This paper evaluates an editorial and seven invaluable and interesting review papers for the Journal of Risk and … literature, improved covariance matrix estimation for portfolio risk measurement, stock investment and excess returns, with a …

A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk … VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that … maintaining the same risk management strategies before, during and after a financial crisis would lead to comparatively low daily …

A risk management strategy that is designed to be robust to the Global Financial Crisis (GFC), in the sense of … selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al …. Such a risk management strategy is robust to the GFC in the sense that, while maintaining the same risk management strategy …

Introduction / Michael McAleer -- Assessment of risk ratings and risk returns for 120 representative countries … / Michael McAleer -- Conditional volatility models for risk ratings and risk returns / Michael McAleer -- Univariate and … multivariate estimates of symmetric and asymmetric conditional volatilities and conditional correlations for risk returns / Michael …

conducted to examine if beta, proxied for a systematic risk, should be considered valid in the application of the CAPM at the … rate, inflation, and GDP are examples of systematic risk. Findings from this study indicate that the selection of portfolio … considered as a valid measure of systematic risk. …