E-Mail Alert

Add your e-mail address to receive forthcoming issues of this journal:

Journal Browser

Journal Browser

Special Issue "Risk Measures with Applications in Finance and Economics"

A special issue of Sustainability (ISSN 2071-1050).

Deadline for manuscript submissions: 30 April 2018

Special Issue Editors

Guest Editor
University Distinguished Chair Prof. Michael McAleer

1. Department of Quantitative Finance, National Tsing Hua University, Taiwan;
2. Discipline of Business Analytics, University of Sydney Business School, Australia;
3. Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands;
4. Department of Quantitative Economics, Complutense University of Madrid, Spain;
5. Institute of Advanced Sciences, Yokohama National University, Japan
Website | E-Mail
Phone: +88635715131ext62534
Interests: Theoretical and applied econometrics; financial econometrics; theoretical and applied statistics; time series analysis; empirical finance; risk management; applied mathematics
Guest Editor
Chair Prof. Wing-Keung Wong

Department of Finance, College of Management, Asia University, Wufeng, Taichung, Taiwan
Website | E-Mail
Interests: financial economics; econometrics; mathematical finance; mathematical economics; equity analysis; investment theory; risk management; behavioral finance; behavioral economics; operational research; stochastic dominance theory; time series analysis; Bayesian theory and decision theory

Special Issue Information

Dear Colleagues,

Risk Measures play a vital role in many fields in Economics and Finance.  Using different risk measures could compare the performances of different variables through the analysis of empirical real-world data. For example, risk measures could help to form effective monetary and fiscal policies, and to develop pricing models for financial assets, such as equities, bonds, currencies, and derivative securities.

A Special Issue of “Risk Measures with Applications in Finance and Economics” will be devoted to advancements in the mathematical and statistical development of risk measures with applications in Finance and Economics. This Special Issue will bring together theory, practice and applications of risk measures.

We invite investigators to contribute original research articles in theory and applications of risk measures. All submissions must contain original unpublished work not being considered for publication elsewhere.

Chair Prof. Michael McAleer
Chair Prof. Wing-Keung Wong
Guest Editors

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All papers will be peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Sustainability is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Published Papers (4 papers)

View options order results:
result details:
Displaying articles 1-4
Export citation of selected articles as:

Research

Open AccessArticle Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations
Sustainability 2017, 9(10), 1799; doi:10.3390/su9101799
Received: 14 August 2017 / Revised: 27 September 2017 / Accepted: 28 September 2017 / Published: 4 October 2017
PDF Full-text (1947 KB) | HTML Full-text | XML Full-text
Abstract
This paper explores the potential diversification benefits of socially responsible investments for conventional stock portfolios by examining the risk spillovers and dynamic correlations between conventional and sustainability stock indexes from a number of regions. We observe significant unidirectional volatility transmissions from conventional to
[...] Read more.
This paper explores the potential diversification benefits of socially responsible investments for conventional stock portfolios by examining the risk spillovers and dynamic correlations between conventional and sustainability stock indexes from a number of regions. We observe significant unidirectional volatility transmissions from conventional to sustainable equities, suggesting that the criteria applied for socially responsible investments do not necessarily shield these securities from common market shocks. While significant dynamic correlations are observed between sustainable and conventional stocks, particularly in Europe, the analysis of both in- and out-of-sample dynamic portfolios suggests that supplementing conventional stock portfolios with sustainable counterparts improves the risk/return profile of stock portfolios in all regions. The findings overall suggest that sustainable investments can indeed provide diversification gains for conventional stock portfolios globally. Full article
(This article belongs to the Special Issue Risk Measures with Applications in Finance and Economics)
Figures

