Special Issue "Financial Risk Analysis"

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Risk".

Deadline for manuscript submissions: 30 September 2020.

Special Issue Editor

Prof. Dr. Peter Verhoeven
Website
Guest Editor
QUT Business School, Queensland University of Technology, Brisbane QLD 4000, Australia
Interests: financial modelling; risk analysis

Special Issue Information

Dear Colleagues,

Financial risk management increasingly plays an important role in managing the economy. This field is rapidly evolving and expanding, with important advances in statistical analysis and, more recently, in artificial intelligence.

For this Special Issue, we seek original theoretical or applied submissions in all areas of finance where risk analysis plays a central role, including asset allocation, hedging, real options, and lending. Multidisciplinary approaches to financial risk management are particularly encouraged, such as papers that integrate machine learning and artificial intelligence in risk assessment.

Prof. Dr. Peter Verhoeven
Guest Editor

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 1000 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.

Keywords

  • Credit risk
  • Asset price risk
  • Hedging
  • Computational algorithms
  • Finance

Published Papers (1 paper)

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Research

Open AccessArticle
Intraday Jumps, Liquidity, and U.S. Macroeconomic News: Evidence from Exchange Traded Funds
J. Risk Financial Manag. 2020, 13(6), 118; https://doi.org/10.3390/jrfm13060118 - 05 Jun 2020
Abstract
This paper uses two highly liquid S&P 500 and gold exchange-traded funds (ETFs) to evaluate the impact of liquidity and macroeconomic news surprises on the frequency of observing intraday jumps. It explicitly addresses market microstructure noise-induced biases in realized estimators used in jump [...] Read more.
This paper uses two highly liquid S&P 500 and gold exchange-traded funds (ETFs) to evaluate the impact of liquidity and macroeconomic news surprises on the frequency of observing intraday jumps. It explicitly addresses market microstructure noise-induced biases in realized estimators used in jump detection tests and applies non-parametric intraday jump detection tests. The results show a significant increase in trading costs and elevated levels of information asymmetry before observing jumps. Depth, resiliency, and trading activity are associated with the frequency of observing intraday jumps and cojumps. The ability of liquidity variables to predict intraday jumps persists after controlling for news surprises. Results show that intraday jump realizations affect the price discovery of ETFs. Full article
(This article belongs to the Special Issue Financial Risk Analysis)
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