Is this page useful for you? Then, help us to keep the service working. Please have a look to our donations page ... Thanks for your help!!

Citation Profile [Updated: 2019-09-04 10:18:12]
5 Years H
7
Impact Factor
0.71
5 Years IF
0.84
Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0 0.1 0 0 0 0 0 0 0 0 0 0 0.04
1991 0 0.1 0 0 0 0 0 0 0 0 0 0 0.04
1992 0 0.09 0 0 0 0 0 0 0 0 0 0 0.04
1993 0 0.11 0 0 0 0 0 0 0 0 0 0 0.05
1994 0 0.11 0 0 0 0 0 0 0 0 0 0 0.04
1995 0 0.19 0 0 0 0 0 0 0 0 0 0 0.07
1996 0 0.22 0 0 0 0 0 0 0 0 0 0 0.09
1997 0 0.26 0 0 0 0 0 0 0 0 0 0 0.09
1998 0 0.27 0 0 0 0 0 0 0 0 0 0 0.1
1999 0 0.31 0 0 0 0 0 0 0 0 0 0 0.13
2000 0 0.38 0 0 0 0 0 0 0 0 0 0 0.15
2001 0 0.39 0 0 0 0 0 0 0 0 0 0 0.14
2002 0 0.4 0 0 0 0 0 0 0 0 0 0 0.17
2003 0 0.42 0 0 0 0 0 0 0 0 0 0 0.18
2004 0 0.47 0 0 0 0 0 0 0 0 0 0 0.19
2005 0 0.51 0 0 0 0 0 0 0 0 0 0 0.2
2006 0 0.5 0 0 0 0 0 0 0 0 0 0 0.2
2007 0 0.44 0 0 0 0 0 0 0 0 0 0 0.17
2008 0 0.47 0 0 5 5 7 0 0 0 0 0 0.19
2009 0 0.49 0 0 5 10 14 0 5 5 0 0 0.19
2010 0.1 0.46 0.07 0.1 5 15 4 1 1 10 1 10 1 1 100 0 0.16
2011 0 0.48 0.1 0 5 20 3 3 10 15 0 0 0.19
2012 0 0.51 0.04 0.05 5 25 14 1 4 10 20 1 0 0 0.19
2013 0 0.58 0.03 0.04 4 29 2 1 5 10 25 1 0 0 0.2
2014 0 0.58 0.05 0.04 10 39 20 2 7 9 24 1 0 0 0.19
2015 0 0.59 0.14 0.17 20 59 45 7 15 14 29 5 0 0 0.19
2016 0.43 0.64 0.31 0.39 16 75 13 23 38 30 13 44 17 0 2 0.13 0.19
2017 0.44 0.66 0.34 0.42 26 101 39 34 72 36 16 55 23 1 2.9 4 0.15 0.2
2018 0.71 0.89 0.48 0.84 91 192 23 91 164 42 30 76 64 6 6.6 9 0.1 0.29
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
SC: selft citations in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
50 most cited documents in this series
#YearTitleCited
12017GARCH Modelling of Cryptocurrencies. (2017). Chu, Jeffrey ; Osterrieder, Joerg ; Nadarajah, Saralees ; Chan, Stephen. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:4:p:17-:d:113895.

Full description at Econpapers || Download paper

24
22015The Fundamental Equation in Tourism Finance. (2015). McAleer, Michael. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:8:y:2015:i:4:p:369-374:d:61108.

Full description at Econpapers || Download paper

20
32014International Diversification Versus Domestic Diversification: Mean-Variance Portfolio Optimization and Stochastic Dominance Approaches. (2014). Wong, Wing-Keung ; Abid, Fathi ; Leung, Pui Lam ; Mroua, Mourad . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:7:y:2014:i:2:p:45-66:d:35901.

