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Bond risk premia and restrictions on risk prices
Hevia, Constantino; Sola, Martin - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-22
Researchers who estimate affine term structure models often impose overidentifying restrictions (restrictions on parameters beyond those necessary for identification) for a variety of reasons. While some of those restrictions seem to have minor effects on the extracted factors and some measures...
Persistent link: https://www.econbiz.de/10011961381
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The use of principal component analysis (PCA) in building yield curve scenarios and identifying relative-value trading opportunities on the Romanian government bond market
Oprea, Andreea - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-37
sovereign yield curves, in this paper, we investigate certain characteristics of the Romanian government bond market. We perform …
Persistent link: https://www.econbiz.de/10013273600
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Review papers for journal of risk and financial management (JRFM)
McAleer, Michael - In: Journal of risk and financial management : JRFM 13 (2020) 8/185, pp. 1-18
This paper evaluates an editorial and seven invaluable and interesting review papers for the Journal of Risk and Financial Management (JRFM). The topics covered include the rising complexity of bank regulatory capital requirements from global guidelines to their United States (US)...
Persistent link: https://www.econbiz.de/10012321338
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Do REITs outperform stocks and fixed-income assets? : new evidence from mean-variance and stochastic dominance approaches
Chiang, Thomas C.; Hooi Hooi Lean; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 1 (2008) 1, pp. 1-40
This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first-order stochastic dominance and no arbitrage opportunity...
Persistent link: https://www.econbiz.de/10011556251
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A wavelet-based analysis of the co-movement between sukuk bonds and Shariah stock indices in the GCC region : implications for risk diversification
Nasreen, Samia; Naqvi, Syed Asif Ali; Tiwari, Aviral Kumar - In: Journal of risk and financial management : JRFM 13 (2020) 4/63, pp. 1-21
to 15 May 2017. The empirical findings demonstrate a strong correlation between these GCC sukuk bond indices and shariah … shariah stock markets are highly integrated across time and scale. Furthermore, the value at risk (VaR) for the sukuk bond … are variable with respect to time or scale (time diversification). Overall, analyzing the sukuk bond–shariah stock index …
Persistent link: https://www.econbiz.de/10012302496
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Extreme connectedness between green bonds, government bonds, corporate bonds and other asset classes : insights for portfolio investors
Abakah, Emmanuel Joel Aikins; Tiwari, Aviral Kumar; … - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-17
economic downturn. Specifically, we examine quantile-based time-varying connectedness between the green bond market and other ….S. Treasury Bond Index, S&P US Aggregate Bond Index, S&P US Treasury Bond Current 10Y Index, S&P 500 Bond Index, S&P 500 … Financials index, S&P 500 Energy Bond Index and S&P 500, giving a total of 784 observations, and using Composite Index as a …
Persistent link: https://www.econbiz.de/10013471139
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Risk management of interest rate derivative portfolios : a stochastic control approach
Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of risk and financial management : JRFM 7 (2014) 4, pp. 130-149
In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...
Persistent link: https://www.econbiz.de/10011552973
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Time-varying price-volume relationship and adaptive market efficiency : a survey of the empirical literature
Patil, Ashok Chanabasangouda; Rastogi, Shailesh - In: Journal of risk and financial management : JRFM 12 (2019) 2/105, pp. 1-18
This paper conducts a review of the literature on the price–volume relationship and its relation with the implications of the adaptive market hypothesis. The literature on market efficiency is classified as efficient market hypothesis (EMH) studies or adaptive market hypothesis (AMH) studies....
Persistent link: https://www.econbiz.de/10012021910
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Adaptive market hypothesis : evidence from the Vietnamese stock market
Phan Tran Trung Dzung; Hung Pham Quang - In: Journal of risk and financial management : JRFM 12 (2019) 2/81, pp. 1-16
This paper aims to test the adaptive market hypothesis in the two main Vietnamese stock exchanges, namely Ho Chi Minh City Stock Exchange (HSX) and Hanoi Stock Exchange (HNX), by measuring the relationship between current stock returns and historical stock returns. In particular, the tests...
Persistent link: https://www.econbiz.de/10012022105
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Empirical finance
Hamori, Shigeyuki - In: Journal of risk and financial management : JRFM 13 (2020) 1/6, pp. 1-3
The research field related to finance has made great progress in recent years due to the development of information processing technology and the availability of large-scale data. This special issue is a collection of 16 articles on empirical finance and one book review. The content is six...
Persistent link: https://www.econbiz.de/10012173272