We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

We study the investor behavior on a leading peer-to-business lending platform and find evidence of two new investment biases - a default shock bias and a deep market bias. First, we find investors to stop investing in new loans and to cease from diversifying their portfolio after experiencing a...

This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of insights from the multiple testing literature. The method tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...

This paper uses the endogenous regime switching model with dynamic feedback and interactions developed by Chang et al. (2023) to estimate global food price mean and volatility indicators, the latter measuring uncertainty and risk in the global food market. Both are then included in structural...

We propose a new method (implemented in an R-program) to simulate long-range daily stock-price data. The program reproduces various stylized facts much better than various parametric models from the extended GARCH-family. In particular, the empirically observed changes in unconditional variance...

This paper applies fractional integration and cointegration methods to examine respectively the univariate properties of the four main cryptocurrencies in terms of market capitalization (BTC, ETH, USDT, BNB) and of four US stock market indices (S&P500, NASDAQ, Dow Jones and MSCI for emerging...

This paper investigates dynamic conditional correlations between stock and REIT markets in both Turkey and the U.S. We use an Asymmetric DCC - GJR - GARCH model to estimate the dynamic conditional correlation at daily, weekly, and monthly frequencies. Our contribution is threefold. First, we...

We provide a comprehensive assessment of volatility connectedness between the currencies of Central European (CE) countries using high-frequency data from 2009 to 2022. We assess asymmetries in connectedness (not investigated for CE currencies before) and document domination of the negative...

The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated by the well-cited Meese and Rogoff (1983) paper. Practitioners who construct quantitative models for trading exchange rates approach forecasting from a different perspective....