Risk and Volatility Spillovers in Financial Markets
A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Markets".
Deadline for manuscript submissions: closed (30 November 2022) | Viewed by 6316
Special Issue Editor
Special Issue Information
Dear Colleagues,
This Special Issue focuses on the broad topic of “Risk and Volatility Spillovers in Financial Markets”. Volatility modelling is a crucial requirement for derivative pricing, portfolio optimization, and risk management. This is particularly so in an age where markets are highly integrated, and a global pandemic has affected the price and volatility across a range of financial assets. Understanding the source and direction of volatility spillovers is an important input for policy-makers and regulators seeking to limit financial contagion, as well as investors pursuing optimal asset allocation.
In contributing to this discussion, papers submitted to this Special Issue will aid market participants in their planning around appropriate responses to major events. Contributions that focus on innovative financial instruments and novel market events are encouraged, as are methodologies that utilise parsimonious modelling techniques.
Dr. Lee A. Smales
Guest Editor
Manuscript Submission Information
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Keywords
- financial markets
- volatility modelling
- volatility spillovers
- risk management
- contagion
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