On March 11, 2011, a large earthquake that occurred offshore the north-east coast of Japan generated a large tsunami which devastated extensive areas of the Tohoku coastline. Despite Japan being considered a country well prepared for these types of disasters, large casualties were recorded, with...

Vietnam has achieved high economic growth and poverty reduction over the last two decades. However the country has experienced economic slowdown in recent years. GDP growth rate within the period of 2009-2012 was about 5 percent, which is considerably lower than the previous periods’ growth...

We assess investors' reaction to new information arrivals in financial markets by examining the relationships between trading volume and the higher moments of returns in 18 international equity and currency markets. Our volume-volatility results support extant information theories and further...

We develop a framework that allows a multivariate system of long memory processes to be conditional on specific regimes to investigate the effects of credit rating agencies' (CRAs) sovereign credit re-ratings on European stock and currency return distributions over the period from 1996 to 2012....

We develop a generalized impulse response function for the fractionally integrated vector autoregressive (FIVAR) model using the Pesaran and Shin (1998) approach. Our method is different from the methodology shown in Chung (2001) since it does not require us to orthogonalize the error vector...