Citation
(2013), "Retraction notices", Journal of Risk Finance, Vol. 14 No. 5. https://doi.org/10.1108/JRF-11-2013-001
Publisher
:Emerald Group Publishing Limited
Retraction notices
Article Type: Retraction notices From: The Journal of Risk Finance, Volume 14, Issue 5
Estimation of a Cox process for credit spreads with semi-stochastic intensity: http://www.emeraldinsight.com/journals.htm?issn=1526-5943&volume=11&issue=V5&articleid=1896060
Retraction notice: subsequent to the corrigendum previously placed on this article, Emerald wishes to retract the article “Estimation of a Cox process for credit spreads with semi-stochastic intensity by Angelo Corelli, which appeared in The Journal of Risk Finance, Volume 11, Issue 5. It has come to our attention that this article includes a large proportion of verbatim material taken from other sources, without attribution. These sources include, but are not limited to:
Boss, M. and Scheicher, M. (2002), “The determinants of credit spread changes in the euro area, BIS Papers Chapters, in Bank for International Settlements (Ed.), Market Functioning and Central Bank Policy, Vol. 12.
Chiarella, C., Fanelli, V. and Musti, S. (2008), “Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model, Research Paper 232.
Delianedis, G. and Geske, R. (2001), “The components of corporate credit spreads: default, recovery, tax, jumps, liquidity, and market factors, UCLA Anderson Working Paper No. 22-01.
Elizalde, A. (2003), “Credit risk models II: structural models, Working Paper in Financial Mathematics, Kings College.
Giesecke, K. (2001), “Default compensator, incomplete information, and the term structure of credit spreads, discussion papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, No. 2002,8.
Lando, D. (1998), “On Cox processes and credit risky securities, Review of Derivatives Research, Vol. 2 No. 2.
The Journal of Risk Finance submission guidelines make it clear that articles must be original and must not infringe any existing copyright. Emerald sincerely apologises to the readers and authors of the original material.
To be or not: feeding information in standard minority games: http://www.emeraldinsight.com/journals.htm?issn=1526-5943&volume=13&issue=2&articleid=17015680
Retraction notice: subsequent to the previous corrigendum placed on this article, Emerald wishes to retract the article “To be or not: feeding information in standard minority games by Angelo Corelli, which appeared in The Journal of Risk Finance, Volume 13, Issue 2. It has come to our attention that this article includes a large proportion of verbatim material taken from other sources, without proper attribution. These sources include, but are not limited to:
Challet, D., et al. (2001), “Stylized facts of financial markets and market crashes in minority games, working paper, cond-mat/0101326, arXiv.org
Challet, D., et al. (2004), “Stylized facts in minority games with memory: a new challenge, Physica A: Statistical Mechanics and its Applications, Vol. 338 No. 1.
Jefferies, P., et al. (2000), “From market games to real-world markets, European Physical Journal. B, Condensed Matter Physics, Vol. 20.
Kihara, S., et al. (2000), “Analysis and simulation of market dynamics with an extended minority games, working paper, Department of Systems Innovation, School of Engineering, The University of Tokyo, Tokyo.
The Journal of Risk Finance submission guidelines make it clear that articles must be original and must not infringe any existing copyright. Emerald sincerely apologises to the readers and authors of the original material.
The tale of the tail: extreme-value patterns of financial returns: http://www.emeraldinsight.com/journals.htm?issn=1526-5943&volume=13&issue=5&articleid=17063007
Retraction notice: subsequent to the corrigendum previously placed on this article, Emerald wishes to retract the article “The tale of the tail: extreme-value patterns of financial returns by Angelo Corelli, which appeared in The Journal of Risk Finance, Volume 13, Issue 5. It has come to our attention that this article includes a large proportion of verbatim material taken from other sources, without proper attribution. These sources include, but are not limited to:
Aragones, J., Blanco, C. and Dowd, K. (2000), “Extreme value VaR, Derivatives Week.
Baran, J. and Witzany, J. (2011), “A comparison of EVT and standard VaR estimations, Bulletin of the Czech Econometric Society, Vol. 19.
Fernandez, V. (2000), “Extreme value theory: value at risk and returns dependence around the world, Edition 161 av Documentos de trabajo: Serie Economía.
Gencay, R., et al. (2001), “EVIM: a software package for extreme value analysis in MATLAB, Studies in Nonlinear Dynamics & Econometrics, Vol. 5 No. 3.
Georgescu, V. (2009), “Measuring risk with extreme value theory, Master of Science Thesis in Economics and Management Science, Humboldt University, Berlin.
Hyung, N. and de Vries, C. (2005), “Portfolio selection with heavy tails, Tinbergen Institute Discussion Paper 2005-009/2.
Institutional Investor (2000), “Extreme value VaR, web document.
Kearns, P. and Pagan, A. (1997), “Estimating the density tail index for financial time series, The Review of Economics and Statistics, Vol. 79 No. 2, pp. 171-175.
Kolobratnik, K. (2008), “An analysis of the global financial crisis 2007-2008, Diplomarbeit, Universität Wien, Vienna.
Longin, F. (2000), “From value at risk to stress testing: the extreme value approach, Journal of Banking & Finance, Vol. 24, pp. 1097-1130.
Ning Yan, X. (2008), “Test for infinite variance in stock returns, Dissertations and Theses Collection (Open Access), Paper 39.
Teichmoeller, J. (1971), “A note on the distribution of stock price changes, Journal of the American Statistical Association, Vol. 66 No. 334, pp. 282-284.
The Journal of Risk Finance submission guidelines make it clear that articles must be original and must not infringe any existing copyright. Emerald sincerely apologises to the readers and authors of the original material.