Journal of Risk Finance: Volume 20 Issue 4

Does idiosyncratic risk matter? Evidence from mergers and acquisitions

Pascal Nguyen, Younes Ben Zaied, Thu Phuong Pham

This paper aims to investigate whether idiosyncratic volatility is a priced risk factor in the Australian stock market.

Cryptocurrencies vs global foreign exchange risk

Calvin W. H. Cheong

This study aims to examine the properties of four major cryptocurrencies and how they can be used as a simpler alternative mode of hedging foreign exchange (FX) risks as compared…

Adjusting for risk factors in mutual fund performance and performance persistence: Evidence from the Greek market during the debt crisis

Drosos Koutsokostas, Spyros Papathanasiou, Dimitris Balios

The purpose of this paper is to examine the performance of Greek equity mutual funds and the persistence in annual performance for the period 2008-2017 by using a variety of…

Interest rates calibration with a CIR model

Giuseppe Orlando, Rosa Maria Mininni, Michele Bufalo

The purpose of this paper is to model interest rates from observed financial market data through a new approach to the Cox–Ingersoll–Ross (CIR) model. This model is popular among…