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Journal of Risk and Financial Management, Volume 7, Issue 1

March 2014 - 2 articles

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Article

4 Citations

9,120 Views

15 Pages

Validation of the Merton Distance to the Default Model under Ambiguity

Wei-ling Chen and
Leh-chyan So

J. Risk Financial Manag.2014, 7(1), 13-27;https://doi.org/10.3390/jrfm7010013

25 March 2014

Bharath and Shumway (2008) provide evidence that shows that it is the functional form of Merton’s (1974) distance to default (DD) model that makes it useful and important for predicting defaults. In this paper, we investigate whether the default pred...

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Article

46 Citations

30,930 Views

12 Pages

Revisiting the Performance of MACD and RSI Oscillators

Terence Tai-Leung Chong,
Wing-Kam Ng and
Venus Khim-Sen Liew

J. Risk Financial Manag.2014, 7(1), 1-12;https://doi.org/10.3390/jrfm7010001

26 February 2014

Chong and Ng (2008) find that the Moving Average Convergence–Divergence (MACD) and Relative Strength Index (RSI) rules can generate excess return in the London Stock Exchange. This paper revisits the performance of the two trading rules in the stock...

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J. Risk Financial Manag. - ISSN 1911-8074

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