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Regulatory responses by countries to banking/financial crises

Barth, James R. - In: Journal of risk and financial management : JRFM 13 (2020) 1/1, pp. 1-6

Banking/financial crises have occurred in countries at all levels of income and in all parts of the world. These crises not only occur too frequently, but also are too costly. Countries everywhere therefore have enacted laws that established regulatory authorities with responsibility to...

Persistent link: https://www.econbiz.de/10012173346

Volatility spillovers among developed and developing countries : the global foreign exchange markets

Mohammed, Walid Abass - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-30

In this paper, we investigate the "static and dynamic" return and volatility spillovers’ transmission across developed and developing countries. Quoted against the US dollar, we study twenty-three global currencies over the time period 2005-2016. Focusing on the spillover index methodology,...

Persistent link: https://www.econbiz.de/10012605811

Modeling and simulating cross country banking contagion risks

Zedda, Stefano; Spinace-Casale, Antonella - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-16

The recent financial crisis proved that financial contagion could spread among countries resulting in disruptive effects. In this paper, by modeling and simulating banking system behavior and linkages across countries, we assess, based on data from the BIS and IMF, the possible outcome of...

Persistent link: https://www.econbiz.de/10012626421

Analyst forecasts during the COVID-19 pandemic : evidence from REITs

Anglin, Paul M.; Cui, Jianxin; Gao, Yanmin; Zhang, Li - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-23

The COVID-19 pandemic disrupts capital markets and confuses decision makers. This event represents an opportunity to better understand how financial analysts forecast earnings. We focus on forecasts for Real Estate Investment Trusts (REITs) in the United States, since REITs are relatively...

Persistent link: https://www.econbiz.de/10012628786

Forecasting volatility : evidence from the Saudi stock market

Al Rahahleh, Naseem M.; Kao, Robert - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-18

The purpose of this paper is to evaluate the forecasting performance of linear and non-linear generalized … autoregressive conditional heteroskedasticity (GARCH)–class models in terms of their in-sample and out-of-sample forecasting accuracy … for forecasting the volatility of both the TASI and the TIPISI in the context of petrochemical industries, as this model …

Persistent link: https://www.econbiz.de/10011960525

On the rising complexity of bank regulatory capital requirements : from global guidelines to their United States (US) implementation

Barth, James R.; Miller, Stephen Matteo - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-33

After the Latin American Debt Crisis of 1982, the official response worldwide turned to minimum capital standards to promote stable banking systems. Despite their existence, however, such standards have still not prevented periodic disruptions in the banking sectors of various countries. After...

Persistent link: https://www.econbiz.de/10011960612

Three major crises and Asian emerging market informational efficiency : a case of Pakistan Stock Exchange-100 Index

Said, Bahrawar; Shafiq ur Rehman; Raza, Muhammad Wajid - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-13

Periods of economic turmoil distort the ability of stock prices to reflect the available information. In the last three decades, emerging markets experienced numerous crises. The major three of them are the Asian Financial Crisis (1997-1998), Global Financial Crisis (2007-2009) and Global...

Persistent link: https://www.econbiz.de/10014284076

Cryptocurrencies, diversification and the COVID-19 pandemic

Allen, David E. - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-25

This paper features an analysis of cryptocurrencies and the impact of the COVID-19 pandemic on their effectiveness as a portfolio diversification tool and explores the correlations between the continuously compounded returns on Bitcoin, Ethereum and the S&P500 Index using a variety of parametric...

Persistent link: https://www.econbiz.de/10013161685

A bibliometric analysis of machine learning econometrics in asset pricing

Zapata, Hector O.; Mukhopadhyay, Supratik - In: Journal of risk and financial management : JRFM 15 (2022) 11, pp. 1-17

Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...

Persistent link: https://www.econbiz.de/10013475217

Sovereign default forecasting in the era of the COVID-19 crisis

Kristóf, Tamás - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-24

systematic exploration and forecasting of sovereign default risks. Multivariate statistical and stochastic process …-based sovereign default risk forecasting has a 50-year developmental history. This article describes a continuous, non …

Persistent link: https://www.econbiz.de/10012792441