This paper examines whether there is evidence of spillovers of volatility from the Chinese stock market to its neighbours and trading partners, including Australia, Hong Kong, Singapore, Japan and USA. China’s increasing integration into the global market may have important consequences for...

The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging...

Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed articles in the discipline of Finance. The special issue presents several papers by leading scholars in the field on “Recent Developments in Financial Economics and...

A second-order asymptotic result for the probability of occurrence of a persistent and aperiodic recurrent event is given if the tail of the distribution of the waiting time for this event is regularly varying with index -1.

__Abstract__ We test risk attitude and risk propensity of executive and non-executive directors of almost all (read: 10) companies listed at the Suriname Stock Exchange. This stock exchange associates with an emerging market, which currently seems to be at its initial stage. With a personalized...

__Abstract__ The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the jump-robust two time scale covariance estimator of Boudt and Zhang (2013) such that the estimated matrix is positive definite. Using this approach we can...

__Abstract__ In this paper we study the determinants of skilled return migration from the Netherlands to Suriname. Based on a survey of Gibson and McKenzie (2011) we managed to interview 283 former top students from Suriname. This unique database is informative in various dimensions. High...

__Abstract__ The premise underlying the use of citations data is that higher quality journals generally have a higher number of citations. The impact of citations can be distorted in a number of ways. Journals can, and do, inflate the number of citations through self citation practices, which...

__Abstract__ Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The...

__Abstract__ One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of...