News
18.07.2017
The Multinational Finance Journal (MFJ) announces a Special Issue on Volatility Modeling and Empirical Applications in Asset Pricing and Risk Management
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17.07.2017
24th Annual MFS Conference photos are now available online!
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06.07.2017
Winter 2018 MFS Conference in Spanish
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Special Issue - Multinational Finance Journal
18.07.2017




CALL FOR PAPERS


Multinational Finance Journal

TOPIC OF INTEREST

"Volatility Modeling and Empirical Applications in Asset Pricing and Risk Management"

GUEST EDITOR

Gregory Koutmos
Fairfield University, USA

DETAILS


Objective: The objective of the Special Issue is to publish high quality papers in the areas of modeling time varying second moments and cross-moments and the accompanying use in asset pricing and risk management. Topics suitable for the Special Issue include, but are not limited to, the following:

  • Dynamic asset pricing
  • Feedback trading
  • Dynamic hedging
  • Volatility spillovers
  • Volatility tests for market efficiency
  • Permanent and transitory volatility components
  • Time varying volatility and option pricing
  • Value at risk with time varying volatility
  • Event studies and time varying volatility
  • Estimation issues, forecasting and diagnostic tests.

All submissions will follow the MFJ double-blind refereeing policy. Manuscripts should be submitted via the online system before September 15, 2017. Papers submitted for this issue do not require submission fee.