Volume 334, Issue 1-3

Search all Annals of Operations Research articles

March 2024

Risk and Uncertainty Modelling in Financial and Economic Systems

Issue Editors:

Hachmi BEN AMEUR,
Ephraim Clark,
Zied Ftiti,
Jean-Luc Prigent

33 articles in this issue

Operational research insights on risk, resilience & dynamics of financial & economic systems
Hachmi Ben Ameur
Ephraim Clark
Jean-Luc Prigent
Preface 04 March 2024 Pages: 1 - 6
Seasonal volatility in agricultural markets: modelling and empirical investigations
L. Schneider
B. Tavin
Original Research 01 September 2021 Pages: 7 - 58
Unlocking the black box: Non-parametric option pricing before and during COVID-19
Nikola Gradojevic
Dragan Kukolj
S.I. : Risk and Uncertainty Modelling in Financial and Economic Systems 25 February 2022 Pages: 59 - 82
Black-scholes approximation of warrant prices: slight return in a low interest rate environment
Philippe Bertrand
Original Research 20 March 2022 Pages: 83 - 100
Pricing for a vulnerable bull spread options using a mixed modified fractional Hull–White–Vasicek model
Eric Djeutcha
Jules Sadefo Kamdem
Original Research 20 July 2022 Pages: 101 - 131
Mean–variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem
Michele Costola
Bertrand Maillet
Xiang Zhang
Original Research 09 September 2022 Pages: 133 - 155
A semi-supervised learning approach for variance reduction in life insurance
Martin Jimenez
Yahia Salhi
Original Research 30 June 2022 Pages: 157 - 184
Mean-semivariance portfolio optimization using minimum average partial
Andrea Rigamonti
Katarína Lučivjanská
Original Research Open access 20 May 2022 Pages: 185 - 203
Monte carlo within simulated annealing for integral constrained optimizations
Roberto Casarin
Bertrand B. Maillet
Anthony Osuntuyi
Original Research 30 September 2022 Pages: 205 - 240
Modeling portfolio efficiency using stochastic optimization with incomplete information and partial uncertainty
D. La Torre
F. Mendivil
M. Rocca
Original Research 10 November 2021 Pages: 241 - 263
Green transition, investment horizon, and dynamic portfolio decisions
Willi Semmler
Kai Lessmann
Joao Paulo Braga
Original Research Open access 30 October 2022 Pages: 265 - 286
Revisiting Islamic banking efficiency using multivariate adaptive regression splines
Foued Saâdaoui
Monjia Khalfi
Original Research 05 February 2022 Pages: 287 - 315
Bank stock performance during the COVID-19 crisis: does efficiency explain why Islamic banks fared relatively better?
Ali Mirzaei
Mohsen Saad
Ali Emrouznejad
Original Research 17 March 2022 Pages: 317 - 355
The effect of liquidity creation on systemic risk: evidence from European banking sector
Waël Louhichi
Nadia Saghi
Jean-Laurent Viviani
Original Research 09 August 2022 Pages: 357 - 389
Financial stability, liquidity risk and income diversification: evidence from European banks using the CAMELS–DEA approach
Béchir Ben Lahouel
Lotfi Taleb
Shunsuke Managi
Original Research 29 June 2022 Pages: 391 - 422
Investigating into the dual role of loan loss reserves in banking production process
Hirofumi Fukuyama
Yong Tan
Original Research Open access 01 December 2021 Pages: 423 - 444
An intelligent payment card fraud detection system
Manjeevan Seera
Chee Peng Lim
Kim Hua Tan
Original Research 08 June 2021 Pages: 445 - 467
Dynamic history-dependent tax and environmental compliance monitoring of risk-averse firms
Noam Goldberg
Isaac Meilijson
Yael Perlman
Original Research Open access 17 December 2022 Pages: 469 - 495
Exogeneous shocks, risk, and market convergence of real alternative and financial assets: evidence from nonlinear dynamics
Benoît Faye
Eric Le Fur
Stéphanie Prat
Original Research 18 January 2022 Pages: 497 - 520
The nexus between black and digital gold: evidence from US markets
Toan Luu Duc Huynh
Rizwan Ahmed
Ngoc Quang Anh Huynh
Original Research Open access 22 July 2021 Pages: 521 - 546
Microstructure noise and idiosyncratic volatility anomalies in cryptocurrencies
Elie Bouri
Ladislav Kristoufek
Syed Jawad Hussain Shahzad
Original Research 19 February 2022 Pages: 547 - 573
Tail risk connectedness in clean energy and oil financial market
Matteo Foglia
Eliana Angelini
Toan Luu Duc Huynh
Original Research Open access 15 May 2022 Pages: 575 - 599
Dirty versus renewable energy consumption in China: a comparative analysis between conventional and non-conventional approaches
Taha Zaghdoudi
Kais Tissaoui
Lamia Ben Amor
Original Research 28 January 2023 Pages: 601 - 622
How efficient are natural gas markets in practice? A wavelet-based approach
Amina Baba
Sana Ben Kebaier
Anna Creti
Original Research 16 June 2022 Pages: 623 - 677
Forecasting gold price with the XGBoost algorithm and SHAP interaction values
Sami Ben Jabeur
Salma Mefteh-Wali
Jean-Laurent Viviani
Original Research 23 July 2021 Pages: 679 - 699
Time-frequency information transmission among financial markets: evidence from implied volatility
Muhammad Abubakr Naeem
Fiza Qureshi
Mohamed Elheddad
Original Research 14 September 2021 Pages: 701 - 729
Financial uncertainty and interest rate movements: is Asian bond market volatility different?
Jungsuk Kim
Abhishek Kumar
Donghyun Park
Original Research 01 November 2021 Pages: 731 - 759
Cross-influence of information and risk effects on the IPO market: exploring risk disclosure with a machine learning approach
Huosong Xia
Juan Weng
Sajjad M. Jasimuddin
Original Research 22 October 2022 Pages: 761 - 797
Is CSR linked to idiosyncratic risk? Evidence from the copula approach
Salma Mefteh-Wali
Hassen Rais
Guillaume Schier
Original Research 24 September 2022 Pages: 799 - 814
Investor attention and cryptocurrency market liquidity: a double-edged sword
Shouyu Yao
Ahmet Sensoy
Tong Li
Original Research 01 September 2022 Pages: 815 - 856
Evaluating the discrimination ability of proper multi-variate scoring rules
C. Alexander
M. Coulon
X. Meng
Original Research Open access 18 March 2022 Pages: 857 - 883
Venture capital activities under uncertainty: US and UK investors behavior
Fatima Shuwaikh
Souad Brinette
Rita Grego De Castro
Original Research 23 September 2022 Pages: 885 - 917
A multidimensional Bayesian model to test the impact of investor sentiment on equity premium
Mehdi Mili
Jean‐Michel Sahut
Lubica Hikkerova
Original Research 24 January 2023 Pages: 919 - 939

Volume 334, Issue 1-3

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