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A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 6-30

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily return series and a similar...

Persistent link: https://www.econbiz.de/10011555743

Connecting VIX and stock index ETF with VAR and diagonal BEKK

Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-25

As stock market indexes are not tradeable, the importance and trading volume of Exchange-Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index...

Persistent link: https://www.econbiz.de/10011961446

Editorial note : review papers for Journal of Risk and Financial Management (JRFM)

McAleer, Michael - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-2

The Journal of Risk and Financial Management (JRFM) was inaugurated in 2008 and has continued publishing successfully …

Persistent link: https://www.econbiz.de/10011855244

The AGP model for risk management in agile I.T. projects

Sanjeet Singh; Madaan, Geetika; Amrinder Singh; Sood, Kiran - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-12

The vast majority of articles on risk in agile-managed projects fail to adequately address the interplay between the … agile methodology, the risk management process, and the elements that ultimately determine the success or failure of the … create a risk management model for agile I.T. projects (AGP model). The study sample consists of 1868 valid survey responses …

Persistent link: https://www.econbiz.de/10014305579

The moderating effect of perceived risk on users' continuance intention for FinTech services

Jangir, Kshitiz; Sharma, Vikas; Taneja, Sanjay; … - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-16

The study's aim is to investigate how FinTech users' perceived risk influences their continuance intention to use … influenced by perceived usefulness and satisfaction. Furthermore, perceived risk, as a moderator, significantly moderates … continuance intention through satisfaction and satisfaction through confirmation. However, perceived risk was found to have an …

Persistent link: https://www.econbiz.de/10014295456