Full description at Econpapers || Download paper

16
42015Dependency Relations among International Stock Market Indices. (2015). Junior, Leonidas Sandoval ; Kenett, Dror Y. ; Mullokandov, Asher . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:8:y:2015:i:2:p:227-265:d:50467.

Full description at Econpapers || Download paper

11
52015Inflation and Speculation in a Dynamic Macroeconomic Model. (2015). Nguyen-Huu, Adrien ; Grasselli, Matheus R. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:8:y:2015:i:3:p:285-310:d:52143.

Full description at Econpapers || Download paper

8
62012Stock Returns and Risk: Evidence from Quantile. (2012). Li, Jiandong ; Chiang, Thomas C.. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:5:y:2012:i:1:p:20-58:d:28408.

Full description at Econpapers || Download paper

7
72017A Statistical Analysis of Cryptocurrencies. (2017). Chan, Stephen ; Osterrieder, Joerg ; Nadarajah, Saralees ; Chu, Jeffrey. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:2:p:12-:d:100126.

Full description at Econpapers || Download paper

7
82009China’s Stock Market Integration with a Leading Power and a Close Neighbor. (2009). Wong, Wing-Keung ; Heng, Chen ; YI, ZHENG . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:2:y:2009:i:1:p:38-74:d:28328.

Full description at Econpapers || Download paper

7
92012Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility. (2012). McAleer, Michael ; Chang, Chia-Lin ; Chen, Chi-Chung . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:5:y:2012:i:1:p:78-114:d:28410.

Full description at Econpapers || Download paper

7
102016Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis. (2016). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:9:y:2016:i:2:p:6-:d:72448.

Full description at Econpapers || Download paper

7
112019What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity, and (Non-) Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model. (2019). McAleer, Michael. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:61-:d:221223.

Full description at Econpapers || Download paper

5
122018Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis. (2018). Conrad, Christian ; Ghysels, Eric ; Custovic, Anessa . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:23-:d:145629.

Full description at Econpapers || Download paper

5
132017On the Power and Size Properties of Cointegration Tests in the Light of High-Frequency Stylized Facts. (2017). Krauss, Christopher ; Herrmann, Klaus . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:1:p:7-:d:89525.

Full description at Econpapers || Download paper

4
142018Enterprise Risk Management Practices and Firm Performance, the Mediating Role of Competitive Advantage and the Moderating Role of Financial Literacy. (2018). Yang, Songling ; Anwar, Muhammad ; Ishtiaq, Muhammad. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:35-:d:155255.

Full description at Econpapers || Download paper

4
1520194
162009Corporate Risk Disclosure and Corporate Governance. (2009). Lajili, Kaouthar . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:2:y:2009:i:1:p:94-117:d:28365.

Full description at Econpapers || Download paper

4
172008Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches. (2008). Wong, Wing-Keung ; Lean, Hooi Hooi ; Chiang, Thomas C.. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:1:y:2008:i:1:p:1-40:d:28255.

Full description at Econpapers || Download paper

4
182009Models for Risk Aggregation and Sensitivity Analysis: An Application to Bank Economic Capital. (2009). Inanoglu, Hulusi ; Jacobs, Michael. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:2:y:2009:i:1:p:118-189:d:28366.

Full description at Econpapers || Download paper

3
192016Application of Vine Copulas to Credit Portfolio Risk Modeling. (2016). Geidosch, Marco ; Fischer, Matthias. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:9:y:2016:i:2:p:4-:d:71610.

Full description at Econpapers || Download paper

3
202015Network Analysis of the Shanghai Stock Exchange Based on Partial Mutual Information. (2015). Fiedor, Paweł ; You, Tao . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:8:y:2015:i:2:p:266-284:d:50474.

Full description at Econpapers || Download paper

3
212019What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity and (Non-) Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model. (2019). McAleer, Michael. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:66-:d:223231.

Full description at Econpapers || Download paper

3
222013Testing for a Single-Factor Stochastic Volatility in Bivariate Series. (2013). Kobayashi, Masahito ; Chiba, Masaru . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:6:y:2013:i:1:p:31-61:d:31492.

