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Economic trends in the transition into a circular bioeconomy

Kircher, Manfred - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-24

The shift away from fossil fuels needed to reduce CO2 emissions requires the use of renewable carbon and energy sources, including biomass in the bioeconomy. Already today, the bioeconomy has a significant share in the EU economy with traditionally bio-based sectors. For the future, the energy,...

Persistent link: https://www.econbiz.de/10012816308

Copula modelling to analyse financial data

Dewick, Paul R.; Liu, Shuangzhe - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-11

transformation. Financial time-series copula modelling uses pseudo-CDFs due to the standardized time-series residuals being centred … around zero. The standardized residuals inhibit the estimation of the possible distributions required for constructing the …

Persistent link: https://www.econbiz.de/10013161689

Insight into predicted shocks in tourism : review of an ex-ante forecasting

Gricar, Sergej; Bojnec, Štefan; Baldigara, Tea - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-17

The purpose of this paper is to provide an insight into the modelling and forecasting of unknown events or shocks that can affect international tourist arrivals. Time-dependence is vital for summarising scattered findings. The usefulness of econometric forecasting has been recently confirmed by...

Persistent link: https://www.econbiz.de/10013471450

Sail away to a safe harbor? : Covid-19 vaccinations and the volatility of travel and leisure companies

Demir, Ender; Kizys, Renatas; Rouatbi, Wael; Zaremba, Adam - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-21

This paper examines the impact of vaccination programs on the stock market volatility of the travel and leisure sector. Using daily data from 56 countries over the period from January 2020 to March 2021, we find that vaccination leads to a decrease in the investment risk of travel and leisure...

Persistent link: https://www.econbiz.de/10013273103

Sustainable entrepreneurship in the transport and retail supply chain sector

Negrutiu, Cristian; Vasiliu, Cristinel; Enache, Calcedonia - In: Journal of risk and financial management : JRFM 13 (2020) 11/267, pp. 1-12

freight forwarder through a binary logistic regression model. The research is a concrete application of sustainable …

Persistent link: https://www.econbiz.de/10012389816

Optimal returns in Indian stock market during global pandemic : a comparative study

Debnath, Pradip; Srivastava, Hari M. - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-13

This research is an extension of our previous work [Debnath and Srivastava (2021)]. In that paper, we designed a portfolio based on data taken from National Stock Exchange (NSE), India, during 1 January 2020 to 31 December 2020 and performance of that portfolio in real-life situation was...

Persistent link: https://www.econbiz.de/10012799165

Optimizing stock market returns during global pandemic using regression in the context of Indian stock market

Debnath, Pradip; Srivastava, Hari M. - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-10

Stock markets around the world experienced a massive collapse during the first wave of COVID-19. Roughly in the month of January 2021, the second wave of COVID-19 struck in India, reaching its peak in May, and by the end of May, the active cases started to decline. A third wave is again...

Persistent link: https://www.econbiz.de/10012627066

CVaR regression based on the relation between CVaR and mixed-quantile quadrangles

Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 12 (2019) 3/107, pp. 1-22

. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a … function of some factors. Such regression is called CVaR (superquantile) regression. The main statement of this paper is: CVaR … linear regression can be reduced to minimizing the Rockafellar error function with linear programming. The theoretical basis …

Persistent link: https://www.econbiz.de/10012025262

On financial distributions modelling methods : application on regression models for time series

Dewick, Paul R. - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-15

. Regression modelling has been used within this study as a methodology to identify the goodness-of-fit between the original and … regression and copula modelling, apart from the usual forecasting. Determining the distribution and stylized facts also allows … of regression modelling. …

Persistent link: https://www.econbiz.de/10013471223

The determinants of equity risk and their forecasting implications : a quantile regression perspective

Bonaccolto, Giovanni; Caporin, Massimiliano - In: Journal of risk and financial management : JRFM 9 (2016) 3, pp. 1-25

for microstructure noise and jumps, and quantile regression methods, we evaluate the forecasting implications of the …

Persistent link: https://www.econbiz.de/10011543141