While market volatility and volatility connectedness across different financial markets have been examined, the spillover effects across sectors have been under-examined. As such, this study aims to examine market volatility and the volatility patterns for 24 Vietnamese sectors. Our study uses...

In this paper, the generalised autoregressive heteroskedasticity (GARCH) model is applied to the pricing of collateralised options in the South African equity market. Symmetric GARCH and nonlinear asymmetric GARCH (AGARCH) models are considered. The models are used to price fully collateralised...

The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three measures of volatility, i.e. the conditional, the realised and the implied volatility. The findings suggest that supply-side shocks and oil specific demand shocks do not affect...

This study predicts stock market volatility and applies them to the standard problem in finance, namely, asset allocation. Based on machine learning and model averaging approaches, we integrate the drivers’ predictive information to forecast market volatilities. Using various evaluation...

Stablecoins are a bridge between fiat currencies and cryptocurrencies. As they are on-chain (on the blockchain) assets that are reliably pegged to the value of off-chain fiat currencies, users gain relatively low-risk access to store or trade fiat and cryptocurrencies. The two most important...

The rapid digitisation of the world made it clear that traditional money needs to be replaced with alternatives, otherwise we risk missing out on the future. Consequently, central banks around the world are examining whether and how they can introduce Central Bank Digital Currency. CBDC has...

This article contributes to the existing literature on European financial market integration by investigating whether the degree of integration between the Athens Stock Exchange (ASE) and three major euro zone stock markets has varied over time since the signing of the Maastricht treaty. To this...

An alternative definition for market efficiency, based on econometric rather than financial arguments is suggested. It is argued that this new definition, though equivalent to the existing one, has some comparative advantages. Moreover, the conditions under which the results from the application...