Full description at Econpapers || Download paper

3
232018Greenhouse Emissions and Productivity Growth. (2018). Stengos, Thanasis ; KALAITZIDAKIS, PANTELIS ; Mamuneas, Theofanis P. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:38-:d:156902.

Full description at Econpapers || Download paper

3
242014Asymmetric Realized Volatility Risk. (2014). Scharth, Marcel ; McAleer, Michael ; Allen, David. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:7:y:2014:i:2:p:80-109:d:37458.

Full description at Econpapers || Download paper

3
252017Trade Openness and Bank Risk-Taking Behavior: Evidence from Emerging Economies. (2017). Ashraf, Badar Nadeem ; Yan, Liang ; Arshad, Sidra. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:3:p:15-:d:106310.

Full description at Econpapers || Download paper

3
262010Hedging Performance and Multiscale Relationships in the German Electricity Spot and Futures Markets. (2010). Pinho, Carlos ; Madaleno, Mara. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:3:y:2010:i:1:p:26-62:d:28368.

Full description at Econpapers || Download paper

2
272018Ensemble Learning or Deep Learning? Application to Default Risk Analysis. (2018). Hamori, Shigeyuki ; Watanabe, Chikara ; Murakami, Yuji ; Kume, Takahiro ; Kawai, Minami. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:1:p:12-:d:134731.

Full description at Econpapers || Download paper

2
282019A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets. (2019). Kyriazis, Nikolaos A. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:67-:d:224155.

Full description at Econpapers || Download paper

2
292016VaR and CVaR Implied in Option Prices. (2016). BaroneAdesi, Giovanni . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:9:y:2016:i:1:p:2:d:64713.

Full description at Econpapers || Download paper

2
302010Conserving Capital by Adjusting Deltas for Gamma in the Presence of Skewness. (2010). Madan, Dilip B.. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:3:y:2010:i:1:p:1-25:d:28367.

Full description at Econpapers || Download paper

2
312008Effective Basemetal Hedging: The Optimal Hedge Ratio and Hedging Horizon. (2008). Marriott, Luke ; Dewally, Michael. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:1:y:2008:i:1:p:41-76:d:28294.

Full description at Econpapers || Download paper

2
322011Periodically Collapsing Bubbles in Stock Prices Cointegrated with Broad Dividends and Macroeconomic Factors. (2011). Fu, Man ; Bidarkota, Prasad V.. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:4:y:2011:i:1:p:97-132:d:28375.

Full description at Econpapers || Download paper

2
332016VaR and CVaR Implied in Option Prices. (2016). BaroneAdesi, Giovanni . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:9:y:2016:i:1:p:2-:d:64713.

Full description at Econpapers || Download paper

2
342008Financial Distress Comparison Across Three Global Regions. (2008). Platt, Harlan D.. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:1:y:2008:i:1:p:129-162:d:28326.

Full description at Econpapers || Download paper

2
352011A Pseudo-Bayesian Model for Stock Returns In Financial Crises. (2011). Wong, Wing-Keung ; Siu, Tak Kuen ; Fung, Eric S. ; Lam, Kin . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:4:y:2011:i:1:p:43-73:d:28373.

Full description at Econpapers || Download paper

2
362016VaR and CVaR Implied in Option Prices. (2016). BaroneAdesi, Giovanni . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:9:y:2016:i:1:p:-:d:64713.

Full description at Econpapers || Download paper

2
372015Interconnected Risk Contributions: A Heavy-Tail Approach to Analyze U.S. Financial Sectors. (2015). Petrella, Lea ; Bernardi, Mauro. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:8:y:2015:i:2:p:198-226:d:47812.

Full description at Econpapers || Download paper

2
382019Do Traditional Financial Distress Prediction Models Predict the Early Warning Signs of Financial Distress?. (2019). Serrasqueiro, Zelia ; Ashraf, Sumaira. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:55-:d:219945.

