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...

Recent studies inspired by results from random matrix theory (Galluccio et al.: Physica A 259 (1998) 449; Laloux et al.: Phys. Rev. Lett. 83 (1999) 1467; Risk 12 (3) (1999) 69; Plerou et al.: Phys. Rev. Lett. 83 (1999) 1471) found that covariance matrices determined from empirical financial time series...

Correlations of returns on various assets play a central role in financial theory and also in many practical applications. From a theoretical point of view, the main interest lies in the proper description of the structure and dynamics of correlations, whereas for the practitioner the emphasis...

Markowitz (1952, 1959) underlies modern corporate finance literature, from modern portfolio theory, option theory, to risk management (especially value at risk type methodologies). From it, Diversify has entered all languages, such is its power. Terms such as “the only free lunch” have...

We investigate the relation between board composition and operational risk events of financial institutions in the period from 1996 to 2010. Drawing from corporate governance literature, we consider the impact of board characteristics on the likelihood of operational risk events. Overall, our...

This paper proposes an approach based on copula families to determine shape and magnitude of non-linear serial and cross-interdependence between returns and volatilities of financial assets. It is evident the predominance of the student’s t copula in returns relationships. Association in tails...

In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are typically used rendering the estimation error a possibly non-negligible component. In this paper we build upon previous results for the Value at Risk and discuss how the...

This paper examines risk-adjusted performance measures in banking, which are used as a guide for efficient asset allocation, performance evaluation, and capital structure decisions in complex, multidivisional financial institutions. Traditional measures of performance are contrasted with the...