Volume 313, Issue 2

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June 2022

Risk Management Decisions and Value Under Uncertainty. Editors: Giovanni Barone-Adesi, Ephraim Clark, Jean-Luc Prigent

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34 articles in this issue

Risk management decisions and value under uncertainty
Giovanni Barone-Adesi
Ephraim Clark
Jean-Luc Prigent
Preface 10 May 2022 Pages: 603 - 604
A new approach to deal with variable selection in neural networks: an application to bankruptcy prediction
Ilyes Abid
Rim Ayadi
Farid Mkaouar
S.I.: Risk Management Decisions and Value under Uncertainty 20 September 2021 Pages: 605 - 623
A quantitative method for opinion ratings and analysis: an event study
Hakim Akeb
Aldo Lévy
Mohamed Rdali
S.I.: Risk Management Decisions and Value under Uncertainty 04 March 2021 Pages: 625 - 638
Forecasting high-frequency stock returns: a comparison of alternative methods
Erdinc Akyildirim
Aurelio F. Bariviera
Ahmet Sensoy
S.I.: Risk Management Decisions and Value under Uncertainty 09 January 2022 Pages: 639 - 690
Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion
Charles-Olivier Amédée-Manesme
Fabrice Barthélémy
S.I.: Risk Management Decisions and Value under Uncertainty 16 November 2020 Pages: 691 - 712
General equilibrium with heterogeneous participants and continuous consumption with information costs and short selling constraints
Mondher Bellalah
Xu Guo
Detao Zhang
S.I. : Risk Management Decisions and Value under Uncertainty 23 June 2020 Pages: 713 - 732
Implicit quantiles and expectiles
Fabio Bellini
Edit Rroji
Carlo Sala
S.I. : Risk Management Decisions and Value under Uncertainty 01 April 2021 Pages: 733 - 753
Measuring extreme risk dependence between the oil and gas markets
Hachmi Ben Ameur
Zied Ftiti
Wael Louhichi
S.I.: Risk Management Decisions and Value under Uncertainty 02 November 2020 Pages: 755 - 772
Nonperforming loan of European Islamic banks over the economic cycle
Faten Ben Bouheni
Hassan Obeid
Elena Margarint
S.I. : Risk Management Decisions and Value under Uncertainty 12 April 2021 Pages: 773 - 808
A financial fraud detection indicator for investors: an IDeA
Philippe Bernard
Najat El Mekkaoui De Freitas
Bertrand B. Maillet
S.I. : Risk Management Decisions and Value under Uncertainty 26 September 2019 Pages: 809 - 832
Foreign currency hedging and firm productive efficiency
Sabri Boubaker
Riadh Manita
Salma Mefteh-Wali
S.I.: Risk Management Decisions and Value under Uncertainty 19 August 2020 Pages: 833 - 854
Stock exchange efficiency and convergence: international evidence
Ephraim Clark
Zhuo Qiao
S.I.: Risk Management Decisions and Value under Uncertainty 03 January 2021 Pages: 855 - 875
On the use of the terminal-value approach in risk-value models
Gregor Dorfleitner
S.I. : Risk Management Decisions and Value under Uncertainty Open access 30 May 2020 Pages: 877 - 897
Pricing insurance premia: a top down approach
Eymen Errais
S.I.: Risk Management Decisions and Value under Uncertainty 11 November 2019 Pages: 899 - 914
On the relationship between oil and gas markets: a new forecasting framework based on a machine learning approach
Zied Ftiti
Kais Tissaoui
Sahbi Boubaker
S.I. : Risk Management Decisions and Value under Uncertainty 09 June 2020 Pages: 915 - 943
Concurrent neural network: a model of competition between times series
Rémy Garnier
S.I.: Risk Management Decisions and Value under Uncertainty 18 September 2021 Pages: 945 - 964
Network models to improve robot advisory portfolios
Paolo Giudici
Gloria Polinesi
Alessandro Spelta
S.I. : Risk Management Decisions and Value under Uncertainty Open access 18 October 2021 Pages: 965 - 989
Governed by the cycle: interest rate sensitivity of emerging market corporate debt
Mariya Gubareva
Maria Rosa Borges
S.I. : Risk Management Decisions and Value under Uncertainty 17 February 2021 Pages: 991 - 1019
Closed form valuation of barrier options with stochastic barriers
Tristan Guillaume
S.I.: Risk Management Decisions and Value under Uncertainty 03 January 2021 Pages: 1021 - 1050
Risk management methodology in the supply chain: a case study applied
M. J. Hermoso-Orzáez
J. Garzón-Moreno
S.I. : Risk Management Decisions and Value under Uncertainty Open access 10 August 2021 Pages: 1051 - 1075
Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises
M. Karanasos
S. Yfanti
J. Hunter
S.I.: Risk Management Decisions and Value under Uncertainty Open access 21 April 2021 Pages: 1077 - 1116
Transmission of the Greek crisis on the sovereign debt markets in the euro area
Oussama Kchaou
Makram Bellalah
Sofiane Tahi
S.I. : Risk Management Decisions and Value under Uncertainty 23 November 2021 Pages: 1117 - 1139
Goal-based investing based on multi-stage robust portfolio optimization
Jang Ho Kim
Yongjae Lee
Frank J. Fabozzi
S.I.: Risk Management Decisions and Value under Uncertainty 02 March 2022 Pages: 1141 - 1158
The Dynkin game with regime switching and applications to pricing game options
Siyu Lv
Zhen Wu
Qing Zhang
S.I.: Risk Management Decisions and Value under Uncertainty 08 June 2020 Pages: 1159 - 1182
Spatial contagion between financial markets: new evidence of asymmetric measures
Wafa Miled
Zied Ftiti
Jean-Michel Sahut
S.I. : Risk Management Decisions and Value under Uncertainty 01 September 2021 Pages: 1183 - 1220
A fuzzy multifactor asset pricing model
Alfred Mbairadjim Moussa
Jules Sadefo Kamdem
S.I. : Risk Management Decisions and Value under Uncertainty 27 August 2021 Pages: 1221 - 1241
Sourcing decision under interconnected risks: an application of mean–variance preferences approach
Soumyatanu Mukherjee
Sidhartha S. Padhi
S.I. : Risk Management Decisions and Value under Uncertainty Open access 06 January 2022 Pages: 1243 - 1268
A model for the optimal selection of lenders
Inmaculada Rodríguez-Puerta
Alberto A. Álvarez-López
S.I.: Risk Management Decisions and Value under Uncertainty 25 February 2021 Pages: 1269 - 1284
Optimal feedback control of stock prices under credit risk dynamics
Jinghai Shao
Sovan Mitra
Andreas Karathanasopoulos
S.I. : Risk Management Decisions and Value under Uncertainty Open access 17 March 2021 Pages: 1285 - 1318
On the risk management of demand deposits: quadratic hedging of interest rate margins
Alexandre Adam
Hamza Cherrat
Jean-Luc Prigent
S.I.: Risk Management Decisions and Value under Uncertainty 24 August 2020 Pages: 1319 - 1355
Statistical arbitrage in jump-diffusion models with compound Poisson processes
Erdinc Akyildirim
Frank J. Fabozzi
Ahmet Sensoy
S.I.: Risk Management Decisions and Value under Uncertainty 26 February 2021 Pages: 1357 - 1371
Long term optimal investment with regime switching: inflation, information and short sales
Mondher Bellalah
Akeb Hakim
Detao Zhang
S.I.: Risk Management Decisions and Value under Uncertainty 28 June 2020 Pages: 1373 - 1386
The Brexit impact on European market co-movements
Hachmi Ben Ameur
Waël Louhichi
S.I. : Risk Management Decisions and Value under Uncertainty 03 January 2021 Pages: 1387 - 1403
A meta-measure of performance related to both investors and investments characteristics
Monica Billio
Bertrand Maillet
Loriana Pelizzon
S.I.: Risk Management Decisions and Value under Uncertainty 12 August 2021 Pages: 1405 - 1447

