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Risk management is crucial for optimal portfolio management. One of the fastest growing areas in empirical finance is the expansion of financial derivatives. The purpose of this special issue on “Risk Management and Financial Derivatives” is to highlight some areas in which novel econometric, financial econometric and empirical finance methods have contributed significantly to the analysis of r...

Abstract We examine an undercover Securities and Exchange Commission (SEC) investigation into the manipulation of financial news on social media. While fraudulent had a direct positive impact retail trading prices, revelation fraud by SEC announcement resulted in significantly lower volume all news, including legitimate these platforms. For small firms, declined 23.5% price volatility dropped 1...

Several studies estimate the volatility spillover effects between gold and silver returns, but none of them used implied to evaluate long-term relationship these two metal markets. Our paper aims fill this gap in existing literature. This investigates transmission silver; by using GARCH VAR modelling, it finds that from is unidirectional. Volatility strategies options can be designed take advan...

In this paper, we investigate the “static and dynamic” return volatility spillovers’ transmission across developed developing countries. Quoted against US dollar, study twenty-three global currencies over time period 2005–2016. Focusing on spillover index methodology, generalised VAR framework is employed. Our findings indicate no evidence of bi-directional spillovers between However, unidirect...

In recent years, the volatility of financial assets has significantly increased. High causes instability in markets and increases portfolio risks. Under these conditions, modeling volatility, determining relationships, spillovers are important for market actors. this study, period January 2, 2010 - April 10, 2020, it was investigated spillover correlation relationship between Borsa Istanbul (BI...

Abstract In this paper we propose a framework for fuzzy clustering of time series based on directional volatility spillovers. the case financial series, detecting clusters spillovers provides insights into market structure, which can be useful to both portfolio managers and policy makers. We measure directional—i.e. “From” “To” others—volatility with methodology generalized forecast-error varia...

Duisenberg school of finance is a collaboration of the Dutch financial sector and universities, with the ambition to support innovative research and offer top quality academic education in core areas of finance. Abstract Energy and agricultural commodities and markets have been examined extensively, albeit separately, for a number of years. In the energy literature, the returns, volatility and ...