With the advent of greening the global economy and the introduction of green financial assets, this study examines the connectedness and spillover effect of green assets using a QVAR approach focusing on the average connectedness and connectedness under extreme market conditions. The time of the...

Forecasting stock markets is challenging due to the influence of various internal and external factors compounded by the effects of globalization. This study introduces a data-driven approach to forecast S&P 500 returns by incorporating macroeconomic indicators including gold and oil prices, the...

The purpose of the research is to explore the dynamic multiscale linkage between economic policy uncertainty, equity market volatility, energy and sustainable cryptocurrencies during the COVID-19 period. We use a multiscale TVP-VAR model considering level (EPUs and IDEMV) and returns series...

Brazil is one of the world's largest producers and exporters of cattle, chicken and swine. Therefore, co-movements of Brazilian meat prices are important for both domestic and foreign stakeholders. We propose to analyse the cross-correlation between meat prices in Brazil, namely, cattle, swine...

In this paper, we deal with the possibility of using econophysics concepts in dynamic portfolio optimization. The main idea of the research is that combining different methodological aspects in portfolio selection can enhance portfolio performance over time. Using data on CESEE stock market...

Bitcoin's evolution has attracted the attention of investors and researchers looking for a better understanding of the efficiency of cryptocurrency markets, considering their prices and volatility. The purpose of this paper is to contribute to this understanding by studying the degree of...

This study assesses how the coronavirus pandemic (COVID-19) affects the intraday multifractal properties of eight European stock markets by using five-minute index data ranging from 1 January 2020 to 23 March 2020. The Hurst exponents are calculated by applying multifractal detrended fluctuation...

For this paper, we dynamically analysed the comovements between three major stock markets-Germany, the UK, and the US-and the countries of the European Union, divided into two groups: Eurozone and non-Eurozone. Correlation coefficients based on a detrended cross-correlation analysis (DCCA) were...

To analyze the effects of government debt securities on the liquidity risk and profitability of banks in Cape Verde, this research employs an unbalanced panel dataset from 2000 to 2017 on the activity of all commercial banks operating at the end of 2017 (seven in total). The study employs models...