This article validates the chaotic behavior in the Argentinean, Brazilian, Canadian, Chilean, American, Peruvian and Mexican Stock Markets using the MERVAL, BOVESPA, S&P TSX COMPOSITE, IPSA, IGPA, S&P 500, DOW JONES INDUSTRIALS, NASDAQ, IGBVL and IPC Stock Indexes respectively. The results of...

We propose semi-parametric CUSUM tests to detect a change point in the correlation structures of non--linear multivariate models with dynamically evolving volatilities. The asymptotic distributions of the proposed statistics are derived under mild conditions. We discuss the applicability of our...

In this paper we test the weak form of the Efficient-Market Hypothesis (EMH) using monthly ‎data from 2004M08 to 2018M04 of stock prices by using linear and nonlinear (KSS 3 type, ‎Sollis and Kruse) unit root tests. The informational market efficiency is examined in the ‎Islamic and...

This paper attempts to examine the weak form of market efficiency in the Indian foreign exchange market using a family of variance ratio tests. Monthly Nominal Effective Exchange Rate (NEER) data from April 1993-June 2010 were used for the analysis. NEER series was considered for the analysis as...

Risk metrics users assume that the moments of asset returns exist, irrespectively of the trading frequency, hence the observed values of these moments are used to capture the potential losses from asset trading (e.g. with Value-at-Risk (VaR) or Expected Shortfall (ES) calculations). Despite the...

Very little is known on how traditional risk metrics behave under intraday trading. We fill this void by examining the finiteness of the returns' moments and assessing the impact of their infinity in a risk management framework. We show that when intraday trading is considered, assuming finite...

Very little is known on how traditional risk metrics behave in ultra high frequency trading (UHFT). We fi�ll this void �firstly by examining the existence of the intraday returns moments, and secondly by assessing the impact of their (non)existence in a risk management framework. We show...

Risk metrics users assume that the moments of asset returns exist, irrespectively of the trading frequency, hence the observed values of these moments are used to capture the potential losses from asset trading (e.g. with Value-at-Risk (VaR) or Expected Shortfall (ES) calculations). Despite the...

Risk metrics users assume that the moments of asset returns exist, irrespectively of the trading frequency, hence the observed values of these moments are used to capture the potential losses from asset trading (e.g. with Value-at-Risk (VaR) or Expected Shortfall (ES) calculations). Despite the...

In this paper we test the weak form of the Efficient-Market Hypothesis (EMH) using monthly ‎data of stock prices for the period from 2010M01 to 2019M07 for seven markets (Tunindex) ‎in Tunisia and 6 Asian countries : Saudi Arabia (TSAI), Japon (Nikkei 225), China (SSEC), ‎Turkey (BIST100),...