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Journal of Risk and Financial Management, Volume 14, Issue 4

April 2021 - 47 articles

Cover Story: We analyze market-order arrivals on the intraday market for hourly electricity deliveries in Germany in the second quarter of 2015. We model the arrivals with a Hawkes process with exponentially increasing baseline intensity and exponentially decaying excitation. Our goodness-of-fit tests indicate that the models where the intensity of each market-order type is excited at least by events of the same type are the most promising ones. The models with only self-excitation are selected most frequently. The typical jump size of self-excitation is quite large, yet rather short lived. Diurnal patterns in parameters are observable. Furthermore, contemporaneous relationships between different parameters are found. View this paper.
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Articles (47)

  • Article
  • Open Access
13 Citations
6,974 Views
18 Pages

This paper examines relative stock market performance following the onset of the coronavirus pandemic for a sample of 80 stock markets. Weekly data on coronavirus cases and deaths are employed alongside Oxford indices on each nation’s stringency and...

  • Article
  • Open Access
23 Citations
8,355 Views
16 Pages

This study explores the contrasting impacts of the COVID-19 pandemic on various industries in Australia. Considering all daily announced information, we analyzed the diverse impacts of COVID-19 on the sectoral stock returns from 26 January to 20 July...

  • Article
  • Open Access
20 Citations
8,776 Views
19 Pages

In this study, we investigated the impact of the first wave of the COVID-19 pandemic on various sectors of the Australian stock market. Market capitalization and equally weighted indices were formed for eleven Australian sectors to examine the influe...

  • Article
  • Open Access
19 Citations
3,881 Views
21 Pages

A Sustainable Economic Recycle Quantity Model for Imperfect Production System with Shortages

  • Ali AlArjani,
  • Md. Maniruzzaman Miah,
  • Md. Sharif Uddin,
  • Abu Hashan Md. Mashud,
  • Hui-Ming Wee,
  • Shib Sankar Sana and
  • Hari Mohan Srivastava

Recycling of products has a great impact on contemporary sustainable business strategies. In this study, a sustainable recycling process in a production-inventory model for an imperfect production system with a fixed ratio of recyclable defective pro...

  • Article
  • Open Access
6 Citations
5,207 Views
23 Pages

Acknowledging the role of different forms of entrepreneurship to continued economic prosper-ity and the role of institutional dimensions on entrepreneurship, this paper investigates if and to what extent a selected number of institutional dimensions...

  • Article
  • Open Access
75 Citations
16,965 Views
17 Pages

The paper aims to investigate the effects of the COVID-19 pandemic on working capital management policies among Polish small and medium-sized enterprises operating in Group Purchasing Organizations (GPOs). The results show that the firms adopted a mo...

  • Review
  • Open Access
23 Citations
13,267 Views
43 Pages

Fantastic Beasts: Blockchain Based Banking

  • Dulani Jayasuriya Daluwathumullagamage and
  • Alexandra Sims

Blockchain is one of the primary digital technologies utilised in the finance industry with huge future potential. This study conducts a systematic literature review of a final sample of 407 prior literature from an initial set of 1979 records for th...

  • Article
  • Open Access
8 Citations
6,450 Views
25 Pages

Modelling Stock Returns and Risk Management in the Shipping Industry

  • Sunil K. Mohanty,
  • Roar Aadland,
  • Sjur Westgaard,
  • Stein Frydenberg,
  • Hilde Lillienskiold and
  • Cecilie Kristensen

We estimate the impact of macroeconomic risk factors on shipping stock returns, using a quantile regression (QR) model. We regress the excess return of a portfolio for the container, dry bulk, chemical/gas, oil tanker, and diversified shipping sector...

  • Article
  • Open Access
5 Citations
4,324 Views
11 Pages

Multi-Factorized Semi-Covariance of Stock Markets and Gold Price

  • Yun Shi,
  • Lin Yang,
  • Mei Huang and
  • Jun Steed Huang

Complex models have received significant interest in recent years and are being increasingly used to explain the stochastic phenomenon with upward and downward fluctuation such as the stock market. Different from existing semi-variance methods in tra...

  • Article
  • Open Access
109 Citations
21,679 Views
13 Pages

Departing from previous studies, which have mostly focused on Western countries, our work investigates the determinants of the corporate environment, social and governance (ESG) reporting among Asian firms. Examining Asian public listed firms from 20...

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J. Risk Financial Manag. - ISSN 1911-8074