Full description at Econpapers || Download paper

1
392018Exchange Rate Effects on International Commercial Trade Competitiveness. (2018). Bostan, Ionel ; Firtescu, Bogdan-Narcis ; Toderacu, Carmen. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:19-:d:140015.

Full description at Econpapers || Download paper

1
402018Forecasting of Realised Volatility with the Random Forests Algorithm. (2018). Luong, Chuong ; Dokuchaev, Nikolai. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:61-:d:175017.

Full description at Econpapers || Download paper

1
4120191
422015Firm Value and Cross Listings: The Impact of Stock Market Prestige. (2015). Peristiani, Stavros ; Cetorelli, Nicola. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:8:y:2015:i:1:p:150-180:d:47217.

Full description at Econpapers || Download paper

1
432019A Cointegration of the Exchange Rate and Macroeconomic Fundamentals: The Case of the Indonesian Rupiah vis-á-vis Currencies of Primary Trade Partners. (2019). Shi, Kai ; Salim, Agus. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:87-:d:230690.

Full description at Econpapers || Download paper

1
442017Safety Evaluation of Evacuation Routes in Central Tokyo Assuming a Large-Scale Evacuation in Case of Earthquake Disasters. (2017). Yamamoto, Kayoko ; Li, Ximing. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:3:p:14-:d:102828.

Full description at Econpapers || Download paper

1
452014Remuneration Committee, Board Independence and Top Executive Compensation. (2014). Yu, Shih-Ti ; Kuo, Chii-Shyan. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:7:y:2014:i:2:p:28-44:d:35127.

Full description at Econpapers || Download paper

1
462018Measuring Financial Fragmentation in the Euro Area Corporate Bond Market. (2018). Mojon, Benoit ; Horny, Guillaume ; Manganelli, Simone. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:74-:d:178985.

Full description at Econpapers || Download paper

1
472019Abnormal Returns or Mismeasured Risk? Network Effects and Risk Spillover in Stock Returns. (2019). Bhattacharjee, Arnab ; Roy, Sudipto. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:50-:d:218217.

Full description at Econpapers || Download paper

1
482017Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors. (2017). Nesmith, Travis ; Oh, Dong Hwan ; Dobrev, Dobrislav. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:1:p:5-:d:89239.

Full description at Econpapers || Download paper

1
492009Mergers and Acquisitions (M&AS) by R&D Intensive Firms. (2009). Dutta, Shantanu ; Kumar, Vinod. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:2:y:2009:i:1:p:1-37:d:28327.

Full description at Econpapers || Download paper

1
502016Portfolios Dominating Indices: Optimization with Second-Order Stochastic Dominance Constraints vs. Minimum and Mean Variance Portfolios. (2016). Keeci, Neslihan Fidan ; Uryasev, Stan ; Kuzmenko, Viktor . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:9:y:2016:i:4:p:11-:d:79820.

Full description at Econpapers || Download paper

1
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12017GARCH Modelling of Cryptocurrencies. (2017). Chu, Jeffrey ; Osterrieder, Joerg ; Nadarajah, Saralees ; Chan, Stephen. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:4:p:17-:d:113895.

Full description at Econpapers || Download paper

24
22015The Fundamental Equation in Tourism Finance. (2015). McAleer, Michael. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:8:y:2015:i:4:p:369-374:d:61108.

Full description at Econpapers || Download paper

17
32014International Diversification Versus Domestic Diversification: Mean-Variance Portfolio Optimization and Stochastic Dominance Approaches. (2014). Wong, Wing-Keung ; Abid, Fathi ; Leung, Pui Lam ; Mroua, Mourad . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:7:y:2014:i:2:p:45-66:d:35901.

