Financial markets in Lebanon are constrained by government influence, Islamic financial principles, and some barriers to foreign participation. Productivity in the Lebanese financial sector ranks below its occidental counterpart in spite the fact that regulatory, supervisory, and accounting...

We study the jump behaviour in the sovereign risks of major oil-exporting countries and examine whether it is affected by jumps in the price and volatility of crude oil. Data used are daily from 14 February 2011, to 31 July 2019. We detect the presence of jumps in many oil exporters and find...

We examine the relation between price returns and volatility changes in the Bitcoin market using a daily database denominated in various currencies. The results for the entire period provide no evidence of an asymmetric return-volatility relation in the Bitcoin market. We test if there is a...

This paper examines the risk cascade in high-order moments between investors and traders operating at different investment horizons in the cryptocurrency market. After constructing realized skewness and kurtosis on five major cryptocurrencies (BTC, ETH, XRP, LTC, and XLM) based on...

In 2013, the Shanghai Futures Exchange (SHFE) introduced a night session in Chinese metal futures markets. Using high-frequency data of gold, silver, and copper futures, we investigate the impact of night trading on intraday return predictability in Chinese metal futures markets. Firstly, we...