, risk management, health risk, risk of nuclear accidents
Prof. Dr. Christopher J. Neely
Research Division, Federal Reserve Bank of St. Louis, St. Louis, MO 63166-0442, USA
Interests: technical analysis; event studies; central bank intervention; volatility; monetary policy
Prof. Dr. Pin T. Ng
The W.A. Franke College of Business, Northern Arizona University, Flagstaff, Arizona, USA
Interests: econometric theory; applied econometrics; international trade and finance; urban and regional economics; computational statistics; computer simulations
Prof. Dr. Duc Khuong Nguyen
IPAG Business School, France, and School of Public and Environmental Affairs, Indiana University, USA
Interests: asset pricing; energy finance; financial economics; financial modeling
Prof. Dr. Yoshihiko Nishiyama
Institute of Economic Research, Kyoto University, Sakyo-ku, Kyoto 606-8501, Japan
Interests: nonparametric; semiparametric econometrics; specification testing
Prof. Dr. Marc S. Paolella
Department of Banking and Finance, University of Zurich, Zurich, Switzerland
Interests: computational statistics; volatility modeling; large-scale multivariate density prediction of financial asset returns; portfolio optimization
Contribution: Special Issue: Advances in Modeling Value at Risk and Expected Shortfall
In other journals:
Special Issue: Recent Developments of Financial Econometrics
Prof. Dr. Teodosio Perez-Amaral
Head, Department of Quantitative Economics, Complutense University of Madrid 28223, Madrid, Spain
Interests: economics of telecommunications; demand of telecommunications services; panel data econometrics; model selection in econometric models; RETINA (Relevant Transformations of the Inputs Network Approach); finance; VaR; strategies for risk communication
Prof. Dr. Kok Fai Phoon
Lee Kong Chian School of Business, Singapore Management University, 50 Stamford Road, Singapore 178899, Singapore
Prof. Dr. Daniel Preve
Department of Economics and Finance, City University of Hong Kong, Hong Kong SAR, China
Interests: computational econometrics; theoretical and applied econometrics; financial econometrics; empirical finance; time series; forecasting
Prof. Dr. Zhuo Qiao
Department of Finance and Business Economics, Faculty of Business Administration, University of Macau, Avenida Padre Tomas Pereira, Taipa, Macau, China
Interests: financial economics; macroeconomics; applied econometrics
Prof. Dr. Sanjay Ramchander
College of Business, Colorado State University, 1201 Campus Delivery, Fort Collins, CO 80523, USA
Interests: empirical asset pricing; market microstructure; business analysis and valuation; international finance
Prof. Jacky Yuk-chow So
Faculty of Business Administration, University of Macau, Avenida Padre Tomas Pereira, Taipa, Macau, China
Prof. Dr. Elvira Sojli
Finance Department, Erasmus University, Rotterdam, the Netherlands
Interests: applied financial economics; international finance; market microstructure; sovereign wealth funds
Prof. Dr. Evgueni Dmitrievich Solojentsev
Head of the Intelligent Integrated Systems Laboratory, Institute of Problems of Mechanical Engineering of Russian Academy of Sciences, Bolshoy 61, V.O., St-Petersburg 199178, Russia
Interests: management of risk at stages of design; operation in structurally-complex economical; engineering systems
Prof. Dr. Lars Stentoft
Department of Economics, University of Western Ontario, Social Science Centre Room 4071, London, Ontario, Canada, N6A 5C2
Interests: finance; financial econometrics; computational finance; econometrics
Contribution: Special Issue: Financial Risk Modeling and Forecasting
Prof. Dr. Robert Taylor
Essex Business School, Colchester, UK
Interests: econometric theory; time series; financial econometrics
Prof. Dr. Wing Wah Tham
Econometric Institute, Erasmus School of Economics, Rotterdam, the Netherlands
Interests: market microstructure; financial econometrics; empirical asset pricing; political science; statistics of causal inference
Prof. Dr. Yiu-Kuen Tse
School of Economics, Singapore Management University
Interests: actuarial sciences; statistics; financial econometrics; risk management
Prof. Dr. Hideatsu Tsukahara
Department of Economics, Seijo University, Tokyo, Japan
Interests: statistics; probability theory; financial econometrics; quantitative finance; risk management
Prof. Dr. João Paulo Torre Vieito
School of Business Studies, Polytechnic Institute of Viana do Castelo, 4930 Valença, Portugal
Interests: market efficiency; neuro economics; corporate governance
Prof. Dr. Zhijie Xiao
Department of Economics, Boston College, Chestnut Hill, MA 02467, USA
Interests: econometrics
Prof. Dr. Shih-Ti Yu
Department of Quantitative Finance, National Tsing Hua University, Taiwan
Interests: microeconometrics, financial econometrics
Dr. Xiao-Guang Yue
International Engineering and Technology Institute, Hong Kong
Interests: financial engineering
J. Risk Financial Manag. EISSN 1911-8074 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert