This paper analyzes the effects of terrorist attacks on stock market. Especially, we investigate the impact of terrorist attacks produced in Tunisia on the Tunisian stock market. Considering the period from 11 May 2011 to 14 March 2016 and relying on an event study methodology, we find that the...

The main objective of this work is to study the relationship between monetary policy and financial markets. We applied a VECM to analyze the data over the period from January 2011 to December 2017. Results show an homogeneity in the reaction of some sectoral indexes to monetary policy. This...

We propose a new long-memory model with a time-varying fractional integration parameter, evolving non-linearly according to a Logistic Smooth Transition Autoregressive (LSTAR) specification. To estimate the time-varying fractional integration parameter, we implement a method based on the wavelet...