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Journal of Risk and Financial Management, Volume 13, Issue 3

March 2020 - 23 articles

Cover Story: In this paper, we propose a modified local risk-neutral valuation relationship (mLRNVR) for the GARCH option-pricing models. In our mLRNVR, the conditional variances under two measures are designed to be different, and the variance process is more persistent in the risk-neutral measure than in the physical one, so that one is able to capture the variance risk premium. Empirical estimation exercises have shown that the GARCH option-pricing models under our mLRNVR are able to price the SPX one-month variance swap rate, i.e., VIX, accurately. Our research suggests that one should use our mLRNVR when pricing options with GARCH models. View this paper.

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Article

10 Citations

7,722 Views

21 Pages

Safe-Haven Assets, Financial Crises, and Macroeconomic Variables: Evidence from the Last Two Decades (2000–2018)

Marco Tronzano

J. Risk Financial Manag.2020, 13(3), 40;https://doi.org/10.3390/jrfm13030040

28 February 2020

This paper focuses on three “safe haven” assets (gold, oil, and the Swiss Franc) and examines the impact of recent financial crises and some macroeconomic variables on their return co-movements during the last two decades. All financial c...

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Article

12 Citations

5,284 Views

10 Pages

Mainstreaming Global Sustainable Development Goals through the UN Global Compact: The Case of Visegrad Countries

Štěpánka Zemanová and
Radka Druláková

J. Risk Financial Manag.2020, 13(3), 41;https://doi.org/10.3390/jrfm13030041

28 February 2020

Since 2016, the United Nations Global Compact (UNGC), one of the most prominent worldwide corporate social responsibility and sustainability initiatives, has been linked to the Sustainable Development Goals (SDGs). However, despite the enormous schol...

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Article

22 Citations

7,023 Views

38 Pages

Crowdfunding in a Competitive Environment

Anton Miglo

J. Risk Financial Manag.2020, 13(3), 39;https://doi.org/10.3390/jrfm13030039

25 February 2020

Crowdfunding has mostly been used to finance very unique projects. Recently, however, companies have begun using it to finance more traditional products where they compete against other sellers of similar products. Major crowdfunding platforms, Kicks...

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J. Risk Financial Manag. - ISSN 1911-8074

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