Figure 1

Open AccessArticle Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA
Sustainability 2017, 9(10), 1789; doi:10.3390/su9101789
Received: 28 July 2017 / Revised: 14 September 2017 / Accepted: 19 September 2017 / Published: 2 October 2017
PDF Full-text (7931 KB) | HTML Full-text | XML Full-text
Abstract
Recent research shows that the efforts to limit climate change should focus on reducing the emissions of carbon dioxide over other greenhouse gases or air pollutants. Many countries are paying substantial attention to carbon emissions to improve air quality and public health. The
[...] Read more.
Recent research shows that the efforts to limit climate change should focus on reducing the emissions of carbon dioxide over other greenhouse gases or air pollutants. Many countries are paying substantial attention to carbon emissions to improve air quality and public health. The largest source of carbon emissions from human activities in some countries in Europe and elsewhere is from burning fossil fuels for electricity, heat, and transportation. The prices of fuel and carbon emissions can influence each other. Owing to the importance of carbon emissions and their connection to fossil fuels, and the possibility of [1] Granger (1980) causality in spot and futures prices, returns, and volatility of carbon emissions, crude oil and coal have recently become very important research topics. For the USA, daily spot and futures prices are available for crude oil and coal, but there are no daily futures prices for carbon emissions. For the European Union (EU), there are no daily spot prices for coal or carbon emissions, but there are daily futures prices for crude oil, coal and carbon emissions. For this reason, daily prices will be used to analyse Granger causality and volatility spillovers in spot and futures prices of carbon emissions, crude oil, and coal. As the estimators are based on quasi-maximum likelihood estimators (QMLE) under the incorrect assumption of a normal distribution, we modify the likelihood ratio (LR) test to a quasi-likelihood ratio test (QLR) to test the multivariate conditional volatility Diagonal BEKK model, which estimates and tests volatility spillovers, and has valid regularity conditions and asymptotic properties, against the alternative Full BEKK model, which also estimates volatility spillovers, but has valid regularity conditions and asymptotic properties only under the null hypothesis of zero off-diagonal elements. Dynamic hedging strategies by using optimal hedge ratios are suggested to analyse market fluctuations in the spot and futures returns and volatility of carbon emissions, crude oil, and coal prices. Full article
(This article belongs to the Special Issue Risk Measures with Applications in Finance and Economics)
Figures

Figure 1

Open AccessArticle Risk Measurement and Risk Modelling Using Applications of Vine Copulas
Sustainability 2017, 9(10), 1762; doi:10.3390/su9101762
Received: 8 August 2017 / Revised: 10 September 2017 / Accepted: 13 September 2017 / Published: 29 September 2017
PDF Full-text (1257 KB) | HTML Full-text | XML Full-text
Abstract
This paper features an application of Regular Vine copulas which are a novel and recently developed statistical and mathematical tool which can be applied in the assessment of composite financial risk. Copula-based dependence modelling is a popular tool in financial applications, but is
[...] Read more.
This paper features an application of Regular Vine copulas which are a novel and recently developed statistical and mathematical tool which can be applied in the assessment of composite financial risk. Copula-based dependence modelling is a popular tool in financial applications, but is usually applied to pairs of securities. By contrast, Vine copulas provide greater flexibility and permit the modelling of complex dependency patterns using the rich variety of bivariate copulas which may be arranged and analysed in a tree structure to explore multiple dependencies. The paper features the use of Regular Vine copulas in an analysis of the co-dependencies of 10 major European Stock Markets, as represented by individual market indices and the composite STOXX 50 index. The sample runs from 2005 to the end of 2013 to permit an exploration of how correlations change indifferent economic circumstances using three different sample periods: pre-GFC (January 2005–July 2007), GFC (July 2007– September 2009), and post-GFC periods (September 2009–December 2013). The empirical results suggest that the dependencies change in a complex manner, and are subject to change in different economic circumstances. One of the attractions of this approach to risk modelling is the flexibility in the choice of distributions used to model co-dependencies. The practical application of Regular Vine metrics is demonstrated via an example of the calculation of the VaR of a portfolio made up of the indices. Full article
(This article belongs to the Special Issue Risk Measures with Applications in Finance and Economics)
Figures

Figure 1

Open AccessArticle Adoption of Falsified Medical Products in a Low-Income Country: Empirical Evidence for Suriname
Sustainability 2017, 9(10), 1732; doi:10.3390/su9101732
Received: 10 August 2017 / Revised: 13 September 2017 / Accepted: 19 September 2017 / Published: 26 September 2017
PDF Full-text (1308 KB) | HTML Full-text | XML Full-text
Abstract
Based on detailed shipping figures for Suriname’s main harbour in Paramaribo, we estimate the total shipments (in kilograms) of original and falsified medical products for 1996–2008 across five product categories. Using various time series techniques and diffusion models, we document that total cumulative
[...] Read more.
Based on detailed shipping figures for Suriname’s main harbour in Paramaribo, we estimate the total shipments (in kilograms) of original and falsified medical products for 1996–2008 across five product categories. Using various time series techniques and diffusion models, we document that total cumulative shipments of falsified products make about 40% of total shipments. We observe that there are apparently two distinct sets of consumers for original and for falsified products. Subsequently, we survey more than 300 citizens of Suriname from various demographics and ask questions about their potential adoption of falsified medicines. We find that income, age, and family size have no correlation, while the way people are insured does. Hence, the two sets of consumers can roughly be identified and clear-cut policy suggestions are presented. “The World Health Organization (WHO) estimates that up to 1% of medicines available in the developed world is likely to be counterfeited. This figure rises to 10% globally, although in some developing countries they estimate one third of medicines are counterfeit” (Various internet sites consulted January 2010 and the best estimate we have). Full article
(This article belongs to the Special Issue Risk Measures with Applications in Finance and Economics)
Figures

Figure 1a

Back to Top