Volume 313, Issue 2

Risk management decisions and value under uncertainty

A new approach to deal with variable selection in neural networks: an application to bankruptcy prediction

A quantitative method for opinion ratings and analysis: an event study

Forecasting high-frequency stock returns: a comparison of alternative methods

Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion

General equilibrium with heterogeneous participants and continuous consumption with information costs and short selling constraints

Implicit quantiles and expectiles

Measuring extreme risk dependence between the oil and gas markets

Nonperforming loan of European Islamic banks over the economic cycle

A financial fraud detection indicator for investors: an IDeA

Foreign currency hedging and firm productive efficiency

Stock exchange efficiency and convergence: international evidence

On the use of the terminal-value approach in risk-value models

Pricing insurance premia: a top down approach

On the relationship between oil and gas markets: a new forecasting framework based on a machine learning approach

Concurrent neural network: a model of competition between times series

Network models to improve robot advisory portfolios

Governed by the cycle: interest rate sensitivity of emerging market corporate debt

Closed form valuation of barrier options with stochastic barriers

Risk management methodology in the supply chain: a case study applied

Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises

Transmission of the Greek crisis on the sovereign debt markets in the euro area

Goal-based investing based on multi-stage robust portfolio optimization

The Dynkin game with regime switching and applications to pricing game options

Spatial contagion between financial markets: new evidence of asymmetric measures

A fuzzy multifactor asset pricing model

Sourcing decision under interconnected risks: an application of mean–variance preferences approach

A model for the optimal selection of lenders

Optimal feedback control of stock prices under credit risk dynamics

On the risk management of demand deposits: quadratic hedging of interest rate margins

Statistical arbitrage in jump-diffusion models with compound Poisson processes

Long term optimal investment with regime switching: inflation, information and short sales

The Brexit impact on European market co-movements

A meta-measure of performance related to both investors and investments characteristics

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