Purpose – The specific criteria to the microstructure of emerging markets such as low liquidity, very pronounced asymmetric information, and high volatility affect the risk market. Previous researchers have concluded that the calculation methods of the Value‐at‐Risk (VaR) adopted in...

Value-at-Risk (VaR) is a widely used tool for assessing financial market risk. In practice, the estimation of liquidity extreme risk by VaR generally uses models assuming independence of bid–ask spreads. However, bid–ask spreads tend to occur in clusters with time dependency, particularly...

Purpose: In this paper, the authors seek to investigate the dynamics of Bitcoin, Litecoin, Ethereum and Ripple daily returns and volatilities. Design/methodology/approach: In this paper, the authors apply the MS-ARMA model on daily returns of Bitcoin (19/04/2013-13/02/2018), Ripple...

"This book explores the effect of CEO/Director behavior on firm performance across the world. It also focuses on corporate finance, strategic management, corporate governance, and behavioral finance"--