The Autoregressive Conditionally Heteroscedastic (ARCH) model is useful for handling volatilities in economical time series phenomena that ARIMA models are unable to handle. The ARCH model has been adopted in many applications that contain time series data such as financial market prices,...

We develop a dynamic model of a BHC that encompasses both a trading desk and a loan desk, and explore the role of risk attitude and overleveraging by the trading desk. We trace the impact of monetary policy and market innovations on bank behavior in the presence of Basel III type regulations. We...

After the events in March 2020, it became clear to U.S. policymakers that the 2014 reform of the money market funds (MMFs) industry had not successfully addressed the stability concerns associated with surges in withdrawals. In December 2021, the SEC proposed a new set of rules governing how...

Across the globe, COVID-19 has disrupted the financial markets, making them more volatile. Thus, this paper examines the market volatility and asymmetric behavior of Bitcoin, EUR, S&P 500 index, Gold, Crude Oil, and Sugar during the COVID-19 pandemic. We applied the GARCH (1, 1), GJR-GARCH (1,...

Green finance is significant since it is the first organized effort by the financial industry to link financial performance with a positive environmental impact. Green finance products are being developed appropriately to achieve sustainability. The present study employs a fundamental...

Given the high resilience of the Central and Eastern Europe (CEE) banking sectors during the last financial crisis and their major role in the CEE region in financing the economy and supporting the high growth rates achieved there, our paper investigates the determinants of banking profitability...

This paper analyzes stock returns for biotechnology firms after initial public offering (IPO) and explores the effect of social media-specifically, Twitter-on these returns. The results indicate positive yet insignificant cumulative average abnormal returns (CAARs) of 1.97% in the first 25 days...

Using a unique database, this paper examines the interconnection among stress indicators of the Spanish financial markets during the period of January 1999 to April 2021, applying both the connectedness framework and the Time-Varying Parameter Vector Autoregressive connectedness approach. Our...

On 3 April 2016, Mossack Fonseca provided the historically most significant leak of its shareholder's data for owning offshore companies. Shareholders include many political and influential figures around the globe, which causes a moral hazard. The study analyses the effects of Panama leak...

The paper explores the relationship between education, digitalization, and financial development between 1996 and 2019 with the aim of showcasing the differences between developed and emerging economies in Europe. We use a Bayesian VAR framework that includes variables related to education,...