This paper proposes a new parsimonious multivariate GARCH-jump (MGARCH-jump) mixture model with multivariate jumps that allows both jump sizes and jump arrivals to be correlated among assets. Dependent jumps impact the conditional moments of returns as well as beta dynamics of a stock. Applied...

The paper investigates the ability of oil price returns, oil price shocks and oil price volatility to provide predictive information on the state (high/low risk environment) of the US stock market returns and volatility. The disaggregation of oil price shocks according to their origin allows us...

يهدف هذا البحث إلى نمذجة أسعار أسهم الإغلاق اليومية لشركة اتحاد اتصالات السعودية المدرجة ضمن قطاع الاتصالات في سوق المال السعودي خلال الفترة الممتدة من 01 جانفي...

The literature has not settled down on safe haven property of gold in emerging and developing countries. Therefore, in this study, we revisit the international evidence on hedging and safe haven role of gold for 34 emerging and developing countries with a span of daily data covering January 2000...

Functional data objects that are derived from high-frequency financial data often exhibit volatility clustering characteristic of conditionally heteroscedastic time series. Versions of functional generalized autoregressive conditionally heteroscedastic (FGARCH) models have recently been proposed...

This paper analyses domestic and foreign equity shocks under long-run restrictions on the Australian macroeconomy using a five-variable SVAR model. Evidence reveals that aggregate supply shocks produce positive wealth effects coming from increasing real value of Australian equity as the goods...

We carry out a non parametric analysis of financial durations. We make use of an existing algorithm to describe non parametrically the dynamics of the process in terms of its lagged realizations and of a latent variable, its conditional mean. The devices needed to effectively apply the algorithm...

This article is a supplement to previously published paper [1]. It describes a paradox, which shows that arbitrage opportunities almost always exist. Markets that do not allow such opportunities differ from current significantly.

In this paper a Kalman-filter type model is used to extract a global stochastic trend from discrete non-synchronous data on daily stock market index returns from different markets . The model allows for the autocorrelation in the global stochastic trend, which means that its increments are...

Crude oil intra-day return curves collected from the commodity futures market often appear to be serially uncorrelated and long-range dependent. Existing functional GARCH models, while able to accommodate short range conditional heteroscedasticity, are not designed to capture long-range...