This paper investigates the long-term financial integration and bivariate extreme dependency between Bovespa and Istanbul Stock Exchanges. While static cointegration test present no evidence of long term cointegration, introduction of a structural break to the model shows that Bovespa and ISE...

In this study, the relationship between oil price movements and Turkish stock market is investigated. Given the fact that Turkey is an emerging and oil dependent country, we analyze how the stock market behaves together with the fluctuations in oil prices. The study focuses on extreme...

This paper compares the performance of several different value-at-risk (VaR) forecast models: historical simulation, RiskMetrics and models based on extreme-value theory. Both the parametric maximum likelihood and nonparametric Hill estimator, and the modified estimator of Dekkers, Einmahl and...

The main purpose of the paper is empirically evaluating selectivity skills and market timing ability of Polish fund managers during the period from January 2009 to November 2014. After the global financial crisis of 2008, in this period of quantitative easing (QE), thanks to an increase in the...

This paper aims to evaluate the performance of A-type Turkish funds between January 2009 and November 2014. This study period coincides with the period of quantitative easing during which developing economies in financial markets have been influenced dramatically. Thanks to the increase in the...

The study aims to analyse the selective ability and market timing ability of Polish equity fund managers during the period from January 2009 to November 2014. After the global financial crisis of 2008, in this period of quantitative easing (QE), thanks to an increase in the money supply, a...