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Journal of financial economics
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ECONIS (ZBW)
57
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1
Multi-period portfolio optimization : a parallel NSGA-III algorithm with real-world constraints
Qian, Yihe
;
Wang, Jinpeng
- In:
Finance research letters
60
(
2024
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014490203
Saved in:
2
Risk management and optimal investment with inalienable human capital
Yang, Zeyu
;
Zhuo, Jiayi
;
Zhang, Yuqian
- In:
Finance research letters
61
(
2024
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014490638
Saved in:
3
Risk transmission, systemic fragility of banks' interacting customers and credit worthiness assessment
Cerqueti, Roy
;
Pampurini, Francesca
;
Quaranta, Anna Grazia
- In:
Finance research letters
62
(
2024
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10014530730
Saved in:
4
Relationship between deep hedging and delta hedging : leveraging a statistical arbitrage strategy
Horikawa, Hiroaki
;
Nakagawa, Kei
- In:
Finance research letters
62
(
2024
)
1
,
pp. 1-8
Persistent link: https://www.econbiz.de/10014530849
Saved in:
5
An explainable financial risk early warning model based on the DS-XGBoost model
Zhang, Tianjiao
;
Zhu, Weidong
;
Wu, Yong
;
Wu, Zihao
; …
- In:
Finance research letters
56
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014473596
Saved in:
6
A practical multivariate approach to testing volatility spillover
Leong, Soon Heng
;
Urga, Giovanni
- In:
Journal of economic dynamics & control
153
(
2023
),
pp. 1-29
Persistent link: https://www.econbiz.de/10014479289
Saved in:
7
A general method for analysis and valuation of drawdown risk
Zhang, Gongqiu
;
Li, Lingfei
- In:
Journal of economic dynamics & control
152
(
2023
),
pp. 1-37
Persistent link: https://www.econbiz.de/10014427618
Saved in:
8
Coherent measure of portfolio risk
Ardakani, Omid M.
- In:
Finance research letters
57
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014525068
Saved in:
9
Inter-industry risk spillover, role reversal, and economic stability
Zhu, Zongyuan
- In:
Finance research letters
57
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014525090
Saved in:
10
Using a hedging network to minimize portfolio risk
Mayoral, Silvia
;
Moreno, David
;
Zareei, Abalfazl
- In:
Finance research letters
44
(
2022
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014494757
Saved in:
11
Does commodity hedging with derivatives reduce stock price volatility?
Wang, Ningli
;
Zhou, Qichong
- In:
Finance research letters
50
(
2022
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014245392
Saved in:
12
Asymmetric asset correlation in credit portfolios
Cho, Yongbok
;
Lee, Yong Woong
- In:
Finance research letters
49
(
2022
),
pp. 1-6
Persistent link: https://www.econbiz.de/10013478636
Saved in:
13
Relevance of wrong-way risk in funding valuation adjustments
Zwaard, Thomas van der
;
Grzelak, Lech A.
;
Oosterlee, …
- In:
Finance research letters
49
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10013478834
Saved in:
14
Contagion accounting in stress-testing
Aldasoro, Iñaki
;
Hüser, Anne-Caroline
;
Kok Sørensen, …
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013464710
Saved in:
15
High-carbon screening out : a DCC-MIDAS-climate policy risk method
Ding, Hao
;
Ji, Qiang
;
Ma, Rufei
;
Zhai, Pengxiang
- In:
Finance research letters
47
(
2022
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10013455234
Saved in:
16
A risky affair : dual class and FX hedging
Sah, Nilesh B.
;
Banerjee, Anandi
;
Malm, James
;
More, …
- In:
Finance research letters
47
(
2022
)
1
,
pp. 1-7
Persistent link: https://www.econbiz.de/10013457480
Saved in:
17
Mean-Maximum Drawdown optimization of buy-and-hold portfolios using a multi-objective evolutionary algorithm
Drenovak, Mikica
;
Ranković, Vladimir
;
Urošević, Branko
; …
- In:
Finance research letters
46
(
2022
)
1
,
pp. 1-11
Persistent link: https://www.econbiz.de/10013341443
Saved in:
18
Can unpredictable risk exposure be priced?
