This paper investigates dependence structures on selected world stock markets. Firstly, a non-parametric univariate measure of a persistence concerning capital markets efficiency is derived and computed. Secondly, we focus on computing of a non-parametric multivariate measure of the persistence...

Flight to quality has long been a feature of international financial markets when there are extreme variations in the negative relationship between returns on stocks and sovereign bond indices. This study analyzes the existence of a flight-to-quality effect from stocks to long-term government...

In this paper, asymptotic lower bounds of precise large deviations for non-random sums and random sums of nonnegative random variables (r.v.s) are derived under some fairly weak conditions. The obtained results are used to derive asymptotic lower bounds of precise large deviations in a...