We answer positively to this question by using Maximum Lq-Likelihood (orDeformed Likelihood) estimator. This is based on a parameter which measuresthe degree of data contamination. We apply this estimator, for the first timein econometric literature, to dynamic system and derive a robust version...

In this study, we examine the influence of the COVID-19 pandemic on stock market contagion. Empirical analysis is conducted on six major stock markets using a wavelet-copula GARCH approach to account for both the time and the frequency aspects of stock market correlation. We find strong evidence...

In this paper we investigate the dynamic features of house prices in London. Using a generalized smooth transition model (GSTAR) we show that dynamic symmetry in price cycles in the London housing market is strongly rejected. We also show that the GSTAR model is able to replicate the features of...