The implications of digital finance for financial stability has come under serious scrutiny since the aftermath of the 2008 global financial crisis (GFC). Empirical evidence on this nexus are somewhat inconsistent and ambiguous. This study therefore attributes this puzzle to multiple structural...

We develop a test for mean stationarity of latent volatility curves using high-frequency data. To derive the asymptotic test size and power, we establish a functional invariance principle for semimartingales under a strong mixing condition. The power properties are analyzed under alternatives...

This paper attempts to study to what extent Tunisian industrial exports have been resilient during the COVID-19 pandemic. For this purpose, we tested for structural breaks using the Bai-Perron test and monthly data on industrial exports from January 2014 to December 2022. Using the...

This study examined the structural breakdowns and co-movements of Bitcoin (BTC) and Ethereum (ETH) cryptocurrencies from the onset of the COVID-19 pandemic. The Bai-Perron test was used to determine the change in the mean and variance of the two principal actors regarding market capitalization...

The introduction of Bitcoin as a distributed peer-to-peer digital cash in 2008 and its first recorded real transaction in 2010 served the function of a medium of exchange, transforming the financial landscape by offering a decentralized, peer-to-peer alternative to conventional monetary systems....

This study models volatility in the daily Nigeria Stock Exchange 30 index from Jan- uary 30, 2012 to August 31, 2020, comparing the Modified Iterated Cumulative Sums of Squares (MICSS) and the traditional cumulative sum of squares (CUSUMSQ) ap- proaches. Findings reveal that integrating...

The present study examines the relationship between FDI inflows and export performance in Bangladesh by considering the issue of structural breaks utilizing annual time-series data from 1972 to 2019. In the study, unit root tests were conducted without (ADF test and PP test) and with (ZA test...