Full description at Econpapers || Download paper

11
42015Dependency Relations among International Stock Market Indices. (2015). Junior, Leonidas Sandoval ; Kenett, Dror Y. ; Mullokandov, Asher . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:8:y:2015:i:2:p:227-265:d:50467.

Full description at Econpapers || Download paper

8
52017A Statistical Analysis of Cryptocurrencies. (2017). Chan, Stephen ; Osterrieder, Joerg ; Nadarajah, Saralees ; Chu, Jeffrey. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:2:p:12-:d:100126.

Full description at Econpapers || Download paper

7
62015Inflation and Speculation in a Dynamic Macroeconomic Model. (2015). Nguyen-Huu, Adrien ; Grasselli, Matheus R. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:8:y:2015:i:3:p:285-310:d:52143.

Full description at Econpapers || Download paper

6
72009China’s Stock Market Integration with a Leading Power and a Close Neighbor. (2009). Wong, Wing-Keung ; Heng, Chen ; YI, ZHENG . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:2:y:2009:i:1:p:38-74:d:28328.

Full description at Econpapers || Download paper

6
82016Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis. (2016). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:9:y:2016:i:2:p:6-:d:72448.

Full description at Econpapers || Download paper

5
92018Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis. (2018). Conrad, Christian ; Ghysels, Eric ; Custovic, Anessa . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:23-:d:145629.

Full description at Econpapers || Download paper

5
102012Stock Returns and Risk: Evidence from Quantile. (2012). Li, Jiandong ; Chiang, Thomas C.. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:5:y:2012:i:1:p:20-58:d:28408.

Full description at Econpapers || Download paper

5
112019What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity, and (Non-) Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model. (2019). McAleer, Michael. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:61-:d:221223.

Full description at Econpapers || Download paper

5
1220194
132018Enterprise Risk Management Practices and Firm Performance, the Mediating Role of Competitive Advantage and the Moderating Role of Financial Literacy. (2018). Yang, Songling ; Anwar, Muhammad ; Ishtiaq, Muhammad. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:35-:d:155255.

Full description at Econpapers || Download paper

4
142008Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches. (2008). Wong, Wing-Keung ; Lean, Hooi Hooi ; Chiang, Thomas C.. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:1:y:2008:i:1:p:1-40:d:28255.

Full description at Econpapers || Download paper

4
152017On the Power and Size Properties of Cointegration Tests in the Light of High-Frequency Stylized Facts. (2017). Krauss, Christopher ; Herrmann, Klaus . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:1:p:7-:d:89525.

Full description at Econpapers || Download paper

4
162014Asymmetric Realized Volatility Risk. (2014). Scharth, Marcel ; McAleer, Michael ; Allen, David. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:7:y:2014:i:2:p:80-109:d:37458.

Full description at Econpapers || Download paper

3
172017Trade Openness and Bank Risk-Taking Behavior: Evidence from Emerging Economies. (2017). Ashraf, Badar Nadeem ; Yan, Liang ; Arshad, Sidra. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:3:p:15-:d:106310.

Full description at Econpapers || Download paper

3
182015Network Analysis of the Shanghai Stock Exchange Based on Partial Mutual Information. (2015). Fiedor, Paweł ; You, Tao . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:8:y:2015:i:2:p:266-284:d:50474.

Full description at Econpapers || Download paper

3
192019What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity and (Non-) Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model. (2019). McAleer, Michael. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:66-:d:223231.

Full description at Econpapers || Download paper

3
202012Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility. (2012). McAleer, Michael ; Chang, Chia-Lin ; Chen, Chi-Chung . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:5:y:2012:i:1:p:78-114:d:28410.

Full description at Econpapers || Download paper

3
212013Testing for a Single-Factor Stochastic Volatility in Bivariate Series. (2013). Kobayashi, Masahito ; Chiba, Masaru . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:6:y:2013:i:1:p:31-61:d:31492.

