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The Journal of Risk and Financial Management (JRFM) was inaugurated in 2008 and has continued publishing successfully with Volume 11 in 2018. Since the journal was established, JRFM has published in excess of 110 topical and interesting theoretical and empirical papers in financial economics,...
Persistent link: https://www.econbiz.de/10011855244
The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which accommodates leverage, feedback effects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform...
Persistent link: https://www.econbiz.de/10010326219
This paper features an analysis of volatility spillover effects from the US market, represented by the S&P500 index to the Australian capital market as represented by the Australian S&P200 for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global...
Persistent link: https://www.econbiz.de/10010326245
Credit risk models should reflect the observation that the relevant value of collateral is generally not the average value of the asset over all possible states of nature. In most cases, the relevant value of collateral for the lender is its secondary market value in bad states of nature, where...
Persistent link: https://www.econbiz.de/10010326422
Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature has focused on...
Persistent link: https://www.econbiz.de/10010326487
As stock market indexes are not tradeable, the importance and trading volume of Exchange-Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index...
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