Gold and Crude oil are very vital global Variables and they are ruling the market. An increase in the worldwide oil prices and gold prices hurts the Indian economy. To know whether there is any dependency of gold and crude oil price fluctuations with respect to Indian market. The interdependence...

Stress testing of financial systems has been increasingly important after several financial crises in recent years, thereby drawing keen attention to the choice of appropriate stress scenarios to effectively test the robustness of the systems. To this end, we consider the problem of identifying...

This paper proposes an extended multivariate EGARCH model for multivariate volatility modeling that addresses several limitations of existing models. Specifically, it overcomes the zero-return problem and allows for negative news and volatility spillover effects, making it a promising tool for...

Evidence that cryptocurrencies exhibit speculative bubble behavior is well documented. This evidence could trigger global financial instability leading to systemic risk. It is therefore crucial to quantify systemic risk and investigate its transmission mechanism across crypto markets and other...

Short- and long-term interest rates are crucial for investment and, thus, business dynamism. The injection of money depends on the ability to promote cash flows through credit which boosts productive sectors. In the last decade, among Latin American countries, Peru has stood out for its key...

Short- and long-term interest rates are crucial for investment and, thus, business dynamism. The injection of money depends on the ability to promote cash flows through credit which boosts productive sectors. In the last decade, among Latin American countries, Peru has stood out for its key...

A factor model based covariance matrix is used to build a new form of Mahalanobis distance. The distribution and relative properties of the new Mahalanobis distances are derived. A new type of Mahalanobis distance based on the separated part of the factor model is defined. Contamination effects...