This article explores the dynamics of the dependence between 'A' and 'B' share indices on the Shanghai and Shenzhen securities exchanges. While the marginal behaviour of each stock index is modelled by an asymmetric Student-t distribution, the nature of the dependence is captured through a...

This study considers the ability of the Component-GARCH model to capture the stylized features of volatility in 14 stocks traded on the Stock Exchange of Hong Kong. The relative merits of several GARCH models nested in the Component-GARCH are investigated using the standard likelihood ratio...

Understanding the relationships among multivariate assets would help one greatly about how best to position one's investments and enhance one's financial risk protection. We present a new method to model parametrically the dependence structure of stock index returns through a continuous...

Purpose: This study explores the price and trading volume effects around the quarterly Dow Jones Islamic Market-GCC index (DJIM-GCC) revisions and investigates whether these reactions are driven by firms' fundamentals or by investors' perception of ethical screening....

Assuming that the variance of daily price changes and trading volume are both driven by the same latent variable measuring the number of price-relevant information arriving on the market, the mixture of distribution hypothesis represents an intuitive and appealing explanation for the empirically...

Outliers can lead to model misspecifications, poor forecasts and invalid inferences. Their identification and correction is therefore an important objective of financial modeling. This paper introduces a simple method to detect outliers in a financial series. It uses an AR(1)-GARCH(1,1) model to...

[eng] Sovereign debt : bondholders may prefer repudiation to default . Sovereign debts are often subject to payment suspension. Default, i.e. the financial incapacity to fulfil the debt service, and repudiation, i.e. the denial by a sovereign to recognize its legal obligations, are normally used...

This article explores the link between the subprime crisis and the European sovereign debt crisis. Using a panel data approach, we estimate the impact of the different government interventions aimed at rescuing financial institutions on the significant increase of the costs of public debts as...