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Transfer entropy approach for portfolio optimization : an empirical approach for CESEE markets

Škrinjarić, Tihana; Quintino, Derick; Ferreira, Paulo - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-12

In this paper, we deal with the possibility of using econophysics concepts in dynamic portfolio optimization. The main … performance over time. Using data on CESEE stock market indices, we model the dynamics of entropy transfers from one return series …

Persistent link: https://www.econbiz.de/10012626748

From big data to econophysics and its use to explain complex phenomena

Ferreira, Paulo; Pereira, Eder Johnson de Area Leão; … - In: Journal of risk and financial management : JRFM 13 (2020) 7/153, pp. 1-10

paper, we make the linkage between the use of big data and Econophysics, a research field which uses a large amount of data … frameworks to analyze complex phenomena that could be studied using Econophysics and resorting to big data. …

Persistent link: https://www.econbiz.de/10012309347

Modeling of social risks in the labor sphere

Shulha, Olha; Kostyshyna, Tatiana; Semykina, Maryna; … - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-12

Modern society has developed in such a way that social reality is characterized by the significant dynamics of all … regression models based on structural variables. As a result of applying the method of economic-mathematical modeling, in … possible to formalize and identify patterns of supply and demand dynamics of labor in terms of professions, as well as to …

Persistent link: https://www.econbiz.de/10012792377

Forecasting the returns of cryptocurrency : a model averaging approach

Xiao, Hui; Sun, Yiguo - In: Journal of risk and financial management : JRFM 13 (2020) 11/278, pp. 1-15

This paper aims to enrich the understanding and modelling strategies for cryptocurrency markets by investigating major cryptocurrencies´ returns determinants and forecast their returns. To handle model uncertainty when modelling cryptocurrencies, we conduct model selection for an autoregressive...

Persistent link: https://www.econbiz.de/10012388749

On tuning parameter selection in model selection and model averaging : a Monte Carlo study

Xiao, Hui; Sun, Yiguo - In: Journal of risk and financial management : JRFM 12 (2019) 3/109, pp. 1-16

Model selection and model averaging are popular approaches for handling modeling uncertainties. The existing literature …

Persistent link: https://www.econbiz.de/10012025275

Parsimonious heterogeneous ARCH models for high frequency modeling

Teran, Juan Carlos Ruilova; Morettin, Pedro Alberto - In: Journal of risk and financial management : JRFM 13 (2020) 2/38, pp. 1-19

that we consider important to the modeling process. This model, called parsimonious HARCH(m,p), takes into account the …

Persistent link: https://www.econbiz.de/10012173694

External stocks and volatility overflow among the exchange rate of the Yen, Nikkei, TOPIX and sectoral stock indices

Sultonov, Mirzosaid - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-13

In this paper, we examined the changes in volatility overflow among the exchange rate of the Japanese yen (JPY), the Nikkei Stock Average (Nikkei), the Tokyo Stock Price Index (TOPIX) and the TOPIX sectoral indices for the period of 10 February 2016 to 24 March 2017. We employed the exponential...

Persistent link: https://www.econbiz.de/10012797403

Inflation and hyperinflation countries in 2018-2020 : risks of different assets and foreign trade

Hilmola, Olli-Pekka - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-16

Since the global financial crisis (2008-2009), central banks and governments in developed countries have relied upon loose monetary and financial policy. In the coronavirus pandemic era, these policies were taken even more to the extreme. In 2021, countries around the world started to experience...

Persistent link: https://www.econbiz.de/10012801429

The impact of COVID-19 on stock market returns in Vietnam

Đao Van Hùng; Thi Minh Hue Nguyen; Thuy Duong Vu - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-15

This paper studies the impacts of COVID-19 on the performance of the Vietnamese Stock Market-a rapidly growing emerging market in a country that has to date successfully controlled the disease outbreak. The study uses a random-effect model (REM) on panel data of stock returns of 733 listed...

Persistent link: https://www.econbiz.de/10012628531

Methodological foundations of the risk of the stock markets of developed and developing countries in the conditions of the crisis

Burkalʹceva, D. D.; Niyazbekova, Shakizada; Borsch, … - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-16

view, an analysis of the dynamics of the current state of the issuers’ number and the dynamics of profitability of …

Persistent link: https://www.econbiz.de/10012813249

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