Full description at Econpapers || Download paper

3
222016Application of Vine Copulas to Credit Portfolio Risk Modeling. (2016). Geidosch, Marco ; Fischer, Matthias. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:9:y:2016:i:2:p:4-:d:71610.

Full description at Econpapers || Download paper

3
232018Ensemble Learning or Deep Learning? Application to Default Risk Analysis. (2018). Hamori, Shigeyuki ; Watanabe, Chikara ; Murakami, Yuji ; Kume, Takahiro ; Kawai, Minami. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:1:p:12-:d:134731.

Full description at Econpapers || Download paper

2
242016VaR and CVaR Implied in Option Prices. (2016). BaroneAdesi, Giovanni . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:9:y:2016:i:1:p:2:d:64713.

Full description at Econpapers || Download paper

2
252015Interconnected Risk Contributions: A Heavy-Tail Approach to Analyze U.S. Financial Sectors. (2015). Petrella, Lea ; Bernardi, Mauro. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:8:y:2015:i:2:p:198-226:d:47812.

Full description at Econpapers || Download paper

2
262016VaR and CVaR Implied in Option Prices. (2016). BaroneAdesi, Giovanni . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:9:y:2016:i:1:p:2-:d:64713.

Full description at Econpapers || Download paper

2
272019A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets. (2019). Kyriazis, Nikolaos A. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:67-:d:224155.

Full description at Econpapers || Download paper

2
282016VaR and CVaR Implied in Option Prices. (2016). BaroneAdesi, Giovanni . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:9:y:2016:i:1:p:-:d:64713.

Full description at Econpapers || Download paper

2
Citing documents used to compute impact factor: 30
YearTitle
2018A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies. (2018). McAleer, Michael ; Allen, David ; Singh, A K. In: Econometric Institute Research Papers. RePEc:ems:eureir:109055.

Full description at Econpapers || Download paper

2018A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies. (2018). McAleer, Michael ; Allen, David ; Singh, Abhay K. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1818.

Full description at Econpapers || Download paper

2018Value-at-Risk prediction using option-implied risk measures. (2018). Schindelhauer, Kai ; Zhou, Chen. In: DNB Working Papers. RePEc:dnb:dnbwpp:613.

Full description at Econpapers || Download paper

2018Pairs trading with partial cointegration. (2018). Clegg, Matthew ; Krauss, Christopher. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:1:p:121-138.

Full description at Econpapers || Download paper

2018Nonextensive triplets in cryptocurrency exchanges. (2018). Stosic, Darko ; Ludermir, Teresa B. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:1069-1074.

Full description at Econpapers || Download paper

2018Topological recognition of critical transitions in time series of cryptocurrencies. (2018). Gidea, Marian ; Shmalo, Yonah ; Roldan, Pablo ; Katz, Yuri ; Goldsmith, Daniel. In: Papers. RePEc:arx:papers:1809.00695.

Full description at Econpapers || Download paper

2018Cryptocurrencies from the perspective of euro investors: a re-examination of diversification benefits and a new day-of-the-week effect. (2018). Dorfleitner, Gregor ; Lung, Carina. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:7:d:10.1057_s41260-018-0093-8.

Full description at Econpapers || Download paper

2018
2018Understanding the Implementation Challenges of Urban Resilience Policies: Investigating the Influence of Urban Geological Risk in Thessaloniki, Greece. (2018). Pitidis, Vangelis ; de Albuquerque, Joo Porto ; Kapetas, Leon ; Coaffee, Jon ; Tapete, Deodato. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:10:p:3573-:d:174026.

Full description at Econpapers || Download paper

2018Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero. (2018). Sovbetov, Yhlas. In: MPRA Paper. RePEc:pra:mprapa:85036.

Full description at Econpapers || Download paper

2018Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero. (2018). Sovbetov, Yhlas. In: Journal of Economics and Financial Analysis. RePEc:trp:01jefa:jefa0016.