Barahona, Ricardo
;
Driessen, Joost
;
Frehen, Rik
- In:
Journal of financial economics
139
(
2021
)
2
,
pp. 522-544
Persistent link: https://www.econbiz.de/10012693684
Saved in:
19
Optimal risk taking under high-water mark contract with jump risk
Mu, Congming
;
Yan, Jingzhou
;
Liang, Zhian
- In:
Finance research letters
38
(
2021
),
pp. 1-7
Persistent link: https://www.econbiz.de/10012486101
Saved in:
20
Are return seasonalities due to risk or mispricing?
Keloharju, Matti
;
Linnainmaa, Juhani
;
Nyberg, Peter
- In:
Journal of financial economics
139
(
2021
)
1
,
pp. 138-161
Persistent link: https://www.econbiz.de/10012650232
Saved in:
21
A two-stage general approach to aggregate multiple bank risks
Zhu, Xiaoqian
;
Wei, Lu
;
Li, Jianping
- In:
Finance research letters
40
(
2021
),
pp. 1-9
Persistent link: https://www.econbiz.de/10012819276
Saved in:
22
Risk management and optimal capital structure under ambiguity
Kim, Hwa-sung
- In:
Finance research letters
40
(
2021
),
pp. 1-9
Persistent link: https://www.econbiz.de/10012819964
Saved in:
23
Risk measurement of international carbon market based on multiple risk factors heterogeneous dependence
Chen, Zhang
;
Yang, Yu
;
Yun, Po
- In:
Finance research letters
32
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012430683
Saved in:
24
Tail Granger causalities and where to find them : extreme risk spillovers vs spurious linkages
Mazzarisi, Piero
;
Zaoli, Silvia
;
Campajola, Carlo
; …
- In:
Journal of economic dynamics & control
121
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012504161
Saved in:
25
Does improved information improve incentives?
Chaigneau, Pierre
;
Edmans, Alex
;
Gottlieb, Daniel
- In:
Journal of financial economics
130
(
2018
)
2
,
pp. 291-307
Persistent link: https://www.econbiz.de/10012051316
Saved in:
26
Elastic attention, risk sharing, and international comovements
Li, Wei
;
Luo, Yulei
;
Nie, Jun
- In:
Journal of economic dynamics & control
79
(
2017
),
pp. 1-20
Persistent link: https://www.econbiz.de/10011817575
Saved in:
27
Idiosyncratic risk and the manager
Glover, Brent
;
Levine, Oliver
- In:
Journal of financial economics
126
(
2017
)
2
,
pp. 320-341
Persistent link: https://www.econbiz.de/10011818159
Saved in:
28
Fair risk allocation in illiquid markets
Csóka, Péter
- In:
Finance research letters
21
(
2017
),
pp. 228-234
Persistent link: https://www.econbiz.de/10011807792
Saved in:
29
Optimal hedge ratio in a biased forward market under liquidity constraints
Dömötör, Barbara
- In:
Finance research letters
21
(
2017
),
pp. 259-263
Persistent link: https://www.econbiz.de/10011807801
Saved in:
30
Implementing and testing the Maximum Drawdown at Risk
Mendes, Beatriz Vaz de Melo
;
Lavrado, Rafael Coelho
- In:
Finance research letters
22
(
2017
),
pp. 95-100
Persistent link: https://www.econbiz.de/10011807982
Saved in:
31
Robust multivairiate extreme value at risk allocation
Belhajjam, Abdellah
;
Belbachir, Mohammadine
;
El …
- In:
Finance research letters
23
(
2017
),
pp. 1-11
Persistent link: https://www.econbiz.de/10011808275
Saved in:
32
Almost stochastic dominance for risk averters and risk seeker
Guo, Xu
;
Wong, Wing Keung
;
Zhu, Lixing
- In:
Finance research letters
19
(
2016
),
pp. 15-21
Persistent link: https://www.econbiz.de/10011657429
Saved in:
33
Quantifying market risk with Value-at-Risk or Expected Shortfall? : consequences for capital requirements and model risk
Kellner, Ralf
;
Rösch, Daniel
- In:
Journal of economic dynamics & control
68
(
2016
),
pp. 45-63
Persistent link: https://www.econbiz.de/10011708407
Saved in:
34
How does the sensitivity of consumption to income vary over time? : international evidence
Islamaj, Ergys
;
Kose, M. Ayhan
- In:
Journal of economic dynamics & control
72
(
2016
),
pp. 169-179
Persistent link: https://www.econbiz.de/10011708878
Saved in:
35
A parsimonious quantile regression model to forecast day-ahead value-at-risk
Haugom, Erik
;
Ray, Rina
;
Ullrich, Carl J.
