In this paper, we investigate the value-at-risk predictions of four major precious metals (gold, silver, platinum, and palladium) with non-linear long memory volatility models, namely FIGARCH, FIAPARCH and HYGARCH, under normal and Student-t innovations’ distributions. For these analyses, we...

The objective of this study is to analyze cross-border contagious dynamics in both foreign exchange markets and stock exchange markets. Propagation is analyzed with respect to the transmission of excessive volatility that is endogenously determined. The contagion process is discussed in the...