Template-type: ReDIF-Paper 1.0
Author-Name: Shawkat Hammoudeh 

Author-Email: Shawkat.M.Hammoudeh@drexel.edu
Author-Workplace-Name: Lebow College of Business Drexel University.
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute,
	The Netherlands, Department of Quantitative Economics, Complutense University of Madrid, and Institute of
	Economic Research, Kyoto University. 
Title: Advances in Financial Risk Management andEconomic 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 regime-dependent 
	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.
Classification-JEL: C58, D81, E60, G32.
Keywords: Financial risk management, Economic policy uncertainty, Financial econometrics, Empirical finance.
Length: 25 pages
Creation-Date: 2014-06 
Number: 2014-17 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1417.txt
File-URL: https://eprints.ucm.es/id/eprint/26069/1/1417.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1417