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An empirical analysis for the prediction of a financial crisis in Turkey through the use of forecast error measures
Cavdar, Seyma Caliskan; Aydin, Alev Dilek - In: Journal of risk and financial management : JRFM 8 (2015) 3, pp. 337-354
In this study, we try to examine whether the forecast errors obtained by the ANN models affect the breakout of financial crises. Additionally, we try to investigate how much the asymmetric information and forecast errors are reflected on the output values. In our study, we used the exchange rate...
Persistent link: https://www.econbiz.de/10011545129
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When wrong is right : leaving room for error in innovation measurement
Jong, Ilse Svensson de - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-14
To date, measuring innovation has not been an exact science. As in many areas of organizational life, errors in measuring innovation are a recurring fact. Innovation researchers and practitioners alike have become increasingly interested in understanding the occurrence of organizational errors...
Persistent link: https://www.econbiz.de/10012626239
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Preference between individual products and bundles : effects of complementary, price, and discount level in Portugal
Martins, Paulo; Rodrigues, Paula Cristina Lopes; … - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-19
This paper aims to (1) compare consumers' preferences between individual products and bundles as well as (2) investigate some of the factors involved in bundle characteristics that may affect consumer's preferences. Those factors are complementarity, price level, and discount level. An online...
Persistent link: https://www.econbiz.de/10012533773
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A double-hurdle model of healthcare expenditures across income quintiles and family size : new insights from a household survey
Osmani, Ahmad Reshad; Okunade, Albert - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-21
The decision-making processes and outcomes of male and female household heads differ due to gender-based differences in preferences. In this paper, we assess the impact of this heterogeneity on household healthcare consumption in Thailand. Past studies modeling healthcare expenditures using...
Persistent link: https://www.econbiz.de/10012587920
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The impact of migration on Vietnam household living standards
Ngoc Hung Pham; Tran Manh Dung; Anh Duc Le; Thuy Linh Le - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-11
This study is conducted to investigate the impact of migration on living standards of households with migrants in the context of Vietnam. Data were collected from the results of Vietnam Household Living Standards in the time series. Blinder-Oaxaca decomposition was employed to decompose the...
Persistent link: https://www.econbiz.de/10013273423
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The fundamental equation in tourism finance
McAleer, Michael - In: Journal of risk and financial management : JRFM 8 (2015) 4, pp. 369-374
The purpose of the paper is to present the fundamental equation in tourism finance that connects tourism research to empirical finance and financial econometrics. The energy industry, which includes, oil, gas and bio-energy fuels, together with the tourism industry, are two of the most important...
Persistent link: https://www.econbiz.de/10011545065
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Volatility integration in spot, futures and options markets : a regulatory perspective
Rastogi, Shailesh; Athaley, Chaitaly - In: Journal of risk and financial management : JRFM 12 (2019) 2/98, pp. 1-15
The aim of this paper is to study the integration of volatility in the three markets, viz. spot, futures and options … moments (GMM) is used to capture the simultaneous equation modelling of volatility in the three markets. The integration of … the volatility in the three markets is also tested for structural breaks. The main finding of the paper is that the …
Persistent link: https://www.econbiz.de/10012022005
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A survey on empirical findings about spillovers in cryptocurrency markets
Kyriazis, Nikolaos A. - In: Journal of risk and financial management : JRFM 12 (2019) 4/170, pp. 1-17
This paper provides a systematic survey on return and volatility spillovers of cryptocurrencies based on the empirical … but volatility spillovers often present a bi-directional character. Volatility shock transmission is detected among …
Persistent link: https://www.econbiz.de/10012171411
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Dynamic responses of major equity markets to the US fear index
Adrangi, Bahram; Chatrath, Arjun; Macri, Joseph; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/156, pp. 1-23
.e., the Chicago Board of Trade Volatility Index (VIX). The VIX is designed to perform as a leading indicator of the volatility … estimation show that, in the first and second subperiods that cover from 6/2013 through 5/2016, equity market volatility in the …
Persistent link: https://www.econbiz.de/10012173007
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Does the assumption on innovation process play an important role for filtered historical simulation model?
Altun, Emrah; Tatlidil, Huseyin; Ozel, Gamze; … - In: Journal of risk and financial management : JRFM 11 (2018) 1, pp. 1-13
Most of the financial institutions compute the Value-at-Risk (VaR) of their trading portfolios using historical simulation-based methods. In this paper, we examine the Filtered Historical Simulation (FHS) model introduced by Barone-Adesi et al. (1999) theoretically and empirically. The main goal...
Persistent link: https://www.econbiz.de/10011855007