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Volatility integration in spot, futures and options markets : a regulatory perspective
Rastogi, Shailesh; Athaley, Chaitaly - In: Journal of risk and financial management : JRFM 12 (2019) 2/98, pp. 1-15
The aim of this paper is to study the integration of volatility in the three markets, viz. spot, futures and options … moments (GMM) is used to capture the simultaneous equation modelling of volatility in the three markets. The integration of …' knowledge, there is no other study which discusses the integration of volatility in the three markets. Moreover, the finding of …
Persistent link: https://www.econbiz.de/10012022005
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Investigating the co-volatility spillover effects between cryptocurrencies and currencies at different natures of risk events
Hsu, Shu-Han - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-15
This paper examines and confirms the varying volatility of the relationship between cryptocurrency and currency markets …, COVID-19, and the Russian-Ukraine war. We employ the Diagonal BEKK model and find that the co-volatility spillover effects … significantly. Furthermore, the co-volatility spillover effects between cryptocurrencies and EUR have the largest effects and …
Persistent link: https://www.econbiz.de/10013395912
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Volatility spillovers between stock market and hedge funds : evidence from Asia Pacific region
Fatima, Sameen; Gan, Christopher; Hu, Baiding - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-39
This paper investigates the nature of volatility spillovers between stock returns and hedge funds returns in twelve … EGARCH methodology to model volatility and volatility spillovers in and between the markets. Our results show that the … volatility of stock returns does not affect the volatility of hedge funds returns; however, there are inconsistent evidence of …
Persistent link: https://www.econbiz.de/10013399819
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Capital structure and bank profitability in Vietnam : a quantile regression approach
Le, Tu D. Q.; Nguyen, Dat T. - In: Journal of risk and financial management : JRFM 13 (2020) 8/168, pp. 1-17
We empirically investigate the impact of capital structure on bank profitability using a quantile regression method in the Vietnamese banking system during 2007-2019. Our results suggest that the nonlinear relationship between capitalization and bank profitability is only significant at the 90th...
Persistent link: https://www.econbiz.de/10012322207
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Nonlinear time series modeling : a unified perspective, algorithm and application
Mukhopadhyay, Subhadeep; Parzen, Emanuel - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-17
A new comprehensive approach to nonlinear time series analysis and modeling is developed in the present paper. We introduce novel data-specific mid-distribution-based Legendre Polynomial (LP)-like nonlinear transformations of the original time series {Y(t)} that enable us to adapt all the...
Persistent link: https://www.econbiz.de/10011895744
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Transition to the revised OHADA law on accounting and financial reporting : corporate perceptions of costs and benefits
Fossung, Micheal Forzeh; Ntoung, Lious Agbor Tabot; … - In: Journal of risk and financial management : JRFM 13 (2020) 8/172, pp. 1-19
This paper examines the ongoing transition to the revised Organisation for the Harmonisation of Business Law in Africa … academics. Using the descriptive statistics, the study shows that the transition to the revised OHADA brings about a high level … be implemented in Cameroon (but not fully), and that the benefit of the transition exceeds the cost. …
Persistent link: https://www.econbiz.de/10012322085
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Is professional soccer a risk for their "lives afterwards"? : a social-sciences-based examination of retired professional soccer players from a long-term perspective
Barth, Michael; Schlesinger, Torsten; Pitsch, Werner - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-12
practitioners and researchers. This study described and analyzed central retirement transition and adjustment outcomes of ex … discussed concerning central retirement transition and adjustment outcomes of (average) former professional soccer players in …
Persistent link: https://www.econbiz.de/10014284157
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Negative interest rates
Khoury, Sarkis J.; Pal, Poorna C. - In: Journal of risk and financial management : JRFM 13 (2020) 5/90, pp. 1-12
Negative interest rates are an invention of monetary authorities to show that monetary activism does not have boundaries, i.e., as if there is no such thing as a liquidity trap. Their presence in the financial landscape has redefined the benefits to savers and to investors. Governments can now...
Persistent link: https://www.econbiz.de/10012304707
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Investigating the economic and financial damage around currency peg failures
Ellis, Colin; Gyoerk, Emilia - In: Journal of risk and financial management : JRFM 12 (2019) 2/92, pp. 1-16
The choice and structure of a country's exchange rate regime has wide implications for the effectiveness and flexibility of monetary policy tools, as well as for economic and financial stability. We examine 21 instances where exchange rate pegs have been abandoned in the past, to gauge the...
Persistent link: https://www.econbiz.de/10012022048
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International capital flows and speculation
Hayward, Rob; Gregoriou, Andros - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-12
In response to questions about the relative importance of different types of capital flow for international competitiveness, we develop a structural vector auto-regressive model of the real exchange rate and international capital flows. We reveal that innovations to speculative sentiment cause...
Persistent link: https://www.econbiz.de/10012533969