Purpose – This paper aims to employ GARCH-class models (GARCH, IGARCH and CGARCH) to estimate the volatility persistence on crude oil, US, Gulf Corporation Council (GCC), Brazil, Russia, India and China (BRIC) stock markets. Also, the paper investigates the volatility spillover and the dynamic...

Purpose – This paper aims to investigate empirical evidence of behavioral contagion between oil market, US market and stock markets of oil-importing and oil-exporting countries, during the oil shock and US financial crisis period of 2008-2009, after controlling for fundamentals-driven...

This paper presents empirical evidence of herding contagion between oil market and stock markets, during the oil shock and the US financial crisis period of 2008-2009, after controlling fundamentals-driven comovements. We estimate the forecasting errors of time-varying parameters using the...

This study examines the contagion of herding behavior in the Tunisian financial system during the period 2000:01-2012:12 by using several GARCH models. The BEKK-GARCH model results prove the volatility spillovers between the residues of time deposit and other financial variables for savings...

This paper studies the effect of bank manager behavior and investor behavior on market value of Islamic and conventional banks in the Middle East and North Africa region. Firstly, our analysis denoted the positive effect of discretionary behavior of manager on both types of banks on share prices...

Purpose: The purpose of this paper is threefold. First, it models and forecasts the risk of the five leading cryptocurrencies, stock market indices (developed and BRICS) and gold returns. Second, it conducts different backtesting procedures forecasts. Third, it focuses on the hedging potential...