Advances in financial risk management and economic policy uncertainty: An overview

Abstract

Financial risk management is difficult at the best of times, but especially so in the presence of economic uncertainty and financial crises. The purpose of this special issue on "Advances in Financial Risk Management and Economic Policy Uncertainty" is to highlight some areas of research in which novel econometric, financial econometric and empirical finance methods have contributed significantly to the analysis of financial risk management when there is economic uncertainty, especiallythe power of print: uncertainty shocks, markets, and the economy, determinants of the banking spread in the Brazilian economy: the role of micro and macroeconomic factors, forecasting value-at-risk using block structure multivariate stochastic volatility models, the time-varying causality between spot and futures crude oil prices: a regime switching approach, a regimedependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange rates, a practical approach to constructing price-based funding liquidity factors, realized range volatility forecasting: dynamic features and predictive variables, modelling a latent daily tourism financial conditions index, bank ownership, financial segments and the measurement of systemic risk: an application of CoVaR, model-free volatility indexes in the financial literature: a review, robust hedging performance and volatility risk in option markets: application to Standard and Poor's 500 and Taiwan index options, price cointegration between sovereign CDS and currency option markets in the global financial crisis, whether zombie lending should always be prevented, preferences of risk-averse and risk-seeking investors for oil spot and futures before, during and after the global financial crisis, managing financial risk in Chinese stock markets: option pricing and modeling under a multivariate threshold autoregression, managing systemic risk in The Netherlands, mean-variance portfolio methods for energy policy risk management, on robust properties of the SIML estimation of volatility under micro-market noise and random sampling, asymmetric large-scale (I)GARCH with hetero-tails, the economic fundamentals and economic policy uncertainty of Mainland China and their impacts on Taiwan and Hong Kong, prediction and simulation using simple models characterized by nonstationarity and seasonality, and volatility forecast of stock indexes by model averaging using high frequency data. JEL Classification AbstractFinancial risk management is difficult at the best of times, but especially so in the presence of

The Casual Relationship between China’s Financial Stress and Economic Policy Uncertainty: A Bootstrap Rolling-Window Approach

“…Overall, these results indicate that CNFS and EPU in China are nonstationary processes in levels but attain stationary in their first differences, that to say, they are I (1) series. In order to examine the causal relationship between CNFS and EPU, bivariate VAR models were then constructed as Equation (1). The optimal lag length selected based on SIC is 3. tional.…”

“…Economic policy uncertainty (EPU) and financial risk have been the most important issues in economics and finance recently. Financial risk management is difficult at the best of times, especially in times of economic policy uncertainty [1]. Sum (2012) also indicates that financial stress (FS) and EPU play an important role in the economic growth and recovery of the overall economy [2].…”

Investor response to public news, sentiment and institutional trading in emerging markets: A review

“…They cover such topics as the applications of modern financial econometrics methods (Chang et al, 2013), behavioral finance (Nawrocki and Viole, 2014;Ramiah et al, 2015), bond markets (Larsson, 2013), volatility indexes (Claessens and Yurtoglu, 2013), credit spreads (Guo, 2013) and financial risk management and economic policy uncertainty (Hammoudeh and McAleer, 2015), among others. However, these papers tend to be general and, more importantly for our purposes, do not focus on emerging markets or sometimes they cover only one country.…”

Modelling Financial Market Volatility Using Asymmetric-Skewed-ARFIMAX and -HARX Models

“…In recent years, many stock market investment institutes have added risk management units to identify risks and implement strategies to overcome the potential risks in the globalized financial stock markets. Thus, financial risk management (Hammoudeh & McAleer, 2015) has become a crucial component in the stock market investments where failure to manage the market risks may result in severe losses to their investments. Owing to that, a reliable and accurate risk management analysis is highly desired to measure the potential market risk in the current stock market investment strategies.…”