Full description at Econpapers || Download paper

2018An application of extreme value theory to cryptocurrencies. (2018). Gkillas (Gillas), Konstantinos ; Katsiampa, Paraskevi. In: Economics Letters. RePEc:eee:ecolet:v:164:y:2018:i:c:p:109-111.

Full description at Econpapers || Download paper

2018Conditional heteroskedasticity in crypto-asset returns. (2018). Shaw, Charles. In: Papers. RePEc:arx:papers:1804.07978.

Full description at Econpapers || Download paper

2018Bitcoin Risk Modeling with Blockchain Graphs. (2018). Akcora, Cuneyt ; Kantarcioglu, Murat ; Gel, Yulia ; Dixon, Matthew. In: Papers. RePEc:arx:papers:1805.04698.

Full description at Econpapers || Download paper

2018Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance. (2018). Walther, Thomas ; Thu, Hien Pham ; Klein, Tony. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:12.

Full description at Econpapers || Download paper

2018Exogenous Drivers of Cryptocurrency Volatility - A Mixed Data Sampling Approach To Forecasting. (2018). Walther, Thomas ; Klein, Tony. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:15.

Full description at Econpapers || Download paper

2018Predicting crypto-currencies using sparse non-Gaussian state space models. (2018). Zoerner, Thomas ; Huber, Florian ; Zorner, Thomas O ; Hotz-Behofsits, Christian. In: Papers. RePEc:arx:papers:1801.06373.

Full description at Econpapers || Download paper

2018Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models. (2018). Caporale, Guglielmo Maria ; Zekokh, Timur. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7167.

Full description at Econpapers || Download paper

2018An investigation into the dependence structure of major cryptocurrencies. (2018). Saha, Kunal. In: EconStor Preprints. RePEc:zbw:esprep:181878.

Full description at Econpapers || Download paper

2018Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance. (2018). Walther, Thomas ; Thu, Hien Pham ; Klein, Tony. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:105-116.

Full description at Econpapers || Download paper

2018Conditional heteroskedasticity in crypto-asset returns. (2018). Shaw, Charles. In: MPRA Paper. RePEc:pra:mprapa:90437.

Full description at Econpapers || Download paper

2018Bitcoin risk modeling with blockchain graphs. (2018). Akcora, Cuneyt Gurcan ; Kantarcioglu, Murat ; Gel, Yulia R ; Dixon, Matthew F. In: Economics Letters. RePEc:eee:ecolet:v:173:y:2018:i:c:p:138-142.

Full description at Econpapers || Download paper

2018A differential evolution copula-based approach for a multi-period cryptocurrency portfolio optimization. (2018). Mba, Jules Clement ; Koumba, UR ; Pindza, Edson . In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:32:y:2018:i:4:d:10.1007_s11408-018-0320-9.

Full description at Econpapers || Download paper

2018Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models. (2018). Chappell, Daniel. In: MPRA Paper. RePEc:pra:mprapa:90682.

Full description at Econpapers || Download paper

2018Inflation in Africa, 1960–2015. (2018). Franses, Philip Hans ; Janssens, Eva. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:57:y:2018:i:c:p:261-292.

Full description at Econpapers || Download paper

2018A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations. (2018). Fischer, Matthias ; Pfeuffer, Marius ; Moser, Thorsten. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:142-:d:188842.

Full description at Econpapers || Download paper

2018Enterprise Risk Management Practices and Firm Performance, the Mediating Role of Competitive Advantage and the Moderating Role of Financial Literacy. (2018). Yang, Songling ; Anwar, Muhammad ; Ishtiaq, Muhammad. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:35-:d:155255.

Full description at Econpapers || Download paper

2018Macroprudential Policy, Credit Cycle, and Bank Risk-Taking. (2018). Zhang, Xing ; Xu, Yingying ; Li, Zhen. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:10:p:3620-:d:174708.

