The dynamic conditional correlation (DCC) and co-range models are two main frameworks widely used to employ range-based univariate volatility. Using the two approaches, we build novel multivariate range-based EGARCH (REGARCH) models: a DCC-REGARCH and co-range REGARCH (CRREGARCH) model, as well...

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...

This paper investigated the relationship between cryptocurrencies and emerging stock market indices using fractional integration and co-integration technique. Particularly, fractional integration is applied to examine stochastic properties of individual assets and fractional cointegration to...

The Autoregressive Conditionally Heteroscedastic (ARCH) model is useful for handling volatilities in economical time series phenomena that ARIMA models are unable to handle. The ARCH model has been adopted in many applications that contain time series data such as financial market prices,...