Volume 330, Issue 1-2

Search all Annals of Operations Research articles

November 2023

Special issue: Risk Models in Banking and Finance: Networks, Data Analytics and Complex Systems

Issue Editors:

Stéphane Goutte,
Duc Khuong Nguyen,
Ahmet Sensoy,
Nikolas Topaloglou

30 articles in this issue

A simulation study on the Markov regime-switching zero-drift GARCH model
Yanlin Shi
Original Research 01 November 2020 Pages: 1 - 20
Holistic principle for risk aggregation and capital allocation
Wing Fung Chong
Runhuan Feng
Longhao Jin
Original Research Open access 26 February 2021 Pages: 21 - 54
Robust generalized Merton-type financial portfolio models with generalized utility
Fouad Ben Abdelaziz
Davide La Torre
Original Research 31 March 2021 Pages: 55 - 72
Liquidity-constrained index tracking optimization models
Eduardo Bered Fernandes Vieira
Tiago Pascoal Filomena
Miguel A. Lejeune
Original Research 01 July 2021 Pages: 73 - 118
Identifying systemically important financial institutions in China: new evidence from a dynamic copula-CoVaR approach
Fei Wu
Zhiwei Zhang
Qiang Ji
Original Research 02 July 2021 Pages: 119 - 153
Dynamic limit order placement activities and their effects on stock market quality
Anh Tu Le
Thai-Ha Le
Kingsley Y. Fong
Original Research 07 October 2021 Pages: 155 - 175
The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets
Walid Ben Omrane
Khaled Guesmi
Samir Saadi
Original Research 27 November 2021 Pages: 177 - 209
Optimal filter rules for selling stocks in the emerging stock markets
Sabri Boubaker
Xuyuan Han
Yaosong Zhan
Original Research 13 November 2021 Pages: 211 - 242
Systematic risk in the biopharmaceutical sector: a multiscale approach
Gazi Salah Uddin
Muhammad Yahya
Gerhard Kling
Original Research Open access 21 November 2021 Pages: 243 - 266
The threshold effects of income diversification on bank stability: an efficiency perspective based on a dynamic network slacks-based measure model
Béchir Ben Lahouel
Lotfi Taleb
Younes Ben Zaied
Original Research 06 January 2022 Pages: 267 - 304
Modelling extreme risk spillovers in the commodity markets around crisis periods including COVID19
Najaf Iqbal
Elie Bouri
David Roubaud
Original Research 13 January 2022 Pages: 305 - 334
Volatility impacts on the European banking sector: GFC and COVID-19
Jonathan A. Batten
Tonmoy Choudhury
Niklas F. Wagner
Original Research Open access 18 February 2022 Pages: 335 - 360
How do women on corporate boards shape corporate social performance? Evidence drawn from semiparametric regression
Rey Đặng
Lubica Hikkerova
Jean-Michel Sahut
Original Research 17 February 2022 Pages: 361 - 388
Financial interbanking networks resilience under shocks propagation
Roy Cerqueti
Matteo Cinelli
Antonio Iovanella
Original Research 09 February 2022 Pages: 389 - 409
Ranking econometric techniques using geometrical Benefit of Doubt
Konstantinos Petridis
Nikolaos E. Petridis
Hatem Masri
Original Research 21 March 2022 Pages: 411 - 430
Practice-relevant model validation: distributional parameter risk analysis in financial model risk management
Mark Cummins
Fabian Gogolin
Bernard Murphy
Original Research Open access 04 March 2022 Pages: 431 - 455
Improving financial distress prediction using textual sentiment of annual reports
Bo Huang
Xiao Yao
Jing Li
Original Research 15 March 2022 Pages: 457 - 484
Asset allocation of Australian superannuation funds: a markov regime switching approach
Emawtee Bissoondoyal-Bheenick
Robert Brooks
Hung Do
Original Research Open access 05 May 2022 Pages: 485 - 515
Shock transmissions and business linkages among US sectors
Linh Xuan Diep Nguyen
Thanaset Chevapatrakul
Simona Mateut
Original Research Open access 05 December 2022 Pages: 517 - 552
Forecasting mid-price movement of Bitcoin futures using machine learning
Erdinc Akyildirim
Oguzhan Cepni
Gazi Salah Uddin
Original Research 22 July 2021 Pages: 553 - 584
Measures of global sensitivity in linear programming: applications in banking sector
Mike G. Tsionas
Dionisis Philippas
Original Research 25 February 2021 Pages: 585 - 607
Credit risk classification: an integrated predictive accuracy algorithm using artificial and deep neural networks
Mohammad Mahbobi
Salman Kimiagari
Marriappan Vasudevan
Original Research 01 July 2021 Pages: 609 - 637
The impact of the SARS-CoV-2 pandemic on financial markets: a seismologic approach
Alessandro Spelta
Nicolò Pecora
Paolo Giudici
Original Research Open access 14 May 2021 Pages: 639 - 664
Cryptocurrency volatility forecasting: What can we learn from the first wave of the COVID-19 outbreak?
Zied Ftiti
Wael Louhichi
Hachmi Ben Ameur
Original Research 16 June 2021 Pages: 665 - 690
Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods
Sheri Markose
Simone Giansante
Mateusz Gatkowski
Original Research Open access 02 June 2021 Pages: 691 - 729
Mispricing: failure to capture the risk preferences dependent on market states
Hongwei Xing
Hanying Wang
Shouyu Yao
Original Research 26 June 2021 Pages: 1 - 26
Futures hedging in electricity retailing
Fehmi Tanrisever
Burak Büke
Geert Jongen
Original Research 23 September 2022 Pages: 757 - 785
A risk measurement study evaluating the impact of COVID-19 on China's financial market using the QR-SGED-EGARCH model
Malin Song
Zixu Sui
Xin Zhao
Original Research 18 January 2023 Pages: 787 - 806
The cyclicality of bank credit losses and capital ratios under expected loss model
Mahmoud Fatouh
Simone Giansante
Original Research 11 August 2023 Pages: 807 - 840
Correction to: Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods
Sheri Markose
Simone Giansante
Mateusz Gatkowski
Correction 09 July 2021 Pages: 841 - 841

Volume 330, Issue 1-2

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