;
Veka, Steinar
; …
- In:
Finance research letters
16
(
2016
),
pp. 196-207
Persistent link: https://www.econbiz.de/10011656176
Saved in:
36
Managing dynamic epidemiological risks through trade
Horan, Richard D.
;
Fenichel, Eli P.
;
Finnoff, David
; …
- In:
Journal of economic dynamics & control
53
(
2015
),
pp. 192-207
Persistent link: https://www.econbiz.de/10011526959
Saved in:
37
Managing the endogenous risk of disease outbreaks with non-constant background risk
Berry, Kevin
;
Finnoff, David
;
Horan, Richard D.
; …
- In:
Journal of economic dynamics & control
51
(
2015
),
pp. 166-179
Persistent link: https://www.econbiz.de/10011474380
Saved in:
38
Contagion effect on bond portfolio risk measures in a hybrid credit risk model
Boudreault, Mathieu
;
Gauthier, Geneviève
;
Thomassin, Tommy
- In:
Finance research letters
11
(
2014
)
2
,
pp. 131-139
Persistent link: https://www.econbiz.de/10010441202
Saved in:
39
Credit risk assessment of fixed income portfolios using explicit expressions
Pagnoncelli, Bernardo K.
;
Cifuentes, Arturo
- In:
Finance research letters
11
(
2014
)
3
,
pp. 224-230
Persistent link: https://www.econbiz.de/10010441865
Saved in:
40
Dynamic risk management
Rampini, Adriano A.
;
Sufi, Amir
;
Viswanathan, S.
- In:
Journal of financial economics
111
(
2014
)
2
,
pp. 271-296
Persistent link: https://www.econbiz.de/10010255521
Saved in:
41
Does risk sharing increase with risk aversion and risk when commitment is limited?
Laczó, Sarolta
- In:
Journal of economic dynamics & control
46
(
2014
),
pp. 237-251
Persistent link: https://www.econbiz.de/10010474917
Saved in:
42
Market timing, investment, and risk management
Bolton, Patrick
;
Chen, Hui
;
Wang, Neng
- In:
Journal of financial economics
109
(
2013
)
1
,
pp. 40-62
Persistent link: https://www.econbiz.de/10009764320
Saved in:
43
Characterization of a risk sharing contract with one-sided commitment
Zhang, Yuzhe
- In:
Journal of economic dynamics & control
37
(
2013
)
4
,
pp. 794-809
Persistent link: https://www.econbiz.de/10009726177
Saved in:
44
Value at Risk and Expected Shortfall for large portfolios
Lönnbark, Carl
;
Holmberg, Ulf
;
Brännäs, Kurt
- In:
Finance research letters
8
(
2011
)
2
,
pp. 59-68
Persistent link: https://www.econbiz.de/10009301309
Saved in:
45
Corporate risk management and dividend signaling theory
Dionne, Georges
;
Ouederni, Karima
- In:
Finance research letters
8
(
2011
)
4
,
pp. 188-195
Persistent link: https://www.econbiz.de/10009425857
Saved in:
46
Bailouts, the incentive to manage risk, and financial crises
Panageas, Stauros
- In:
Journal of financial economics
95
(
2010
)
3
,
pp. 296-311
Persistent link: https://www.econbiz.de/10003965353
Saved in:
47
Systematic equity-based credit risk : a CEV model with jump to default
Campi, Luciano
;
Polbennikov, Simon
;
Sbuelz, Alessandro
- In:
Journal of economic dynamics & control
33
(
2009
)
1
,
pp. 93-108
Persistent link: https://www.econbiz.de/10003810168
Saved in:
48
Capital expenditures, financial constraints, and the use of options
Adam, Tim
- In:
Journal of financial economics
92
(
2009
)
2
,
pp. 238-251
Persistent link: https://www.econbiz.de/10003850992
Saved in:
49
On the qualitative effect of volatility and duration on prices of Asian options
Carr, Peter
;
Ewald, Christian-Oliver
;
Xiao, Yajun
- In:
Finance research letters
5
(
2008
)
3
,
pp. 162-171
Persistent link: https://www.econbiz.de/10003769897
Saved in:
50
On deposit volumes and the valuation of non-maturing liabilities
Nyström, Kaj
- In:
Journal of economic dynamics & control
32
(
2008
)
3
,
pp. 709-756
Persistent link: https://www.econbiz.de/10003687439
Saved in:
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