Special Issue "Correlations and Comovements in Financial Markets"
Deadline for manuscript submissions: 31 October 2021.
Interests: time series; forecasting; models for volatility; models for conditional correlations in financial markets; structural changes; clustering
The increasing integration of financial markets across countries has favored the development of studies about the correlation, comovements, interdependence, and spillover effects between financial markets. The development of models studying the mechanisms of transmission of shocks from a so-called dominant market to other markets is a useful task to interpret and forecast the dynamics of financial variables, in particular in terms of volatility.
Similarly, the increased multiasset activity carried out by banks has amplified their exposure to correlation risk. In fact, the standard variance–covariance approach of value in risk models, such as the Montecarlo simulations, require, as a key element to be estimated, the correlation in the yield of market factors for the risky assets included in the market portfolio.
However, large-scale market corrections and market crashes call for the adoption of more and more sophisticated techniques to predict the magnitude of the movement of the assets.
Theoretical and empirical studies concerning financial econometrics, time-series analysis, risk management, and related issues, with original applications concerning the analysis of correlations or, more in generally, comovements between countries, markets, assets, and what are referred to as micro- or macroeconomic variables are welcome; in particular, studies focused on changes in correlations along time and forecasting are encouraged.
Similarly, contributions based on big data and machine learning with applications in the previous contexts are appreciated.
Prof. Dr. Edoardo Otranto
Dr. Antonio Fabio Forgione
Manuscript Submission Information
Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All papers will be peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.
Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.
Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1200 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.
- correlation models
- spillover effects
- risk models
- financial econometrics