The volatility of a financial asset is an important input for financial decision‐making in the context of asset allocation, option pricing, and risk management. The authors compare and contrast four approaches to stochastic volatility to determine which is most appropriate to each of these...

Purpose – The paper aims to investigate European equity market integration by analyzing volatility spillover effects between selected indices of high liquidity from the major regulated European equity markets. Design/methodology/approach – In undertaking the empirical analysis, data for...

This paper analyses whether Z-score, as examined by Altman and other researchers, can predict correctly company failures. The empirical analysis concentrates on the construction companies listed in Athens Exchange, for the period 1995-2006, which coincides with significant construction activity...

Examines the dynamic relationships between stock markets in Japan, Hong Kong, Singapore, Malaysia, Taiwan and Thailand before, during and after the October 1997 crisis. Discusses linear and non‐linear Granger causality tests and applies both to stock market data for three time periods between...