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Journal of Risk and Financial Management, Volume 15, Issue 3

March 2022 - 50 articles

Cover Story: This is the first study combining both a machine learning approach and a MGARCH-BEKK to identify volatility spillover and transmission across S&P500 and the cryptocurrency market using intraday data. More importantly, the study explores the application of new GA2M technology in finance beyond classical time series approaches. We discovered a lack of interdependence in volatility, indicating a possible portfolio diversification advantage for investors. Asset allocation or hedging will be useful to portfolio managers. Our results also provide a theoretical framework for policymakers when creating regulations. View this paper
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Articles (50)

  • Article
  • Open Access
3 Citations
6,048 Views
14 Pages

In the context of Malaysian companies’ survival, the potential role of intended use of proceeds as an influential factor remains unfamiliar. This study examines the link between the intended use of IPO proceeds and the survival of 423 Malaysian...

  • Article
  • Open Access
7 Citations
6,715 Views
21 Pages

Market Misreaction? Leverage and Mergers and Acquisitions

  • C. N. V. Krishnan and
  • Vasiliy Yakimenko

Using a large database of U.S. mergers and acquisitions (M&As) announced from 2010 through 2017, we examine the effects of capital ratio (leverage) on the announcement period stock price reaction as well as on longer-term stock returns and perfor...

  • Article
  • Open Access
2 Citations
2,936 Views
19 Pages

In this paper, we present a stochastic optimal control model to optimize an insurance firm problem in the case where its cash-balance process is assumed to be described by a stochastic differential equation driven by Teugels martingales. Noticing tha...

  • Article
  • Open Access
1 Citations
3,699 Views
22 Pages

Businesses have to deal with many potential risks in the supply chain, especially during the COVID-19 pandemic. The retail market in Vietnam has great potential for long-term development with the birth and rapid development of domestic supermarkets....

  • Article
  • Open Access
6 Citations
2,790 Views
12 Pages

This paper proposes a semiparametric local polynomial estimator for modelling agricultural time-series. We consider the modelling of the crop yield variable according to determined financial risk factors in Turkey. The derivation of a semiparametric...

  • Feature Paper
  • Article
  • Open Access
11 Citations
6,565 Views
18 Pages

Monetization of the Economies as a Priority of the New Monetary Policy in the Face of Economic Sanctions

  • Svetlana Zenchenko,
  • Wadim Strielkowski,
  • Luboš Smutka,
  • Tomáš Vacek,
  • Yana Radyukova and
  • Vladislav Sutyagin

The purpose of this paper is to conduct a comparative analysis of monetization as a priority of the new monetary growth of the economies using the example of the Russian economy, identifying new trends in global practices of monetary factor managemen...

  • Article
  • Open Access
13 Citations
6,993 Views
25 Pages

COVID-19 has affected almost all sectors of the economy, including the real estate markets across different countries in the world. A rich body of literature has emerged in analyzing real estate market trends and revealing important information. Howe...

  • Article
  • Open Access
13 Citations
5,027 Views
29 Pages

The Crowdfunding of Altruism

  • Luisa Faust,
  • Maura Kolbe,
  • Sasan Mansouri and
  • Paul P. Momtaz

This paper introduces a machine learning approach to quantify altruism from the linguistic style of textual documents. We apply our method to a central question in (social) entrepreneurship: How does altruism impact entrepreneurial success? Specifica...

  • Article
  • Open Access
5 Citations
4,506 Views
23 Pages

Further Tests of the ZCAPM Asset Pricing Model

  • James W. Kolari,
  • Jianhua Z. Huang,
  • Wei Liu and
  • Huiling Liao

In a recent book, Kolari et al. developed a new theoretical capital asset pricing model dubbed the ZCAPM. Based on out-of-sample cross-sectional tests using U.S. stocks, the ZCAPM consistently outperformed well-known multifactor models popular in the...

  • Article
  • Open Access
34 Citations
6,759 Views
21 Pages

Influence of Senior Executives Characteristics on Corporate Environmental Disclosures: A Bibliometric Analysis

  • Hafiz Muhammad Arslan,
  • Ye Chengang,
  • Bilal,
  • Muhammad Siddique and
  • Yusra Yahya

This study aims to synthesize the literature on the top management team (TMT) characteristics influence on environmental disclosures of public organizations and identify recent trends, key themes, influential journals, and authors. Our study recruite...

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J. Risk Financial Manag. - ISSN 1911-8074