The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...

The paper is concerned with ranking academic journal quality and research impact in Finance, based on the widely-used Thomson Reuters ISI (2013) Web of Science citations database (hereafter ISI). The paper analyses the 89 leading international journals in the ISI category of “Business –...

See the publication in the <I>Journal of Risk and Financial Management</I> (2012). Volume 5(1), pages 78-114.<P> The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test,...</p></i>

Purpose – The purpose of this paper is to propose a new method for estimating continuous‐time stochastic volatility (SV) models for the S&P 500 stock index process using intraday high‐frequency observations of both the S&P 500 index and the Chicago Board Options Exchange (CBOE) implied (or...

Purpose – The Basel II Accord requires that banks and other authorized deposit‐taking institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure value‐at‐risk (VaR). The...

Purpose – Both journal self-citations and exchanged citations have the effect of increasing a journal’s impact factor, which may be deceptive. The purpose of this paper is to analyse academic journal quality and research impact using quality-weighted citations vs total citations, based on...

The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...

Tax evasion, which is typically considered an illegal activity, is a critical problem and is considered a barrier to economic growth. A review of the literature shows that tax and social security contributions, regulations, public sector services, the quality of institutions and tax compliance,...

The cornerstone of the capital asset pricing model (CAPM) lies with its beta. The question of whether or not beta is dead has attracted great attention from academics and practitioners in the last 50 years or so, and the debate is still ongoing. Many empirical studies have been conducted to test...