Full description at Econpapers || Download paper

2018Capital Adequacy, Deposit Insurance, and the Effect of Their Interaction on Bank Risk. (2018). Jiraporn, Pornsit ; Treepongkaruna, Sirimon ; Chakreyavanich, Chanakarn ; Jumreornvong, Seksak . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:79-:d:183833.

Full description at Econpapers || Download paper

2018Risk-Based DEA Efficiency and SSD Efficiency of OECD Members Stock Indices. (2018). Keeci, Neslihan Fidan . In: Alphanumeric Journal. RePEc:anm:alpnmr:v:6:y:2018:i:1:p:25-36.

Full description at Econpapers || Download paper

Recent citations
Recent citations received in 2018

YearCiting document
2018Trade Selection with Supervised Learning and OCA. (2018). Saltiel, David ; Benhamou, Eric. In: Papers. RePEc:arx:papers:1812.04486.

Full description at Econpapers || Download paper

2018Asymmetric volatility in cryptocurrencies. (2018). Baur, Dirk G ; Dimpfl, Thomas. In: Economics Letters. RePEc:eee:ecolet:v:173:y:2018:i:c:p:148-151.

Full description at Econpapers || Download paper

2018Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance. (2018). Walther, Thomas ; Thu, Hien Pham ; Klein, Tony. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:105-116.

Full description at Econpapers || Download paper

2018Insider Trading and Institutional Holdings in Seasoned Equity Offerings. (2018). Wu, Ching-Chih ; Yang, Tung-Hsiao. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:53-:d:168880.

Full description at Econpapers || Download paper

2018Identification of Core Suppliers Based on E-Invoice Data Using Supervised Machine Learning. (2018). Hong, Jung-Sik ; Ahn, Taeuk ; Cho, Nam-Wook ; Yeo, Hyeongyu. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:70-:d:178637.

Full description at Econpapers || Download paper

2018The Role of Government Support in Sustainable Competitive Position and Firm Performance. (2018). Songling, YANG ; Ahmed, Hamid ; Anwar, Muhammad ; Ishtiaq, Muhammad. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:10:p:3495-:d:172812.

Full description at Econpapers || Download paper

2018
2018Exogenous Drivers of Cryptocurrency Volatility - A Mixed Data Sampling Approach To Forecasting. (2018). Walther, Thomas ; Klein, Tony. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:15.

Full description at Econpapers || Download paper

Recent citations received in 2017

YearCiting document
2017Statistical Arbitrage Pairs Trading with High-frequency Data. (2017). Stubinger, Johannes ; Bredthauer, Jens. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-04-76.

Full description at Econpapers || Download paper

2017An Empirical Study on the Impact of Basel III Standards on Banks’ Default Risk: The Case of Luxembourg. (2017). Giordana, Gastón ; Schumacher, Ingmar. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:2:p:8-:d:95645.

Full description at Econpapers || Download paper

2017Power and Size analysis of Co-integration tests in Conditional Heteroskedascity: A Monte Carlo Simulation. (2017). Osarumwense, Osabuohien-Irabor ; Mbegbu, Julian I. In: Romanian Statistical Review. RePEc:rsr:journl:v:65:y:2017:i:3:p:17-34.

Full description at Econpapers || Download paper

2017Financial market predictions with Factorization Machines: Trading the opening hour based on overnight social media data. (2017). Stubinger, Johannes ; Knoll, Julian ; Walter, Dominik. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:192017.

Full description at Econpapers || Download paper

Recent citations received in 2016

YearCiting document
2016A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies. (2016). McAleer, Michael ; Allen, David ; Singh, A K. In: Econometric Institute Research Papers. RePEc:ems:eureir:98658.

Full description at Econpapers || Download paper

2016A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies. (2016). McAleer, Michael ; Allen, David ; Singh, Abhay K. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1703.

Full description at Econpapers || Download paper

Recent citations received in 2015

YearCiting document