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Journal of Risk and Financial Management, Volume 17, Issue 4

April 2024 - 43 articles

Cover Story: The authors in this paper propose a new proxy for the unobserved volatility process. Specifically, they obtain an implied volatility process by calibrating a general stochastic volatility model to options' data and their sensitivities. In this plot, the estimated volatility proxy for the S&P 500 index is plotted along with a rescaled VIX index. In the same paper, the authors also investigate the roughness of the volatility process by estimating its long memory/roughness parameter, the so-called Hurst index. They conclude that the volatility of the index exhibits a rough behavior even with low-frequency observations. View this paper
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Articles (43)

  • Article
  • Open Access
2 Citations
2,997 Views
14 Pages

This study addresses the implementation of the International Financial Reporting Standard 9 (IFRS 9) in the European Union as of 1 January 2018, replacing the International Accounting Standard 39 (IAS 39) to introduce a new model for recognizing Loan...

  • Article
  • Open Access
2 Citations
4,537 Views
12 Pages

An Alignment of Financial Signaling and Stock Return Synchronicity

  • Tarek Eldomiaty,
  • Islam Azzam,
  • Karim Tarek Hamed Afifi and
  • Mohamed Hashim Rashwan

Financial signaling and stock return synchronicity may not be at crossroads. This paper optimizes the signaling effect of firms’ financial indicators on stock return synchronicity. The ultimate objective is to align firms’ financial signa...

  • Article
  • Open Access
1 Citations
4,408 Views
18 Pages

How does stock overvaluation in secondary financial markets affect long-term firm performance when significant corporate “insiders” seek to realize self-benefit? Using a sample of Chinese listed companies from 2007 to 2018, we find that o...

  • Article
  • Open Access
2 Citations
6,226 Views
15 Pages

The Diversification Benefits of Foreign Real Estate: Evidence from 40 Years of Data

  • C. Mitchell Conover,
  • Joseph D. Farizo,
  • H. Swint Friday and
  • David S. North

We investigate the potential of global real estate to improve the long-term performance of a US equity portfolio, utilizing a recent dataset of 40 years’ worth of US stocks, US real estate, 13 foreign stock markets, and 13 foreign real estate m...

  • Article
  • Open Access
2 Citations
6,605 Views
16 Pages

This study investigates the dynamics within entrepreneurial ecosystems, focusing on the influence of venture capital (VC) financing clusters and industry clusters on startup success. VC financing clusters, geographic hubs with intense VC funding acti...

  • Article
  • Open Access
1 Citations
1,610 Views
17 Pages

We construct a model where, at each time instance, risky securities can only take a limited number of values and the equity-linked policy sold by the insurer to policyholders pays benefits linked to these securities. Since the number of states in the...

  • Article
  • Open Access
4 Citations
3,206 Views
21 Pages

Recent years have seen increasing initiatives involving more applications of real options to value the strategizing process. These initiatives, referred to as Real Option Theory (ROT), imply greater inclusiveness of simple and advanced real options i...

  • Article
  • Open Access
1 Citations
3,352 Views
20 Pages

This study examines the relationships between Greek macroeconomic variables, examining before and after the euro’s introduction as a currency. We conducted an extensive analysis from 1980 to 2019, examining various economic indicators such as g...

  • Article
  • Open Access
4 Citations
4,318 Views
17 Pages

Asymmetric Effects of Uncertainty and Commodity Markets on Sustainable Stock in Seven Emerging Markets

  • Pitipat Nittayakamolphun,
  • Thanchanok Bejrananda and
  • Panjamapon Pholkerd

The increase in global economic policy uncertainty (EPU), volatility or stock market uncertainty (VIX), and geopolitical risk (GPR) has affected gold prices (GD), crude oil prices (WTI), and stock markets, which present challenges for investors. Sust...

  • Article
  • Open Access
4 Citations
4,254 Views
19 Pages

In this study, we aim to investigate the effects of remittance on sustainable economic development in 52 developing and emerging economies from 1996 to 2021. The study uses other variables such as real GDP per capita, total natural resource rents, gl...

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J. Risk Financial Manag. - ISSN 1911-8074